Question
Use the following information about a hypothetical government security dealer named J.P. Groman. (Market yields are in parentheses; amounts are in millions.) (LG 22-1) Assets
Use the following information about a hypothetical government security dealer named J.P. Groman. (Market yields are in parentheses; amounts are in millions.) (LG 22-1)
Assets Liabilities and Equity Cash $ 10 Overnight repos $170 1-month T-bills (7.05%) 75 Subordinated debt 3-month T-bills (7.25%) 75 7-year fixed (8.55%) 150 2-year T-notes (7.50%) 50 8-year T-notes (8.96%) 100 5-year munis (floating rate) (8.20% reset every six months) 25
What is the repricing or funding gap if the planning period is 30 days? 91 days? 2 years? (Recall that cash is a noninterest-earning asset.)
What is the impact over the next 30 days on net interest income if all interest rates rise by 50 basis points?
The following one-year runoffs are expected: $10 million for two-year T-notes, $20 million for the eight-year T-notes. What is the one-year repricing gap?
If runoffs are considered, what is the effect on net interest income at year-end if interest rates rise by 50 basis points?
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