Question
Using the following balance sheet of Money Bank answer parts I and II. Assets $million Liabilities and Equity $million Cash 1150 Overnight repos Subordinated debt
Using the following balance sheet of Money Bank answer parts I and II.
Assets | $million | Liabilities and Equity | $million |
Cash | 1150 | Overnight repos Subordinated debt | 1800 |
1-month T-bills (7.05%) | 850 | 7-year fixed rate (8.55%) | 1500 |
3-month T-bills (7.25%) | 750 | Equity | 1500 |
2-year T-notes (7.50%) | 850 |
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|
8-year T-notes (8.96%) | 500 |
|
|
5-year munis (floating rate) (8.20% reset every 6 months) | 700 |
|
|
Total assets | 4800 | Total Liabilities and Equity | 4800 |
- What is the repricing gap if the planning period is 30 days? 3 months? 2 years?
- What is the impact over the next 30 days on net interest income if interest rates increase 80 basis points? Decrease 85 basis points?
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The following one-year runoffs are expected: $100 million for two-year T-notes and $200 million for eight-year T-notes. What is the one-year repricing gap?
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