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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

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

  1. What is the repricing gap if the planning period is 30 days? 3 months? 2 years?
  2. What is the impact over the next 30 days on net interest income if interest rates increase 80 basis points? Decrease 85 basis points?
  3. 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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