Use the following information about a hypothetical government security dealer named J.P. Groman. (Market yields are in parentheses; amounts are in millions.)

Assets			Liabilities and Equity
Cash	$	24	Overnight repos	$	225
1-month T-bills (7.19%)		103	Subordinated debt
3-month T-bills (7.39%)		103	7-year fixed (8.69%)		164
2-year T-notes (7.64%)		64
8-year T-notes (9.10%)		114
5-year munis (floating rate) (8.34% reset every six month)		39	Equity		58
Total	$	447	Total	$	447

a. 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.) (Enter your answers in millions. Negative amounts should be indicated by a minus sign.)

	Repricing Gap
30 days	$ million
91 days	million
2 years	million

b. What is the impact over the next 30 days on net interest income if all interest rates rise by 70 basis points? (Input the amount as a positive value.)

c. The following one-year runoffs are expected: $18 million for two-year T-notes, $28 million for the eight-year T-notes. What is the one-year repricing gap? (Enter your answer in millions.)

d. If runoffs are considered, what is the effect on net interest income at year-end if interest rates rise by 70 basis points? (Input the amount as a positive value.)

Answer rating: 100% (QA)

Calculation of Reprising Gap Reprising using Gap 30days planning perio... View the full answer