Use the following information about a hypothetical government security dealer named J.P. Groman. (Market yields are...
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Use the following information about a hypothetical government security dealer named J.P. Groman. (Market yields are in parentheses; amounts are in millions.) Cash 1-month T-bills (7.09%) 3-month T-bills (7.29%) 2-year T-notes (7.54%) 8-year T-notes (9.00%) Assets Liabilities and Equity $ 14 Overnight repos $ 185 83 Subordinated debt 83 7-year fixed (8.59%) 54 104 154 5-year munis (floating rate) (8.24% reset every six months) Total 29 Equity $ 367 Total 28 $ 367 a. What is the repricing or funding gap if the planning period is 30 days? 91 days? 2 years? (Recall that cash is a non-interest-earning asset.) b. What is the impact over the next 30 days on net interest income if all interest rates rise by 30 basis points? c. The following one-year runoffs are expected: $14 million for two-year T-notes, $24 million for the eight-year T-notes. What is the one- year repricing gap? d. If runoffs are considered, what is the effect on net interest income at year-end if interest rates rise by 30 basis points? Complete this question by entering your answers in the tabs below. Required A Required B Required C Required D What is the repricing or funding gap if the planning period is 30 days? 91 days? 2 years? (Recall that cash is a non-interest- earning asset.) (Enter your answers in millions. Negative amounts should be indicated by a minus sign.) 30 days 91 days 2 years Repricing Gap million million million < Required A Required B > Use the following information about a hypothetical government security dealer named J.P. Groman. (Market yields are in parentheses; amounts are in millions.) Cash 1-month T-bills (7.09%) 3-month T-bills (7.29%) 2-year T-notes (7.54%) 8-year T-notes (9.00%) Assets Liabilities and Equity $ 14 Overnight repos $ 185 83 Subordinated debt 83 7-year fixed (8.59%) 54 104 154 5-year munis (floating rate) (8.24% reset every six months) Total 29 Equity $ 367 Total 28 $ 367 a. What is the repricing or funding gap if the planning period is 30 days? 91 days? 2 years? (Recall that cash is a non-interest-earning asset.) b. What is the impact over the next 30 days on net interest income if all interest rates rise by 30 basis points? c. The following one-year runoffs are expected: $14 million for two-year T-notes, $24 million for the eight-year T-notes. What is the one- year repricing gap? d. If runoffs are considered, what is the effect on net interest income at year-end if interest rates rise by 30 basis points? Complete this question by entering your answers in the tabs below. Required A Required B Required C Required D What is the repricing or funding gap if the planning period is 30 days? 91 days? 2 years? (Recall that cash is a non-interest- earning asset.) (Enter your answers in millions. Negative amounts should be indicated by a minus sign.) 30 days 91 days 2 years Repricing Gap million million million < Required A Required B >
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