Question

Use the following information about a hypothetical government security dealer named J.P. Groman. (Market yields are in parentheses; amounts are in millions.) Liabilities and Equity $225 Assets Cash S 26 Overnight repos 107 Subordinated debt 1-month T-bills (7.21%) 3-month T-bills (7.41%) 2-year T-notes (7.66%) 8-year T-notes (9.1 2%) 5-year munis (floating rate) (8.36% reset every six month) 107 7-year fixed (8.71%) 166 116 41 Equity 72 Total $463 Total $463 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 20 basis points? (Input the amount as a positive value.) Net interest income will (Click to select) by $ c. The following one-year runoffs are expected: $15 million for two-year T-notes, $25 million for the eight year T-notes. What is the one-year repricing gap? (Enter your answer in millions.) One-year repricing gap million d. If runoffs are considered, what is the effect on net interest income at year-end if interest rates rise by 20 basis points? (Input the amount as a positive value.) Net interest income will (Click to select) by $

Answer 1

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Home ert Page Layout Formulas Data Review V Add-Ins 義Cut Σ AutoSum , ta copy." Fill в 1 프 .-. h. Α. ǐEE론困Merge & Center. $, % , conditional Format . Cell- Formatting ▼ as Table-styles ▼ Insert Delete Format Paste Sort &Find & Ξ Format Painter 袖 2 Clear , Filter Select ▼ ▼ ▼ Clipboard Font Cells dting Alignment FE49 FC FD FE FG FH FI FK FL FM FN FO FP 31 OR REPRICING GAP 32 FUNDING GAP RSA RSL 34 118 [107-225] 35 30 DAYS 1 MONTH T BILL-OVERNIGHT REPOS 36 91 DAYS 1 MONTH AND 3 MONTH T BILL-OVERNIGHT REPOS 11 [107 +107-225] 37 96 (107 +107 +66 +41-225] 2 YEARS 1 MONTH, 3 MONTH AND 2 YEARTNOTES WITH MUNIS - OVERNIGHT REPOS 38 39 INTEREST RATE RISES BY 20 BASIS POINTS OVER NEXT 30 DAYS 40 REPRICING GAP OF 30 DAYS X BASIS POINTS 118*0.002 -0.236 NET INTEREST INCOME WILL DECREASE BY $236000 42 43 ONE YEAR REPRICING GAP [107 +107 +15 +25 +41-225] 70 45 46 EFFECT ON NI 70 X 0.002- 0.14 47 NET INTEREST INCOME WILL INCREASE BY $140000 48 49 AFN BANKING NOTE BIDDING, UNDERWRITING EUACAN PM LIFE L I MR INFLATION YIELD WARRANT efund bond CLEAN INVOICE PRICE Sheet1 Sheet3 . Sheet4 4 erences: FW49 17-05-2019