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The following information is about a hypothetical government security dealer named M.P. Jorgan. Market yields...

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Finance

The following information is about a hypothetical government security dealer named M.P. Jorgan. Market yields are in parenthesis, and amounts are in millions.

Assets Liabilities and Equity

Cash $20 Overnight repos $210

1-month T-bills (7.05%) 80 3 month CD 70

3-month T-bills (7.25%) 95 7-year fixed rate (8.55%) 260

2-year T-notes (7.50%) 100 Subordinated debt

8-year T-notes (8.96%) 200

5-year munis (floating rate)

(8.20% reset every 6 months) 105 Equity 60

Total assets $600 Total liabilities & equity $600

Question: The following one-year runoffs are expected: $10 million for two-year T-notes and $20 million for eight-year T-notes. What is the one-year repricing gap?

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