Use the following information about a hypothetical government security dealer named M. P. Jorgan. Market yields are in parentheses and amounts are in millions.

a. What is the repricing gap if the planning period is 30 days? 3 months?
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 interest rates increase 50 basis points? Decrease 75 basis points?

c. The following one-year runoffs are expected: $10 million for two-year business loans and $20 million for eight-year mortgage loans. What is the oneyear repricing gap?

d. If runoffs are considered, what is the effect on net interest income at year-end if interest rates increase 50 basis points? Decrease 75 basis points?

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Assets Liabilities and Equity Cash $ 10 Overnight repos $170 1-month T-bills (7.05%) 75 Subordinated debt 150 3-month T-bills (7.25%) 75 7-year fixed rate (8.55%) 2-year business loans (7.50%) 50 8-year mortgage loans (8.96%) 100 5-year munis (floating rate) (8.20% reset every 6 months) 25 Equity 15 Total assets 335 Total liabilities and equity 335