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

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 T-notes (7.50%) 50 8-year T-notes (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

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 T-notes and $20 million for eight-year T-notes. What is the one-year repric- ing 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? LO.1