Use the following information about a hypothetical government security dealer named J. P. Mersal Citover to answer parts (a) through (e). (Market yields are in parentheses.) J. P. Mersal Citover (in millions of dollars) Assets Liabilities Cash $10 Overnight interbank borrowing (7.00%) $170 T-notes: 30-day (7.05%) 75 Subordinated debt: T-notes: 91-day (7.25%) 75 T-bonds: two-year (7.50%) 50 Seven-year, fixed at (8.55%) 150 Equity 15 T-bonds: 10-year (8.96%) 100 Corporate bonds: 25 (a) (b) 5-year quarterly floating rate (8.20%) What is the repricing or funding gap if the planning period is 30 days? 91 days? Two years? (Recall that cash is a non-interest earning asset.) What is the impact over the next 30 days on net interest income if all interest rates rise by 50 basis points? (c) If the duration of assets is 3.41 years and the duration of liabilities is 3.5 years, what is J. P. Mersal Citover's duration gap? (d) (e) What conclusions regarding J. P. Mersal Citover's interest rate risk exposure can you draw from the duration gap in your answer to part (c)? From the repricing or funding gap (30 days' planning period) in your answer to part (a)? Approximately how will the market value of the Treasury note portfolio change if all interest rates increase by 50 basis points?