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1. Refer to the following for Acme National Bank: 1-YEAR RATE-SENSITIVE ASSETS $

ID: 2598855 • Letter: 1

Question

1. Refer to the following for Acme National Bank:

1-YEAR RATE-SENSITIVE ASSETS

$ 80,000,000

1-YEAR RATE-SENSITIVE LIABILITIES

$100,000,000

TOTAL ASSETS

$160,000,000

TOTAL LIABILTITIES

$145,000,000

What is Acme's one-year repricing gap?

Select one:

a. $80 million

b. $20 million

c. $15 million

d. -$15 million

e. -$20 million

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2. Consider the following balance sheet (in millions of $) for a bank:

What is the bank's duration gap (in years)?

Answer:

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3. Consider a bank with the following balance sheet:

What is the bank's duration gap (in years)?

Answer:

1-YEAR RATE-SENSITIVE ASSETS

$ 80,000,000

1-YEAR RATE-SENSITIVE LIABILITIES

$100,000,000

TOTAL ASSETS

$160,000,000

TOTAL LIABILTITIES

$145,000,000

Explanation / Answer

e. -$20 million Repricing gap = Rate-sensitive assets - Rate-sensitive liabilities Rate-sensitive assets = $80 million Rate-sensitive liabilities = $100 million Repricing gap = $80 million - $100 million = -$20 million