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:

ASSETS	NOMINAL VALUE	LIABILITIES	NOMINAL VALUE
CORPORATE LOANS DUE IN 7.5 YEARS	$790	CERTIFICATES OF DEPOSIT DUE IN 1.5 YEARS	$650
		EQUITY	$140

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

Answer:

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3. Consider a bank with the following balance sheet:

ASSETS	VALUE	DURATION	LIABILITIES	VALUE	DURATION
Cash	$10,000	0	4-yr Bond @ LIBOR	$3,000	1
5-yr Loan @ 5%	5,000	3	3-yr Bond @ 5%	5,000	2
4-yr Loan @ 6%	5,000	2	6-yr Bond @ 6%	2,000	5

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

Answer: