The market value of liabilities is $320 million and the present value of assets is $300 million. If the modified duration of liabilities is 2.5, and the modified duration of assets is 2.

Question 5

What are the funding gap and the funding gap ratio?

Question 6

The funding gap interest-rate risk is closest to

Question 6 options:

	$3,000,000
	$2,000,000
	-$2,000,000

Question 7

Assuming everything else unchanged, instead of 2, the duration of assets for the portfolio to be immunized against interest-rate risk should be closest to

Question 7 options:

	2.67
	3.50
	2.50