Please answer the following questions correctly. Thank you Refer to the followin
ID: 2805503 • Letter: P
Question
Please answer the following questions correctly. Thank you
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
1. 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
2. Swaptions are
Select one:
a. options on futures
b. options on forwards
c. swaps of options
d. options on swaps
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
1) One year repricing gap = Rate-sensitive assets - Rate sensitive liabilities = 80 - 100 = -20
Hence, e is the correct answer.
2) Swaptions are options on swaps.
Hence, d is correct.