Assuming a one-year horizon, a bank with an equal amount of federal funds sold and 360 day certificates of deposit issued (and no other assets or liabilities) would have a gap of zero.

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Quizplus · Accepted Answer

The gap is a measure of interest rate risk that compares the amounts of assets and liabilities re-pricing within a certain time frame. If a bank has an equal amount of federal funds sold (assets) and certificates of deposit issued (liabilities) both re-pricing within the same time horizon (one year in this case), the gap would be zero, indicating a matched position and no net interest rate exposure.

Assuming a One-Year Horizon, a Bank with an Equal Amount