Complete the following sentence. If a bank has an asset repricing in 6 months funded by a liability repriced in 3 months:

Question

Options

• Athe bank would benefit from higher interest rates
• Bthe bank could hedge this interest rate risk with a 3x6 derivative
• Cthe bank will make mark-to-market losses if rates decrease
• Dthe bank could hedge this interest rate risk by selling a 6x9 derivative

• A
  72% (23)
• B
  9% (3)
• C
  3% (1)
• D
  16% (5)

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