After Conducting a Rate-Sensitive Analysis,a Bank Finds Itself with the Following

question 6

Multiple Choice

After conducting a rate-sensitive analysis,a bank finds itself with the following amounts of rate-sensitive assets and liabilities (RSAs and RSL) and fixed-rate assets and liabilities (FRAs and FRLs) ; the rate of return and cost rates on the accounts are also given: If we were to design a macrohedge,which of the following positions would help reduce the bank's interest rate risk?
I. Long position in bond futures contracts
II. Buying put options on bonds
III. Purchasing an interest rate cap

• A)I only
• B)II only
• C)III only
• D)I and III only
• E)II and III only

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