medium · FRM Part 2 Liquidity & Treasury Risk
A bank funds a portfolio of 10-year fixed-rate mortgages primarily with 3-month wholesale certificates of deposit (CDs).
Which lens of Interest Rate Risk in the Banking Book (IRRBB) would show a significant loss if interest rates rise by 200 basis points?
- Economic Value of Equity (EVE)
- Net Asset Value (NAV) of the trading book.
- Net Interest Income (NII) over 12 months.
- Liquidity Coverage Ratio (LCR).
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