NO.PZ2024062801000052
问题如下：
Paul Saunders, a risk manager and member of the asset-liability committee (ALCO) at National Bank and Trust, is considering strategies to hedge the bank’s net interest margin (NIM) against expected increasing interest rates. The bank currently has negative cumulative interest-sensitive (IS) gap positions over the one-month, one- quarter, and one-year maturity buckets. Which would be the least effective strategy?
选项：
A.
Selling long-term Treasury bonds and purchasing short-term Treasury bonds.
B.Shifting from a focus on making fixed-rate mortgages to a focus on making variable-rate mortgages.
C.Increasing the volume of overnight funding from the fed funds market and relying less on long-term funding from the Federal Home Loan Bank.
D.Shifting funding from overnight repurchase agreements to five-year retail certificates of deposits.
解释：
银行需要将其资金缺口位置从负值转变为零或正值。在一个利率上升的环境中，由于资金成本的增速超过生息资产收益率，银行的净利息边际（NIM）将会受到挤压。任何能使资产对利率更敏感或使负债对利率不那么敏感的策略都能实现桑德斯的目标。因此，效果最差的策略是转向更短期的资金来源（在利率上升环境下，这将变得更加昂贵），并减少长期资金来源。效果最差的策略是增加来自联邦基金市场的隔夜融资，并缩减来自联邦住房贷款银行的长期融资。
老师好，D选项的两项业务都是nonsensitive的嘛？
