A financial institution has the following balance sheet: Assets Liabilities Market value (millions) 120 90 Duration 5 ye

[answerhappygod]

A financial institution has the following balance sheet:
Assets
Liabilities
Market value (millions)
120
90
Duration
5 years
8 years
What interest rate exposure does the institution face and if the
treasury manager decides to hedge this risk using options on T bond
futures, should the manager purchase put or call options?
Select one:
a.
The FI is exposed to rate falls, and the manager should thus
purchase call options
b.
The FI is exposed to rate rises, and the manager should thus
purchase call options
c.
The FI is exposed to rate falls, and the manager should thus
purchase put options
d.
The FI is exposed to rate rises, and the manager should thus
purchase put options