What is interest rate immunization in the context of bank gap management?
Bank XYZ calls you for a quote in EUR/USD for EUR 50,000,000.00. If you decide to quote, which of the following is true?
A euro zone-based bank that is asset-sensitive to market interest rate changes might reduce interest rate risk by:
You buy a 30-day 4% CD with a face value of GBP 20,000,000.00 at par when it is issued. You sell it in the secondary market after 10 days at 4.05%.
What is your holding period yield?