We assume that the balance sheet has no liability of equal size and maturity (or duration) as

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We assume that the balance sheet has no liability of equal size and maturity (or duration)

as the CD. If the FI has such a liability, any loss in value from the CD could be offset with an equivalent decrease in value from the liability. In this case, there is no interest rate risk exposure and thus there is no need to hedge.

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Financial Markets And Institutions

ISBN: 9781259919718

7th Edition

Authors: Anthony Saunders, Marcia Cornett

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