Questions $4$ to $10$ refer to the following information.

Conyers Bank holds U$.$S$.$ Treasury bonds with a book value of $$30$ million and a duration of $11\mathrm{.}25$ years. The U$.$S$.$ Treasury bonds are currently worth $$28,387,500$ and yield $12\%.$ The Bank is currently considering hedging the risk relating to these Treasury bonds by using Treasury bond futures. Treasury bond futures are currently priced at $94\mathrm{.}625$ and have a $$100,000$ par value.

Which of the following statements is TRUE if the bank's portfolio manager wants to shorten asset maturities?

The portfolio manager is willing to sell the bonds outright since they are more valuable than their book value.

The portfolio manager should do nothing.

The portfolio manager is reluctant to sell the bonds outright since the bank will have to take a loss.

The portfolio manager is reluctant to sell the bonds outright since the bank will have to pay taxes on the gain.

The portfolio manager is willing to sell the bonds outright since they are not as valuable as their book value.

Questions $4$ to $10$ refer to the following information.

Conyers Bank holds U$.$S$.$ Treasury bonds with a book value of $$30$ million and a duration of $11\mathrm{.}25$ years. The U$.$S$.$ Treasury bonds are currently worth $$28,387,500$ and yield $12\%.$ The Bank is currently considering hedging the risk relating to these Treasury bonds by using Treasury bond futures. Treasury bond futures are currently priced at $94\mathrm{.}625$ and have a $$100,000$ par value.

What type of risk is the portfolio manager concerned about if she wants to shorten the bank's asset maturity?

foreign exchange risk

interest rate risk

credit risk

operational risk

default risk

Questions $4$ to $10$ refer to the following information.

Conyers Bank holds U$.$S$.$ Treasury bonds with a book value of $$30$ million and a duration of $11\mathrm{.}25$ years. The U$.$S$.$ Treasury bonds are currently worth $$28,387,500$ and yield $12\%.$ The Bank is currently considering hedging the risk relating to these Treasury bonds by using Treasury bond futures. Treasury bond futures are currently priced at $94\mathrm{.}625$ and have a $$100,000$ par value.

What type of risk is the portfolio manager concerned about if she wants to shorten the bank's asset maturity?

foreign exchange risk

interest rate risk

credit risk

operational risk

default risk