Suppose that ABS A pays a floating rate of interest equal to LIBOR plus 20 basis points to its bondholders. The ABS is backed by collateral paying a 3.5% fixed rate of interest. Suppose further that ABS B pays a fixed rate of interest of 3% to its bondholders and is backed by collateral paying LIBOR + 80 basis points Which of the following describes the risk faced by ABS B?

A. If LIBOR falls below 3.3%, ABS B loses money.

B. ABS B needs to find a fixed rate liability to offset its fixed rate asset.

C. If LIBOR falls below 2.2%, ABS B loses money.

D. If LIBOR rises above 2.2%, ABS B loses money.

E. None of the other answers are correct.