Conyers Bank Holds Treasury Bonds with a Book Value of $30

Multiple Choice

Conyers Bank holds Treasury bonds with a book value of $30 million. However, the Treasury bonds currently are worth $28,387,500. If the portfolio manager wants to shorten the bank's asset maturity, what type of risk is she concerned about?

A) Credit risk.
B) Foreign exchange rate risk.
C) The risk of rising interest rates.
D) The risk of falling interest rates.
E) Default risk.