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Supervisors would generally consider interest rate risk exposure in the banking book excessive beginning at...

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Supervisors would generally consider interest rate risk exposure in the banking book excessive beginning at what level of losses given a +1- 200 bps market rate movement?

A.

> 2% of 6 months forward earnings

B.

> 20% of regulatory capital

C.

<10% of regulatory capital

D.

< 5% of 12 months forward earnings

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