SFoyil

interest rate risk, contingent claim risk and cap risk are the risks a manager should be concerned about WITH REGARDS TO PAYMENTS OF LIABILITIES. It does not matter how those liabilities are being financed on the side with assets.
Interest Rate Risk: Rate rises - due to a duration mismatch between assets and liabilties - the liabilties become harder to pay.
Contingent Claim Risk: is a risk when rates fall. MBS and other securities with embedded call options which are present in your liabilties portfolio may require to be paid immediately (due to refinancing).
Cap Risk: When rates rise - an asset that is present in your portfolio to meet liabilites schedules may get capped - and hence your assets are not present in enough quantity to pay your liabilities.