What type of risk the bank is facing?

The bank faces interest rate risk. In the case of borrowing from the depositor, it faces the risk that interest rates will fall below 4% (where it could have borrowed below 4%). In the case of the purchase of the treasuries, it faces the risk interest rates will rise - decreasing the value of its bond holdings. The risks are valid because the bank has "hedged" it borrowing (at 4%) with its investing (at 8%) for at least the first year. In the second year, if interest rates rise, it will have to "borrow" at a higher rate at the same time that its bond is worth less (because interest rates have risen). With a 1-2% rate increase, the bank will still have a "spread" between the rate at which it borrows and the rate of return on the bond.