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In my opinion Compliance > audit. Reason being when you are compliance you are typically supporting a line of business, so you get a glimpse of how the business works and how the bank makes money which imo is the interesting part. When you are in audit usually you are reviewing the Compliance teams process and you are one level removed from client facing side of things
Definitely take compliance over audit. Compliance plays a an active supporting role to the business getting involved in new and changed product/services, technology, initiatives etc to ensure compliance whereas audit literally just tests.