ACI
3I0-012 · Question #187
When considering interest rate risk in the banking book, retail demand deposits without fixed contractual maturity:
The correct answer is C. should be assumed to have a low correlation with money market reference rates. See the full explanation below for the reasoning.
Question
When considering interest rate risk in the banking book, retail demand deposits without fixed contractual maturity:
Options
- Ashould be assumed to have zero duration
- Bshould be treated like other instantly variable rate liabilities, such as overnight money market borrowing.
- Cshould be assumed to have a low correlation with money market reference rates
- Drepresent a minor contributor to interest rate risk and can safely be disregarded
How the community answered
(57 responses)- A4% (2)
- B12% (7)
- C79% (45)
- D5% (3)
Community Discussion
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