ACI
3I0-012 · Question #43
Which of the following transactions would have the effect of lengthening the average duration of assets in the banking book?
The correct answer is A. buying futures contracts on 30-year German Government bonds. See the full explanation below for the reasoning.
Question
Which of the following transactions would have the effect of lengthening the average duration of assets in the banking book?
Options
- Abuying futures contracts on 30-year German Government bonds
- Bselling futures contracts on 30-year German Government bonds
- Cbuying put options on 30-year German Government bonds
- Dbuying a 3x6 forward rate agreement
How the community answered
(43 responses)- A79% (34)
- B12% (5)
- C5% (2)
- D5% (2)
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