Explanation:

• Option A (Key rate durations) is correct because, for parallel shifts in the benchmark yield curve, key rate durations will indicate the same interest rate sensitivity as effective duration. Key rate durations measure the sensitivity of a bond's price to changes in specific benchmark yields, aligning with the context of the question.

• Option B (Modified duration) is incorrect because modified duration measures interest rate risk in terms of a change in the bond's own yield-to-maturity, not the benchmark yield curve. This makes it unsuitable for the scenario described.

• Option C (Macaulay duration) is also incorrect because Macaulay duration, while related to modified duration, is a measure of the weighted average time to receive cash flows and does not directly address sensitivity to benchmark yield curve changes. It is derived from modified duration and shares the same limitation in this context.