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　　Which of the following hedged positions would be subject to basisrisk?
　　I. A jet-fuel wholesaler expects the priceof jet fuel to fall in one year. The wholesaler therefore establishes a shortposition in a 1-year crude oil contract to offset price declines.
　　II. A jewelry maker is expecting to makelarge monthly purchases of gold in each of the next nine months, but is afraidthe price will rise. The company enters into a long strip hedge using goldfutures.
　　III. A drilling company will have onemillion barrels of crude oil available for sale in August on the east coast. Itis currently February so the company has taken a short 6-month crude oilfutures position on one million barrels for east coast delivery.
　　IV. A grain company must deliver onemillion bushels of corn in six, nine, and twelve months. The company entersinto a short stack hedge using 3-month futures contracts on corn.
　　V. Hedging Spanish natural gas futures fordelivery in Louisiana.
　　a. I, II, and IV.
　　b. II, IV, and V.
　　c. I, IV, and V.
　　d. I, III, and V.
　　答案解析：选c
　　Basis risk occurs when a derivativesinstrument used to hedge a position does not exactly correspond to the positionbeing hedged. Hedging jet-fuel with oil futures and hedging Spanish natural gasfutures for delivery in Louisiana are not perfect hedges and arc thereforesubject to basis risk. Basis risk -an also occur when the maturity of the underlyingposition and the maturity of the derivative used to hedge are significantly different.Stack hedges, in which multiple future liabilities are hedged with a single neat-termfutures contract, are subject to basis risk. Strip hedges match the dates ofthe underlying position and the derivatives positions and, assuming thecommodity in the futures contract matched the commodity to be hedged, are notsubject to basis risk. (See Book 2, Topic 32)
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