ACI
3I0-012 · Question #33
3I0-012 Question #33: Real Exam Question with Answer & Explanation
The correct answer is B. The risk of an adverse change in the spread between futures and cash prices. See the full explanation below for the reasoning.
Question
Basis risk on a futures contract is:
Options
- AThe risk of an adverse change in the futures price
- BThe risk of an adverse change in the spread between futures and cash prices
- CThe progressive illiquidity of a futures contract as it approaches expiry
- DThe risk of a divergence between the futures price and the final fixing of the underlying interest rate
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