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jay1180 · 2022年12月07日

好像看懂了又好像没懂。。。

* 问题详情,请 查看题干

NO.PZ202208260100000301

问题如下:

Which of the following statements best describes the derivative instrument that is embedded in the Baywhite Financial LLC Structured Note?

选项:

A.The Structured Note has an embedded long futures contract with the S&P 500 Health Care Select Sector Index (SIXV) as an underlying. B.The Structured Note has an embedded long call option contract with the S&P 500 Health Care Select Sector Index (SIXV) as an underlying. C.The Structured Note has an embedded short put option contract with the S&P 500 Health Care Select Sector Index (SIXV) as an underlying.

解释:

Solution

B is correct.

The Structured Note is linked to the performance of the S&P 500 Health Care Select Sector Index (SIXV). Note that the SIXV derivative is similar to that in the earlier SCSI CSI 300 example. The "Additional Amount" paid at maturity is equal to the greater of 100% of the returns on the S&P 500 Health Care Select Sector Index (SIXV) in excess of 5% above the current spot price of the SIXV or zero. This payoff profile [Max (0, ST – X)] is identical to that of a purchased six-month SIXV call option with an exercise price (X) at 5% above today's SIXV spot price.

中文解析:

本题考察的是结构化票据。

先分析题干中的这个合约:

这个中期债(notes)本金的80%是被保护的,并且这个债的收益是和指数SIXV挂钩的。

面值是1000,发行价格是1020(面值的102%)。

在到期的时候,将收到800+additional amount。

其中这个additional amount的计算是:max(0,SIXV的收益-5%)。

根据这一点可以看到这个中期债的收益是类似一个看涨期权的。同时这也可以进一步来理解这个中期债的涉及特点,发行价是1020,但是只有800的本金是受保护的,那么剩下的220就相当于买看涨期权需要支付的期权费了。

这是可以从合约中读取的信息。

根据对上面合约信息的解读,可以这到这个结构化票据内嵌的是一个看涨期权,标的为SIXV。

是说图片里面是个给投资者看的债券募集说明书,意思是认购后,到期时保本80%face value,剩下的随缘。

把没被cover的220认为是premium。。

1 个答案

Lucky_品职助教 · 2022年12月08日

嗨,从没放弃的小努力你好:


请问同学具体是哪里不懂呢?

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加油吧,让我们一起遇见更好的自己!

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NO.PZ202208260100000301 问题如下 Whiof the following statements best scribes the rivative instrument this embeein the Baywhite FinanciLLC StructureNote? A.The StructureNote hembeelong futures contrawith the S P 500 Health Care SeleSector Inx (SIXV) unrlying. B.The StructureNote hembeelong call option contrawith the S P 500 Health Care SeleSector Inx (SIXV) unrlying. C.The StructureNote hembeeshort put option contrawith the S P 500 Health Care SeleSector Inx (SIXV) unrlying. SolutionB is correct. The StructureNote is linketo the performanof the S P 500 Health Care SeleSector Inx (SIXV). Note ththe SIXV rivative is similto thin the earlier SCSI CSI 300 example. The \"AitionAmount\" paimaturity is equto the greater of 100% of the returns on the S P 500 Health Care SeleSector Inx (SIXV) in excess of 5% above the current spot priof the SIXV or zero. This payoff profile [M(0, ST – X)] is inticto thof a purchasesix-month SIXV call option with exercise pri(X) 5% above toy's SIXV spot price. 中文解析本题考察的是结构化票据。先分析题干中的这个合约这个中期债(notes)本金的80%是被保护的,并且这个债的收益是和指数SIXV挂钩的。面值是1000,发行价格是1020(面值的102%)。在到期的时候,将收到800+aitionamount。其中这个aitionamount的计算是max(0,SIXV的收益-5%)。根据这一点可以看到这个中期债的收益是类似一个看涨期权的。同时这也可以进一步来理解这个中期债的涉及特点,发行价是1020,但是只有800的本金是受保护的,那么剩下的220就相当于买看涨期权需要支付的期权费了。这是可以从合约中读取的信息。根据对上面合约信息的解读,可以这到这个结构化票据内嵌的是一个看涨期权,标的为SIXV。 RT

2022-12-07 15:32 1 · 回答