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jay1180 · 2022年12月07日

凭感觉做对了但是不是很理解为啥

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NO.PZ202208260100000302

问题如下:

Which of the following statements best contrasts the credit risk of the Baywhite Financial LLC Structured Note with the counterparty credit risk of an investor entering into the embedded exchange-traded derivative on a stand-alone basis?

选项:

A.An investor in the Baywhite Structured Note assumes the credit risk of Baywhite Financial LLC for 20% of the note's face value, as the remaining 80% is principal protected. An investor entering into the SIXV derivative on a stand-alone basis assumes the counterparty credit risk of a financial intermediary. B.An investor in the Baywhite Structured Note assumes the credit risk of Baywhite Financial LLC for 80% of the note's face value, as the remaining 20% is associated with the embedded derivative. An investor entering into the SIXV derivative on a stand-alone basis assumes the counterparty credit risk of a financial intermediary. C.An investor in the Baywhite Structured Note assumes the credit risk of Baywhite Financial LLC for 100% of the note's face value, while an investor entering into the SIXV derivative on a stand-alone basis assumes the counterparty credit risk of an exchange and its clearinghouse.

解释:

Solution

C is correct.

The investor assumes the credit risk of Baywhite Financial LLC for the full value of the structured note as the structured note issuer. Under the purchased exchange-traded SIXV call option, the investor faces the risk of the exchange and its clearinghouse, which provides a guarantee of contract settlement backed by the exchange insurance fund.

三个选项都分析下好么,谢谢~

1 个答案

Lucky_品职助教 · 2022年12月09日

嗨,努力学习的PZer你好:


以下哪项陈述最能将Baywhite Financial LLC结构性票据的信用风险与投资者独立参与嵌入式交易所交易衍生工具的交易对手信用风险进行对比?


选项:


A、 Baywhite结构性债券的投资者承担Baywhite Financial LLC债券面值的20%的信用风险,因为剩余的80%受到本金保护。投资者独立参与嵌入式交易所交易衍生工具,承担金融中介的交易对手信用风险。


B、 Baywhite结构性债券的投资者承担Baywhite Financial LLC债券面值80%的信用风险,因为剩余20%与嵌入衍生工具有关。投资者独立参与嵌入式交易所交易衍生工具,承担金融中介的交易对手信用风险。


C、 Baywhite结构性票据的投资者承担Baywhite Financial LLC票据面值100%的信用风险,而独立参与嵌入式交易所交易衍生工具的投资者承担交易所及其清算所的交易对手信用风险。


C是正确的。


投资者承担Baywhite Financial LLC作为结构性票据发行人的结构性票据的全部价值的信用风险,即100%。

购买交易所交易的看涨期权,投资者面临交易所及其清算所的风险,清算所提供了由交易所保险基金支持的合同结算担保。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

Frances · 2024年09月15日

感觉A是对的啊

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