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~