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。
RT
