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jay1180 · 2022年12月07日

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问题如下:

Which of the following statements most accurately describes the liquidity of the Baywhite Structured Note versus that of the embedded exchange-traded derivative?

选项:

A.The Baywhite Structured Note is likely to be more liquid than the stand-alone SIXV call option, as the Note has 80% principal protection while an investor in the stand-alone derivative may lose the entire option premium if it expires worthless at maturity. B.The Baywhite Structured Note is likely to be more liquid than the stand-alone SIXV call option, as the Note is priced at a stated 2% premium above par while an investor in the stand-alone derivative faces the lack of transparency as well as basis, liquidity, and counterparty credit risks associated with derivative transactions. C.Structured notes such as the Baywhite Financial LLC Structured Note often involve greater cost, lower liquidity, and less transparency than an equivalent stand-alone derivative instrument, while the exchange-traded SIXV derivative contract is standardized and trades in a liquid, transparent market.

解释:

Solution

C is correct.

The Structured Note is likely to be far less liquid than the stand-alone SIXV call option, which is traded on a derivatives exchange. Recall from an earlier lesson that exchange-traded contracts are more formal and standardized, which facilitates a more liquid and transparent market. Note also that the Baywhite Financial LLC Structured Note is issued at 102% of face value, suggesting that an investor will likely forgo this premium if selling the note prior to maturity.

老师帮忙分析下三个选项好么,感谢

1 个答案

Lucky_品职助教 · 2022年12月09日

嗨,从没放弃的小努力你好:


以下哪项陈述最准确地描述了Baywhite结构性票据与嵌入式交易所交易衍生工具的流动性?


选项:


A、 Baywhite结构性票据可能比嵌入式交易所交易衍生工具更具流动性,因为该票据具有80%的本金保护,而独立衍生工具的投资者如果到期无价值,可能会损失全部期权溢价。


B、 Baywhite结构性票据的流动性可能比嵌入式交易所交易衍生工具更高,因为该票据的定价高于票面价值2%,而独立衍生工具的投资者面临缺乏透明度以及与衍生交易相关的基础、流动性和交易对手信用风险。


C、 与同等的独立衍生工具相比,Baywhite Financial LLC结构性票据等结构性票据通常涉及更高的成本、更低的流动性和更低的透明度,而交易所交易的SISV衍生工具合同是标准化的,在流动性透明的市场中交易。


C是正确的。


结构性票据的流动性可能远低于在衍生品交易所交易的独立SISV看涨期权。交易所交易的合同更加正式和标准化,这有助于建立一个更具流动性和透明度的市场。还要注意的是,Baywhite Financial LLC结构性票据以票面价值的102%发行,这表明如果在到期前出售该票据,投资者可能会放弃该溢价。

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努力的时光都是限量版,加油!

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