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jay1180 · 2022年12月07日

没看懂解答。。。

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NO.PZ202208260100000304

问题如下:

Which of the following statements best describes how an investor should evaluate the terms of the Baywhite Financial LLC Structured Note as compared with the stand-alone derivative price in order to make a recommendation?

选项:

A.The Baywhite Financial LLC Structured Note issuance price of 2% above par value should be compared with the upfront premium for a six-month SIXV call option with an exercise price at 5% above the current SIXV spot price. B.The Baywhite Financial LLC Structured Note 20% Principal at Risk should be compared with the upfront premium for a six-month SIXV call option with an exercise price at 5% above the current SIXV spot price. C.The Baywhite Financial LLC Structured Note issuance price of 2% above par value plus the 20% Principal at Risk should be compared with the upfront premium for a six-month SIXV call option with an exercise price at 5% above the current SIXV spot price.

解释:

Solution

C is correct. The 20% Principal at Risk, or USD200 of Face Value for each USD1,000 (the minimum denomination), combined with the 2% (or USD20) issue premium, should be compared with the upfront premium for a six-month SIXV call option with an exercise price at 5% above the current SIXV spot price. The comparison should also consider the additional credit risk and liquidity risk of the Structured Note versus the exchange-traded option.

麻烦老师讲一下题目和选项。。谢谢。。

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:


以下哪项陈述最能说明投资者应如何评估Baywhite Financial LLC结构性票据的条款,与独立衍生工具价格进行比较,以便提出建议?


A、 Baywhite Financial LLC结构性票据发行价格比票面价值高2%,应与六个月SIXV看涨期权的前期溢价进行比较,其中行权价格比当前SIXV现货价格高5%。


B、 Baywhite Financial LLC结构性票据20%的风险本金应与六个月的SIXV看涨期权的前期溢价进行比较,行权价格为当前SIXV现货价格的5%。


C、 Baywhite Financial LLC结构性票据发行价格高于票面价值2%,加上20%的风险本金,应与六个月期SIXV看涨期权的前期溢价进行比较,行权价格高于当前SIXV现货价格5%。


C是正确的。20%的风险本金,或每1000美元(最小面额)的票面价值200美元,加上2%(或20美元)的发行溢价,应与六个月的SIXV看涨期权的前期溢价进行比较,行权价格为当前SIXV现货价格的5%。该比较还应考虑结构性票据与交易所交易期权的额外信用风险和流动性风险。

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努力的时光都是限量版,加油!

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