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：
SolutionC 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.
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