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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.