total return swap

问题如下：

Which of Kreutz’s statements is least likely correct?

选项：

A.

Statement 1

B.

Statement 2

C.

Statement 3

解释：

Correct Answer: B

A protective put strategy is implemented by holding the shares and buying an ATM put to cover downside risk. The protective put does not generate any fixed return on the portfolio. Hence, Statement 2 is incorrect.

A total return swap is a derivative contract in which one party agrees to pay (receive) all cash flows based on an underlying to receive (pay) fixed/floating interest rate from the other party. Statement 1 is correct.

An interest rate swap is an OTC contract between two parties to exchange cash flows on specified payment dates based on floating vs. fixed interest rates. Statement 3 is also correct.