NO.PZ202208260100000302
问题如下：
Which of the following statements best contrasts the credit risk of the Baywhite Financial LLC Structured Note with the counterparty credit risk of an investor entering into the embedded exchange-traded derivative on a stand-alone basis?选项：
A.An investor in the Baywhite Structured Note assumes the credit risk of Baywhite Financial LLC for 20% of the note's face value, as the remaining 80% is principal protected. An investor entering into the SIXV derivative on a stand-alone basis assumes the counterparty credit risk of a financial intermediary. B.An investor in the Baywhite Structured Note assumes the credit risk of Baywhite Financial LLC for 80% of the note's face value, as the remaining 20% is associated with the embedded derivative. An investor entering into the SIXV derivative on a stand-alone basis assumes the counterparty credit risk of a financial intermediary. C.An investor in the Baywhite Structured Note assumes the credit risk of Baywhite Financial LLC for 100% of the note's face value, while an investor entering into the SIXV derivative on a stand-alone basis assumes the counterparty credit risk of an exchange and its clearinghouse.解释：
Solution
C is correct.
The investor assumes the credit risk of Baywhite Financial LLC for the full value of the structured note as the structured note issuer. Under the purchased exchange-traded SIXV call option, the investor faces the risk of the exchange and its clearinghouse, which provides a guarantee of contract settlement backed by the exchange insurance fund.
中文解析：
题干问的是：以下哪一项陈述最好地对比了Baywhite Financial LLC结构性票据的信用风险与独立进入嵌入式（ stand-alone basis）交易所交易衍生品的投资者的交易对手信用风险?
对于投资者来说购买该结构化票据相当于购买了一个中期债note和一个看涨期权。
注意本题问的是对于中期债这部分，有可能所有的本金都收不回来，会面临着100%的信用风险；
而作为long call的一方，也是会面临着信用风险的。
注意虽然题干中80%的本金是受保护的，也就是说这部分的本金是对方答应到期会给我们的，但是这并不影响由于各种原因对手当在到期时无法支付，因此也是面临着信用风险的。
怎么得出的答案？
