a) Briefly explain why the participation rate set by X Ash A-12 at the issuance would have been related to the two call option prices written on the S&P 500 index then:

i) call option with a strike price of 2250 and

ii) call option with a strike price of 3000.

Question 5 (11 marks) Consider a structured note with the following terms: Issuer Notional Issue Date Maturity Date Coupon Date Coupon Coupon Rate Index Rate Final Index Level Initial Index Level Participation Rate Final Redemption Date Final Redemption Amount X Ash A-12 USD 1,000,000 31 December 2018 31 December 2023 Maturity Date Notional x Coupon Rate x Participation Rate Min(Max(-10%,Index Rate),20%) (Final Index Level / Initial Index Level) - 1 S&P 500 index level at maturity 2500 60% Maturity Date Notional + Coupon Question 5 (11 marks) Consider a structured note with the following terms: Issuer Notional Issue Date Maturity Date Coupon Date Coupon Coupon Rate Index Rate Final Index Level Initial Index Level Participation Rate Final Redemption Date Final Redemption Amount X Ash A-12 USD 1,000,000 31 December 2018 31 December 2023 Maturity Date Notional x Coupon Rate x Participation Rate Min(Max(-10%,Index Rate),20%) (Final Index Level / Initial Index Level) - 1 S&P 500 index level at maturity 2500 60% Maturity Date Notional + Coupon