Question

1 Approved Answer

Posted on Sep 22, 2024

Information: Question 1: Your employer, an Australian-based investment bank, has issued a Structured Financial Product (SFP) to high net worth investors. You have been requested

image text in transcribed

Information:

Question 1: Your employer, an Australian-based investment bank, has issued a Structured Financial Product (SFP) to high net worth investors. You have been requested to determine the risk exposure to the bank and to hedge the market financial risks associated with the payoff at maturity on the SFP.

You have the following information on this SFP, as well as other information on key financial variables:

The face value of the SFP is USD25,000
The payoff is due in one year
Payoff at maturity is max{USD25,000, [(SP500_T/SP500₀ )x USD25,000]}
SP500_T represents the value of the S&P 500 Index at maturity of the investment product and SP500₀ the value of the S&P 500 Index at inception of the SFP (i.e., the end of June 2020)
USD/AUD represents the US dollar/Australian dollar exchange rate (price of AUD 1 in USD)
The discount rate for this SFP is the yield on the comparable U.S. government bond plus 200 basis points
You have been provided with time series data (as of the end of June 2020, the date you will assume as now/today for undertaking your calculations) in the form of the yield on U.S. government bonds (% p.a.), the USD/AUD exchange rate, and the value of the S&P 500 Index
The Task
A) You are informed that there might be resistances within the management to your risk management activities. What could their argument be and what would be your counter arguments?
B) Your bank is especially concerned about extreme adverse movements associated with the payoff of this SFP. Provide estimates on the potential exposure(s) associated with the payoff at maturity of the SFP.
(Hint 1: the exposure must relate to any amount in excess of USD25,000 in AUD that the investment bank may be required to pay out at maturity and should consider both likely payoffs and the probabilities of these payoffs.)
(Hint 2: you should consider measures such as value-at-risk (VaR) to assist you in determining the exposure(s). You can ignore the time value of money for this part since we are exclusively talking about the payoffs at maturity. Any proper attempts to further assess the extreme risk will be rewarded.)
C) Your macroeconomic team has estimated that the escalation or ending of the ongoing U.S.-China trade war in 6 months would significantly impact this SFP. The escalation would cause the S&P500 index to decline by 10% and the AUD to appreciate against the USD by 5%. The ending would have the opposite effect on the equity and currency markets. Briefly outline the value of the SFP given these two scenarios. Propose another scenario that would significantly impact the SFP.
(Hint 3: keep the quantitative part simple. You should justify your proposed scenario without calculations.)
D) Provide a brief, but critical, evaluation of the limitations and model risks of each of the methods that you have used to develop the estimates in part a) and b).
E) Briefly outline how you would hedge against the market risk exposure(s) associated with the payoff on this structured investment product.
(Hint 4: you should identify the portfolio of simple contracts that you would use to hedge this exposure.)
Please, Answer all parts( A,B,C,D,E) in Question 1 and step by step in very clear way

1 US Government Liabilities Spot Rates (% p.a.) 1 year 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 S&P500 Share Price Index 1191.33 1234.18 1220.33 1228.81 1207.01 1249.48 1248.29 1280.08 1280.66 1294.83 1310.61 1270.09 1270.20 1276.66 1303.82 1335.85 1377.94 1400.63 1418.30 1438.24 1406.82 1420.86 1482.37 1530.62 1503.35 1455.27 1473.99 1526.75 17 18 19 20 30-Jun-05 29-Jul-05 31-Aug-05 30-Sep-05 31-Oct-05 30-Nov-05 30-Dec-05 31-Jan-06 28-Feb-06 31-Mar-06 28-Apr-06 31-May-06 30-Jun-06 31-Jul-06 31-Aug-06 29-Sep-06 31-Oct-06 30-Nov-06 29-Dec-06 31-Jan-07 28-Feb-07 30-Mar-07 30-Apr-07 31-May-07 29-Jun-07 31-Jul-07 31-Aug-07 28-Sep-07 31-Oct-07 30-Nov-07 31-Dec-07 31-Jan-08 29-Feb-08 31-Mar-08 30-Apr-08 30-May-08 30-Jun-08 Exchange Rate (USD/AUD) 0.7625 0.7568 0.7550 0.7612 0.7485 0.7385 0.7336 0.7587 0.7425 0.7163 0.7577 0.7524 0.7423 0.7663 0.7640 0.7465 0.7743 0.7886 0.7893 0.7768 0.7881 0.8086 0.8308 0.8278 0.8488 0.8511 0.8178 0.8874 0.9323 0.8843 0.8759 0.8961 0.9315 0.9128 0.9425 0.9559 0.9580 2 year 3.6660 3.9490 3.9510 4.1270 4.3860 4.3940 4.3670 4.5110 4.7330 4.8360 4.9040 4.9750 5.1920 4.9790 4.8250 4.6620 4.7590 4.6870 4.8000 4.9660 4.6380 4.5870 4.6660 4.8790 4.9540 4.5630 4.1820 3.9590 3.8090 3.0840 3.2500 2.1650 1.7630 1.6420 2.3420 2.6570 2.6080 6 months 3.3400 3.6560 3.7970 3.8860 4.2170 4.3140 4.3430 4.6000 4.7540 4.8260 4.9340 5.0360 5.2590 5.1450 5.1360 5.0030 5.1430 5.1210 5.0990 5.1640 5.1080 5.0680 5.0300 4.9820 4.9350 4.9910 4.2010 4.0540 4.0660 3.2950 3.4050 2.2250 1.9400 1.5240 1.7390 2.0380 2.1520 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 1549.38 1481.14 1468.36 1378.55 1330.63 1322.70 1385.59 1400.38 1280.00 36 37 38 39 2.3700 40 41 42 43 44 45 46 1267.38 1282.83 1166.36 968.75 896.24 903.25 825.88 735.09 797.87 872.81 919.14 919.32 987.48 1020.62 1057.08 2.3630 2.2050 1.5900 1.4340 0.9240 0.3400 0.4880 0.7240 0.5750 0.5040 0.4630 0.4580 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 31-Jul-08 29-Aug-08 30-Sep-08 31-Oct-08 28-Nov-08 31-Dec-08 30-Jan-09 27-Feb-09 31-Mar-09 30-Apr-09 29-May-09 30-Jun-09 31-Jul-09 31-Aug-09 30-Sep-09 30-Oct-09 30-Nov-09 31-Dec-09 29-Jan-10 26-Feb-10 31-Mar-10 30-Apr-10 31-May-10 30-Jun-10 30-Jul-10 31-Aug-10 30-Sep-10 29-Oct-10 30-Nov-10 31-Dec-10 31-Jan-11 28-Feb-11 31-Mar-11 29-Apr-11 31-May-11 30-Jun-11 29-Jul-11 31-Aug-11 30-Sep-11 31-Oct-11 1036.19 1095.63 1115.10 1073.87 1104.49 1169.43 1186.69 1089.41 1030.71 1101.60 1049.33 1141.20 1183.26 1180.55 1257.64 1286.12 1327.22 1325.83 1363.61 1345.20 1320.64 1292.28 1218.89 1131.42 1253.30 0.9419 0.8583 0.7944 0.6679 0.6551 0.7076 0.6352 0.6399 0.6922 0.7252 0.8012 0.8070 0.8354 0.8445 0.8837 0.8994 0.9151 0.8974 0.8847 0.8951 0.9167 0.9247 0.8466 0.8400 0.9042 0.8909 0.9668 0.9837 0.9578 1.0218 0.9967 1.0186 1.0328 1.0968 1.0671 1.0723 1.0995 1.0702 0.9664 1.0537 0.2410 0.4190 0.2900 0.2970 0.3860 0.3840 0.3460 0.3200 0.2950 0.2490 0.2560 0.2210 0.2740 0.2770 0.2360 0.2440 0.2720 0.2010 0.1600 0.1910 0.2060 0.0920 0.1040 0.1170 2.6210 2.3870 1.7680 1.5400 1.1390 0.7450 0.9620 1.1090 0.8510 0.9540 0.9780 1.1170 1.1830 1.0200 1.0040 0.9800 0.7030 1.0840 0.8590 0.8320 1.0670 1.0040 0.8770 0.6010 0.5890 0.4970 0.4380 0.3710 0.5120 0.6530 0.5420 0.7200 0.8010 0.6250 0.4720 0.4620 0.4300 0.2000 0.2630 0.2930 1.9400 1.9760 1.5020 1.2240 0.4780 0.3050 0.3550 0.4730 0.4220 0.3100 0.3000 0.0660 0.2590 0.2440 0.1880 0.1780 0.1370 0.1930 0.1450 0.1850 0.2440 0.2390 0.2330 0.2160 0.2030 0.1930 0.1980 0.1780 0.2130 0.1930 0.1570 0.1570 0.1730 0.1020 0.1020 0.1070 0.1320 0.0460 0.0460 0.0610 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 0.0610 0.0610 0.0810 0.0813 0.1370 0.1400 0.1420 0.1570 0.1470 0.1400 0.1320 0.1620 0.1420 88 89 0.0990 90 91 92 93 94 95 96 97 98 99 100 101 102 103 0.1120 0.1340 0.1065 0.0860 0.0740 30-Nov-11 30-Dec-11 31-Jan-12 29-Feb-12 30-Mar-12 30-Apr-12 31-May-12 29-Jun-12 31-Jul-12 31-Aug-12 28-Sep-12 31-Oct-12 30-Nov-12 31-Dec-12 31-Jan-13 28-Feb-13 29-Mar-13 30-Apr-13 31-May-13 28-Jun-13 31-Jul-13 31-Aug-13 30-Sep-13 31-Oct-13 29-Nov-13 31-Dec-13 31-Jan-14 28-Feb-14 31-Mar-14 30-Apr-14 30-May-14 30-Jun-14 31-Jul-14 29-Aug-14 30-Sep-14 31-Oct-14 28-Nov-14 31-Dec-14 30-Jan-15 27-Feb-15 1246.96 1257.60 1312.41 1365.68 1408.47 1397.91 1310.33 1362.16 1379.32 1406.58 1440.67 1412.16 1416.18 1426.19 1498.11 1514.68 1569.19 1597.57 1630.74 1606.28 1685.73 1632.97 1681.55 1756.54 1805.81 1848.36 1782.59 1859.45 1872.34 1883.95 1923.57 1960.23 1930.67 2003.37 1972.29 2018.05 2067.56 2058.90 1994.99 2104.50 1.0276 1.0228 1.0616 1.0732 1.0346 1.0426 0.9730 1.0240 1.0502 1.0322 1.0379 1.0376 1.0428 1.0395 1.0424 1.0214 1.0419 1.0371 0.9573 0.9138 0.8983 0.8900 0.9317 0.9460 0.9112 0.8918 0.8756 0.8929 0.9265 0.9288 0.9312 0.9432 0.9297 0.9338 0.8746 0.8798 0.8511 0.8170 0.7769 0.7812 0.1140 0.1070 0.1170 0.1629 0.1700 0.1750 0.1900 0.2080 0.1730 0.1730 0.1600 0.1750 0.1700 0.1450 0.1370 0.1520 0.1268 0.1090 0.1320 0.1520 0.1120 0.1200 0.0940 0.0990 0.1220 0.1190 0.1010 0.1040 0.1167 0.1090 0.0960 0.1015 0.1140 0.0964 0.0964 0.1015 0.1269 0.1929 0.1522 0.2031 0.2620 0.2750 0.2150 0.3050 0.3400 0.2620 0.2700 0.3050 0.2270 0.2580 0.2540 0.3010 0.2580 0.2510 0.2660 0.2460 0.2500 0.2070 0.2970 0.3590 0.3170 0.3990 0.3250 0.3170 0.2890 0.3840 0.3470 0.3250 0.4536 0.4420 0.3750 0.4607 0.5590 0.5079 0.5787 0.4772 0.5000 0.6880 0.5237 0.6500 0.1070 0.0740 104 105 106 107 108 109 110 111 112 0.0580 0.0380 0.0810 0.1040 0.0910 0.0610 0.0710 0.0609 0.0460 0.0510 0.0609 113 114 115 0.0610 0.0456 0.0406 0.0558 0.0710 0.1116 0.0659 0.0761 116 117 118 119 120 121 122 0.5944 0.5708 123 124 125 126 127 128 129 130 0.1424 0.0661 0.0712 0.1119 0.1526 0.2188 0.0966 0.2086 0.3718 0.4688 0.4432 0.4585 0.3911 0.3911 0.4725 0.3504 0.3758 0.4777 131 132 133 134 135 136 137 138 139 140 31-Mar-15 30-Apr-15 29-May-15 30-Jun-15 31-Jul-15 31-Aug-15 30-Sep-15 30-Oct-15 30-Nov-15 31-Dec-15 29-Jan-16 29-Feb-16 31-Mar-16 29-Apr-16 31-May-16 30-Jun-16 29-Jul-16 31-Aug-16 30-Sep-16 31-Oct-16 30-Nov-16 31-Dec-16 31-Jan-17 28-Feb-17 31-Mar-17 28-Apr-17 31-May-17 30-Jun-17 31-Jul-17 31-Aug-17 30-Sep-17 31-Oct-17 30-Nov-17 29-Dec-17 31-Jan-18 28-Feb-18 30-Mar-18 30-Apr-18 31-May-18 29-Jun-18 0.7607 0.7904 0.7641 0.7709 0.7305 0.7114 0.7020 0.7140 0.7229 0.7280 0.7085 0.7142 0.7658 0.7603 0.7233 0.7451 0.7597 0.7518 0.7664 0.7610 0.7386 0.7216 0.7585 0.7658 0.7629 0.7489 0.7431 0.7691 0.8003 0.7947 0.4318 2067.89 2085.51 2107.39 2063.11 2103.84 1972.18 1920.03 2079.36 2080.41 2043.94 1940.24 1932.23 2059.74 2065.30 2096.96 2098.86 2173.60 2170.95 2168.27 2126.15 2198.81 2238.83 2278.87 2363.64 2362.72 2384.20 2411.80 2423.41 2470.30 2471.65 2519.36 2575.26 2647.58 2673.61 2823.81 2713.83 2640.87 2648.05 2705.27 2718.37 0.2495 0.2342 0.2546 0.2648 0.3465 0.3721 0.3210 0.3057 0.4795 0.6075 0.4487 0.5716 0.6162 0.5549 0.6776 0.4527 0.5139 0.5957 0.5803 0.6468 0.7697 0.8125 0.7798 0.7798 1.0319 1.0628 1.1554 1.2224 1.2172 1.2274 1.2997 1.4184 1.6047 1.7396 1.8816 2.0747 2.0901 2.2366 2.2101 2.3148 0.6250 0.6407 0.7275 0.7275 0.6486 0.7318 0.9224 1.0792 0.8211 0.7973 0.7646 0.7896 0.9541 0.6250 0.7184 0.7973 0.7421 0.8606 1.0950 1.2181 1.2122 1.2043 1.2897 1.2579 1.2897 1.3692 1.3512 1.3294 1.4548 1.5797 1.7660 1.9071 2.1203 2.2661 2.2741 2.4878 2.4115 2.5161 141 142 0.4878 0.6051 0.6153 0.6408 0.6918 0.9064 0.9729 1.0805 1.1369 1.1316 1.1113 1.1933 1.2806 1.4553 1.5324 1.6664 1.8727 1.9292 2.0118 2.0795 2.1105 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 0.7834 0.7657 0.7567 0.7802 0.8055 0.7762 0.7679 0.7534 0.7569 0.7405 2.6654 2.6492 2.4140 2.4504 2.5765 2.6442 2.6808 2.5857 2.5838 2.1728 2.2711 2.3696 2.4892 0.7429 0.7191 0.7231 0.7074 0.7318 0.7052 0.7273 0.7095 2.8310 2.8426 2.8147 2.5322 2.5242 2.5469 2.5081 2.5254 2.4833 2.4996 2.5152 2.4386 2.4648 2.3919 2.2339 0.7097 0.7049 0.6939 0.7021 2.3956 2.4109 2.3054 2.2982 2.0769 1.9489 1.7449 2.1111 160 31-Jul-18 2816.29 161 31-Aug-18 2901.52 162 28-Sep-18 2913.98 163 31-Oct-18 2711.74 164 30-Nov-18 2760.17 165 31-Dec-18 2506.85 166 31-Jan-19 2704.10 167 28-Feb-19 2784.49 168 29-Mar-19 2834.40 169 30-Apr-19 2945.83 170 31-May-19 2752.06 171 28-Jun-19 2941.76 172 31-Jul-19 2980.38 173 30-Aug-19 2926.46 174 30-Sep-19 2976.74 175 31-Oct-19 3037.56 176 29-Nov-19 3140.98 177 31-Dec-19 3230.78 178 31-Jan-20 3225.52 179 28-Feb-20 2954.22 180 31-Mar-20 2584.59 181 30-Apr-20 2912.43 182 29-May-20 3044.31 183 30-Jun-20 3100.29 184 Souce: Thomson Reuters Datascope Select 0.6845 1.9851 1.8459 2.0796 0.6737 1.5280 1.8830 0.6750 1.7656 1.7730 1.5935 1.5935 1.6280 1.6080 0.6894 0.6765 1.8460 1.6140 1.6244 1.6280 1.5770 1.5840 0.7022 0.6692 0.6510 0.6136 1.4801 1.1743 1.4150 1.0750 0.2260 1.6040 1.5624 1.3149 0.1120 0.1421 0.6511 0.6667 0.1675 0.1777 0.1940 0.1680 0.1268 0.1725 0.6903 0.1624 0.1520 0.1628 1 US Government Liabilities Spot Rates (% p.a.) 1 year 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 S&P500 Share Price Index 1191.33 1234.18 1220.33 1228.81 1207.01 1249.48 1248.29 1280.08 1280.66 1294.83 1310.61 1270.09 1270.20 1276.66 1303.82 1335.85 1377.94 1400.63 1418.30 1438.24 1406.82 1420.86 1482.37 1530.62 1503.35 1455.27 1473.99 1526.75 17 18 19 20 30-Jun-05 29-Jul-05 31-Aug-05 30-Sep-05 31-Oct-05 30-Nov-05 30-Dec-05 31-Jan-06 28-Feb-06 31-Mar-06 28-Apr-06 31-May-06 30-Jun-06 31-Jul-06 31-Aug-06 29-Sep-06 31-Oct-06 30-Nov-06 29-Dec-06 31-Jan-07 28-Feb-07 30-Mar-07 30-Apr-07 31-May-07 29-Jun-07 31-Jul-07 31-Aug-07 28-Sep-07 31-Oct-07 30-Nov-07 31-Dec-07 31-Jan-08 29-Feb-08 31-Mar-08 30-Apr-08 30-May-08 30-Jun-08 Exchange Rate (USD/AUD) 0.7625 0.7568 0.7550 0.7612 0.7485 0.7385 0.7336 0.7587 0.7425 0.7163 0.7577 0.7524 0.7423 0.7663 0.7640 0.7465 0.7743 0.7886 0.7893 0.7768 0.7881 0.8086 0.8308 0.8278 0.8488 0.8511 0.8178 0.8874 0.9323 0.8843 0.8759 0.8961 0.9315 0.9128 0.9425 0.9559 0.9580 2 year 3.6660 3.9490 3.9510 4.1270 4.3860 4.3940 4.3670 4.5110 4.7330 4.8360 4.9040 4.9750 5.1920 4.9790 4.8250 4.6620 4.7590 4.6870 4.8000 4.9660 4.6380 4.5870 4.6660 4.8790 4.9540 4.5630 4.1820 3.9590 3.8090 3.0840 3.2500 2.1650 1.7630 1.6420 2.3420 2.6570 2.6080 6 months 3.3400 3.6560 3.7970 3.8860 4.2170 4.3140 4.3430 4.6000 4.7540 4.8260 4.9340 5.0360 5.2590 5.1450 5.1360 5.0030 5.1430 5.1210 5.0990 5.1640 5.1080 5.0680 5.0300 4.9820 4.9350 4.9910 4.2010 4.0540 4.0660 3.2950 3.4050 2.2250 1.9400 1.5240 1.7390 2.0380 2.1520 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 1549.38 1481.14 1468.36 1378.55 1330.63 1322.70 1385.59 1400.38 1280.00 36 37 38 39 2.3700 40 41 42 43 44 45 46 1267.38 1282.83 1166.36 968.75 896.24 903.25 825.88 735.09 797.87 872.81 919.14 919.32 987.48 1020.62 1057.08 2.3630 2.2050 1.5900 1.4340 0.9240 0.3400 0.4880 0.7240 0.5750 0.5040 0.4630 0.4580 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 31-Jul-08 29-Aug-08 30-Sep-08 31-Oct-08 28-Nov-08 31-Dec-08 30-Jan-09 27-Feb-09 31-Mar-09 30-Apr-09 29-May-09 30-Jun-09 31-Jul-09 31-Aug-09 30-Sep-09 30-Oct-09 30-Nov-09 31-Dec-09 29-Jan-10 26-Feb-10 31-Mar-10 30-Apr-10 31-May-10 30-Jun-10 30-Jul-10 31-Aug-10 30-Sep-10 29-Oct-10 30-Nov-10 31-Dec-10 31-Jan-11 28-Feb-11 31-Mar-11 29-Apr-11 31-May-11 30-Jun-11 29-Jul-11 31-Aug-11 30-Sep-11 31-Oct-11 1036.19 1095.63 1115.10 1073.87 1104.49 1169.43 1186.69 1089.41 1030.71 1101.60 1049.33 1141.20 1183.26 1180.55 1257.64 1286.12 1327.22 1325.83 1363.61 1345.20 1320.64 1292.28 1218.89 1131.42 1253.30 0.9419 0.8583 0.7944 0.6679 0.6551 0.7076 0.6352 0.6399 0.6922 0.7252 0.8012 0.8070 0.8354 0.8445 0.8837 0.8994 0.9151 0.8974 0.8847 0.8951 0.9167 0.9247 0.8466 0.8400 0.9042 0.8909 0.9668 0.9837 0.9578 1.0218 0.9967 1.0186 1.0328 1.0968 1.0671 1.0723 1.0995 1.0702 0.9664 1.0537 0.2410 0.4190 0.2900 0.2970 0.3860 0.3840 0.3460 0.3200 0.2950 0.2490 0.2560 0.2210 0.2740 0.2770 0.2360 0.2440 0.2720 0.2010 0.1600 0.1910 0.2060 0.0920 0.1040 0.1170 2.6210 2.3870 1.7680 1.5400 1.1390 0.7450 0.9620 1.1090 0.8510 0.9540 0.9780 1.1170 1.1830 1.0200 1.0040 0.9800 0.7030 1.0840 0.8590 0.8320 1.0670 1.0040 0.8770 0.6010 0.5890 0.4970 0.4380 0.3710 0.5120 0.6530 0.5420 0.7200 0.8010 0.6250 0.4720 0.4620 0.4300 0.2000 0.2630 0.2930 1.9400 1.9760 1.5020 1.2240 0.4780 0.3050 0.3550 0.4730 0.4220 0.3100 0.3000 0.0660 0.2590 0.2440 0.1880 0.1780 0.1370 0.1930 0.1450 0.1850 0.2440 0.2390 0.2330 0.2160 0.2030 0.1930 0.1980 0.1780 0.2130 0.1930 0.1570 0.1570 0.1730 0.1020 0.1020 0.1070 0.1320 0.0460 0.0460 0.0610 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 0.0610 0.0610 0.0810 0.0813 0.1370 0.1400 0.1420 0.1570 0.1470 0.1400 0.1320 0.1620 0.1420 88 89 0.0990 90 91 92 93 94 95 96 97 98 99 100 101 102 103 0.1120 0.1340 0.1065 0.0860 0.0740 30-Nov-11 30-Dec-11 31-Jan-12 29-Feb-12 30-Mar-12 30-Apr-12 31-May-12 29-Jun-12 31-Jul-12 31-Aug-12 28-Sep-12 31-Oct-12 30-Nov-12 31-Dec-12 31-Jan-13 28-Feb-13 29-Mar-13 30-Apr-13 31-May-13 28-Jun-13 31-Jul-13 31-Aug-13 30-Sep-13 31-Oct-13 29-Nov-13 31-Dec-13 31-Jan-14 28-Feb-14 31-Mar-14 30-Apr-14 30-May-14 30-Jun-14 31-Jul-14 29-Aug-14 30-Sep-14 31-Oct-14 28-Nov-14 31-Dec-14 30-Jan-15 27-Feb-15 1246.96 1257.60 1312.41 1365.68 1408.47 1397.91 1310.33 1362.16 1379.32 1406.58 1440.67 1412.16 1416.18 1426.19 1498.11 1514.68 1569.19 1597.57 1630.74 1606.28 1685.73 1632.97 1681.55 1756.54 1805.81 1848.36 1782.59 1859.45 1872.34 1883.95 1923.57 1960.23 1930.67 2003.37 1972.29 2018.05 2067.56 2058.90 1994.99 2104.50 1.0276 1.0228 1.0616 1.0732 1.0346 1.0426 0.9730 1.0240 1.0502 1.0322 1.0379 1.0376 1.0428 1.0395 1.0424 1.0214 1.0419 1.0371 0.9573 0.9138 0.8983 0.8900 0.9317 0.9460 0.9112 0.8918 0.8756 0.8929 0.9265 0.9288 0.9312 0.9432 0.9297 0.9338 0.8746 0.8798 0.8511 0.8170 0.7769 0.7812 0.1140 0.1070 0.1170 0.1629 0.1700 0.1750 0.1900 0.2080 0.1730 0.1730 0.1600 0.1750 0.1700 0.1450 0.1370 0.1520 0.1268 0.1090 0.1320 0.1520 0.1120 0.1200 0.0940 0.0990 0.1220 0.1190 0.1010 0.1040 0.1167 0.1090 0.0960 0.1015 0.1140 0.0964 0.0964 0.1015 0.1269 0.1929 0.1522 0.2031 0.2620 0.2750 0.2150 0.3050 0.3400 0.2620 0.2700 0.3050 0.2270 0.2580 0.2540 0.3010 0.2580 0.2510 0.2660 0.2460 0.2500 0.2070 0.2970 0.3590 0.3170 0.3990 0.3250 0.3170 0.2890 0.3840 0.3470 0.3250 0.4536 0.4420 0.3750 0.4607 0.5590 0.5079 0.5787 0.4772 0.5000 0.6880 0.5237 0.6500 0.1070 0.0740 104 105 106 107 108 109 110 111 112 0.0580 0.0380 0.0810 0.1040 0.0910 0.0610 0.0710 0.0609 0.0460 0.0510 0.0609 113 114 115 0.0610 0.0456 0.0406 0.0558 0.0710 0.1116 0.0659 0.0761 116 117 118 119 120 121 122 0.5944 0.5708 123 124 125 126 127 128 129 130 0.1424 0.0661 0.0712 0.1119 0.1526 0.2188 0.0966 0.2086 0.3718 0.4688 0.4432 0.4585 0.3911 0.3911 0.4725 0.3504 0.3758 0.4777 131 132 133 134 135 136 137 138 139 140 31-Mar-15 30-Apr-15 29-May-15 30-Jun-15 31-Jul-15 31-Aug-15 30-Sep-15 30-Oct-15 30-Nov-15 31-Dec-15 29-Jan-16 29-Feb-16 31-Mar-16 29-Apr-16 31-May-16 30-Jun-16 29-Jul-16 31-Aug-16 30-Sep-16 31-Oct-16 30-Nov-16 31-Dec-16 31-Jan-17 28-Feb-17 31-Mar-17 28-Apr-17 31-May-17 30-Jun-17 31-Jul-17 31-Aug-17 30-Sep-17 31-Oct-17 30-Nov-17 29-Dec-17 31-Jan-18 28-Feb-18 30-Mar-18 30-Apr-18 31-May-18 29-Jun-18 0.7607 0.7904 0.7641 0.7709 0.7305 0.7114 0.7020 0.7140 0.7229 0.7280 0.7085 0.7142 0.7658 0.7603 0.7233 0.7451 0.7597 0.7518 0.7664 0.7610 0.7386 0.7216 0.7585 0.7658 0.7629 0.7489 0.7431 0.7691 0.8003 0.7947 0.4318 2067.89 2085.51 2107.39 2063.11 2103.84 1972.18 1920.03 2079.36 2080.41 2043.94 1940.24 1932.23 2059.74 2065.30 2096.96 2098.86 2173.60 2170.95 2168.27 2126.15 2198.81 2238.83 2278.87 2363.64 2362.72 2384.20 2411.80 2423.41 2470.30 2471.65 2519.36 2575.26 2647.58 2673.61 2823.81 2713.83 2640.87 2648.05 2705.27 2718.37 0.2495 0.2342 0.2546 0.2648 0.3465 0.3721 0.3210 0.3057 0.4795 0.6075 0.4487 0.5716 0.6162 0.5549 0.6776 0.4527 0.5139 0.5957 0.5803 0.6468 0.7697 0.8125 0.7798 0.7798 1.0319 1.0628 1.1554 1.2224 1.2172 1.2274 1.2997 1.4184 1.6047 1.7396 1.8816 2.0747 2.0901 2.2366 2.2101 2.3148 0.6250 0.6407 0.7275 0.7275 0.6486 0.7318 0.9224 1.0792 0.8211 0.7973 0.7646 0.7896 0.9541 0.6250 0.7184 0.7973 0.7421 0.8606 1.0950 1.2181 1.2122 1.2043 1.2897 1.2579 1.2897 1.3692 1.3512 1.3294 1.4548 1.5797 1.7660 1.9071 2.1203 2.2661 2.2741 2.4878 2.4115 2.5161 141 142 0.4878 0.6051 0.6153 0.6408 0.6918 0.9064 0.9729 1.0805 1.1369 1.1316 1.1113 1.1933 1.2806 1.4553 1.5324 1.6664 1.8727 1.9292 2.0118 2.0795 2.1105 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 0.7834 0.7657 0.7567 0.7802 0.8055 0.7762 0.7679 0.7534 0.7569 0.7405 2.6654 2.6492 2.4140 2.4504 2.5765 2.6442 2.6808 2.5857 2.5838 2.1728 2.2711 2.3696 2.4892 0.7429 0.7191 0.7231 0.7074 0.7318 0.7052 0.7273 0.7095 2.8310 2.8426 2.8147 2.5322 2.5242 2.5469 2.5081 2.5254 2.4833 2.4996 2.5152 2.4386 2.4648 2.3919 2.2339 0.7097 0.7049 0.6939 0.7021 2.3956 2.4109 2.3054 2.2982 2.0769 1.9489 1.7449 2.1111 160 31-Jul-18 2816.29 161 31-Aug-18 2901.52 162 28-Sep-18 2913.98 163 31-Oct-18 2711.74 164 30-Nov-18 2760.17 165 31-Dec-18 2506.85 166 31-Jan-19 2704.10 167 28-Feb-19 2784.49 168 29-Mar-19 2834.40 169 30-Apr-19 2945.83 170 31-May-19 2752.06 171 28-Jun-19 2941.76 172 31-Jul-19 2980.38 173 30-Aug-19 2926.46 174 30-Sep-19 2976.74 175 31-Oct-19 3037.56 176 29-Nov-19 3140.98 177 31-Dec-19 3230.78 178 31-Jan-20 3225.52 179 28-Feb-20 2954.22 180 31-Mar-20 2584.59 181 30-Apr-20 2912.43 182 29-May-20 3044.31 183 30-Jun-20 3100.29 184 Souce: Thomson Reuters Datascope Select 0.6845 1.9851 1.8459 2.0796 0.6737 1.5280 1.8830 0.6750 1.7656 1.7730 1.5935 1.5935 1.6280 1.6080 0.6894 0.6765 1.8460 1.6140 1.6244 1.6280 1.5770 1.5840 0.7022 0.6692 0.6510 0.6136 1.4801 1.1743 1.4150 1.0750 0.2260 1.6040 1.5624 1.3149 0.1120 0.1421 0.6511 0.6667 0.1675 0.1777 0.1940 0.1680 0.1268 0.1725 0.6903 0.1624 0.1520 0.1628