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 a) Calculate the "Final Redemption Amount if the S&P 500 index is 2600 on 31 December 2023 (3 marks) b) What are the maximum and the minimum the Final Redemption Amount can be? (2 marks) c) What is the highest S&P 500 index level at which the minimum Final Redemption Amount is reached? (2 marks) d) 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. (4 marks) (Total for question: 11 marks) 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 a) Calculate the "Final Redemption Amount if the S&P 500 index is 2600 on 31 December 2023 (3 marks) b) What are the maximum and the minimum the Final Redemption Amount can be? (2 marks) c) What is the highest S&P 500 index level at which the minimum Final Redemption Amount is reached? (2 marks) d) 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. (4 marks) (Total for question: 11 marks)