PRIVATE WEALTH MANAGEMENT INVESTMENT ADVISOR DIVISION

Product Construct - Uncomplicated

1
*Please Note: The prices assumed in this presentation are for illustrative purpose only. The actual

Issuer - ARGFL

PRIVATE WEALTH MANAGEMENT INVESTMENT ADVISOR DIVISION

Protected Call (55% Coupon) Payoff Scenarios

Key Terms & Specifications
Underlying
Nifty
Capital Guarantee Principal is not protected at maturity
Tenor (days)
1225
Initial Fixing LevelTrade Date Nifty Level
104% of Initial Fixing Level rounded to the next higher
Contingent Level
multiple of 100
Final Fixing Level June 27, 2019
Nifty Performance
(Final Fixing Level/Contingent Level)-1
(NP)
Contingent Coupon 54% to 55%
Decay
3
Multiple(DM)
If Final Fixing Level is at or
Contingent Coupon
above Contingent Level
Payoff
Max(-100%,
If Final Fixing Level is less
(Contingent Coupon +
than Contingent Level
NP*DM))

Payoff Chart

Pre Tax IRR *

Payoff Table

Nifty
Final Fixing
Performanc
Levels ^
e

Contingent
Initial

13.95%
Product
Returns

9840

20.00%

55.00%

9020

10.00%

55.00%

8200

0.00%

55.00%

8036

-2.00%

49.00%

7850

-4.27%

42.19%

7708
7544

-6.00%
-8.00%

37.00%
31.00%

7380

-10.00%

25.00%

7216

-12.00%

19.00%

7052

-14.00%

13.00%

6888

-16.00%

7.00%

6724

-18.00%

1.00%

6642
6560

-19.00%
-20.00%

-2.00%
-5.00%

6396

-22.00%

-11.00%

6232

-24.00%

-17.00%

6068

-26.00%

-23.00%

*Pre-Tax IRR is calculated assuming coupon to be 55%

^Initial level is assumed as 7850
Notes: Terms and specifications of the product are subject to
change. Debentures are non principal protected, Unlisted and
unrated in nature
Fee Structure: Upfront 1% to 3.0% plus service taxes

PRIVATE WEALTH MANAGEMENT INVESTMENT ADVISOR DIVISION

Construction of Protected Call 55%

Step 1

Payoff Output

Investment
Performance
155
%

NIFTY
Performan
ce

Payoff Input

105%

155

100%

155

Investment
Performance
155
155
Input =
149
Output
140
125
101
95

STEP-1:
Initial
Investment
to Treasury
100@9.00%

STEP-2:
Value of 3.0 ATM
Put @ 100

STEP-3:
Put Premium
to Treasury
= 17@9.00%

133
133
133
133

-6
-15

22
22
22
22

105%
100%
98%
95%

133
133
133

-30
-54
-60

22
22
22

90%
82%
80%

NIFTY
perf.

Issuer - ARGFL

PRIVATE WEALTH MANAGEMENT INVESTMENT ADVISOR DIVISION

Nifty Accelerator Plus (80% Coupon) Payoff Scenario

Key Terms & Specifications

Pre Tax IRR *

Payoff Table

Nifty
Final Fixing
Performanc
Levels ^
e

Underlying
Nifty
Capital Guarantee
Principal is not protected at maturity
Tenor (days)
1,225
Initial Fixing Level
Trade Date Nifty Level
Final Fixing Level
June 27, 2019
Nifty Performance (NP) (Final Level/Contingent Level) 1
Contingent Coupon (CC) 79% to 80%
104% of Initial Fixing Level rounded to the next higher multiple
Contingent Level
of 100
Participation Rate (PR) 783% to 792%
Decay Multiple (DM)
1.25
If Final Fixing Level is above
MIN (CC, (NP*PR) - 15%)
Contingent Level
Payoff
If Final Fixing Level is at or
MAX(-100%, (NP*DM) - 15%)
below Contingent Level

Payoff Chart
Contingent
Initial

19.14%
Product
Returns

13120

60.00%

80.00%

10660

30.00%

80.00%

9840

20.00%

80.00%

9184

12.00%

80.00%

9020

10.00%

64.17%

8856

8.00%

48.33%

8692

6.00%

32.50%

8610

5.00%

24.58%

8364

2.00%

0.83%

8282

1.00%

-7.08%

8200

0.00%

-15.00%

7850

-4.27%

-20.34%

7380

-10.00%

-27.50%

6970

-15.00%

-33.75%

6560

-20.00%

-40.00%

* Pre-Tax IRR is calculated assuming coupon to be 80%

^ Initial Fixing Level is assumed as 7850
#The product return is calculated assuming Contingent Coupon of 80%,
Contingent level to be 104% of initial level (i.e. 8200), Participation Rate of
791.67% and Decay Multiple of 1.25
Notes: Terms and specifications of the product are subject to change.
Debentures are not principal protected, not listed and not rated in nature
Fee Structure: Upfront 1% to 3.0% plus service taxes

PRIVATE WEALTH MANAGEMENT INVESTMENT ADVISOR DIVISION

Construction of Nifty Accelerator Plus 80%

Step 1

Payoff Input

Payoff Output

Investment
Performance
180
%

NIFTY
Performan
ce

115%

180.00

112%

180.00

Investment
Performance
180.00
180.00
Input =
164.00
Output
124.00
84.00
77.50

STEP-2:
STEP-3:
STEP-4:
STEP-1:
Value of 1.25 Value of 6.75 Put Premium
Initial
Naked
Put @ Spread @
to Treasury
Investment
112
(112- 100) = 35@9.00% NIFTY
to Treasury
perf.
100@ 9.00%

133
133
133
133
133
133

-2.5
-8.75
-15
-21.25

-13.30
-46.55
-79.92
-79.92

47
47
47
47
47
47

115%
112%
110%
105%
100%
95%

By Selling 6.75 PUT Spreads the loss @100% Nifty level comes out to be -16%, whereas in reality only 6.66 PUT Spreads are sold giving a loss of -15% @ 100% Nifty

Issuer - ARGFL

PRIVATE WEALTH MANAGEMENT INVESTMENT ADVISOR DIVISION

Nifty Accelerator (66% Coupon) Payoff Scenario

Key Terms & Specifications
Underlying
Capital Guarantee
Tenor (days)
Initial Fixing Level
Final Fixing Level
Nifty Performance
(NP)
Contingent Coupon
(CC)
Contingent Level
Participation Rate
(PR)
Decay Multiple (DM)
Payoff

Payoff Chart

Pre Tax IRR *

Payoff Table

Nifty
Final Fixing
Performanc
Levels ^
e

Nifty
Principal is not protected at maturity
1,225
Trade Date Nifty Level
June 27, 2019

16.3%
Product
Returns

13120

60.00%

66.00%

(Final Level/Contingent Level) 1

9840

20.00%

66.00%

66%

9184

12.00%

66.00%

104% of Initial Fixing Level rounded to the next higher

multiple of 100

9020

10.00%

58.50%

8856

8.00%

51.00%

8692

6.00%

43.50%

8528

4.00%

36.00%

8200

0.00%

21.00%

8036

-2.00%

16.80%

7850

-4.27%

12.03%

7708

-6.00%

8.40%

7544

-8.00%

4.20%

7380

-10.00%

0.00%

6970

-15.00%

-10.50%

6560

-20.00%

-21.00%

375%
2.1
If Final Fixing Level is at or
MIN (CC, (NP*PR) + 21%)
above Contingent Level
If Final Fixing Level is below
MAX(-100%, (NP*DM) + 21%)
Contingent Level

Contingent
Initial

* Pre-Tax IRR is calculated assuming coupon to be 66%

^ Initial Fixing Level is assumed as 7850
Notes: Terms and specifications of the product are subject to change.
Debentures are not principal protected, not listed and not rated in nature
Fee Structure: Upfront 1% to 3.0% plus service taxes

PRIVATE WEALTH MANAGEMENT INVESTMENT ADVISOR DIVISION

Construction of Nifty Accelerator 66%

Step 1

Payoff Input

Payoff Output

Investment
Performance
166
%

NIFTY
Performan
ce

112%

166.00

108%

151.00

Investment
Performance
166.00
151.00
Input =
121.00
Output
111.00
101.00
91.00

STEP-2:
STEP-3:
STEP-4:
STEP-1:
Value of 2 Value of 1.75 Put Premium
Initial
PUTs
@ 112 PUT Spreads to Treasury
Investment
@ (112- 100) = 25@9.00% NIFTY
to Treasury
perf.
100@ 9.00%

133
133
133
133
133
133

-8.0
-24
-34
-44
-54

-7
-21
-21
-21
-21

33
33
33
33
33
33

Please Note: In Reality we sell 2.1 Naked PUTs and1.65 PUT Spread, but for simplicity we have take 2 Naked PUTs and 1.75 PUT Spreads, due to which maturity

112%
108%
100%
95%
90%
85%

PRIVATE WEALTH MANAGEMENT INVESTMENT ADVISOR DIVISION

THANK YOU

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