Anand Rathi Private Wealth Management. uncomplicated.

Structured Products Traded as on

- 25th April 2019
 Anand Rathi Private Wealth Management. uncomplicated. These SP ideas are for illustrative purpose only

List Of Structured Products

Protected Call Uncapped Nifty

Accelerator Accelerator
 Asset: Debt SP  Asset: Equity SP  Asset: Equity SP
 Target Nifty Growth: ~2%p.a.  Target Nifty Growth: ~5%p.a.  Target Nifty Growth: ~5.4% p.a.
 Principal Protection: -12.6%  Principal Protection: -15.00%  Principal Protection: -20.00%
 Tenor:- 38 Months  Tenor:- 38 Months  Tenor:- ~43 Months

Product Specifications: Product Specifications: Product Specifications:

Contingent Coupon: 47.5% Contingent Coupon: 60% Contingent Coupon: 75%
Product IRR: 13.01% Product IRR: 15.95% Product IRR: 17.02%
Decay: 2.55x throughout Product Returns Uncapped PR1 (4% to 20%): 150%
after 60% Nifty Performance PR2 (17% to 20%): 1700%
PR1 (0% to 16%): 150%
PR2 (13% to 16%): 1200%

*Back Testing: *Back Testing: *Back Testing:

Maximum Returns: 92.47% Maximum Returns: 81.66% Maximum Returns: 82.07%
Positive Returns: 99.9% Positive Returns: 99.11% Positive Returns: 99.9%

*Historical probability is calculated considering 1130, 1067 & 1220 Days rolling Nifty returns for Protected Call, Uncapped Accelerator & Nifty Accelerator as on 31-December-18
Nifty Data from Jan 2001 to December 2018
Anand Rathi Private Wealth Management. uncomplicated. These SP ideas are for illustrative purpose only

Protected Call – Product Specifications

Product Name Protected Call – 47.5%

Issuer Anand Rathi Global Finance Limited

Underlying Nifty 50 Index
Capital Guarantee Principal is not protected
Tenor(days) 1160 Days
Initial Fixing Level Trade date Nifty level, rounded up to next 100
Final Fixing Level Average of Closing NIFTY on last Thursday of 35th , 36th & 37th Month
Nifty Performance (NP) (Final Fixing Level/Initial Fixing Level)-1
Contingent Coupon (CC) 47.5%(IRR – 13.01%)
Decay Multiple (DM) 2.55

If Final Fixing Level is at or above 106% of Initial Fixing Level Contingent Coupon(47.5%)
Payoff
If Final Fixing Level is below 106% of Initial Fixing Level MAX(-100%,CC+(NP-6%)*2.55)

Investment Rationale
• Target NIFTY is 6% over 3 years (i.e. Nifty growth of ~2% p.a.) to yield an IRR of 13.01%p.a.
• Historical Probability of Maximum Returns: 92.47%.
• Principal is protected till ~13% fall in Nifty (Historical Probability of Principal Protection is 99.9%).
Anand Rathi Private Wealth Management. uncomplicated. These SP ideas are for illustrative purpose only

Protected Call – Product Payoff

Nifty Product
Nifty Value
Returns Returns
*Pre Tax IRR :-
22800 100.00% 47.50% 13.01%

47.5% Max Return

17100 50.00% 47.50%
13680 20.00% 47.50%
**Standard Deviation :-
12540 10.00% 47.50%
1.36%
12198 7.00% 47.50%
12084 6.00% 47.50%
11970 5.00% 44.95% Target Nifty Performance :-
Decay :- x2.55

11514 1.00% 34.75% 2% p.a.

11400 0.00% 32.20%

11172 -2.00% 27.10% Product Performance vis-à-vis Nifty Performance:
10830 -5.00% 19.45% • +6% Nifty Performance: Product yields a 47.5% maturity coupon
10260 -10.00% 6.70% • Flat Market: Product yields 32.2% at maturity
Principal • -12.6% Nifty Performance: Principal is protected
9960 -12.63% -0.01%
protection
• -21% Nifty Performance: Product returns will outperform Nifty
9690 -15.00% -6.05%
Decay continues returns
9006 -21.00% -21.35%
Notes: Terms and specifications of the product are subject to change. Debentures are not principal protected, not *Pre-Tax IRR is calculated assuming coupon to be 47.5%.
listed and not rated in nature ^Initial Fixing Level is assumed as 11345, rounded off to 11400.
Fee Structure: Upfront 1% to 3.0% plus service taxes **Historical Standard Deviation is calculated for 3 year daily rolling Nifty returns from 1 st Jan’2001 – 31st Dec’2018
Anand Rathi Private Wealth Management. uncomplicated. These SP ideas are for illustrative purpose only

Protected Call – Product Back testing

Historical 1130 Day Rolling Return

Particulars Total
No. of observations 5445
No. of times product has delivered 47.5% returns 5035
% of observations product has delivered 47.5% returns 92.47%
No. of times product has delivered positive returns 5444
% of observations product has delivered positive returns 99.99%
Standard Deviation* 1.36%

*Historical probability & Standard Deviation is calculated considering 1098 Day daily rolling Nifty returns as on 31-December-18
Nifty Data from January 2001 to December 2018
Anand Rathi Private Wealth Management. uncomplicated. These SP ideas are for illustrative purpose only

Uncapped Accelerator – Product Specifications

Product Name Uncapped Accelerator – 60%
Issuer Anand Rathi Global Finance Limited
Underlying Nifty 50 Index
Capital Guarantee Principal is not protected
Tenor(days) 1160 Days
Initial Fixing Level 100 points above the trade date Nifty level, rounded up to next 100
Final Fixing Level Average of Closing NIFTY on last Thursday of 33rd , 34th & 35th Month
Nifty Performance (NP) (Final Fixing Level/Initial Fixing Level)-1
60%(IRR – 15.94%)
Contingent Coupon (CC)
Uncapped participation after 60% of Nifty Performance
Participation Rate (PR1) 150%(From 100% to 116% of Initial Fixing Level)
Participation Rate (PR2) 1200%(From 113% to 116% of Initial Fixing Level)
Decay Multiple (DM)
1.4x(with Catch-up)
Knock-In Put @ 85%
If Final Fixing Level is above 84.99% of Initial Fixing MIN(60%,MAX(0%,(NP*1.5))+MAX(0%,
Level (NP-13%)*PR2))+MAX(0%,NP-60%)
Payoff
If Final Fixing Level is at or below 84.99% of Initial
MAX(-100%,NP*DM)
Fixing Level

Investment Rationale
• Target NIFTY: 16% over 3 years (i.e. Nifty growth of ~5% p.a.) to yield an IRR of 15.94% p.a.
• Uncapped Returns above 160% of Initial Fixing Level.
• Historical Probability of Maximum Returns: 81.66%.
• Principal is protected till 15% fall in Nifty (Historical Probability of Principal Protection: 99.11%).
Anand Rathi Private Wealth Management. uncomplicated. These SP ideas are for illustrative purpose only

Uncapped Accelerator – Product Payoff

Product
Nifty Value Nifty Returns *Pre Tax IRR :-
Returns
15.94%
23000 100.00% 100.00%
100% PR
20700 80.00% 80.00%
18860 64.00% 64.00% **Standard Deviation :-
60% Max
16100 40.00% 60.00% 10.55%
Return
13340 16.00% 60.00%
13225 15.00% 46.50% 1350% PR

13110 14.00% 33.00% Target Nifty Performance :-

12995 13.00% 19.50% 5% p.a.
12535 9.00% 13.50%
150% PR
12075 5.00% 7.50%
Product Performance vis-à-vis Nifty Performance:
11615 1.00% 1.50% • +16% Nifty Performance: Product yields 60% coupon at maturity
• +13% Nifty Performance: 19.5% coupon & 1350% participation
11500 0.00% 0.00%
Principal for next 3%
10925 -5.00% 0.00% (i.e. up to 116% of Initial Fixing Level)
Protection • Flat Market: 0% coupon & 150% participation for next 13%
9775 -15.00% 0.00%
(i.e. up to 113% of Initial Fixing Level)
9774 -15.01% -21.01% Decay Catch-up • -15.00% Nifty Performance: Principal is protected
• -15.01% Nifty Performance: Principal erodes by 21%
9660 -16.00% -22.40%
Decay:- x1.4
(Catch-up at 1.4x)
9200 -20.00% -28.00% • Nifty falls beyond -15.01%: Principal decays at a 1.4x multiple
Notes: Terms and specifications of the product are subject to change. Debentures are not principal protected, not * Pre-Tax IRR is calculated assuming coupon to be 60%.
listed and not rated in nature ^ Initial Fixing Level is assumed as 11345 rounded off to 11400+100=11500.
Fee Structure: Upfront 1% to 3.0% plus service taxes **Historical Standard Deviation is calculated for 3 years daily rolling NIFTY return from 1 st Jan’2001 – 31st Decr’2018
Anand Rathi Private Wealth Management. uncomplicated. These SP ideas are for illustrative purpose only

Uncapped Accelerator – Product Back testing

Historical 1067 Day Rolling Return

Particulars Total
No. of observations 5,506
No. of times product has delivered 60% returns 4,496
% of observations product has delivered 60% returns 81.66%
No. of times product has delivered positive returns 5,457
% of observations product has delivered positive returns 99.11%
Standard Deviation* 10.00%
*Historical probability and Standard Deviation is calculated considering 1067 Day rolling Nifty returns as on 31-December-18
Nifty Data from January 2001 to December 2018
Anand Rathi Private Wealth Management. uncomplicated. These SP ideas are for illustrative purpose only

Nifty Accelerator – Product Specifications

Product Name Nifty Accelerator – 75%
Issuer Anand Rathi Global Finance Limited
Underlying Nifty 50 Index
Capital Guarantee Principal is not protected
Tenor (days) 1300 Days
Initial Fixing Level 100 points above the trade date Nifty level, rounded up to next 100
Final Fixing Level Average of Closing NIFTY on last Thursday of 38th , 39th & 40th Month
Nifty Performance (NP) (Final Fixing Level/Initial Fixing Level)-1
Contingent Coupon (CC) 75%(IRR – 17.02%)
Participation Rate (PR1) 150%(From 104% to 120% of Initial Fixing Level)
Participation Rate (PR2) 1700%(From 117% to 120% of Initial Fixing Level)
Decay Multiple (DM)
1.4x(with Catch-up)
Knock-In Put @ 80%
MIN(75%,(MIN(75%,MAX(0,(NP-
If Final Fixing Level is above 80% of Initial Fixing Level
Payoff 4%)*PR1))+MAX(0,(NP-17%)*PR2)))
If Final Fixing Level is at or below 80% of Initial Fixing Level MAX(-100%,NP*DM)

Investment Rationale
• Target NIFTY is 20% over 3.5 years (i.e. Nifty growth of ~5% p.a.) to yield an IRR of 17.02% p.a.
• Historical probability of maximum returns: 82.07%.
• Principal is protected till 20% fall in Nifty (Historical Probability of Principal Protection: 99.9%).
Anand Rathi Private Wealth Management. uncomplicated. These SP ideas are for illustrative purpose only

Nifty Accelerator – Product Payoff

Product
Nifty Value Nifty Returns *Pre Tax IRR :-
Returns
17.02%
18900 75.00% 75.00% 75% Max
Return
12960 20.00% 75.00%
12852 19.00% 56.50% **Standard Deviation :-
1850%
12744 18.00% 38.00% PR 5.40%
12636 17.00% 19.50%
12096 12.00% 12.00%
150%
11880 10.00% 9.00% Target Nifty Performance :-
PR
11556 7.00% 4.50% 5.4% p.a.
11340 5.00% 1.50%
11232 4.00% 0.00% No Product Performance vis-à-vis Nifty Performance:
10908 1.00% 0.00% • +20% Nifty Performance: Product yields 75% coupon at maturity
Coupon
• +17% Nifty Performance: 19.5% coupon & 1850% participation
^10800 0.00% 0.00% & for next 3% (i.e. up to 120% of Initial Fixing Level)
10260 -5.00% 0.00% Principal • +4% Nifty Performance: 0% coupon & 150% participation for
protection
next 13% (i.e. up to 117% of Initial Fixing Level)
8640 -20.00% 0.00% • Flat Market: Principal is protected
8639 -20.01% -28.01% Decay Catch-up • -20% Nifty Performance: Principal is protected
• -20.01% Nifty Performance: Principal erodes by 28% (Catch-up
8532 -21.00% -29.40% at 1.4x)
Decay:- x1.4
8424 -22.00% -30.80% • Nifty falls beyond 20.01%: Principal decays at a 1.4x multiple
Notes: Terms and specifications of the product are subject to change. Debentures are not principal protected, not * Pre-Tax IRR is calculated assuming coupon to be 75%.
listed and not rated in nature ^ Initial Fixing Level is assumed as 11345 rounded off to 11400+100=11500.
Fee Structure: Upfront 1% to 3.0% plus service taxes **Historical Standard Deviation is calculated for 3 years daily rolling NIFTY return from 1 st Jan’2001 – 31st Decr’2018
Anand Rathi Private Wealth Management. uncomplicated. These SP ideas are for illustrative purpose only

Nifty Accelerator – Product Back testing

Historical 1220 Day Rolling Return

Particulars Total
No. of observations 5354
No. of times product has delivered 75% returns 4394
% of observations product has delivered 75% returns 82.07%
No. of times product has delivered positive returns 5353
% of observations product has delivered positive returns 99.99%
Standard Deviation* 5.37%

*Historical probability & Standard Deviation is calculated considering 1220 Day rolling Nifty returns as on 31-December-18
Nifty Data from January 2001 to December 2018
 THANK YOU

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