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d) On the same day the bond was issued (1 January 2015) a Special Purpose Vehicle (SPV) set up by BOA issued a structured note with the following characteristics: 50 5 Notional ($ mn) Maturity (years) Principal Amount ($ mn) Coupon 50 Equity Linked, payable at maturity (see details below) The Notional of $50mn was used by the issuing SPV as follows: First, $1mn was paid to BOA as structuring fees. Then BoA bonds (as detailed earlier in the question) with a face value equal to $50mn was bought by the SPV in order to have principal available at maturity. The remainder of the funds were invested in NZX50 equity options; the proceeds of the equity options are to be used to pay the coupon. As of the end of 2017 (01 Jan 2018) the equity options owned by the SPV were valued at $14mn. What is the value of the structured note as of the end of 2017 (01 Jan 2018)? [2 Marks] d) On the same day the bond was issued (1 January 2015) a Special Purpose Vehicle (SPV) set up by BOA issued a structured note with the following characteristics: 50 5 Notional ($ mn) Maturity (years) Principal Amount ($ mn) Coupon 50 Equity Linked, payable at maturity (see details below) The Notional of $50mn was used by the issuing SPV as follows: First, $1mn was paid to BOA as structuring fees. Then BoA bonds (as detailed earlier in the question) with a face value equal to $50mn was bought by the SPV in order to have principal available at maturity. The remainder of the funds were invested in NZX50 equity options; the proceeds of the equity options are to be used to pay the coupon. As of the end of 2017 (01 Jan 2018) the equity options owned by the SPV were valued at $14mn. What is the value of the structured note as of the end of 2017 (01 Jan 2018)? [2 Marks]

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