INPUTS STRUCTURE

Instrument Details
Type of Instrument PP-ELN
Investment 1,000,000
Participation rate 0.90x
Cap None
Instrument maturity 3.50
Reference index Nifty 50
Target index date 3.00

Market Data
Entry level index 14,000
Option values at entry level
Strike price Call option Put option
14000 2785 478

Interest rate 6.00%

Payoffs
For Investor For Seller
Index Return Index level PP-ELN Return Redemption
-75% 3,500 0% 1,000,000
-50% 7,000 0% 1,000,000
-25% 10,500 0% 1,000,000
0% 14,000 0% 1,000,000
5% 14,700 5% 1,045,000
10% 15,400 9% 1,090,000
15% 16,100 14% 1,135,000
20% 16,800 18% 1,180,000
25% 17,500 23% 1,225,000
50% 21,000 45% 1,450,000
75% 24,500 68% 1,675,000
100% 28,000 90% 1,900,000
INPUTS STRUCTURE
Instrument Details
Type of Instrument PP-ELN
Investment 1,000,000
Participation rate 5.0x
Cap 50.00%
Instrument maturity 3.50
Reference index Nifty 50
Target index date 3.00

Market Data
Entry level index 17,500
Option values at entry level
Strike price Call option Put option
14,000 5,740 111
15,750 4,450 304
17,500 3,326 664
18,375 2,837 917
19,250 2,399 1,221
20,125 2,013 1,577
21,000 1,676 1,981

Interest rate 9.50%

Payoffs
For Investor For Seller
Index Return Index level PP-ELN Return Redemption
-50% 8,750 0% 1,000,000
-20% 14,000 0% 1,000,000
-10% 15,750 0% 1,000,000
0% 17,500 0% 1,000,000
5% 18,375 25% 1,250,000
10% 19,250 50% 1,500,000
15% 20,125 50% 1,500,000
20% 21,000 50% 1,500,000
25% 21,875 50% 1,500,000
50% 26,250 50% 1,500,000
75% 30,625 50% 1,500,000
100% 35,000 50% 1,500,000
INPUTS STRUCTURE
Instrument Details
Type of Instrument Yield Enhancement Note (Reverse Convertible)
Investment 1,000,000
Decay multiple 2.00x
Cap None
Instrument maturity 3.75
Coupon (maturity) 60%
Reference index Nifty 50
Target index date 3.00

Market Data
Entry level index 12,000
Option values at entry level
Strike price Call option Put option
10,800 3,391 412
11,100 3,208 480
11,400 3,032 554
11,700 2,863 635
12,000 2,700 723
12,300 2,544 818
12,600 2,395 919
12,900 2,253 1,028
13,200 2,117 1,142
13,500 1,988 1,264

Interest rate 10.50%

Payoffs
For Investor
Index Return Index level Decay Multiple Coupon
-100.0% - 2.00x 60%
-90.0% 1,200 2.00x 60%
-80.0% 2,400 2.00x 60%
-70.0% 3,600 2.00x 60%
-60.0% 4,800 2.00x 60%
-50.0% 6,000 2.00x 60%
-40.0% 7,200 2.00x 60%
-30.0% 8,400 2.00x 60%
-20.0% 9,600 2.00x 60%
0.0% 12,000 0.00x 60%
2.5% 12,300 0.00x 60%
5.0% 12,600 0.00x 60%
7.5% 12,900 0.00x 60%
10.0% 13,200 0.00x 60%
20.0% 14,400 0.00x 60%
50.0% 18,000 0.00x 60%
 For Seller
ELN Return Redemption
-100% -
-100% -
-100% -
-80% 200,000
-60% 400,000
-40% 600,000
-20% 800,000
0% 1,000,000
20% 1,200,000
60% 1,600,000
60% 1,600,000
60% 1,600,000
60% 1,600,000
60% 1,600,000
60% 1,600,000
60% 1,600,000