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%

OPTION CALCULATOR
INPUTS OUTPUTS
S 14,000 d1 0.82
K 14,000 d2 0.56
T 3.00 N(d1) 0.79
Sigma 15.00% N(d2) 0.71
Risk-free rate 6.00% Call 2,785
N(-d1) 0.21
N(-d2) 0.29
Put 478
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
15,750
17,500
18,375
19,250
20,125
21,000
21,875
26,250
30,625

Interest rate 9.50%

OPTION CALCULATOR
INPUTS OUTPUTS
S 17,500 d1 0.76
K 17,500 d2 0.51
T 3.00 N(d1) 0.78
Sigma 15.00% N(d2) 0.69
Risk-free rate 5.50% Call 3,326
N(-d1) 0.22
N(-d2) 0.31
Put 664
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
11,100
11,400
11,700
12,000
12,300
12,600
12,900
13,200
13,500

Interest rate 10.50%

OPTION CALCULATOR
INPUTS OUTPUTS
S 12,000 d1 0.69
K 12,000 d2 0.35
T 3.00 N(d1) 0.76
Sigma 20.00% N(d2) 0.64
Risk-free rate 6.00% Call 2,700
N(-d1) 0.24
N(-d2) 0.36
Put 723
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