Jun Dec Sep 2013 USD1NR Curncy (USD-INR X-RATE) Daity 2DMAY2013-20XAY2014 Trade 1: 9month expiry vanilla USDINR puts Ref spot: USDINR 58.6 Maturity Fwd 9m 61.56 Strike Price % OTMS Strike (% notional) 0 53.60 1 58.01 2 57.42 1.31 0.92 0.71 6&0000 66.0000 64.0000 62.0000 60.0000 ..10•VVNIV 56.0000 54.0000 Mar 2014 Copyrigh 2014 Bloomberg Finance L.D. 20-may-2014 17:57:03 Scenario Analysis for Trade 1 Table shows value of option (as % of notional) on movement in spot, decaying with time Spot % move Spot level 9m 6m 3m lm At exp 6 62.12 0.21 0.15 0.05 0.00 0.00 4 60.94 0.35 0.28 0.14 0.02 0.00 2 59.77 0.61 0.56 0.39 0.13 0.00 0 58.60 1.31 1.06 0.96 0.65 0.00 -2 57.43 1.73 1.87 1.97 1.90 2.00 -4 56.26 2.71 3.04 3.42 3.72 4.00 -6 55.08 4.00 4.54 5.25 5.85 6.00 Trade 2: Buy a 9month 1% OTM Spot USDINR put and sell a 9m 15% OTM Spot USDINR call for net zero premia Put strike: 58.08, call strike: 67.58 Ref spot: USDINR 58.6 Scenario Analysis for Trade 2 CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 123843 CONFIDENTIAL SDNY_GM_00270027 EFTA01461666