He said, “I must do this, it may be the only way.” Change into Indirect Speech
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Indirect Speech: He said that he must do that, it might be the only way.
Explanation: We can keep must unchanged or we can use had to in its place.
If the reporting verb is in the past tense, then the modals like can changes to could, may changes to might, will/shall change to would, have to changes to had to etc.