EFTA01379388.pdf

22 December 2017 EM Currency Handbook 2018: Still Fuel in the Tank Bid/ask spread: INR 0.02 - 0.03 for 1M, INR 0.05-0.07 for 3M-12M Avg. daily vol: USD 2.0bn Fixing reference: Spot fixing determined by RBI-based volume-weighted average price during any 5 minute period between 1130am-12:30pm Mumbai time, 2 business days before value date Fixing page: Reuters page <RBIB> Non-Deliverable Option (NDO) Regulatory: ISDA documentation applies. Avg. ticket size: USD 20-50mn Bid/ask spread: 0.25 vols Avg. daily vol: Up to USD1bn Fixing page: Reuters page <ROIB>, spot fixing determined by RBI Non. Deliverable Overnight Index Swap (0IS) Regulatory: ISDA documentation applies. Avg. ticket size: USD 20mn Executable Tenors: 3m-9m, 1Y-5Y Bid/ask spread: 2.3 bps (for 10K DV01) Avg. daily vol: USD 150.200mn Ref. source: Reuters page <IN DIRS>, <BGCNDIRS>, Bloomberg IRSWNIX Index Floating Leg : FBIL Overnight MIBOR, Bloomberg : IN000/N Index Conventions : <1Y Annual Fixed (ACT/365) versus Daily Compounded floating (ACT/365), 1+1, >1Y Semi- annual Fixed (Act/365) versus Daily compounded floating (Act/365), T+1, Reuters Page <RBIB>, Bloomberg INRRATE Index Non-Deliverable CCS Avg. ticket size: USD 20mn Executable Tenors: Up to 10Y Bid/ask spread: 5-15bps Avg. daily vol: USD 100mn Ref. source: Reuters page <EXOT> Floating Leg : USD 6M LIBOR (US0006M Index) Conventions : Semi-annual Fixed (Act/365) versus 6M USD Libor Floating (Act/360), T+1 fixing, Reuters Page <RBIB>, 1+3 effective date Clearing and settlement regulation The Clearance Corporation of India Limited is the central counterparty for all transactions in government securities. Trades are settled on a delivery versus payment (DVP) basis, and the CCIL guarantees all trades using the Settlement Guarantee Fund, which is financed out of margins paid by all market participants. Taxation For foreign portfolio investors (FPls), all interest income on government and corporate bonds is currently subjected to a withholding tax of 5% (plus applicable surcharge & cess). If fixed income assets are held for less than 12 months, a short- term capital gains tax of 30% is also levied (http://www.incometaxindia.nov.in/panes/non-resident-specific-content.aspx). Deutsche Bank is not a qualified tax advisor. Tax information may vary. Kindly seek formal tax guidance for details. Page 22 Deutsche Bank Securities Inc. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0076825 CONFIDENTIAL SDNY_GM_00223009 EFTA01379388