Emerging Markets Rates and Currencies Handbook

FX Spot FX Forwards NDFs FX Options Interest Rate Swap Interest Rate Options XCCY swaps Market Overview Onshore Market        Offshore Market Onshore Volume (MM USD Daily) Offshore Volume (MM USD Daily) Onshore Max Tenor (Or Typical Tenor For Spot) Offshore Max Tenor (Or Typical Tenor For Spot) Onshore Typical Deal Size (MM USD) Offshore Typical Deal Size (MM USD) Onshore CitiFX Pulse Capabilities ✗ 1,500 – 3,000 N/A T + 2 (spot) N/A 3 - 5 N/A  ✗ N/A N/A 360 days N/A N/A N/A ✗  13,000 – 15,000 including BMF first Future 5,000 – 6,000 10 years 10 years 3 – 5 3 – 5   1,000 – 1,400 4,500 – 5,000 5 years 4 - 5 years for longer tenors speak to traders Included in offshore 20 - 50 ✗  36,000 – 38,000 7,000 – 10,000 10 years 10 years 10 – 20 10 – 20 ✗ ✗ 40 – 50 N/A 2 years N/A 3 - 5 N/A ✗  6,000 – 7,000 including BMF(DDI+FRA) 2500 - 3000, 15 years 15 years 20 - 30 20 - 30 ✗ Offshore CitiFX Pulse Capabilities ✗ ✗ ✗ ✗ ✗ ✗ ✗ Source: Citi indicative information Market opening hours and liquidity during the day Fixing Requests are electronically made at any time in a 10- minute window, four times a day: 10am, 11am, 12pm and 1pm. The PTAX is calculated excluding the two highest and the two lowest quotes. Results are published as bid and offer rates at around 1.15pm (there is no formal time frame for the PTAX publication, but the Bacen is committed to release the rate “immediately” after the last quote is processed). Onshore BRL settled NDFs are usually fixed one day prior to settlement based on the PTAX offer rate. Offshore NDFs are PTAX fixed (offer rate) two days prior to settlement. Bloomberg Ticker:< BZLABZLA Index>. Requirements to open a foreign currency account Offshore foreign currency account According to the Resolution CMN 3,568, of May 29, 2008, Brazilian exporters may maintain 100% of the export payments abroad. Brazilian companies with offshore accounts must provide the following reports to regulators: Derex: Provided once a year to the Tax Authority, it describes the total exports received in the offshore account and what type of payments were done with these receivables (monthly). Applicable to exporters, only. DCBE - Declaração de Capitais brasileiros no Exterior: As a general rule, must be provided once a year for the Brazilian Central Bank. It must be reported if total assets held offshore is equal to or higher than USD 1 million at the year-end (Dec 31). Only the amount at that day. Clients with assets equal or above USD 100 million, must provide quarterly reports. For further information: https: //www. bcb.gov.br/estabilidadefinanceira/cbe Companies in specific industries — insurance, reinsurance, energy, tourism, etc. — can operate local foreign currency accounts (CCME – Conta em Moeda