Emerging Markets Rates and Currencies Handbook

11 Citi | Emerging Markets Currencies Handbook 2021 For FCYCNY* (Onshore RMB) FX Spot FX Forwards** NDFs FX Options** Interest Rate Swap Interest Rate Options XCCY swaps Market Overview Onshore market only Volume (MM USD daily) 30,000 — 35,000 35,000 — 40,000 including FX Swap N/A 8,000 — 10,000 10,000 — 12,000 Poor liquidity in interbank market 100 Max tenor (or typical tenor for spot) T + 2 5 years N/A 2 years 5 years 1m 5 years Typical deal size (MM USD) 10 — 50 8 — 10 N/A 10 — 50 20 — 50 2 10 — 50 CitiFX Pulse Capabilities *** *** For FCYCNH* (Offshore RMB) FX Spot FX Forwards NDFs FX Options Interest Rate Swap (Offshore CNY, not CNH) Interest Rate Options XCCY swaps Market Overview Offshore market only Volume (MM USD daily) 18,000 — 20,000 13,000 — 15,000 Included in Forwards 1,500 — 2,500 3,500 5-10 100-200 Max tenor (or typical tenor for spot) T + 2 5 years Same as Forwards 5 years 5 years 5 years 5 — 10 years (most liquid within 5y) Typical deal size (MM USD) 20 — 40 40 — 60 Same as Forwards 50 25 5 3 — 5 CitiFX Pulse Capabilities ** ** * FCY — foreign currency. ** Net Settlement for Forward and Options is allowed. *** To be launched soon for Shanghai FTZ. Source: Citi indicative information * FCY — foreign currency. Offshore RMB shall only be conducted with Citi offshore. ** Excluding Shanghai Free Trade Zone Unit. CNH/Offshore RMB can be dealt offshore and in the Shanghai Free Trade Zone Unit (FTU). CNH related NDFs can only be traded offshore. For guidance on CNH dealing locations, please consult the HK CSS Team (Contacts in the HK Country Page). Source: Citi indicative information Market opening hours and liquidity during the day 09.30 10.00 16.00 23.30 Good Liquidity No Liquidity Moderate Liquidity Fixing (incl. ticker) CNY: Reuters SAEC published 09.15 Beijing time posted 2 days before value date. Regulation Restrictions Onshore RMB (CNY) is partially convertible and subject to currency control restrictions. Offshore RMB (CNH) is fully convertible and not subject to the same restrictions faced by onshore RMB. China