Emerging Markets Rates and Currencies Handbook

41 Citi | Emerging Markets Currencies Handbook 2021 The SORA is the volume-weighted average rate of borrowing transactions in the unsecured overnight interbank SGD cash market in Singapore between 8am and 6.15pm. This shift is necessary given the expected discontinuation of USD LIBOR, following the announcement by the UK regulatory authorities that the benchmark will not be sustained by regulatory powers after end-2021. SOR relies on USD LIBOR in its computation methodology and the likely discontinuation of LIBOR after end-2021 directly impacts the future sustainability of SOR. Convertibility Fully convertible. Market opening hours and liquidity during the day The market is open 24 hours a day 06.00 16.00 09.00 Good Liquidity Poor liquidity Moderate Liquidity Fixing (incl. ticker) For options, FXBench3, 2pm Singapore time or Reuters ABSFIX01, 11.30am Singapore time. Regulation Offshore restrictions Credit facilities extended to Non-Resident Financial Institutions (NRFIs) are limited to SGD 5mm for each Bank Entity. NRFIs must swap out SGD proceeds from financing activities when the proceeds are to be used outside Singapore. The proceeds may be maintained in SGD if they are to be used for investments in Singapore. Non-residents may hold local or foreign currency accounts onshore. Non-resident restrictions Both residents and non-residents may borrow internationally. Non-residents may hold local or foreign currency accounts onshore. License requirements No specific license requirements. Requirements to open a foreign currency account KYC requirements must be met prior to account opening. Deal Management Rollover : No local law restrictions on rollover or net settlement of SGD FX trades. Unwinding : No local law restrictions on unwind or net settlement of SGD FX trades. Early Maturity : No local law restrictions on early termination or net settlement of SGD FX trades. Source: Citi indicative information FX Spot FX Forwards NDFs FX Options Interest Rate Swap Interest Rate Options XCCY swaps Market Overview Onshore Offshore Onshore volume (MM USD daily) 1,000 — 1,500 1,000 — 1,500 SGD is deliverable offshore and hence there is no NDF market 500 — 700 600 — 1,000 10 per week 50 — 100 Offshore volume (MM USD daily) included in the onshore volume included in the onshore volume included in the onshore volume included in the onshore volume included in the onshore volume included in the onshore volume Onshore max tenor (or typical tenor for spot) T + 2 10 years 3 years 20Y 10Y 3 years (can quote longer if small size) Offshore max tenor (or typical tenor for spot) T + 2 10 years 3 years 20Y 10Y N/A Onshore typical deal size (MM USD) 5 — 10 40 — 50 40 — 50 15 — 20 10 2 — 5 Offshore typical deal size (MM USD) 5 — 10 50 — 100 20 — 40 15 — 20 10 N/A CitiFX Pulse Capabilities Singapore