Emerging Markets Rates and Currencies Handbook

54 Citi | Emerging Markets Currencies Handbook 2021 * Expected to start soon 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) 13,000 — 15,000 500 — 600 5,000 — 7,000 (X) 100 — 300 1,500 — 2,000 Nil (as of now) 80 — 100 Offshore volume (MM USD daily) N/A N/A 1,500 — 2,500 500 — 800 1,500 — 2,000 Nil (as of now) 50 — 75 Onshore max tenor (or typical tenor for spot) T + 2 1 year 10 years (X) 5 years 10 years 10 years 10 years Offshore max tenor (or typical tenor for spot) N/A N/A 10 years 5 years 10 years 3m1y to 1y5y 5 years Onshore typical deal size (MM USD) 5 — 10 10 — 15 5 — 10 (X) 5 — 10 5 — 10 NA 10 — 20 Offshore typical deal size (MM USD) N/A N/A 25 50 30 — 50 10 10 — 20 CitiFX Pulse Capabilities Market opening hours and liquidity during the day 09.00 16.00 19.00 Good Liquidity No Liquidity Moderate Liquidity Fixing (incl. ticker) FBIL benchmark fixing is calculated during the window between 11.30 AM-12.30 PM and published around 01:30pm Mumbai Time or thereafter as soon as practicable. RBI has issued separate guidelines for users to manage their FX exposure and INR interest rate exposure. FX Regulations Offshore restrictions Resident entities can access the onshore INR FX markets (both OTC and exchange traded) to hedge FX exposures, but are not allowed to hedge exposures in the offshore market. Effective September 1, 2020, RBI has revised the regulations for risk management and interbank dealings for hedging of foreign exchange risk. Onshore hedging regulations are now uniform for all entities whether resident in India or resident outside India, and hence non- resident entities can access the onshore INR market hedge INR denominated exposures. License requirements No licenses required for clients to execute spot and forward transactions in the onshore market. A Legal Entity Identifier (LEI) is required for all forward transactions as well as for spot transactions with notional more than USD 1 mio (or equivalent). Requirements to open a foreign currency account All categories of foreign exchange earners, such as individuals, companies, etc., who are resident in India, may open Exchange Earners’ Foreign Currency Account (EEFC). • Permissible credits and debits to an EEFC account are clearly defined by the RBI regulations. • Foreign currency bought against local currency cannot be credited to EEFC account. • 100% foreign exchange earnings can be credited to the EEFC account subject to the condition that the sum total of the accruals in the account during a calendar month should be converted into Rupees on or before the last day of the succeeding calendar month after adjusting for utilization of the balances for approved purposes. This is not applicable for SEZ accounts. Requirements to open an INR account by non-resident entities Non-resident entities are permitted to open Special Non-Resident Rupee (SNRR) accounts for transactions commensurate with their business operations. Permissible transactions through the SNRR accounts include trader credits in INR, export/import invoiced transactions in INR, external commercial borrowings (ECB) in INR, etc. Deal Management for clients Rollover : Permitted, mark-to-market at prevailing market rate. Net settlement. Unwinding : Permitted, an offsetting trade will be booked based on the prevailing market rate. Net settlement. India