Emerging Markets Rates and Currencies Handbook

63 Citi | Emerging Markets Currencies Handbook 2021 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) 500 — 600 N/A 400 — 500 N/A N/A N/A N/A Offshore volume (MM USD daily) N/A N/A 10 N/A N/A N/A By orders Onshore max tenor (or typical tenor for spot) Up to T + 2 N/A 6 months N/A N/A N/A N/A Offshore max tenor (or typical tenor for spot) N/A N/A 3 months N/A N/A N/A 2 years Onshore typical deal size (MM USD) 1 — 3 N/A 3 — 5 N/A N/A N/A N/A Offshore typical deal size (MM USD) N/A N/A 3 N/A N/A N/A 5 CitiFX Pulse Capabilities (onshore) CitiFX Pulse Capabilities (offshore) Market opening hours and liquidity during the day 10.00 11.00 15.00 Good Liquidity No Liquidity Moderate Liquidity Fixing (incl. ticker) There are two FX fixings: PPN (Precio Promedio Negociado): PPN is computed on the transactions closed between financial entities in the electronic platform SIOPEL and published by the MAE on a daily basis. It is the main fixing rate used for offshore contracts. It is the weighted average rate of all spot transactions with amounts greater than 500,000 USD traded until calculation time. The PPN is calculated every day at five different times (11am, 12pm, 1pm, 2pm and 3pm). PPN Bloomberg Ticker: {ARS MAEM Curncy} “A” 3500 BCRA FX Reference Rate: The BCRA FX Reference Rate is used exclusively for onshore contracts and is calculated based on BCRA Communication “A” 3500. The BCRA requests bid/ask quotes from authorized FX dealers in three rounds of 15 minutes between 10am– 11am, 12pm– 1pm and 2pm– 3pm. The final rate is the arithmetic average of the internal market quotes of each period. Rates Market Overview There are Republic of Argentina bonds denominated in ARS and issued at fix rate, floating rate, dollar-linked and inflation-linked. However, there is no interest rate swap nor interest rate option markets. BADLAR: Average interest rate paid on ARS time deposits with a tenor between 30 and 35 days and a size of ARS 1,000,000 or more. Badlar is widely used as a benchmark in contracts. Regulation Spot Spot transactions are highly regulated by the BCRA (below is a summary of current regulations). Forwards Currently, there is no full-deliverable forward market in Argentina. NDFs Offshore non deliverable forwards are traded OTC under ISDA Master agreements. These NDFs are net settled in USD and use the PPN as the fixing rate. Onshore NDFs are traded OTC as well as in the following trading venues: Rosario Futures Exchange (ROFEX), Mercado Abierto Electrónico (MAE) and Bolsas y Mercados Argentinos (ByMA). A local master agreement and a confirmation are required. Onshore NDF use the BCRA Reference Rate “A” 3500 for fixing purposes and are net settled in ARS. Argentina