Emerging Markets Rates and Currencies Handbook

71 Citi | Emerging Markets Currencies Handbook 2021 Brazil Source: Citi indicative information Market opening hours and liquidity during the day 13.00 09.00 10.00 14.30 16.30 18.00 Good Liquidity No Liquidity Moderate Liquidity Fixing (incl. ticker) 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 Central Bank is committed to releasing 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> 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 emMoeda Estrangeira no País ) under specific regulations of the Central bank. To this date, Citi only offer CCMEs to insurance and reinsurance companies. Non-Resident Accounts According to the Resolution CMN 4,373, of September 29, 2014, foreign investors can access the onshore derivative market through an investment account in the local stock exchange, fixed income and local futures exchange. FX Spot FX Forwards NDFs FX Options Interest Rate Swap Interest Rate Options XCCY swaps Market Overview Onshore Offshore Onshore volume (MM USD daily) 1,500 — 3,000 N/A 13,000 — 15,000 including BMF first Future 1,000 — 1,500 36,000 — 38,000 40 — 50 6,000 — 7,000 including BMF(DDI+FRA) Offshore volume (MM USD daily) N/A N/A 5,000 — 6,000 800 — 1,000 7,000 — 10,000 N/A 2500 — 3000 Onshore max tenor (or typical tenor for spot) T + 2 (spot) 360 days 10 years OTC goes up to 10 years, but interbank options are mostly up to 1 year 10 years 2 years 15 years Offshore max tenor (or typical tenor for spot) N/A N/A 10 years Liquidity is best under 2 years but it might go up to 10 years 10 years N/A 15 years Onshore typical deal size (MM USD) 3 — 5 N/A 3 — 5 10 — 20 10 — 20 3 — 5 2 — 30 Offshore typical deal size (MM USD) N/A N/A 3 — 5 20 — 30 10 — 20 N/A 20 — 30 CitiFX Pulse Capabilities (onshore) CitiFX Pulse Capabilities (offshore)