22 December 2017 EM Currency Handbook 2018: Still Fuel in the Tank Liquidity: Avg. ticket size: Bid/ask spread: Avg. daily volume: Ref. source: Trading hours: Local NDF/Futures Regulatory: Avg. size ticket: Tenor: Bid/ask spread: Avg. daily volume: Fixing: Moderate (in SIOPEL - see below - and broker markets) USD lmn ARS 0.002 USD 250m Reuters page <ARS=>, cARS/1> 10:00 am- 3:00 pm Buenos Aires time. Mar ket Participants can trade freely in local NDFs and trades are settled in ARS. The BCRA maintains a fixing (Tipo de Cambio de Referencia) which is only used for onshore contracts (Bloomberg ticker: ARORREX Index, Reuters: ARS=BCRA). The Methodology is described in Comunicacion 43500, March 1st 2002. The BCRA solicits bid/ask quotes via the SIOPEL system of the MAE (Mercado Abierto Electronico), in three rounds of 15 minutes between 10am-11am, 12pm-lpm and 2pm-3pm. The fixing is obtained as the arithmetic average of the fixings in each of the individual periods. The fixing for each individual period is calculated by ordering all the bid/ask quotes and taking the simple average of the bid and ask of the inside market (i.e. after removing all pairs of overlapping bid-ask quotes), and rounded to 4 decimal places. To limit dislocations between the onshore and the offshore markets, in 2008, the BCRA started offering onshore contracts at the EMTA fixing (the BCRA undertakes forward intervention as part of its FX policy), but the A3500 fixing remains the onshore market standard. USD lmn Liquidity up to 12 months with some trades up to 18 months. ARS 0.004 for first 3 months, wider for longer tenors USD 350 - 450mn normally Bloomberg ticker: ARORREX Index, Reuters: ARS=BCRA Offshore ARS products Non-Deliverable Forwards end Options The EMTA ARS Industry Survey has been discontinued and, as of June 2014, EMTA recommends using the volume- weighted average rate published by the Mercado Abierto Electronico (MAE) as the settlement rate for NDFs and NDOs. This rate represents the volume-weighted average of all trades captured in an electronic trading system in Buenos Aires, and is published at approximately 3pm local time. (see http://www.mae.com.ar/Anuncios/ARS%20EMTA.pdf) Non-Deliverable Forward (NDF) Regulatory: ISDA documentation. Standard dots available at EMTA (www.emta.org) Liquidity: Avg. ticket size: Bid/ask spread: Avg. daily vol: Fixing: Poor USD 5mn 4 figures (in 1m tenor); low liquidity beyond the 3 month tenor USD50mn www.emta.org/aservicest, Reuters:ARSPPN=, BloombergARS MAEM Curncy Non-Deliverable Option (NDO) Liquidity: Very Poor Avg. daily vol: < USD1Omn Deutsche Bank Securities Inc. Page 93 CONFIDENTIAL - PURSUANT TO FED. R. CRI M. P. 6(e) DB-SDNY-0076896 CONFIDENTIAL SDNY_GM_00223080 EFTA01379427