Emerging Markets Strategy Weekly: A New USD Environment for EMFX

研报英文原文证据摘录

Emerging Markets Strategy Weekly: A New USD Environment for EMFX

Emerging Markets Strategy Weekly

25 June 2026 Citi Research

P&L Methodology

The P&L is hypothetical and includes the impact of transaction costs. However, for

trades that are larger than the standard size slippage may be significant and may

make it more difficult to realize a profit from trading if replicating the suggested

trades.

OTC trades are established at market prices from independent trading desks in the

sales and trading department of Citigroup Global Markets Inc. or one of its

affiliates. Prices for listed positions are established on the listing exchange at the

time of the publication of the trade idea.

OTC positions are initiated and closed at the relevant bid/ask prices and are

marked at mid-market during the life of the trade. The prices reflect the closing

levels the day prior to publication. Listed positions are priced at end of day

settlement of previous day on the listing exchange.

When OTC market prices are not readily available, positions are priced to fair

market value, using techniques such as model or matrix pricing at time of

publication. Examples of products that are priced to fair market value may include

certain contractual commitments (ie, interest rate swaps, options, etc.).

Citi Research EM Local Currency Model Portfolio

Portfolio Objective

Provide returns in excess of the benchmark (Citi Research EM Local Currency GBI)

with a reasonable tracking error.

Portfolio Constraints

n No Cash: The portfolio will always be invested – i.e., no cash allowed.

n Leverage: No leverage allowed for cash, but FX exposure can be increased or

decreased using NDF’s/forwards.

n FX country limit: Maximum country exposure will be +/– 10 percentage points