My experience with exchanging to foreign currencies so far has been that the banks are exchanging at a rate that’s as good as on par with the live Forex rates. Of all the banks I’ve exchanged at, Standard Chartered has been the closest to this rate, and believe it or not has been the rate on one occasion when exchanging to HKD.
Another thing I discovered recently was the benefit of using a bank draft for exchange. I went to Bank of China’s ‘International Transfer’ section of their head (Luomashi) branch, and exchanged RMB to an HKD bank draft at a dead on live rate. The fee for bank drafts is a 50 RMB minimum, or 1% of balance. Not bad at all. A bank draft sent by courier might often turn out to be faster than some direct banking transfers.