Emerging Markets Rates and Currencies Handbook

• These auctions allow the Indicador Bancario de Referencia (IBR) to be close to the Intervention Rate. • The IBR is the short-term benchmark interest rate denominated in COP that reflects the price at which Banks are willing to offer or raise resources in the money market. • IBR is derived from the mid-rate provided in daily auctions by the eight selected participants. It is published in a daily basis by BanRep for one day, one month, three months, and six months tenors. • Regarding the term structure of interest rates: the Colombian economy manages two main yield curves of sovereign debt denominated in COP and Real Value Unit (UVR). • UVR is a unit tied to inflation certified by the central bank. It reflects the purchasing power of money based on CPI variations. This enables the UVR indexed bonds or titles to preserve their value, protecting the investor from inflation. FX Spot FX Forwards NDFs FX Options Interest Rate Swap Interest Rate Options XCCY swaps Market Overview Onshore Market      ✗  Offshore Market Onshore Volume (MM USD Daily) Offshore Volume (MM USD Daily) Onshore Max Tenor (Or Typical Tenor For Spot) Offshore Max Tenor (Or Typical Tenor For Spot) Onshore Typical Deal Size (MM USD) Offshore Typical Deal Size (MM USD) Onshore CitiFX Pulse Capabilities ✗ 900 - 1100 N/A T + 0 N/A 3 - 5 N/A  ✗ Included in NDFs N/A 2 years N/A 3 - 5 N/A   1100 - 1400 250 - 350 2 years 2 years 3 - 5 3 - 5   25 - 45 25 - 45 5 years 5 - 7 years but liquidity dries up above 2 years Included in offshore 20 - 30 ✗  10 - 20 170 - 180 10 years. Liquidity concentrated under 5 years mark 12 years. Liquidity concentrated under 5 years mark 10 - 20 30 - 50 ✗  N/A Low Liquidity N/A Up to 5y –low liquidity in all tenors NA 10 – 20 ✗  35 - 45 220 -225 15 years. Liquidity concentrated under 10 years mark 20 years. Liquidity concentrated under 10 years mark 10 -20 30- 50 ✗ Offshore CitiFX Pulse Capabilities ✗ ✗  ✗ ✗ ✗ ✗ Source: Citi indicative information Market opening hours and liquidity during the day Fixing The TRM (Tasa Representativa del Mercado) and the SETFX average are the two main benchmark rates used in the market: TRM: It is the daily weighted average of every reported USDCOP transaction traded during the previous business day by local market financial institutions, published by Superintendence of Finance at the end of the day (5pm). All transactions are reported by FX dealers to the central bank when the market closes. Bloomberg Ticker: < COP TRM Curncy>. SETFX Average: It is the daily weighted average of every transaction closed during market hours through the electronic interbank system (SETFX). The SETFX average is published at 1pm and is called Precio Fix Set-FX. Bloomberg Ticker: < CFXAVRG Index >. Regulation Non-Resident Restrictions: The “Declaración de Cambio” covers the purpose of FX