Emerging Markets Rates and Currencies Handbook

79 Citi | Emerging Markets Currencies Handbook 2021 Colombia Market opening hours and liquidity during the day 08.00 13.00 15.30 Good Liquidity No Liquidity Moderate Liquidity Fixing (incl. ticker) 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, 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 Offshore restrictions Clients looking to hedge an FX position offshore can only hedge through NDF or FXO. Spot is only traded onshore and the currency is only deliverable onshore. From a requirement standpoint, clients trading onshore have to provide the “Declaración de Cambio” (contains information required by the Central Bank, Banco de la Republica, for all FX transactions) to Citibank Colombia before the value date of the trade. Some market participants, like Citi, decided to voluntarily comply with the Self-regulatory Authority, Autorregulador del Mercado de Valores (AMV), rules, which follow the FX Global Code´s principles and establish the mandatory licensing of market traders and dealers. In addition, there are local regulations that demand the registration of the executed deals, in order to promote price transparency. Non-resident restrictions The “Declaración de Cambio” covers the purpose of FX transaction. License requirements There’s no specific requirements other than the “Declaración de Cambio” from the Central Bank. FX Spot FX Forwards NDFs FX Options Interest Rate Swap Interest Rate Options XCCY swaps Market Overview Onshore Offshore Onshore volume (MM USD daily) 900 — 1100 Included in NDFs 1100 — 1400 Included in offshore 10 — 20 N/A 35 — 45 Offshore volume (MM USD daily) N/A N/A 250 — 350 40 — 60 170 — 180 Low Liquidty 220 — 225 Onshore max tenor (or typical tenor for spot) T + 0 2 years 2 years 5 — 7 years but liquidity dries up above 2 years 10 years. Liquidity concentrated under 5 years mark N/A 15 years. Liquidity concentrated under 10 years mark Offshore max tenor (or typical tenor for spot) N/A N/A 2 years 5 — 7 years but liquidity dries up above 2 years 12 years. Liquidity concentrated under 5 years mark Up to 5y — low liquidity in all tenors 20 years. Liquidity concentrated under 10 years mark Onshore typical deal size (MM USD) 3 — 5 3 — 5 3 — 5 Included in offshore 10 — 20 NA 10 — 20 Offshore typical deal size (MM USD) N/A N/A 3 — 5 20 — 30 30 — 50 10 — 20 30 — 50 CitiFX Pulse Capabilities (onshore) CitiFX Pulse Capabilities (offshore) Source: Citi indicative information