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August 14, 2006

USERS GUIDE TO
CLP, COP AND PEN NDF DOCUMENTATION
EFFECTIVE AS OF AUGUST 1, 2006

TABLE OF CONTENTS
I.

INTRODUCTION

II.

TEMPLATE TERMS FOR CLP/USD, COP/USD AND PEN/USD NONDELIVERABLE FX TRANSACTIONS

III.

AMENDMENTS TO ANNEX A RATE SOURCE DEFINITIONS

IV.

INDICATIVE SURVEY RATE METHODOLOGIES

APPENDIX A
APPENDIX B
APPENDIX C
APPENDIX D
APPENDIX E
APPENDIX F
APPENDIX G

EMTA TEMPLATE TERMS FOR CLP/USD NON-DELIVERABLE


FX DOCUMENTATION
EMTA TEMPLATE TERMS FOR COP/USD NON-DELIVERABLE
FX DOCUMENTATION
EMTA TEMPLATE TERMS FOR PEN/USD NON-DELIVERABLE
FX DOCUMENTATION
AMENDMENTS TO ANNEX A RATE SOURCE DEFINITIONS
EMTA CLP INDICATIVE SURVEY RATE METHODOLOGY
EMTA COP INDICATIVE SURVEY RATE METHODOLOGY
EMTA PEN INDICATIVE SURVEY RATE METHODOLOGY

__________________
Copyright 2006 by EMTA, Inc.

_______________________________________
Trade Association for the Emerging Markets

www.emta.org

I.

INTRODUCTION

Over the last three years, EMTA, either alone or in partnership with other industry
organizations, has addressed the need for updated or new NDF documentation for ten
currency pairs 1 . With the August 1, 2006, introduction of the EMTA Template Terms for
CLP/USD, COP/USD and PEN/USD, standardized terms for all of the major currencies
that settle against the U.S. Dollar have been addressed. Notwithstanding, as markets
continually evolve, there likely will be a need in the future to address documentation for
other currencies with markets that gain liquidity or momentum, or that settle against a
non-dollar currency, and EMTA is prepared to turn its focus to those markets in a timely
fashion.
In developing standardized terms for non-deliverable FX transactions for the Chilean
Peso, the Colombian Peso and the Peruvian Sol (individually, the CLP Template, the
COP Template and the PEN Template, and collectively the 2006 Templates),
EMTA has been mindlful of the principles that have been carefully carved out by the
industry in an effort to promote documentation and settlement certainty, and to mitigate
concern over long-term market disruption. As always, these interests have been
carefully balanced with the circumstances of the local market and the interests of the
EMTA membership.
A brief overview of the standard terms for these three currencies shows the inclusion of
a 30-day deferral/valuation postponement, Price Source Disruption as the sole
Disruption Event and a fall-back survey mechanism to be activated in times of long-term
market disruption. In the case of these three templates, a decision was made to adopt
a relatively abbreviated list of disruption events and fallbacks based on an assessment
of the size and liquidity of the individual local markets, the stability of the primary rate
quote source in each market and the relatively low level of concern regarding market
manipulation issues in these three markets, as well as the administrative burden to
EMTA of building and maintaining a more elaborately tiered system.
The
documentation is reviewed in detail below.
Unless otherwise defined herein, terms used herein are used as defined in the 1998 FX
and Currency Option Definitions (the 1998 Definitions).
II.

TEMPLATE TERMS FOR CLP, COP AND PEN NON-DELIVERABLE FX


TRANSACTIONS

A.

The Primary Settlement Rate Options

Discussions regarding the Settlement Rate Options for these three currencies were
among the liveliest held by the working group and continued for many months. The
working group initially determined to examine whether the current market practice in
respect of each of these currencies for the primary settlement rate option should remain
1

These currency pairs are ARS/USD, BRL/USD, CNY/USD, IDR/USD, INR/USD, KRW/USD,
MYR/USD, PHP/USD, RUB/USD and TWD/USD.

lpj/CLPCOPPENUsersGuide

the same or should be changed. Current market practice at the time for the Chilean
Peso and the Colombian Peso was to look to an officially sponsored rate source for the
spot rate quotation as a valuation mechanism. The question was raised by the working
group of whether EMTA should explore an alternate industry or market-based rate
quotation source in lieu of an official source as the primary settlement rate option for
these currencies. Discussion was held regarding the stability of the quoting source for
each market, the vulnerability of each market to manipulation and the feasibility of
introducing a new, more market-based rate source quotation into current market
practice. Strong viewpoints were expressed by several traders in the working group
that, for these markets, the current market practice of looking to the official rate quote
was desirable, particularly in light of local market considerations; ultimately this
viewpoint prevailed and the documents were drafted accordingly. However, the working
group left open the possibility of returning to this issue in the future.
In the case of the Chilean Peso market, prevailing market practice then was to refer to
CLP04 as the primary settlement rate option. 2
CLP04 describes the Dollar
Observado rate quoted by the Banco Central de Chile. The ultimate determination was
to maintain current market practice, but to add a new rate source definition to Annex A
to describe this same rate. See the discussion of new CLP10 below in Section III.
In the case of the Colombian Peso, prevailing market practice was to fix contracts at
what is referred to as the TCRM rate which is quoted by the Colombian Financial
Superintendency (previously, the Colombian Banking Superintendency).
Market
participants, however, variously cited either COP01 or COP02 of Annex A to identify
this as the primary settlement rate option and so market practice in this regard was
mildly unsettled, at least at a documentation level. A determination was made to
confirm current market practiced of fixing on the TCRM rate but to recommend a
uniform reference in contracts to COP02, and to update the definition for this rate found
in Annex A. Thus, COP02 was amended in several respects and a more extended
discussion of these amendments can be found in Section III below.
In the Peruvian Sol market, the smallest and most illiquid of the three markets,
prevailing market practice had been to value contracts based upon a spot rate quotation
derived from the interbank market (see PEN01 and PEN02). Based upon concerns
regarding the vulnerability of this interbank rate quote to manipulation and a desire to
foster consistent practices across these three markets, a decision ultimately was made
by the working group to recommend a change in the primary settlement rate option for
PEN/USD non-deliverable FX transactions from PEN01 or PEN02 to a new rate,
PEN03, which involved preparing an entirely new rate source definition for inclusion in
Annex A. See Section III below for more detail on the rate source definition. The new
rate source definition describes an end of day, weighted average rate instead of a spot
rate as described in PEN01 and PEN02. This was felt by the working group to a more
stable, transparent rate, less subject to manipulation given the thinness of the New Sol
market and similar in methodology, broadly speaking, to the rate quotes for the Chilean
2

See EMTA FX and Currency Derivative Market Practice No. 30 dated March 21, 2003
addressing this.

lpj/CLPCOPPENUsersGuide

peso and the Colombian Peso, both of which involve a methodology that produces
some kind of average rate.
B.

Incorporating the Updated Definition of Settlement Date.

In May of 2006, EMTA recommended to its members that the definition of Settlement
Date that was found in all of the EMTA Template terms (including the 2004 Asian
Currency Template Terms co-sponsored by EMTA with the FXC and the SFEMC) be
amended to clarify the mechanics of the contract regarding an adjustment of the
Settlement Date following an adjustment to the Valuation Date. See EMTA FX and
Currency Derivatives Market Practice No. 39 dated May 17, 2006 3 . In accordance with
this Market Practice, each of the 2006 Templates includes this updated language.
C.

Price Source Disruption as the Only Disruption Event.

The only Disruption Event currently included is Price Source Disruption. This is in
contrast to the EMTA Template Terms for BRL/USD Non-Deliverable FX Transactions
where Price Materiality was included as a Price Source Disruption, but is similar to the
2004 Asian Currency Template Terms where it was not. The Template Terms for
ARS/USD and RUB/USD Non-Deliverable FX Transactions also do NOT include Price
Materiality, however, that is specifically because the primary settlement rate option in
each of those markets is an industry rate quote and not an official quote and so, the
concern regarding official intervention in the primary rate source does not exist for those
regions. While many traders felt that the appropriate course of action from the
perspective of documentary consistency and risk issues was to include Price Materiality
as a Disruption Event and to develop the necessary infrastructure, as a practical matter,
it was difficult to develop group consensus on the design of an appropriate architecture
for this infrastructure. Ultimately, it was determined that, given the relative small size of
these markets, the relative stability of at least the Chilean Peso and Colombian Peso
markets, and the time and effort it would require to produce a secondary rate source, it
was more important to finalize the 2006 Templates with an abbreviated waterfall of
Disruption Events in order to advance the important market interests of reducing
settlement and documentation risks and addressing the risk of long-term market
disruption for these markets, if on a slightly more abbreviated level than in Brazil.
D.

Valuation Postponement as the first Disruption Fallback.

The first Disruption Fallback is a Valuation Postponement period of 30 calendar days.


This follows EMTAs FX and Currency Derivatives Market Practice No. 32 dated June
23, 2003. Although the 2004 Asian Currency Templates incorporate a shorter period of
14 (plus three) days and Russia increased its market practice to 14 days (from eight) in
the summer of 2005, 30 calendar days is now consistent market practice for Latin
America.

Formerly referred to as NDF Market Practices this nomenclature was changed in late 2005 to
reflect the evolving and expanding nature of the FX markets for emerging market currencies.

lpj/CLPCOPPENUsersGuide

E.

Fallback Reference Price (an EMTA Indicative Survey Rate) as the next
succeeding Disruption Fallback.

For each of the CLP Template, the COP Template and the PEN Template, a Disruption
Fallback involving a rate quotation produced through a market survey sponsored by
EMTA has been added to the architecture. This follows the model adopted in 2003 for
ARS/USD Template Terms and has been included in every succeeding EMTA or EMTA
co-sponsored template terms. This mechanism was designed to provide the market
with a rate quotation that can function for long periods of time even in times of
significant market dislocation or illiquidity. As noted above, notwithstanding the Brazil
model, a determination was made to default directly to an Indicative Survey as a backup rate quotation mechanism directly following the lapse of a 30-day deferral or
valuation postponement period, based upon an assessment of the size of the market for
each of these markets, the nature of the local market and the administrative cost to
EMTA of building and maintaining a more complex infrastructure.
F.

Calculation Agent Determination as the final Disruption Fallback.

Calculation Agent Determination is retained as the final Disruption Fallback in


recognition of the fact that once market-oriented options for objective rate quotation
sources have been exhausted, and the markets have all but ceased to function, parties
to any outstanding contracts at that time will still need to value and close out their
remaining transactions. In these limited circumstances, reliance on Calculation Agent
Determination does not present the concern regarding systemic basis risk to the market
that fueled the overhaul of the EMTA Templates that began in 2002 with the ARS
Template, and so continues to be useful as a final valuation mechanism.
G.

Deferral Period for Unscheduled Holiday.

As noted above in Paragraph D, 30 calendar days is confirmed as the number of days


parties may postpone valuation of their contracts in the event of a market disruption.
The same number of days will be observed in the event of an Unscheduled Holiday
where valuation will be deferred by the parties. As noted above, this is consistent
market practice for Latin America. The calendar day after the lapse of the Deferral
Period will be deemed to be the Valuation Date, and a Spot Rate may be determined for
the contract based upon a rate quotation determined pursuant to the Indicative Survey.
H.

New York City as a Relevant City for Business Day for Valuation Date.

New York AND the primary financial center for each of the COP, CLP and PEN local
markets are included as Business Days for Valuation Date purposes. This follows
prevailing market practice on this issue and clears up any remaining market uncertainty.

lpj/CLPCOPPENUsersGuide

I.

Endnotes.

The endnotes adopted for the CLP, COP and PEN Template Terms are substantially
similar to the endnotes that appear in other EMTA template terms.
II.

AMENDMENTS TO ANNEX A RATE SOURCE DEFINITIONS

In connection with the adoption of the 2006 Templates, both amendments to and new
rate source definitions for Annex A of the 1998 Definitions were needed. New rate
source definitions for the indicative source rate quotes for each of CLP, COP and PEN
were drafted, new rate source definitions were developed for the CLP and PEN primary
settlement rate options and the COP primary settlement rate option definition was
updated.
Changes made to the primary rate source definitions, whether through amendment or
de novo drafting, were made not only to correct minor problems, but also with a key
principle in mind: to lessen the vulnerability of the rate source definition to technical
adjustments in the electronic screens, by divorcing the definition from a provider screen
or page and, instead, emphasizing a reliance on the rate quote as and if provided by the
authoritative source.
CLP DOLAR OBS or CLP10 is a new rate source definition. A definition for this rate,
the Chilean Dollar Observado Rate, already exists in Annex A (see CLP04), but in a
formulation that was unsatisfactory to many EMTA traders. A technical problem with
the Reuters screen on which the rate is hosted may raise the question of whether a
valid rate quote existed for that day 4 . Thus, a new rate definition of CLP10 was
prepared which cites the authoritative source of the rate, in this case the Banco Central
de Chile. A practitioners note has been included with the definition to clarify that if the
Banco Central de Chile quotes the Dollar Observado rate on a Valuation Date, that rate
is the Spot Rate to be used by the parties whether the parties choose to access the rate
quotation on the quoting entitys website or on a commercial providers page such as
Reuters or Bloomberg.
The COP TRM or COP02 rate is an amendment of a rate source definition already
found in Annex A. The amendments were made to correct some minor spelling errors,
to refer to include reference to both the TRM and the TCRM as they are the same rate,
to update the posting and to likewise include a reference to the quoting entitys website,
reflecting an increasing use by the market of the quoting entitys website as a, but not
the exclusive, reference point. Again, a practitioners note on this point is included for
the avoidance of doubt.
PEN WT AVE or PEN03 is both a new rate source for the market and a new rate
source definition for the 1998 Definitions. This rate was identified by the traders in the
4

In early 2003, the Reuters page on which the Observado rate was posted necessitating a
change in market practice for the primary settlement rate option. See EMTA FX and Currency
Derivative Market Practice No. 30.

lpj/CLPCOPPENUsersGuide

EMTA working group as an attractive alternative to the fixing rate currently used by the
Peruvian spot and offshore NDF markets in that it represents an end-of day weighted
average market rate that is less susceptible to market manipulation in what is an
already thin local market. The definition describes the rate, refers to the quoting entitys
website in parallel with the above two definitions and includes a practice note clarifying
that the compra y venta (bid and offer) rates posted by the quoting entity must to be
averaged to produce a midpoint rate which will then be rounded to the fourth decimal to
produce the Spot Rate that can be used by the market to value contracts. This rate was
felt by the working group to be more transparent potentially fostering the development
greater investor confidence in the PEN market.
An Indicative Survey Rate rate source definition has been included in Annex A for each
of the Chilean Peso (CLP11), the Colombian Peso (COP03) and the Peruvian Sol
(PEN04). These definitions are substantially similar to the definitions for all other EMTA
sponsored indicative survey rates currently found in Annex A, incorporating, among
other things, the concepts of an underlying written methodology, discovery of an
indicative rate quote and survey of onshore and offshore market participants to discover
the rate. See e.g., the EMTA ARS Indicative Survey Rate (ARS02), the EMTA BRL
Indicative Survey Rate (BRL12) and the EMTA RUB Indicative Survey Rate (RUB02).
III.

INDICATIVE SURVEY RATE METHODOLOGIES

The Indicative Survey Rate Methodologies are based on other existing EMTAsponsored survey methodologies with minor changes to accommodate local market
conditions and start-up mechanisms in each case. For a more in-depth discussion of
these methodologies, see any of the EMTA Users Guides for NDF Documentation.
(e.g., the ARS Users Guide or the RUB Users Guide) found on EMTAs website.

lpj/CLPCOPPENUsersGuide

APPENDIX A

August 1, 2006

EMTA TEMPLATE TERMS


for
CLP/USD Non-Deliverable FX Transactions
General Terms:
Trade Date:
[Date of Annex A] 1 :
Reference Currency:
[Notional Amount] 2 :
[Forward Rate]2:
[Reference Currency Notional
Amount]2:
Reference Currency Buyer:
Reference Currency Seller:
Settlement Currency:
U.S. Dollars
3
Settlement Date :
[DATE
CERTAIN],
subject
to
adjustment if the Scheduled Valuation
Date is adjusted in accordance with the
Following Business Day convention or
if Valuation Postponement applies, and
in each such case, the Settlement Date
shall be as soon as practicable, but in
no event later than two Business Days
after the date on which the Spot Rate is
determined.
Settlement:
Settlement Rate Option:
Valuation Date 4 :

Applicable Disruption Events:


Price Source Disruption:

LPJ/CLPTemplate

Non-Deliverable
CLP DLAR OBS (CLP10)
[DATE
CERTAIN]
(Scheduled
Valuation Date"), subject to adjustment
in accordance with the Preceding
Business Day Convention; provided
however, that, in the event of an
Unscheduled Holiday, subject to
adjustment in accordance with the
Following Business Day Convention.

Applicable

Application Disruption Fallbacks:


Valuation Postponement:
Fallback Reference Price:

EMTA CLP Indicative Survey Rate


(CLP11) 5 , 6

Calculation Agent Determination


of Settlement Rate:
Other Terms:
Definition
of
Unscheduled Unscheduled Holiday means that a
Holiday
day is not a Business Day and the
market was not aware of such fact (by
means of a public announcement or by
reference to other publicly available
information) until a time later than 9:00
a.m. local time in the Principal
Financial Center(s) of the Reference
Currency two Business Days prior to
the Scheduled Valuation Date.
Deferral
Period
Unscheduled Holiday:

for In the event the Scheduled Valuation


Date becomes subject to the Following
Business Day Convention after the
occurrence of an Unscheduled Holiday,
and if the Valuation Date has not
occurred on or before the 30th
consecutive day after the Scheduled
Valuation Date (any such period being
a Deferral Period), then the next day
after the Deferral Period that would
have been a Business Day but for the
Unscheduled Holiday, shall be deemed
to be the Valuation Date.

Valuation Postponement
Price Source Disruption:

for Valuation Postponement means, for


purposes of obtaining a Settlement
Rate, that the Spot Rate will be
determined on the Business Day first
succeeding the day on which the Price
Source Disruption ceases to exist,
unless the Price Source Disruption
continues to exist (measured from the
date, that, but for the occurrence of the
Price Source Disruption, would have
been the Valuation Date) for a
consecutive number of calendar days
equal to the Maximum Days of
Postponement. In such event, the Spot
Rate will be determined on the next
Business Day after the Maximum Days
of Postponement in accordance with
the next applicable Disruption Fallback.
2

Cumulative Events:

Notwithstanding anything herein to the


contrary, in no event shall the total
number of consecutive calendar days
during which either (i) valuation is
deferred due to an Unscheduled Holiday,
or (ii) a Valuation Postponement shall
occur (or any combination of (i) and (ii)),
exceed 30 consecutive calendar days in
the aggregate. Accordingly, (x) if, upon
the lapse of any such 30 day period, an
Unscheduled
Holiday
shall
have
occurred or be continuing on the day
following such period, then such day
shall be deemed to be a Valuation Date,
and (y) if, upon the lapse of any such 30
day period, a Price Source Disruption
shall have occurred or be continuing on
the day following such period, then
Valuation Postponement shall not apply
and the Spot Rate shall be determined in
accordance with the next Disruption
Fallback.
Thirty (30) calendar days

Maximum Days of
Postponement:
Relevant Cities for Business Day New York and Santiago
for Valuation Date:
Relevant City for Business Day New York
for Settlement Date:
Calculation Agent 7 :

ENDNOTES
1

Only include if parties wish to modify the presumption that Annex A is


incorporated as amended through the Trade Date.

Parties must specify either (a) a Notional Amount and a Reference Currency
Notional Amount or (b) a Forward Rate and either a Notional Amount or a
Reference Currency Notional Amount.

A date certain must be specified for Settlement Date.

A date certain must be specified for Valuation Date.

The EMTA CLP Indicative Survey Rate is determined pursuant to the EMTA CLP
Indicative Survey Rate Methodology dated as of August 1, 2006.

[Quoting Dealer Disclaimer:]


The parties acknowledge that one or both parties to this Transaction acting
directly or through a branch or an affiliate may be requested to provide a
quotation or quotations from time to time for the purpose of determining the
EMTA CLP Indicative Survey Rate and such quotation may affect, materially or
otherwise, the settlement of the Transaction.

The following may be applicable for inter-dealer trades where parties agree to be
Joint Calculation Agents:
Calculation Agents: Party A and Party B
If the parties are unable to agree on a determination within one Business Day,
each party agrees to be bound by the determination of an independent leading
dealer in Reference Currency/Settlement Currency Transactions not located in
the Reference Currency jurisdiction (independent leading dealer), mutually
selected by the parties, who shall act as the substitute Calculation Agent, with
the fees and expenses of such substitute Calculation Agent (if any) to be met
equally by the parties. If the parties are unable to agree on an independent
leading dealer to act as substitute Calculation Agent, each party shall select an
independent leading dealer and such independent dealers shall agree on an
independent third party who shall be deemed to be the substitute Calculation
Agent.

APPENDIX B

August 1, 2006

EMTA TEMPLATE TERMS


for
COP/USD Non-Deliverable FX Transactions
General Terms:
Trade Date:
[Date of Annex A] 1 :
Reference Currency:
[Notional Amount] 2 :
[Forward Rate]2:
[Reference Currency Notional
Amount]2:
Reference Currency Buyer:
Reference Currency Seller:
Settlement Currency:
U.S. Dollars
3
Settlement Date :
[DATE
CERTAIN],
subject
to
adjustment if the Scheduled Valuation
Date is adjusted in accordance with the
Following Business Day convention or
if Valuation Postponement applies, and
in each such case, the Settlement Date
shall be as soon as practicable, but in
no event later than two Business Days
after the date on which the Spot Rate is
determined.
Settlement:
Settlement Rate Option:
Valuation Date 4 :

Applicable Disruption Events:


Price Source Disruption:

Lpj/COPTemplate

Non-Deliverable
COP TRM (COP02)
[DATE
CERTAIN]
(Scheduled
Valuation Date"), subject to adjustment
in accordance with the Preceding
Business Day Convention; provided
however, that, in the event of an
Unscheduled Holiday, subject to
adjustment in accordance with the
Following Business Day Convention.

Applicable

Application Disruption Fallbacks:


Valuation Postponement:
Fallback Reference Price:

EMTA COP Indicative Survey Rate


(COP03) 5 , 6

Calculation Agent Determination


of Settlement Rate:
Other Terms:
Definition
of
Unscheduled Unscheduled Holiday means that a
Holiday
day is not a Business Day and the
market was not aware of such fact (by
means of a public announcement or by
reference to other publicly available
information) until a time later than 9:00
a.m. local time in the Principal
Financial Center(s) of the Reference
Currency two Business Days prior to
the Scheduled Valuation Date.
Deferral
Period
Unscheduled Holiday:

for In the event the Scheduled Valuation


Date becomes subject to the Following
Business Day Convention after the
occurrence of an Unscheduled Holiday,
and if the Valuation Date has not
occurred on or before the 30th
consecutive day after the Scheduled
Valuation Date (any such period being
a Deferral Period), then the next day
after the Deferral Period that would
have been a Business Day but for the
Unscheduled Holiday, shall be deemed
to be the Valuation Date.

Valuation Postponement
Price Source Disruption:

for Valuation Postponement means, for


purposes of obtaining a Settlement
Rate, that the Spot Rate will be
determined on the Business Day first
succeeding the day on which the Price
Source Disruption ceases to exist,
unless the Price Source Disruption
continues to exist (measured from the
date, that, but for the occurrence of the
Price Source Disruption, would have
been the Valuation Date) for a
consecutive number of calendar days
equal to the Maximum Days of
Postponement. In such event, the Spot
Rate will be determined on the next
Business Day after the Maximum Days
of Postponement in accordance with
the next applicable Disruption Fallback.
2

Cumulative Events:

Notwithstanding anything herein to the


contrary, in no event shall the total
number of consecutive calendar days
during which either (i) valuation is
deferred due to an Unscheduled Holiday,
or (ii) a Valuation Postponement shall
occur (or any combination of (i) and (ii)),
exceed 30 consecutive calendar days in
the aggregate. Accordingly, (x) if, upon
the lapse of any such 30 day period, an
Unscheduled
Holiday
shall
have
occurred or be continuing on the day
following such period, then such day
shall be deemed to be a Valuation Date,
and (y) if, upon the lapse of any such 30
day period, a Price Source Disruption
shall have occurred or be continuing on
the day following such period, then
Valuation Postponement shall not apply
and the Spot Rate shall be determined in
accordance with the next Disruption
Fallback.
Thirty (30) calendar days

Maximum Days of
Postponement:
Relevant Cities for Business Day New York and Bogot
for Valuation Date:
Relevant City for Business Day New York
for Settlement Date:
Calculation Agent 7 :

ENDNOTES
1

Only include if parties wish to modify the presumption that Annex A is


incorporated as amended through the Trade Date.

Parties must specify either (a) a Notional Amount and a Reference Currency
Notional Amount or (b) a Forward Rate and either a Notional Amount or a
Reference Currency Notional Amount.

A date certain must be specified for Settlement Date.

A date certain must be specified for Valuation Date.

The EMTA COP Indicative Survey Rate is determined pursuant to the EMTA
COP Indicative Survey Rate Methodology dated as of August 1, 2006.

[Quoting Dealer Disclaimer:]


The parties acknowledge that one or both parties to this Transaction acting
directly or through a branch or an affiliate may be requested to provide a
quotation or quotations from time to time for the purpose of determining the
EMTA COP Indicative Survey Rate and such quotation may affect, materially or
otherwise, the settlement of the Transaction.

The following may be applicable for inter-dealer trades where parties agree to be
Joint Calculation Agents:
Calculation Agents: Party A and Party B
If the parties are unable to agree on a determination within one Business Day,
each party agrees to be bound by the determination of an independent leading
dealer in Reference Currency/Settlement Currency Transactions not located in
the Reference Currency jurisdiction (independent leading dealer), mutually
selected by the parties, who shall act as the substitute Calculation Agent, with
the fees and expenses of such substitute Calculation Agent (if any) to be met
equally by the parties. If the parties are unable to agree on an independent
leading dealer to act as substitute Calculation Agent, each party shall select an
independent leading dealer and such independent dealers shall agree on an
independent third party who shall be deemed to be the substitute Calculation
Agent.

APPENDIX C

August 1, 2006

EMTA TEMPLATE TERMS


for
PEN/USD Non-Deliverable FX Transactions
General Terms:
Trade Date:
[Date of Annex A] 1 :
Reference Currency:
[Notional Amount] 2 :
[Forward Rate]2:
[Reference Currency Notional
Amount]2:
Reference Currency Buyer:
Reference Currency Seller:
Settlement Currency:
U.S. Dollars
3
Settlement Date :
[DATE
CERTAIN],
subject
to
adjustment if the Scheduled Valuation
Date is adjusted in accordance with the
Following Business Day convention or
if Valuation Postponement applies, and
in each such case, the Settlement Date
shall be as soon as practicable, but in
no event later than two Business Days
after the date on which the Spot Rate is
determined. 4
Settlement:
Settlement Rate Option:
Valuation Date 5 :

Applicable Disruption Events:


Price Source Disruption:

Lpj/PENTemplate

Non-Deliverable
PEN WT AVE (PEN03)
[DATE
CERTAIN]
(Scheduled
Valuation Date"), subject to adjustment
in accordance with the Preceding
Business Day Convention; provided
however, that, in the event of an
Unscheduled Holiday, subject to
adjustment in accordance with the
Following Business Day Convention.

Applicable

Application Disruption Fallbacks:


Valuation Postponement:
Fallback Reference Price:

EMTA PEN Indicative Survey Rate


(PEN04) 6 , 7

Calculation Agent Determination


of Settlement Rate:
Other Terms:
Definition
of
Unscheduled Unscheduled Holiday means that a
Holiday
day is not a Business Day and the
market was not aware of such fact (by
means of a public announcement or by
reference to other publicly available
information) until a time later than 9:00
a.m. local time in the Principal
Financial Center(s) of the Reference
Currency two Business Days prior to
the Scheduled Valuation Date.
Deferral
Period
Unscheduled Holiday:

for In the event the Scheduled Valuation


Date becomes subject to the Following
Business Day Convention after the
occurrence of an Unscheduled Holiday,
and if the Valuation Date has not
occurred on or before the 30th
consecutive day after the Scheduled
Valuation Date (any such period being
a Deferral Period), then the next day
after the Deferral Period that would
have been a Business Day but for the
Unscheduled Holiday, shall be deemed
to be the Valuation Date.

Valuation Postponement
Price Source Disruption:

for Valuation Postponement means, for


purposes of obtaining a Settlement
Rate, that the Spot Rate will be
determined on the Business Day first
succeeding the day on which the Price
Source Disruption ceases to exist,
unless the Price Source Disruption
continues to exist (measured from the
date, that, but for the occurrence of the
Price Source Disruption, would have
been the Valuation Date) for a
consecutive number of calendar days
equal to the Maximum Days of
Postponement. In such event, the Spot
Rate will be determined on the next
Business Day after the Maximum Days
of Postponement in accordance with
the next applicable Disruption Fallback.
2

Cumulative Events:

Notwithstanding anything herein to the


contrary, in no event shall the total
number of consecutive calendar days
during which either (i) valuation is
deferred due to an Unscheduled Holiday,
or (ii) a Valuation Postponement shall
occur (or any combination of (i) and (ii)),
exceed 30 consecutive calendar days in
the aggregate. Accordingly, (x) if, upon
the lapse of any such 30 day period, an
Unscheduled
Holiday
shall
have
occurred or be continuing on the day
following such period, then such day
shall be deemed to be a Valuation Date,
and (y) if, upon the lapse of any such 30
day period, a Price Source Disruption
shall have occurred or be continuing on
the day following such period, then
Valuation Postponement shall not apply
and the Spot Rate shall be determined in
accordance with the next Disruption
Fallback.
Thirty (30) calendar days

Maximum Days of
Postponement:
Relevant Cities for Business Day New York and Lima
for Valuation Date:
Relevant City for Business Day New York
for Settlement Date:
Calculation Agent 8 :

ENDNOTES
1

Only include if parties wish to modify the presumption that Annex A is


incorporated as amended through the Trade Date.

Parties must specify either (a) a Notional Amount and a Reference Currency
Notional Amount or (b) a Forward Rate and either a Notional Amount or a
Reference Currency Notional Amount.

A date certain must be specified for Settlement Date.

Onshore practice may observe a shorter settlement cycle convention for


PEN/USD transactions.

A date certain must be specified for Valuation Date.

The EMTA PEN Indicative Survey Rate is determined pursuant to the EMTA
PEN Indicative Survey Rate Methodology dated as of August 1, 2006.

[Quoting Dealer Disclaimer:]


The parties acknowledge that one or both parties to this Transaction acting
directly or through a branch or an affiliate may be requested to provide a
quotation or quotations from time to time for the purpose of determining the
EMTA PEN Indicative Survey Rate and such quotation may affect, materially or
otherwise, the settlement of the Transaction.

The following may be applicable for inter-dealer trades where parties agree to be
Joint Calculation Agents:
Calculation Agents: Party A and Party B
If the parties are unable to agree on a determination within one Business Day,
each party agrees to be bound by the determination of an independent leading
dealer in Reference Currency/Settlement Currency Transactions not located in
the Reference Currency jurisdiction (independent leading dealer), mutually
selected by the parties, who shall act as the substitute Calculation Agent, with
the fees and expenses of such substitute Calculation Agent (if any) to be met
equally by the parties. If the parties are unable to agree on an independent
leading dealer to act as substitute Calculation Agent, each party shall select an
independent leading dealer and such independent dealers shall agree on an
independent third party who shall be deemed to be the substitute Calculation
Agent.

APPENDIX D

360 Madison Ave., 18th fl.


New York, NY 10017
646 637-9100
646 637-9128 Fax

Effective as of August 1, 2006, Annex A is amended to add new Sections 4.5(c)(iii)(G)


and (H), to amend Section 4.5(c)(iv)(B) and add new Section 4.5(c)(iv)(C), and to add
new Sections 4.5(c)(vii)(C) and (D), as follows:
(iii) Chilean Peso
(G) CLP DLAR OBS or CLP10 each means that the Spot Rate for a
Rate Calculation Date will be the Chilean Peso/U.S. Dollar observado rate,
expressed as the amount of Chilean Pesos per one U.S. Dollar, for settlement in
one Business Day reported by the Banco Central de Chile (www.bcentral.cl) as
the Dlar Observado (Dollar Observado) rate by not later than 10:30 a.m.,
Santiago time, on the first Business Day following that Rate Calculation Date.
(H) EMTA CLP INDICATIVE SURVEY RATE or CLP11 each means
that the Spot Rate for a Rate Calculation Date will be the Chilean Peso/U.S.
Dollar Specified Rate for U.S. Dollars, expressed as the amount of Chilean
Pesos per one U.S. Dollar, for settlement on the same day, as published on
EMTAs web site (www.emta.org) at approximately 11:00 a.m., Santiago time, or
as soon thereafter as practicable, on such Rate Calculation Date. The Spot Rate
shall be calculated by EMTA (or a service provider EMTA may select in its sole
discretion) pursuant to the EMTA CLP Indicative Survey Methodology (which
means a methodology, dated as of August 1, 2006, as amended from time to
time, for a centralized industry-wide survey of financial institutions that are active
participants in the Chilean Peso/U.S. Dollar markets for the purpose of
determining the EMTA CLP Indicative Survey Rate).
(iv) Colombian Peso
(B) COP TRM or COP02 each means that the Spot Rate for a Rate
Calculation Date will be the Colombian Peso/U.S. Dollar fixing rate, expressed as

_______________________________________
Trade Association for the Emerging Markets

www.emta.org

the amount of Colombian Pesos per one U.S. Dollar, for settlement on the same
day reported by the Colombian Financial Superintendency (www.banrep.gov.co)
as the Tasa Representativa del Mercado (TRM) (also referred to as the Tasa
de Cambio Representativa del Mercado (TCRM)) by not later than 10:30 a.m.,
Bogot time, on the first Business Day following that Rate Calculation Date.
(C) EMTA COP INDICATIVE SURVEY RATE or COP03 each means
that the Spot Rate for a Rate Calculation Date will be the Colombian Peso/U.S.
Dollar Specified Rate for U.S. Dollars, expressed as the amount of Colombian
Pesos per one U.S. Dollar, for settlement on the same day, as published on
EMTAs web site (www.emta.org) at approximately 11:30 a.m., Bogot time, or
as soon thereafter as practicable, on such Rate Calculation Date. The Spot Rate
shall be calculated by EMTA (or a service provider EMTA may select in its sole
discretion) pursuant to the EMTA COP Indicative Survey Methodology (which
means a methodology, dated as of August 1, 2006, as amended from time to
time, for a centralized industry-wide survey of financial institutions that are active
participants in the Colombian Peso/U.S. Dollar markets for the purpose of
determining the EMTA COP Indicative Survey Rate).
(vii) Peruvian Sol
(C) PEN WT AVE or PEN03 each means that the Spot Rate for a Rate
Calculation Date will be the midpoint of the Peruvian Sol/U.S. Dollar closing
weighted average bid and offer (compra y venta) exchange rates expressed as
the amount of Peruvian New Soles per one U.S. Dollar for settlement on the
same day, reported by the Superintendencia de Banca, Seguros y AFP
(www.sbs.gob.pe) of the Republic of Peru at approximately 5:00 p.m., Lima time,
on that Rate Calculation Date.
(D) EMTA PEN INDICATIVE SURVEY RATE or PEN04 each means
that the Spot Rate for a Rate Calculation Date will be the Peruvian Sol/U.S.
Dollar Specified Rate for U.S. Dollars, expressed as the amount of Peruvian
Soles per one U.S. Dollar, for settlement on the same day, as published on
EMTAs web site (www.emta.org) at approximately 11:00 a.m., Lima time, or as
soon thereafter as practicable, on such Rate Calculation Date. The Spot Rate
shall be calculated by EMTA (or a service provider EMTA may select in its sole
discretion) pursuant to the EMTA PEN Indicative Survey Methodology (which
means a methodology, dated as of August 1, 2006, as amended from time to
time, for a centralized industry-wide survey of financial institutions that are active
participants in the Peruvian Sol/U.S. Dollar markets for the purpose of
determining the EMTA PEN Indicative Survey Rate).

Practitioners Notes:

Each of the CLP10, COP02, and PEN03 rate source definitions refer to an
authoritative source for the rate source quote for purposes of clarity in the event
of a dispute. A reference to the website of the quoting or sponsoring entity is
included as additional information but may not be the exclusive place of
publication for the rate quote, which may also be published or hosted by one or
more information vendors.

PEN03 describes a midpoint rate, to be calculated by market participants based


upon the compra y venta (bid and offer) rates published by the Superintendencia
de Banca, Seguros y AFP, rounded to the fourth decimal point (e.g., 1.0000).

The CLP DLAR OBS (CLP10) rate is also currently published on Reuters Page
CLPOB= and Bloomberg Page PCRCDOOB.

The COP TRM (COP02) rate is also currently published on Reuters Page
CO/COLO3 and Bloomberg Page TRM.

The PEN WT AVE (PEN03) rate is also currently published on Reuters Page
PDSB and on Bloomberg Page PSSO.

Parties that specify in confirmations that a particular version of Annex A applies


to their trades should reference Annex A effective as of August 1, 2006 if they
desire to incorporate the new Chilean Peso, Colombian Peso or Peruvian Sol
rate source definitions into their trades. If parties do not specify in their
confirmations a particular version of Annex A, the above rate source definitions
will apply to trades that incorporate the 1998 FX and Currency Option Definitions
and have a trade date on or after August 1, 2006.

APPENDIX E

EMTA CLP Indicative Survey Rate Methodology


Dated as of August 1, 2006
Capitalized terms not defined below are defined in the 1998 FX and Currency Option
Definitions as published by the International Swaps and Derivatives Association, Inc.
EMTA, Inc. and the Foreign Exchange Committee.
I.

The EMTA CLP Indicative Survey

Commencing the Indicative Survey: (A) on any Business Day on which a


Price Source Disruption has occurred or is continuing OR (B) on any
Valuation Date that is NOT a Business Day (or that would have been a
Business Day but for the occurrence of an Unscheduled Holiday), and in each
case following the lapse of a 30 calendar day period during which the primary
settlement rate option shall have been continuously unavailable and as a
consequence valuation shall have been deferred or postponed, upon receipt
of a Valid Survey Request, EMTA (or a service provider EMTA shall select in
its sole discretion) shall conduct a survey of financial institutions for the
purpose of determining the EMTA CLP Indicative Survey Rate for that day.

Valid Survey Request: A Valid Survey Request is a request received by


EMTA from not less than two unaffiliated EMTA members not later than 5
business days before the contemplated start of the Survey.

Polled Banks: For purposes of determining the EMTA CLP Indicative Survey
Rate for any Valuation Date, at approximately 11:00 a.m. (Santiago time 1 ),
EMTA (or a service provider EMTA may select in its sole discretion) shall
survey no more than 30 randomly selected financial institutions that are active
participants in the Chilean Peso / U.S. Dollar market (each, a Participating
Bank).

Survey Question: Each Participating Bank will be asked to provide its


reasonable judgment of what is (or, in the case of an Unscheduled Holiday,
would be) the current prevailing free market Chilean Peso spot rate (bid-offer
pair) for a standard size Chilean Peso/U.S. Dollar wholesale financial
transaction for same-day settlement in the Chilean marketplace on the
Valuation Date. In arriving at this indicative quotation, survey participants will
be directed to take such factors into consideration as they deem appropriate,
which factors may (but need not) include any or all of the following: the spot
rate(s) implied in the offshore non-deliverable foreign exchange market for
Chilean Peso/U.S. Dollar transactions; the spot rate implied by any other
financial market transactions (to the extent that such other financial markets
are open for business); the spot rate used in connection with any commercial

New York time is 2 hours behind Santiago time when it is Standard Time in New York and Daylight
Savings Time in Santiago; New York time and Santiago Time are the same when it is Standard Time in
Santiago and Daylight Savings Time in New York; New York time is 1 hour behind Santiago time when it
is Standard Time in both Santiago and New York and when it is Daylight Savings time in both Santiago
and New York.

lpj/CLPIndicativeMeth

transactions for goods or services from offshore suppliers or providers; any


existing rate for trade finance transactions; and any other existing unofficial
rate for Chilean Peso / U.S. Dollar transactions (commercial or otherwise).
II.

Calculation Methodology

EMTA will determine the mid-point of each bid-offer pair. The arithmetic
mean of the mid-points will be used to determine the CLP Indicative Survey
Rate, rounded to the fourth decimal point as described below.

If the CLP Indicative Survey results in 21 or more responses, then the 4


highest and 4 lowest mid-points will be eliminated, and the arithmetic mean
of the remaining mid-points shall be computed and will constitute the CLP
Indicative Survey Rate for such Valuation Date. For purposes of eliminating
the 4 highest and 4 lowest mid-points, if more than 4 mid-points have the
same highest value or lowest value, then only 4 such mid-points shall be
eliminated

If the CLP Indicative Survey results in less than 21 but 12 or more


responses, then the 2 highest and 2 lowest mid-points will be eliminated, and
the arithmetic mean of the remaining mid-points shall be computed and will
constitute the CLP Indicative Survey Rate for such Valuation Date. For
purposes of eliminating the 2 highest and 2 lowest mid-points, if more than 2
mid-points have the same highest value or lowest value, then only 2 such
mid-points shall be eliminated.

If the CLP Indicative Survey results in less than 12 but 10 or more


responses, then the highest and the lowest rate will be eliminated and the
arithmetic mean of the remaining midpoints shall be computed and will
constitute the CLP Indicative Survey Rate for such Valuation Date. For
purposes of eliminating the highest and lowest mid-points, if more than 1
mid-point has the same highest value or lowest value, then only 1 such midpoint shall be eliminated.

If the CLP Indicative Survey results in less than 10 but 8 or more responses,
then no mid-point will be eliminated and the arithmetic mean of all mid-points
obtained shall be computed and will constitute the CLP Indicative Survey
Rate for such Valuation Date.

Quotes shall be provided to the fourth decimal point (e.g., 10000).

LPJ/CLPIndicativeMeth

III.

Insufficient Responses

IV.

V.

If the CLP Indicative Survey results in less than 8 responses from


Participating Banks, no CLP Indicative Survey Rate will be available for the
relevant Valuation Date.

CLP Indicative Survey Rate Publication

The CLP Indicative Survey Rate will be published on EMTAs web site
(www.emta.org) (the Publication Site) by approximately 12:00 p.m.
(Santiago time), or as soon thereafter as practicable, on the Valuation Date.

As soon as it is determined that the CLP Indicative Survey will result in


Insufficient Responses, a notice that no CLP Indicative Survey is available
for the Valuation Date shall be published on the Publication Site.

Discontinuing the CLP Indicative Survey


The CLP Indicative Survey will be discontinued (a) following the publication of a
CLP DOLAR OBS Rate (CLP10) (or any successor primary settlement rate
option) on any Valuation Date or (b) on the third day following polling for the CLP
Indicative Survey Rate that results in less than 8 responses for more than two
consecutive polling days. Notwithstanding the foregoing, nothing herein shall be
construed to prevent EMTA from re-initiating the CLP Indicative Survey at an
appropriate time in the future.
A notice that the CLP Indicative Survey has been discontinued will be published
on the Publication Site.

VI.

Amendments to the Methodology


EMTA may, in its discretion, from time to time, make such administrative,
procedural or other modifications to this Methodology as are appropriate to
ensure the continued operation and integrity of the CLP Indicative Survey.

VII.

Disclaimer
EMTA (and any service provider EMTA may select) disclaim liability for the CLP
Indicative Survey Rate, and no representation or warranty, express or implied, is
made concerning the CLP Indicative Survey Rate (including, without limitation,
the methodology for determining the CLP Indicative Survey Rate and its
suitability for any particular use).

LPJ/CLPIndicativeMeth

APPENDIX F

EMTA COP Indicative Survey Rate Methodology


Dated as of August 1, 2006
Capitalized terms not defined below are defined in the 1998 FX and Currency Option
Definitions as published by the International Swaps and Derivatives Association, Inc.
EMTA, Inc. and the Foreign Exchange Committee.
I.

The EMTA COP Indicative Survey

Commencing the Indicative Survey: (A) on any Business Day on which a


Price Source Disruption has occurred or is continuing OR (B) on any
Valuation Date that is NOT a Business Day (or that would have been a
Business Day but for the occurrence of an Unscheduled Holiday), and in each
case following the lapse of a 30 calendar day period during which the primary
settlement rate option shall have been continuously unavailable and as a
consequence valuation shall have been deferred or postponed, upon receipt
of a Valid Survey Request, EMTA (or a service provider EMTA shall select in
its sole discretion) shall conduct a survey of financial institutions for the
purpose of determining the EMTA COP Indicative Survey Rate for that day.

Valid Survey Request: A Valid Survey Request is a request received by


EMTA from not less than two unaffiliated EMTA members not later than 5
business days before the contemplated start of the Survey.

Polled Banks: For purposes of determining the EMTA COP Indicative Survey
Rate for any Valuation Date, at approximately 11:30 a.m. (Bogot time 1 ),
EMTA (or a service provider EMTA may select in its sole discretion) shall
survey no more than 30 randomly selected financial institutions that are active
participants in the Colombian Peso / U.S. Dollar market (each, a Participating
Bank).

Survey Question: Each Participating Bank will be asked to provide its


reasonable judgment of what is (or, in the case of an Unscheduled Holiday,
would be) the current prevailing free market Colombian Peso spot rate (bidoffer pair) for a standard size Colombian Peso/U.S. Dollar wholesale financial
transaction for same-day settlement in the Colombian marketplace on the
Valuation Date. In arriving at this indicative quotation, survey participants will
be directed to take such factors into consideration as they deem appropriate,
which factors may (but need not) include any or all of the following: the spot
rate(s) implied in the offshore non-deliverable foreign exchange market for
Colombian Peso/U.S. Dollar transactions; the spot rate implied by any other
financial market transactions (to the extent that such other financial markets
are open for business); the spot rate used in connection with any commercial
transactions for goods or services from offshore suppliers or providers; any

New York time and Bogot time are the same when it is Standard Time in New York. New York time is
one hour ahead of Bogot Time when it is Daylight Savings Time in New York. Bogot does not observe
Daylight Savings Time.

lpj/COPIndicativeMeth

existing rate for trade finance transactions; and any other existing unofficial
rate for Colombian Peso / U.S. Dollar transactions (commercial or otherwise).
II.

Calculation Methodology

EMTA will determine the mid-point of each bid-offer pair. The arithmetic
mean of the mid-points will be used to determine the COP Indicative Survey
Rate, rounded to the fourth decimal point as described below.

If the COP Indicative Survey results in 21 or more responses, then the 4


highest and 4 lowest mid-points will be eliminated, and the arithmetic mean
of the remaining mid-points shall be computed and will constitute the COP
Indicative Survey Rate for such Valuation Date. For purposes of eliminating
the 4 highest and 4 lowest mid-points, if more than 4 mid-points have the
same highest value or lowest value, then only 4 such mid-points shall be
eliminated

If the COP Indicative Survey results in less than 21 but 12 or more


responses, then the 2 highest and 2 lowest mid-points will be eliminated, and
the arithmetic mean of the remaining mid-points shall be computed and will
constitute the COP Indicative Survey Rate for such Valuation Date. For
purposes of eliminating the 2 highest and 2 lowest mid-points, if more than 2
mid-points have the same highest value or lowest value, then only 2 such
mid-points shall be eliminated.

If the COP Indicative Survey results in less than 12 but 10 or more


responses, then the highest and the lowest rate will be eliminated and the
arithmetic mean of the remaining midpoints shall be computed and will
constitute the COP Indicative Survey Rate for such Valuation Date. For
purposes of eliminating the highest and lowest mid-points, if more than 1
mid-point has the same highest value or lowest value, then only 1 such midpoint shall be eliminated.

If the COP Indicative Survey results in less than 10 but 8 or more responses,
then no mid-point will be eliminated and the arithmetic mean of all mid-points
obtained shall be computed and will constitute the COP Indicative Survey
Rate for such Valuation Date.

Quotes shall be provided to the fourth decimal point (e.g., 10000).

LPJ/COPIndicativeMeth

III.

Insufficient Responses

IV.

V.

If the COP Indicative Survey results in less than 8 responses from


Participating Banks, no COP Indicative Survey Rate will be available for the
relevant Valuation Date.

COP Indicative Survey Rate Publication

The COP Indicative Survey Rate will be published on EMTAs web site
(www.emta.org) (the Publication Site) by approximately 12:30 p.m. (Bogot
time), or as soon thereafter as practicable, on the Valuation Date.

As soon as it is determined that the COP Indicative Survey will result in


Insufficient Responses, a notice that no COP Indicative Survey is available
for the Valuation Date shall be published on the Publication Site.

Discontinuing the COP Indicative Survey


The COP Indicative Survey will be discontinued (a) following the publication of a
COP TRM Rate (COP02) (or any successor primary settlement rate option) on
any Valuation Date or (b) on the third day following polling for the COP Indicative
Survey Rate that results in less than 8 responses for more than two consecutive
polling days. Notwithstanding the foregoing, nothing herein shall be construed to
prevent EMTA from re-initiating the COP Indicative Survey at an appropriate time
in the future.
A notice that the COP Indicative Survey has been discontinued will be published
on the Publication Site.

VI.

Amendments to the Methodology


EMTA may, in its discretion, from time to time, make such administrative,
procedural or other modifications to this Methodology as are appropriate to
ensure the continued operation and integrity of the COP Indicative Survey.

VII.

Disclaimer
EMTA (and any service provider EMTA may select) disclaim liability for the COP
Indicative Survey Rate, and no representation or warranty, express or implied, is
made concerning the COP Indicative Survey Rate (including, without limitation,
the methodology for determining the COP Indicative Survey Rate and its
suitability for any particular use).

LPJ/COPIndicativeMeth

APPENDIX G

EMTA PEN Indicative Survey Rate Methodology


Dated as of August 1, 2006
Capitalized terms not defined below are defined in the 1998 FX and Currency Option
Definitions as published by the International Swaps and Derivatives Association, Inc.
EMTA, Inc. and the Foreign Exchange Committee.
I.

The EMTA PEN Indicative Survey

Commencing the Indicative Survey: (A) on any Business Day on which a


Price Source Disruption has occurred or is continuing OR (B) on any
Valuation Date that is NOT a Business Day (or that would have been a
Business Day but for the occurrence of an Unscheduled Holiday), and in each
case following the lapse of a 30 calendar day period during which the primary
settlement rate option shall have been continuously unavailable and as a
consequence, valuation shall have been deferred or postponed, upon receipt
of a Valid Survey Request, EMTA (or a service provider EMTA shall select in
its sole discretion) shall conduct a survey of financial institutions for the
purpose of determining the EMTA PEN Indicative Survey Rate for that day.

Valid Survey Request: A Valid Survey Request is a request received by


EMTA from not less than two unaffiliated EMTA members not later than 5
business days before the contemplated start of the Survey.

Polled Banks: For purposes of determining the EMTA PEN Indicative Survey
Rate for any Valuation Date, at approximately 11:00 a.m. (Lima time 1 ), EMTA
(or a service provider EMTA may select in its sole discretion) shall survey no
more than 30 randomly selected financial institutions that are active
participants in the Peruvian Sol/U.S. Dollar market (each, a Participating
Bank).

Survey Question: Each Participating Bank will be asked to provide its


reasonable judgment of what is (or, in the case of an Unscheduled Holiday,
would be) the current prevailing free market Peruvian Sol spot rate (bid-offer
pair) for a standard size Peruvian Sol/U.S. Dollar wholesale financial
transaction for same-day settlement in the Peruvian marketplace on the
Valuation Date. In arriving at this indicative quotation, survey participants will
be directed to take such factors into consideration as they deem appropriate,
which factors may (but need not) include any or all of the following: the spot
rate(s) implied in the offshore non-deliverable foreign exchange market for
Peruvian Sol/U.S. Dollar transactions; the spot rate implied by any other
financial market transactions (to the extent that such other financial markets
are open for business); the spot rate used in connection with any commercial
transactions for goods or services from offshore suppliers or providers; any

New York time and Lima time are the same when it is Standard Time in New York. New York time is
one hour ahead of Lima Time when it is Daylight Savings Time in New York. Lima does not observe
Daylight Savings Time.

lpj/PENIndicativeMeth

existing rate for trade finance transactions; and any other existing unofficial
rate for Peruvian Sol/U.S. Dollar transactions (commercial or otherwise).
II.

Calculation Methodology

EMTA will determine the mid-point of each bid-offer pair. The arithmetic
mean of the mid-points will be used to determine the PEN Indicative Survey
Rate, rounded to the fourth decimal point as described below.

If the PEN Indicative Survey results in 21 or more responses, then the 4


highest and 4 lowest mid-points will be eliminated, and the arithmetic mean
of the remaining mid-points shall be computed and will constitute the PEN
Indicative Survey Rate for such Valuation Date. For purposes of eliminating
the 4 highest and 4 lowest mid-points, if more than 4 mid-points have the
same highest value or lowest value, then only 4 such mid-points shall be
eliminated

If the PEN Indicative Survey results in less than 21 but 12 or more


responses, then the 2 highest and 2 lowest mid-points will be eliminated, and
the arithmetic mean of the remaining mid-points shall be computed and will
constitute the PEN Indicative Survey Rate for such Valuation Date. For
purposes of eliminating the 2 highest and 2 lowest mid-points, if more than 2
mid-points have the same highest value or lowest value, then only 2 such
mid-points shall be eliminated.

If the PEN Indicative Survey results in less than 12 but 10 or more


responses, then the highest and the lowest rate will be eliminated and the
arithmetic mean of the remaining midpoints shall be computed and will
constitute the PEN Indicative Survey Rate for such Valuation Date. For
purposes of eliminating the highest and lowest mid-points, if more than 1
mid-point has the same highest value or lowest value, then only 1 such midpoint shall be eliminated.

If the PEN Indicative Survey results in less than 10 but 8 or more responses,
then no mid-point will be eliminated and the arithmetic mean of all mid-points
obtained shall be computed and will constitute the PEN Indicative Survey
Rate for such Valuation Date.

Quotes shall be provided to the fourth decimal point (e.g., 10000).

LPJ/PENIndicativeMeth

III.

Insufficient Responses

IV.

V.

If the PEN Indicative Survey results in less than 8 responses from


Participating Banks, no PEN Indicative Survey Rate will be available for the
relevant Valuation Date.

PEN Indicative Survey Rate Publication

The PEN Indicative Survey Rate will be published on EMTAs web site
(www.emta.org) (the Publication Site) by approximately 12:00 p.m. (Lima
time), or as soon thereafter as practicable, on the Valuation Date.

As soon as it is determined that the PEN Indicative Survey will result in


Insufficient Responses, a notice that no PEN Indicative Survey is available
for the Valuation Date shall be published on the Publication Site.

Discontinuing the PEN Indicative Survey


The PEN Indicative Survey will be discontinued (a) following the publication of a
PEN WT AVE Rate (PEN03) (or any successor primary settlement rate option)
on any Valuation Date or (b) on the third day following polling for the PEN
Indicative Survey Rate that results in less than 8 responses for more than two
consecutive polling days. Notwithstanding the foregoing, nothing herein shall be
construed to prevent EMTA from re-initiating the PEN Indicative Survey at an
appropriate time in the future.
A notice that the PEN Indicative Survey has been discontinued will be published
on the Publication Site.

VI.

Amendments to the Methodology


EMTA may, in its discretion, from time to time, make such administrative,
procedural or other modifications to this Methodology as are appropriate to
ensure the continued operation and integrity of the PEN Indicative Survey.

VII.

Disclaimer
EMTA (and any service provider EMTA may select) disclaim liability for the PEN
Indicative Survey Rate, and no representation or warranty, express or implied, is
made concerning the PEN Indicative Survey Rate (including, without limitation,
the methodology for determining the PEN Indicative Survey Rate and its
suitability for any particular use).

LPJ/PENIndicativeMeth