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Indexed portfolio · Colombia

Repricing simulator.

How the average rate of a loan portfolio indexed to IBR, DTF, CPI and UVR changes month by month to 2030, with the macro observatory’s actual and projected curves.

See all projectsHow it was built
The problem
The commercial portfolio is indexed to several variables that reprice on different dates, so a change in rates doesn’t reach income all at once.
What it enables
Estimating how the portfolio’s rate moves under the macro scenario, day by day and month by month, to plan income.
Impact
~95% of the commercial portfolio, within 1 bp of the system’s daily rate

  • Portfolio rate · Sep 2026

    14.47%

    Balance-weighted average

  • Projection · Dec 2026

    14.59%

    +12 bp vs. today

  • Projection · Dec 2030

    11.06%

    −341 bp vs. today

  • Change to Dec 2030

    −341bp

    Repricing only: balances stay constant

Rate

Portfolio average rate

14.47%

Sep 2026 rate, from actual data · policy rate 12.00 %

Monthly · % E.A. weighted by balance · the dashed line is the policy rate

7.5 %10.0 %12.5 %15.0 %202520262027202820292030Last actual11.06 %Portfolio7.25 %Policy rate

Share and spread

One trillion pesos. Moving one share adjusts the others to add up to 100 %.

  • pp NMV
    30 %
  • pp NTV
    20 %
  • pp NSV
    10 %
  • pp NTV
    5 %
  • pp NMV
    5 %
  • pp E.A.
    10 %
  • 13.00 % E.A.
    20 %
  • Total1,000 bn100 %

Indexed rate vs. indicator

16.57%

Sep 2026 rate, from actual data · indicator 12.18 %

Monthly · % E.A. · the dashed line is the indicator

10 %15 %202520262027202820292030Last actual11.52 %Indexed rate7.24 %IBR 3M

Consolidated by indexer

IndexerShareToday · Sep 2026Dec 2026Dec 2027Dec 2028Dec 2029Dec 2030Change
IBR 1M30 %15.97 %16.12 %14.48 %11.17 %10.95 %10.95 %−501 bp
IBR 3M20 %16.57 %16.73 %15.10 %11.79 %11.52 %11.52 %−505 bp
IBR 6M10 %17.05 %17.21 %15.88 %12.48 %12.04 %12.04 %−501 bp
DTF5 %14.50 %14.78 %13.44 %10.17 %9.90 %9.90 %−460 bp
CPI5 %12.61 %12.97 %11.78 %10.95 %9.60 %9.39 %−322 bp
UVR10 %7.00 %7.00 %7.00 %7.00 %7.00 %7.00 %0 bp
Fixed rate20 %13.00 %13.00 %13.00 %13.00 %13.00 %13.00 %0 bp
Total100 %14.47 %14.59 %13.51 %11.31 %11.07 %11.06 %−341 bp
Policy rate—12.00 %12.25 %10.75 %7.50 %7.25 %7.25 %−475 bp

Average rate of the month, % E.A. weighted by balance. The change runs from today to December 2030, in basis points.

Assumptions.

The simulator isolates a single effect: how the portfolio’s rate changes under the macro scenario. Everything else stays fixed.

Constant balances
Each indexer’s balance stays the same throughout: no disbursements, amortization or prepayments.
Constant spreads
Each group keeps its spread over the indicator at every repricing.
No mix effect
Each indexer’s share is the same every month: the average rate moves only through repricing, not through changes in the portfolio’s mix.
Macro scenario
Indicators follow the macro observatory’s actual and projected curves, with Banco de Bogotá Economic Research’s scenario.
Indicator value
Each repricing takes the latest value published by its payment date; the history is weekly, so it may be a few days older.
Comparable rates
Every rate is taken to E.A. to average indexers with different conventions. UVR counts with its real rate; its re-expression shows apart.

How each indexer reprices.

Each group takes its indicator’s value on its payment date: the previous rate runs through that day and the new one from the next. Balances stay constant, so only repricing moves the rate.

  • IBR 1M and CPI

    Reprice every month, as nominal monthly in arrears. October’s rate blends September’s, up to the payment date, and October’s, from the next day.

  • IBR 3M and DTF

    Reprice every quarter, as nominal quarterly in arrears. In October only the group that repriced in July changes; those repricing in August and September keep their rate.

  • IBR 6M

    Like 3M, as nominal semiannual in arrears and with six groups: the new rate replaces the one from six months earlier.

  • UVR

    Counts in the average with its real rate, which stays. The balance is re-expressed with the UVR: the month’s re-expression over the balance, annualized as 360 / the month’s actual days, shows apart, set against its rate.

  • Fixed rate

    Does not move with macro variables.

  • DTF from 2027

    The DTF is discontinued on Jan 1, 2027. From its first repricing that year the group moves to IBR 3M keeping its terms: it carries the gap between the DTF and the IBR 3M at the end of 2026 (about IBR − 2 %) plus its spread, so its rate doesn’t jump and then follows the IBR 3M.

How it was built.

The simulator runs in your browser: it takes the macro observatory’s actual and projected curves, reprices each group on its payment date with its indexer’s convention and averages the portfolio by balance, month by month.

  • Groups

    48

    in the portfolio

  • Indexers

    7

    each with its own repricing rule

  • Months

    78

    simulated, Jul 2024 to Dec 2030

  • Balance

    1,000bn

    constant throughout the simulation

  • Python · pandas
  • React
  • SVG
  • Cloudflare Workers