Informe derivados financieros - Sistema Integrado de Información sobre transacciones de Derivados
Derivatives Market Report February 2024
This report has been prepared based on the data contained in the Financial Market Infrastructure "SIID-TR", which aims to contribute to the transparency of the financial derivatives market in Chile, for its Participants, regulators and the general public.
The document provides the summarized facts of the main markets of the banking sector, corresponding to Exchange Rate and Spot Derivatives, UF-Chilean Peso Derivatives and Derivatives on local interest rates (Swap Promedio Cámara).
This report is published on a monthly basis, with a 23-day lag from the month to be analyzed. In accordance with the established revision policy, together with the publication of a new month, the data for the three months prior to the month in question are reviewed.
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Overview by market
Spot and Derivative Foreign Exchange Markets
At the end of February 2024, banks recorded an outstanding outstanding in USD-CLP derivatives of US$301 billion, 65.1% of which consisted of Forwards and FX Swaps, 34.4% of which consisted of Cross currency swaps and 0.4% of which consisted of others.
In terms of net outstanding amounts, banks presented a net selling position of US$4 billion, highlighting the higher sales of US dollar futures to non-residents.
On the other hand, the USD-CLP spot market reached a depth of US$76 billion, a reduction in activity of 9.3% with respect to January.
Translated with DeepL.com (free version)
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Swap promedio cámara nominal (Local IRS)
The Swap promedio cámara nominal, local interest rate swaps, (SPC-CLP) operations in the two-year horizon are related to expectations about the future path of the Monetary Policy Rate.
At the end of February, banks registered a total outstanding amount of CLP$501.493 billion in SPC-CLP of up to two years. Meanwhile, in terms of net outstanding amount, there was a 62% reduction in their variable rate selling position, reaching CLP$2,641 billion.
During the month, the volume traded in SPC-CLP up to 2 years was CLP 115.662 billion.
UF / CLP Derivatives
In local market UF-CLP forwards, banks had outstanding transactions for UF 1,622 million at the end of February 2024, ending the month with a net selling position of UF 424 million.
During the month, banks traded UF 162 million, of which UF 111 million were interbank and UF 51 million were transactions with non-banking residents.
Finally, the twelve-month forward price, traded in the interbank market, averaged $37,748 pesos.
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