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 March 2024, banks recorded an outstanding amount in USD-CLP derivatives of US$294 billion, which was composed of 64.5% in Forwards and FX Swaps and 35.0% in Cross currency swaps.
In terms of net outstanding amounts, banks decreased their net selling position to US$3 billion, driven by an increase in the net buying position of dollars from Pension Funds.
Meanwhile, the USD-CLP spot market reached a depth of US$82 billion, an increase in activity of 7.4%.
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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.
In the month, banks recorded a total outstanding amount of CLP$518.602 billion in SPC-CLP of up to two years. Meanwhile, on a net basis, the outstanding amount of banks' variable rate sales increased to CLP$4,366 billion.
During march, the volume traded in SPC-CLP up to 2 years was CLP 111.380 billion.
UF / CLP Derivatives
At the end of March, banks had an outstanding amount of UF 1,709 million in forward UF-CLP transactions, of which 59.9% corresponded to transactions with non-banking residents and 40.1% to interbank transactions.
During the month, new UF-CLP forwards were traded for UF 218 million, of which UF 143 million were interbank and UF 75 million with non-banking residents.
Twelve-month forwards traded in the interbank market averaged Ch$38,151 pesos per Unidad de Fomento.
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