Mercado de derivados sobre tasas de interés en Chile: Comparación internacional y mercado de Swap Promedio Cámara

Nicole Delpiano and José Miguel Villena

Economic Statistics Series from Central Bank of Chile

Abstract: This document describes the Over-The-Counter (OTC) market for interest rate derivatives based on the Triennial Central Bank Survey of Foreign Exchange and Over-The-Counter Derivatives Market, coordinated by the Bank for International Settlements, and presents an international comparison of the Chilean market, regarding depth and concentration indicators. Additionally, a description of the derivatives market related to Índice Cámara Promedio, widely used in the Chilean financial market, is presented. The results show that the volume of OTC interest rates derivatives traded globally reached its highest number to date in 2019, with an average of US $ 6.5 trillion per day in April. This increase was associated with changes in prospects for growth and monetary policy experienced during the period. Turnover was concentrated in the United Kingdom and the United States, with Swaps and Forward Rate Agreements standing out as the most traded instruments. with respect to the global outstanding positions, this stood at US$ 524 trillion at end-June 2019. In the case of Chile, a market depth indicator of 0.87 times GDP is observed, which places it above the average for emerging economies. The growth in recent years is influenced by the continuing development of the Swap Promedio Cámara market and the greater participation of foreign investors.

Date: 2020-06
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