Emerging Markets Rates and Currencies Handbook

Interest Rate The local CLP interest rate which indexes the government floating debt is the “CAMARA” rate. CAMARA is an overnight floating rate which is mainly used in the interbank market. For longer tenors, Camara rate (TCN or TNA) is calculated through the difference of the “Indice Camara Promedio” (ICP) as follows: TCN= (((TCNt1/(TCNt0 )-1)*360/NoDias(t1-t0) ) The derivatives Market trades IRS CLP fixed vs Camara and CCS UF fixed vs Camara. Day count convention in both cases are ACT/360 and bullet semiannual. Although this rate has been commonly associated to the interbank market, we have recently seen many corporates trading products with Camara, funding and swaps. There is good liquidity up to 10 years on swaps. It is, however, possible to structure transactions with longer tenors with liquidity premium considerations. There are no interest rate options. In terms of inflation, the Central Bank of Chile set a target range of annual inflation of 2%-4%, which has been fulfilled in most of the past 15years. The monthly CPI is applied over the Unidad de Fomento (UF), which is an index used in several financial instruments such as mortgage loans, insurances, etc. Regarding derivative inflation market, the first two years of the curve are traded with UF forwards and from that tenor on is commonly traded with swaps. In terms of liquidity, we do not see issues to trade up to 15 years. FX Spot FX Forwards NDFs FX Options Interest Rate Swap Interest Rate Options XCCY swaps Market Overview Onshore Market      ✗  Offshore Market     ✗ ✗  Onshore Volume (MM USD Daily) Offshore Volume (MM USD Daily) Onshore Max Tenor (Or Typical Tenor For Spot) Offshore Max Tenor (Or Typical Tenor For Spot) Onshore Typical Deal Size (MM USD) Offshore Typical Deal Size (MM USD) Onshore CitiFX Pulse Capabilities 1000 - 1500 N/A N/A N/A 3 - 5 N/A ✗ 600-1000 N/A 2 years N/A 3 - 5 N/A ✗ 500 - 700 400-600 2 years 2 years 3 - 5 3 - 5 ✗ 20 25-45 2 years 2 years (bespoke tenors can be tailored) 2 12 ✗ 200-250 1000-1200 20 years N/A 15 50 ✗ N/A N/A N/A N/A N/A N/A ✗ 30-40 50-60 N/A 30years 20 50 ✗ Offshore CitiFX Pulse Capabilities ✗ ✗  ✗ ✗ ✗ ✗