(Bloomberg) -- Chilean pension funds narrowed their market-value losses on foreign interest-rate swaps in October as a rally in US Treasuries provided some relief to a system under heavy pressure from politicians to reduce risks and boost payments.
The AFPs, as the funds are known, had $2.9 billion in mark-to-market losses on foreign interest-rate swaps with international banks at the end of last month, according to figures released Tuesday by the pension regulator. That was down from $7.7 billion at the end of September.
The improvement offers some respite for the AFPs after they faced a political backlash over large positions built up in US interest-rate derivatives during the past two years, effectively betting that yields would fall. The strategy initially paid off, but gains reversed sharply this year as a global bond selloff sent US yields surging.
In October, however, US Treasuries rallied again, with the 10-year yield falling more than 30 basis points from a peak of about 5.3%, its biggest monthly decline since 2023. Yields have edged back up again so far in November, a move that could renew pressure on the AFPs.
Chile’s government had already reported that mark-to-market losses on interest rate swaps fell to about $7 billion as of Oct. 20, down from $10.1 billion at the end of September. Those figures included positions held at domestic and international banks, while today’s figures are only for the latter.