USD pay-fixed swaps grew in Q4 ahead of rate hike

- By Samuel Karasek
- 28 Mar 2022

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As US Treasury yields rose through the fourth quarter of 2021 in anticipation of rate hikes from the Federal Reserve, most US managers adjusted their books to have proportionally more exposure to pay-fixed, receive-floating US dollar interest rate swaps, according to new filings data.

But the two biggest users of USD swaps, Capital Group and Pimco, did the opposite. Capital Group slashed its pay-fixed positions by nearly 70%, or $40 billion. Pimco meanwhile increased its receive-fixed positions

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