Mutual funds
Vanguard stages swaptions comeback
Counterparty Radar: Deutsche grew book to $11 billion in Q1 to become largest non-US swaptions dealer to mutual funds
Pimco doubles down on FX forwards trades in Q1
Counterparty Radar: Pimco accounted for nearly 60% of all notionals added by mutual funds
Often fluid. Not always liquid
Dealer Rankings 2024: On the buy side and the sell side, the make-up and depth of OTC mini-markets can change rapidly
Citi tops second edition of Risk’s Dealer Rankings
Dealer Rankings 2024: Data shows five big US dealers still lead, but with Europeans closing in
Citi halves swaptions book with US retail funds
Counterparty Radar: Mutual funds and ETFs cut exposures by 22% in Q4
BlackRock’s interest rate swaps notional climbs 20%
Counterparty Radar: US retail funds continued to add to their positions in Q4
Vanguard begins clearing NDFs on LCH
Addition of mutual fund giant gives big boost to client-cleared activity on ForexClear
As US MMF assets hit new records, so does manager concentration
Fidelity, JP Morgan and Vanguard commanded 40% of holdings as of February
Invesco more than triples size of its FX options book
Counterparty Radar: Manager’s portfolio exceeded $5bn notional in Q4
Pimco’s cuts to FX forwards positions hit dealers in Q4
Counterparty Radar: State Street takes top spot among dealers as BNP Paribas slides to fourth
Citi swaption volumes surge as BlackRock relationship flourishes
Counterparty Radar: Market leader Pimco cuts nearly one-third of book in Q3
Pimco’s interest rate swaps book shrinks 21% in Q3
Counterparty Radar: BlackRock and Capital Group also trim positions to drive down swaps usage by US mutual funds
US mutual funds’ passion for LatAm FX options undimmed in Q3
Counterparty Radar: Carry trade opportunities see managers’ positions increase tenfold in 2023
BNP takes top forwards spot with US mutuals
Counterparty Radar: French bank ousts Bank of America to lead the table for the first time
BlackRock, Pimco slash mutual fund swaptions books
Counterparty Radar: US retail funds retreat from trade as Morgan Stanley becomes top dealer in Q2
BNP Paribas is biggest fish in shrinking repo pond
Counterparty Radar: US retail funds cut their repo exposure in Q2 to the lowest level since 2020
Implementing mean–variance spanning tests with short-sales constraints
The authors demonstrate that Wald tests are prone to numerical instability when accounting for short sales.
US funds add to single-name CDS positions
Counterparty Radar: Corporate positions exceed SSA contracts for first time on record in Q2
Blaming open-end funds for liquidity shocks is closed thinking
Controversial proposals to overhaul how funds manage liquidity risk are based on a fallacy, writes Eric Pan
Pimco adds $103bn in fresh receive-fix interest rate swaps
Counterparty Radar: Bond powerhouse moves to lock in high rates in Q2 with one-year swap
PGIM nearly eliminates credit options book
Counterparty Radar: Pimco also exits space in Q2 as US funds show record low positions in the instrument