Mutual funds
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
BNPP back in dealer top three for FX forwards with mutuals
Deutsche Bank, HSBC hit by cuts at Vanguard and Pimco in Q2
US mutual funds piled into call-selling strategies in Q1
Counterparty Radar: BlackRock, Franklin Templeton and T Rowe Price among the managers who added to single-stock positions
Pimco powers BNP Paribas to top of repo rankings
Counterparty Radar: French dealer grew its repurchase book by 65% in first quarter
Citi’s single-name CDS book with retail funds doubled in Q1
Counterparty Radar: New trades with PGIM totalling $2.4 billion return Citi to top of dealer rankings
US retail funds continue to ditch inflation hedges
Counterparty Radar: Aggregate notional drops 27% in Q1 as Pimco unwinds more swaps
PGIM trades reinforce Citi’s credit options stronghold
Counterparty Radar: US retail funds’ aggregate notional drops to lowest levels since late 2020 in Q1
Pimco returns to sold index CDS growth
Counterparty Radar: Market for US retail funds sheds $5.2 billion in volume in Q1
Deutsche Bank’s swaptions trading with US retail funds soars
Counterparty Radar: Space grows 6% in Q1 as Citi’s book of business also surges
Meet the sharks, stroke the rays in hidden OTC ecosystem
Dealer Rankings 2023: Analysis of millions of trades reveals big fish – and small ones – in 10 derivatives instruments
In age of constraints, top dealers pick their battles
Dealer Rankings 2023: Three US banks are consistently top 10; none are consistently top five
Same instrument, different market
Dealer Rankings 2023: For buy-side firms, the list of banks you can trade with depends on who you are
Fidelity FX forwards trades propel BofA to top dealer spot
Counterparty Radar: Bank of America leads dealer rankings in Q1 for the first time
Morgan Stanley, JP Morgan lead Risk’s first Dealer Rankings
Dealer Rankings 2023: Analysis of more than 1,000 cuts of Counterparty Radar data offers rare glimpse of sell-side pecking order
Boaz versus BlackRock: the fight over closed-end funds
Saba founder says he never planned to be an activist investor. Now he’s battling BlackRock – again
IR swaps market for US funds rebounds in Q1
Counterparty Radar: Notional traded by mutual funds, ETFs bounces back to early-2022 levels
Target-date funds: lessons learned?
The authors return to the topic of their 2011 paper and investigate the maturation of target-date funds and their performance during the Covid-19 pandemic, finding that the funds have largely achieved their designation.
State Street triples repo book to become top US fund dealer
Counterparty Radar: Pimco trades boost Boston bank as sector volumes hold steady in Q4
Citi catapults to top credit options dealer spot for US funds
Counterparty Radar: Market for mutual funds, ETFs continues to shrink in Q4 as Pimco, PGIM further cut exposures