BlackRock, Pimco slash mutual fund swaptions books
Counterparty Radar: US retail funds retreat from trade as Morgan Stanley becomes top dealer in Q2
BlackRock cut its interest rate swaptions exposure by 46% in the second quarter of the year to $14 billion notional amid a wider retreat from the instrument by mutual funds and exchange-traded funds.
Across all US retail funds, the overall value of swaptions contracts fell 21% to $183 billion notional, data aggregated from Q2 US Securities and Exchange filings by Risk.net’s Counterparty Radar service showed.
All but one of the 10 most-active managers in the space reduced their positions
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