How US funds trade defaulting CDS names

Counterparty Radar: Funds slashed sold positions ahead of 2020’s auctions but post-default Argentina remains a focus

Argentine-peso

As the number of credit default swap (CDS) auctions was poised to reach near-record highs last year, US mutual funds were sitting on the wrong side of swap positions for many soon-to-be-defaulted entities. In some cases, funds reversed their sold positions ahead of the default – for others it’s less clear.

One name in particular, Argentina, has continued to capture the attention of US funds despite its May 2020 default and subsequent CDS auction.

Risk.net aggregated and analysed US mutual fund

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