PGIM’s rise to top of credit options lifts Barclays, Morgan Stanley

Counterparty Radar: Insurer’s AM arm doubled its market share in Q4 2021 as bought protection swells


PGIM rose to the top spot of US mutual funds using credit default options in the fourth quarter of 2021, adding $22.4 billion to its total positions and almost doubling its market share – to 58% from 32% in Q3.

Increased activity at Prudential’s asset management subsidiary was a boon for Barclays, which saw its book grow by $9.8 billion, remaining the top dealer in the space. PGIM also lifted Morgan Stanley to second place from fourth, conducting $10.3 billion worth of trades with the bank.

Overall, the market grew to $66 billion in notional in Q4, the highest in the past two years, gaining $17.1 billion over the quarter. Payer (bought protection) volumes swelled to 36%, the highest in 2021— previously hovering in the 20s range.

This is the first time is presenting credit default swaptions data, which is now available on the Counterparty Radar tool. The rankings are compiled from filings made to the US Securities and Exchange Commission, starting from Q1 2020 to end of Q4 2021. Filings reflecting fund positions between October 1 and December 31, 2021, were aggregated to create the fourth-quarter rankings, with each providing a snapshot of positions on the funds’ books. The methodology is further described below (see box: About this data).

Pimco’s market share followed the reverse trajectory to that of PGIM, dropping from 60% to 37% in Q4 and its volume contracting by $4.7 billion. The bond giant slid into second place for the first time over the eight quarters tracked by

On the dealer side, JP Morgan recorded the largest decrease at $4.6 billion over Q4, falling from third to sixth place. PGIM and Pimco were mostly responsible for the contraction as the two firms together shed $3.7 billion of business with the dealer.

The manager duo was active in four of the five indexes managers referenced. PGIM made the largest additions to the CDX NA IG, iTraxx Europe and iTraxx Europe Crossover, while Pimco made the largest pullbacks. PGIM took credit for all the largest trades, doing four of them with Barclays referencing iTraxx Europe.

Despite its shortcomings elsewhere, JP Morgan gained two-thirds of GMO’s business and grew its share of BlackRock’s to 51%. Goldman lost all its trades with GMO, previously being the sole counterparty, while Morgan Stanley lost most of its business with BlackRock and all with Macquarie Asset Management.



About this data


The information used in this analysis comes from Nport-P filings to the US Securities and Exchange Commission. This is a relatively new form, introduced at the end of 2019, which requires mutual funds and exchange-traded funds to file monthly summaries of their portfolio holdings to the SEC. 

The filings include over-the-counter derivatives trades that were live at the time of the filing, and show details such as bank counterparty names, currencies, trade sizes and remaining maturity. The forms are filed to the SEC on a monthly basis, and the regulator makes the final filing of each fund’s quarter public 60 days after the end of that period. The filings are in a structured XML form, making it possible to download and parse the data for trends. 

It’s important to caveat the information. While these are pro forma regulatory filings to the SEC and should be accurate, mistakes and miscategorisations do occur. The data was cleaned and obvious errors excluded.

As the database is updated and improved periodically, data presented may not mirror information published in previous stories. Each story reflects the most accurate representation of data at the time of publication.

Information from these filings is also the basis for a new tool, Counterparty Radar, which allows users to search the filings information themselves to discover the most popular dealers and most active managers for a range of OTC derivatives. We will track these stats every quarter, so please get in touch if something doesn’t look right, or to suggest other ways to present the data: [email protected]

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