State Street flies high in FX forwards as Goldman, Citi dive

Counterparty Radar: Goldman loses half of market share, drops out of dealer top 10


State Street shot up the FX forwards dealer rankings of US mutual funds in Q1 2022, taking advantage of Goldman Sachs losing over half of its market share and Citi’s continuous decline.

US mutual funds reported $1 trillion in aggregate FX forwards positions in the first quarter of the year, according to data from disclosures made to the US Securities and Exchange Commission that have been gathered and analysed by’s Counterparty Radar service. State Street secured $95.9 billion in notional amounts, adding $39.7 billion over the period and settling in second spot behind Morgan Stanley.

TD Securities grew its books to $85.1 billion, gaining $24.3 billion in the quarter, and rose to fourth place from sixth, continuing to grow after returning to the top 10 in Q3 last year.

Both State Street and TD owe a good share of their growth to Vanguard, having secured some of the manager’s largest trades.

Goldman Sachs, by contrast, lost $33.1 billion in Q1, just under half its volume and over half its market share, dropping out of the top 10 dealers and settling at $40.5 billion. One of the clients lost was DoubleLine, which promptly gave most of its business to Barclays.

Citi’s books shrank by $8.2 billion, the second-largest loss of the quarter, dropping to $60.8 billion and sliding from fifth to eighth spot. The dealer has been on a downward trajectory since Q3 2021, with clients pointing to increased regulatory costs brought about by the standardised approach to counterparty credit risk as the cause.

Despite the losses, Citi managed to grow its relationships with TIAA and Nuveen, luring them away from TD Securities.

The market grew by $134 billion over the quarter, with the proportions of each region remaining very similar. Of the $89 billion added in G10 pairs, euro/US dollar pairings proved the most popular, followed by Japanese yen/US dollar and sterling/US dollar.

Vanguard and Pimco were behind most of the regional increases, except for the Americas, where Pimco moved the needle alone.

Managers increased their regional exposure two-thirds of the time, per the heatmap, with Pimco, T Rowe Price and Vanguard adding exposures across all markets.

T Rowe Price, Invesco and Capital Group moved up the second half of the manager rankings table, with the top five managers remaining the same as last quarter.


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 FX forward transactions that were live at the time of the filing, and include 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 previously 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 FX forwards and options. 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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