BlackRock slashes book as IR swap market volume rises

Counterparty Radar: Pimco’s book surpassed $40 billion in Q2, growing to half of mutual fund space

BlackRock

BlackRock reduced the notional value of its interest rate swaps portfolio by almost 40% in the second quarter of 2022, even though the broader market for US mutual funds reached near record levels.

The overall space grew to roughly $825 billion from $809 billion in Q1, approaching the $919 billion total of Q1 2020 – the highest aggregate recorded so far from available data compiled from US Securities and Exchange Commission filings analysed by Risk.net’s Counterparty Radar service.

Despite the

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