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 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’s Counterparty Radar service.

Despite the reduction in the size of its book, BlackRock remained the third-largest US mutual fund swaps user in the quarter at $57.9 billion, but its market share fell 4.4 percentage points to 7%, behind Pimco and Capital Group.

The cuts were concentrated in BlackRock’s receive-fixed positions, which dropped from $56.5 billion in Q1 to $28.2 billion in Q2. Positions previously held in Libor or fed funds were run off and were either replaced by SOFR exposures, or were not replaced at all, data from Counterparty Radar shows.

Pay-fixed instruments fell from $35.5 billion to $29.7 billion over the same period.

Meanwhile, Pimco increased the size of its interest rate swaps book by 18% to $415 billion in Q2, the largest total notional value recorded by any US fund manager. The California-based firm’s market share grew by 7 percentage points to 50%, while Capital Group’s market share fell slightly, dropping 1 percentage point to 23%.

Western Asset Management, the Franklin Templeton subsidiary, remained the fourth-largest mutual fund swaps user in Q2 despite the notional size of its swaps book falling 12% to $19.6 billion in Q2.

AQR expanded its interest rate swaps portfolio aggressively over the period. Cliff Asness’s mutual funds added $8.7 billion in new swaps by total notional value. The firm’s euro position tripled to $3 billion, its sterling position more than quadrupled to $2 billion, and the fund managers US dollar book rose nearly tenfold to $2.4 billion.

LCH retained the lion’s share of cleared swaps business with mutual funds in Q2, as the LSEG-owned clearing house’s market share grew 1 percentage point to 61%. CME Group’s market share remained flat at 35%.

Bank of America remained the most popular bank for bilateral swaps transactions, acting as a direct counterparty on $3.3 billion of trades with mutual funds over 191 trades, level with the volume in the previous quarter.

The value of Goldman Sachs’s bilateral trades with mutual funds dropped 16% to $2 billion over the quarter. The other major swap dealers in Q2 included Morgan Stanley, Citi and BNP Paribas.


About this data

US Securities and Exchange Commission

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:

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