Interest rate swap activity surges ahead of Fed tightening

Counterparty Radar: Managers react to fastest rise in inflation in three decades

US interest rates

US mutual funds continued to add to their interest rate swap holdings, which grew to approximately $640 billion in notional value during the third quarter of the year.

The current expansion, which began in Q3 2020, comes as fund managers grapple with the fastest rise in inflation in three decades. The US Federal Reserve is widely expected to raise interest rates in 2022.

Pimco remained the largest interest rate swap user among mutual funds in Q3, accounting for half of all trades disclosed to the US Securities and Exchange Commission (SEC), with total positions worth $322 billion, followed by Capital Group with $80 billion and BlackRock with $45 billion in its book.

Among clearing houses, LCH had a strong third quarter, growing its book to $342 billion, more than half of the total market. CME cleared $256 billion, or 43%, of interest rate swap trades. The clearing houses were virtually tied in the previous quarter, each handling approximately $262 billion.  

In non-cleared trades, Bank of America had the biggest increase among competing dealers. The Charlotte, North Carolina-based dealer’s volume with mutual fund clients rose to $3.5 billion in Q3, leapfrogging Citi, which had been the largest provider of non-cleared interest rate swaps since Q1.

In G10 markets, the total volume of swaps traded by mutual funds rose to about $510 billion from $460 billion in the previous quarter. In non-G10 currencies, mainly emerging markets, the aggregate of nearly $131 billion was $3 billion below Q2’s total.

Mutual funds used more Asia-Pacific interest rate swaps over the quarter, with volumes rising to a little over $20 billion, up from approximately $19 billion in the last quarter. Non-G10 EMEA volumes remained essentially flat, at around $18 billion in total value, while volumes in the Americas declined to approximately $92 billion from nearly $97 billion in Q2.



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 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 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]

  • LinkedIn  
  • Save this article
  • Print this page  

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here:

You are currently unable to copy this content. Please contact [email protected] to find out more.

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: