Pimco’s interest rate swaps book shrinks 21% in Q3

Counterparty Radar: BlackRock and Capital Group also trim positions to drive down swaps usage by US mutual funds


Pimco pared back the notional value of the interest rate swaps held in its mutual funds by more than a fifth in the third quarter, as US rates hit what is widely expected to be the peak of the Federal Reserve’s tightening cycle. 

The total value of the California-based firm’s portfolio fell 21% to $535 million compared with the previous quarter. The drop also led to a decrease in the volume of mutual funds’ swaps cleared at LCH, Pimco’s preferred clearing house. 

BlackRock and Capital Group, two

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