Citi swaption volumes surge as BlackRock relationship flourishes

Counterparty Radar: Market leader Pimco cuts nearly one-third of book in Q3

BlackRock and Citi relationship flourishes montage

Citi became the largest provider of swaptions to US mutual funds and exchange-traded funds in the third quarter of 2023, leapfrogging both Goldman Sachs and Morgan Stanley, after entering into a series of large SOFR deals with BlackRock.

The total notional value of Citi’s trades with US retail funds grew 69% to $39.3 billion, according to data from US Securities and Exchange Commission filings. 

Four of the largest five trades of the quarter involved BlackRock and Citi. Together, they accounted

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