Citi halves swaptions book with US retail funds

Counterparty Radar: Mutual funds and ETFs cut exposures by 22% in Q4


Citi slashed the notional value of its swaptions portfolio with US mutual funds and exchange-traded funds (ETFs) in the fourth quarter of 2023, amid a broader retrenchment in non-vanilla rates volatility exposure between banks and asset managers.

Citi cut its swaptions book with mutual funds by 56% to $17.4 billion over the quarter, as the bank went from being the biggest provider of non-linear rates instruments to ’40 Act funds to just the third largest, Counterparty Radar data shows.


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