US funds become fixed-rate payers in swap market
Counterparty Radar: Since 2021, receiver swaps have dominated US mutual fund positions; in the latest data, the sector’s book flips round
The latest derivatives disclosures from US mutual funds and life insurers show a continuing tilt away from fixed-rate receivers, a surge in inflation swap trading, and the usual crop of bumper trades and book changes – this time involving BlackRock, Goldman Sachs, Nomura and Pimco, among others.
The highlights from the data are summarised below, covering interest rate products; follow-up articles
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