Equity, credit derivatives aided BlackRock funds in March
Flagship Strategic Income Opportunities fund posted $253 million in net derivatives gains at height of Covid crunch
Twelve fixed income mutual funds managed by BlackRock recorded $134 million of net gains on derivatives in March, at the height of the coronavirus crisis. Equity derivatives gained the most that month, netting the funds $123 million.
Risk Quantum analysed the quarterly portfolio filings of 12 BlackRock fixed income funds that all submitted data for the three months ending March 31.
Aggregate
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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Risk Quantum
Collateral cushions swell as US hedge fund borrowing tops $5.6trn
Top 10 funds’ borrowing becomes 3.7% over-collateralised amid record Q1 leverage
US bank CCP default fund contributions climb to record $90bn
G-Sibs’ exposures soar 48% over 18 months with Wells Fargo quadrupling its stake
CVA risk charges spike 73% at EU banks under Basel III
Crédit Agricole leads surge, as basic approach dominates CVA capital calculations
Citi leads US banks in lowballing capital hit in stress test
Morgan Stanley and Wells Fargo internal projections also show more capital resilience than Fed’s calculations
Basel III overhaul triggers credit RWA reshuffle at EU banks
A-IRB down by a third, F-IRB more than doubles and standardised approach up by a quarter
Foreign dealers still lag US banks in stress tests
IHCs’ CET1 depletion triples that of domestic participants, despite improved performance since 2024 exercise
UniCredit’s market RWAs would inflate 75% under FRTB
Pro forma figures for capital floor give first look at de-modelling impact on a major EU dealer
Fed’s SCB proposal would blunt 2025 DFAST relief
Two-year average would raise CET1 component due to weaker 2024 stress test results
