Corporates and funds
EU funds levered up over 2019
Gross hedge fund leverage came to 6,450% of NAV
Climate shocks could cut ‘polluting’ EU funds’ value by 20%
Esma researchers say carbon-intensive funds also pose more of a systemic risk
US MMFs invested more in riskier repo trades in December
Year-end surge also occurred in 2017 and 2019
Majority of EU funds’ CDSs are ‘naked’ exposures
Of more than 4,000 CDS positions assessed by Esma researchers, 71% were uncovered
MMFs lengthen portfolio maturity post-Covid – BIS
Average holdings had maturity of 41 days in November
EU funds lack liquidity management tools – Esma
Most Ucits can only rely on temporary borrowing or gating to weather crises
Eurozone funds favoured US equities in Q2
Investment funds also bought up eurozone bank stocks
Credit Suisse traded most with top Pimco funds in 2019
Bank’s US securities arm conducted trades worth $639 billion over 12 months to end-March 2020
Eurozone hedge funds put cash to work in Q2
Deposit and loan claims made up 20% of total assets in Q1
Eurozone funds charged into overseas debt in Q2
Net purchases almost reversed the first quarter’s fire sale
Berkshire Hathaway’s put option liabilities climb
Fair value liability climbed to $1.6 billion at end-June
Equity derivatives aided BlackRock funds in March
Flagship Strategic Income Opportunities fund posted $253 million in net derivatives gains at height of Covid crunch
BlackRock's muni funds slow to rebound from Covid crunch
Cumulative returns have barely edged up for these funds since end-March
Short funds’ moment in the sun is over
DSB funds are in the red year-to-date after a spectacular performance through March
At height of Covid crisis, eurozone MMFs scrambled for cash
MMFs hold the bulk of eurozone banks’ commercial paper
Margin calls on eurozone funds rose fivefold in March
ECB data shows some funds faced liquidity squeeze as VM calls flooded in
Investors abandoned junk bond ETFs in March
Forced sale of ‘fallen angels’ could exacerbate outflows at end-April
Hedge funds cut short US Treasury futures exposure – CFTC data
Short open interest held by leveraged participants down 23% from 12-month peak
Munich Re’s capital requirement jumped 19% in 2019
Interest rate declines added €2.2bn to SCR
Eurozone real estate funds build equity holdings
Net purchases of equity hit €18.2 billion
Equity gains bolster EU hedge funds’ portfolios
Funds were net sellers of equities, but market gains added +10% to balance sheet values
EU funds loaded up on US debt in 2019
Net purchases of US debt up +962% in 2019
‘Fallen angels’ pose little threat to EU funds
Passive fund outflows in a credit crisis would put pressure on high-yield bond prices
At Apple, derivatives notionals top $178bn
Credit loss amounts rocket on rate and currency fluctuations