Corporates and funds
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
Hedge funds levered up in 2018
Relative value funds have highest adjusted leverage, at 7,155%
Liquidity risks acute for popular retail funds – Esma
Eight per cent of real estate fund NAV may be withdrawn over a one-day period
At US G-Sibs, swap exposures to corporates climb $43bn in Q3
BofA Securities’ exposures to hedge funds plummets following spike in Q1
EU funds buy €89bn of overseas debt in Q3
Net purchases year-to-date almost three times total transactions in 2018
Fed underscores run risk of corporate bond funds
Total AUM of junk bond and bank loan funds was around $350 billion in Q2 2019
EU alternative funds hold €17bn of CLOs
Over 50% of AIF exposures concentrated in top 20 funds
Currency risk drives EU equity fund derivatives use
Just 27.6% of Ucits equity funds traded derivatives in Esma sample
EU high-yield funds at risk of liquidity shock – Esma
High-yield bond funds have just 13% of NAV in high-quality liquid assets on average
Ford reaps derivatives gains following interest rates dip
Swap assets of automaker’s financial services unit hit $1.2 billion
FICC dominates US Treasury repo in Q2
Clearing house’s sponsored programme claimed $449.7 billion of US Treasury-backed trades
Derivatives assets surge at eurozone hedge funds
Derivatives assets made up 16% of total hedge fund assets in March
Some EU funds leveraged more than 500% using CDS
1,337 funds held €387 billion of CDS notionals at end-2016
State Street top trading partner of Dodge & Cox Funds in 2018
Custody bank made up over 90% of all principal transactions
EU hedge funds lean on repo for leverage
Around 60% of EU hedge fund borrowings due within one week, Esma reports
Berkshire Hathaway dinged $300m by equity index options
Derivatives have netted conglomerate $2.2 billion in gains since 2004
On hedging, BP and Shell set different timelines
Shell has much larger share of derivatives classified as current than BP
Apple derivatives use surges
Hedging derivatives notionals hit $99 billion, up from $6 billion in 2008