Corporates and funds
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Eight per cent of real estate fund NAV may be withdrawn over a one-day period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
EU funds net sellers of single-name CDS protection
60% of UCITS funds' single-name CDS gross notional exposures were sell contracts in October 2017
In ongoing drive, Shell slashes debt by almost $8 billion
Gearing ratio down 220 basis points year to year
Hedge funds cut CDS positions as basis trades diminish
Net long CDS positions fell by $117 billion from mid-2014 to end-2017
Citi largest counterparty for Templeton currency hedges
Citi accounted for 23% of outstanding forwards at end-March
European investment fund growth slows
Bond fund growth rate falls from 10.6% to 8.2% quarter-on-quarter
Dodge & Cox turns to MBS as Treasury yields rise
Income Fund grows securitised allocations from 36.1% to 39.7%
BP net derivative assets top $1.5 billion
Hedging instruments fair values rise while oil prices surge