Pimco cut most of the credit options it held on mutual fund books in the second quarter, and PGIM has over 80% market share across US funds.
The California-based firm led a general withdrawal from trading as managers became more conservative in positions during the market’s turbulent spring season. According to filings with the U.S. Securities and Exchange Commission (SEC), the notional value of mutual funds and exchange-traded funds he reduced by $27.7 billion, or 30% of his total credit options holdings, totaling $639. billion dollars. risk netcounterparty radar database.
This space has seen growth in the last three quarters.
Pimco’s cuts were accompanied by a significant reduction in beneficiary options. Reductions include a notional amount of $9.6 billion in options referencing North American investment grade credits (CDX NA IG) and an notional amount of $8.9 billion referencing European investment grade credits (iTraxx Europe).
The second quarter book also saw a $2.5 billion notional reduction in share options on high-yield European credit (crossover) indices.
The reduction brings Pimco’s holdings to $6.9 billion notional, down 76% from the first quarter when the notional was $28 billion. Meanwhile, PGIM’s total positions fell slightly, but Pimco’s cuts helped the manager boost market share in US mutual funds and exchange-traded funds by 21 percentage points.
The two managers have dominated the US fund credit options market since at least 2020, and together account for over 70% of all credit options trading volume on a quarterly nominal basis. In the last four quarters, this figure has surpassed his 90%.
Funds covered by managers other than PGIM and PIMCO reduced their total credit option holdings by 38% in the second quarter, with PIMCO’s position changes having the greatest impact. Barclays suffered the most as credit option relationships between UK-based dealers and PIMCO fell $7 billion in notional value. Reduced the bank’s market share of US funds by 4.7 points.
Barclays, with one-third of the market, remained the top dealer of US funds with credit options.
Meanwhile, Morgan Stanley captured the largest market share with 7.8 points and Citi emerged as a notional counterparty with $2.2 billion more than in the previous quarter.
About this data
The information used in this analysis is from Nport-P filed with the US Securities and Exchange Commission. This is a relatively new form introduced at the end of 2019 that requires mutual funds and exchange-traded funds to file monthly summaries of their portfolio holdings with the SEC.
The filing contains publicly available over-the-counter derivative transactions at the time of filing, providing details such as bank counterparty name, currency, transaction size and remaining maturity. Forms are filed with the SEC on a monthly basis, and the regulator publishes each fund’s final quarterly filing 60 days after the end of that period. The filing is in a structured XML format, so trend data can be downloaded and analyzed.
Warning information is important.these are pro forma Regulatory filings with the SEC must be accurate, but errors and misclassifications do occur. The data was cleaned and obvious errors were excluded.
As the database is regularly updated and improved, the data presented may not reflect information published in previous articles. Each story reflects the most accurate representation of the data at the time of publication.
Information from these filings is also the basis for Counterparty Radar, a new tool that allows users to self-search filing information to find the most popular dealers and most active managers of various OTC derivatives. increase. These stats are tracked quarterly, so if something doesn’t look right or you have suggestions for other ways to view the data, please contact us. [email protected]