Vanguard stages swaptions comeback
Counterparty Radar: Deutsche grew book to $11 billion in Q1 to become largest non-US swaptions dealer to mutual funds
After a year-long hiatus, Vanguard brought its swaptions book back to life in the first quarter of the year.
The notional value of the positions reported by the passive giant’s mutual funds and exchange-traded funds (ETFs) grew by 256% in Q1 to $3.5 billion, as it bought $1.7 billion in US dollar short-end receive-fix positions that will benefit from a fall in interest rates. A further $1.4 billion of US dollar payer swaptions were sold by Vanguard to dealers in the first quarter – trades to be
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