Choppy Q1 precedes big Q2 for US rates books
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Interest rate and inflation swaps hit notional records, data shows, while mutual funds pile into Euribor and Sonia swaptions
After a volatile first quarter in rates markets, US mutual funds, exchange-traded funds and life insurers reported bigger notional positions in some rate derivatives during the second quarter – with the number of active buy-side firms also climbing.
For life insurers, interest rate swap books set a new notional high of $1.4 trillion, with mutual fund and ETF positions growing to $973.2 billion
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