US funds’ FX forwards settlement dates show clustering effects

Counterparty Radar: Analysis shows concentrations appear on certain dates, which can differ by currency

Data clusters

Foreign exchange forwards are one of the most common derivatives instruments used by US mutual funds. They tend to be rolled regularly, with tweaks to ensure the hedges are in line with the changing underlying exposures.

But according to analysis of US mutual fund and exchange-traded fund filings conducted by FX Markets, these trades tended to settle only on a handful of dates, often clustering around quarter-end – though not all currency pairs exhibited the same trends. 

The analysis is based

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