Jumbo trades propel BNPP, TD up forwards rankings

Counterparty Radar: In Q1 2021 data, outsiders are eating into US banks’ business with domestic funds


BNP Paribas was a whisker away from dethroning Citi as the top provider of foreign exchange forwards to US mutual funds in the first quarter of 2021 – the only European bank to break into the top five – while TD Securities and Bank of America also saw big jumps in market share.

The French bank’s lofty position is for the total value of its trades. It executed less than a third of Citi’s volume in terms of tickets – Citi is the clear leader by that measure, with BNP Paribas in eighth overall – but hoovered up a large proportion of the market’s jumbo trades.

TD Securities has a similar story to tell. Its meteoric rise appears to be a result of its participation on FX HedgePool, the peer-to-peer platform that is shaking up the forwards leaderboard. By virtue of the mammoth trades that are matched via the platform, participating banks can rocket up the rankings on the back of relatively little flow. In the first quarter, the Canadian dealer’s 466 tickets generated a total value of $67.3 billion. That was enough to land in sixth place overall, one spot behind JP Morgan, which executed 17 times the number of tickets.

BNPP grabbed a big share of the market's largest trades

Among managers, while Vanguard’s share of all reported trades slipped slightly from the fourth quarter of last year, a surge from Pimco means the market’s twin giants are now responsible for more than half of the forwards traded by US mutual and exchange-traded funds, again measured by total value.

The rankings are compiled from filings made to the US Securities and Exchange Commission by individual sub funds. Filings made between January 1 and March 31 were aggregated to create the first-quarter ranking, with each providing a snapshot of positions on the books of the funds.

All data from the start of 2020 to the end of Q1 2021 is now available to be sorted and analysed via the new Counterparty Radar tool.

The Vanguard effect

Citi has topped the forwards charts since FX Markets started tracking the data in Q1 2020. Back then, it had an overall market share of 15.38%, nearly 6 percentage points ahead of its closest rival. But a year on, Citi’s share has slipped to 10.78%, with BNP Paribas now sitting just behind on 10.07%.

It’s not really a case of BNP Paribas stepping on the gas – the French bank’s overall share actually fell in the first quarter – more a case of Citi slipping back toward the pack. Citi fell dramatically to fourth place in G10 pairs, a category it has topped since the start of last year, and lost market share in a host of other categories.

One explanation could be the bank’s changing fortunes with Vanguard. As reported earlier this month, Citi’s market share with Vanguard – a firm responsible for around a third of all forwards volume among US mutual and exchange-traded funds – has steadily slipped over the past year. That trend has continued, with Citi moving from $20.3 billion volume and a 6.81% market share of Vanguard’s business in the fourth quarter of 2020 to $12 billion volume and a 3.97% share in Q1 2021.

Citi also slipped with the other leading forwards user, Pimco – going from second spot in Q4, to fourth spot in Q1 2021.

The big mover in the other direction was TD Securities. The Canadian bank has sat at around tenth spot overall since the start of last year but leaped up the rankings in the latest batch of data, gaining more than 2 percentage points in market share.

Citi's market share with Vanguard has slipped

The G10 pairs were the driver of the move – TD leapt to third position in the major economy pairs in Q1, from ninth the previous quarter. The Canadian bank also moved from fourth to first for euro/US dollar, taking a 12.51% market share. BNP Paribas was second on 10.58%.

Again, Vanguard could be one possible reason – TD was the fund giant’s number two forwards counterparty in Q4 with an 11% share, but the Canadian bank hit top spot in Q1 with a 19% share.

This is believed to reflect the Canadian dealer’s role as a credit provider to FX HedgePool. Vanguard is a well-known user of the venue. Another participant in the platform, Standard Chartered, also moved up one spot with the fund manager in the first quarter. It’s not known how the economics of these trades compare to those for traditional forwards, but there is an argument that the business should be viewed differently to other forwards transactions – dealers on the platform become party to offsetting trades between two buy-side firms, taking credit risk but not market risk.

Bank of America also took a big stride in the quarter, hitting third spot overall with a 9.44% share – its best result in the five quarters of data collected. The US bank also topped the G10 pairs table, climbing from fourth the previous quarter, on the back of a nearly 2 percentage point increase in its market share.

Part of the bank’s improved standing could be attributed to its changing fortunes with Pimco. The bank moved from eighth position with the West Coast giant in Q4 to top spot in Q1 – with its volumes climbing from $7 billion to $22 billion.

Other movers this quarter include JP Morgan, which slipped from third to fifth overall, and Goldman Sachs, which went from seventh overall down to tenth position. Goldman was used much less by Pimco in Q1 2021, with the US bank going from the manager’s top counterparty in Q4 to number eight the following quarter – more than halving its market share in the process.

Goldman also fell from top spot for US dollar/Japanese yen in Q4 with a 12.87% share to ninth in Q1 2021 with a 4.91% share. BNP Paribas, in contrast, moved from seventh position for the currency pair in Q4 with a 6.84% share, to top spot with a 12.81% share.

Pimco steps up

Things were a little steadier on the buy side. Vanguard’s market share fell back slightly but still represents a third of the market by volume – it’s also worth noting that only transactions on the books of the firm’s US-regulated funds are recorded in the data. It recorded 14 tickets valued at more than $5 billion in the first quarter of the year, including an $8.7 billion EUR/USD trade with Standard Chartered. Again, this could be a peer-to-peer trade with another manager, intermediated by the UK bank and facilitated via FX HedgePool.

In one eye-catching development, Vanguard vanished almost completely from the rankings for trades with between three and 12 months of remaining maturity in Q1 2021, despite topping that table in Q4. The manager had just one trade in that bucket on its books in Q1, compared to 65 in the previous quarter, which now looks like a blip. Tracking the data back to the start of last year, Vanguard has generally had a tiny slice of its portfolio in these longer-dated trades, requiring it to roll large volumes on an ongoing basis. This behaviour changed briefly last year, when roughly 10% of its book at the Q4 reporting date had extended settlement dates, but it’s not clear why – perhaps the firm wanted to avoid rolling some of its trades during the sometimes-stressed year-end period.

Pimco increased its share of the market from 13.38% in the prior quarter to 16.81% in the first quarter of this year. It also struck some very large trades in Q1, including a $7.6 billion sterling/US dollar trade.

Franklin Templeton and PGIM swapped positions, with the former hopping up to third and the latter stepping down a place. AlphaCentric moved into the top 10 overall for the first time, while Eaton Vance and AQR fell out of that list.


About this data

The information used in this analysis comes from Nport-P filings to the US Securities and Exchange Commission. This is a relatively new form, introduced at the end of 2019, which requires mutual funds and exchange-traded funds to file monthly summaries of their portfolio holdings to the SEC. 


The filings include FX forward transactions that were live at the time of the filing, and include details such as bank counterparty names, currencies, trade sizes and remaining maturity. The forms are filed to the SEC on a monthly basis, and the regulator makes the final filing of each fund’s quarter public 60 days after the end of that period. The filings are in a structured XML form, making it possible to download and parse the data for trends. 

The first-quarter 2021 analysis is based on roughly 20,000 individual fund filings with periods ending between January 1 and March 31, 2021. Of these filings, 1,460 funds were a party to one or more FX forwards trades, worth a total of $917 billion. 

It’s important to caveat the information. While these are pro forma regulatory filings to the SEC and should be accurate, mistakes and miscategorisations do occur. The data was cleaned and obvious errors excluded. For instance, trades where FX Markets was not able to identify the dealer or fund manager were excluded from their respective calculations. Trades without an identifiable manager made up 0.62% of the total volume, while trades without an identifiable dealer made up 3.06% of total volume.

Ongoing refinement of our data cleaning processes resulted in some very minor changes to data from previous quarters, so numbers in this article may vary slightly from those cited in prior pieces.

Information from these filings is also the basis for a new tool, Counterparty Radar, which allows users to search the filings information themselves to discover the most popular dealers and most active managers for FX forwards and options. 

We intend to track these stats every quarter, so please get in touch if something doesn’t look right and needs closer investigation, or to suggest other ways to present or analyse the data: [email protected]

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