Pimco, Franklin Templeton affiliates top for Russia derivatives exposure

US mutual funds Pimco, Western Asset Management and Legg Mason held the biggest net long exposure to Russia via credit, interest rate and foreign exchange derivatives at the start of the year, according to an analysis of US fund filings – positions that have been hit hard by sanctions and the country’s deteriorating credit outlook.

A long position is defined either as a net sold credit default swap position on the Russian state, a net interest rate swap position where the fund is receiving