JP Morgan increases FX options dealer lead as Goldman slips

Counterparty Radar: GSAM up five manager spots amid market decline, while MSIM holds RMB positions steady

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JP Morgan has extended its lead as top foreign exchange options dealer in the rankings for US mutual funds in the second quarter, holding close to half of the notionals with the client group and winning nearly twice the market share of its nearest competitor.

Mutual funds had shed a total of $3.2 billion of FX options notionals from their books as of the end of Q2, going down to $54.9 billion, with the largest cuts seen in Asia-Pacific currency pairs. The information is based on disclosures made by US mutual funds to the US Securities and Exchange Commission, which have been gathered and analysed by FX MarketsCounterparty Radar service.

JP Morgan increased its FX options positions with managers by $1.5 billion between Q1 and Q2 this year, holding a total of $25.7 billion notional. This accounted for 47% of total dealer notionals, up from 42% last quarter. A large portion of JP Morgan’s growth was down to securing new business from BlackRock.

Its closest rival, Goldman Sachs, however, saw its position recede as the total value of its FX options book declined by nearly a quarter to $13.4 billion, taking its market share from 30% to 24%. This was mostly due to declines with Voya and Transamerica.

Meanwhile, Bank of America increased the size of its book by nearly $600 million, helping it climb one spot up in the rankings to fourth. UBS rose four places in the rankings, from tenth to sixth.

On the manager side, Morgan Stanley Investment Management’s notionals held steady from Q1, retaining its $26 billion US dollar/renminbi positions. With the decline in trading this quarter, this saw its market share rise from 45% to 48%.

Goldman Sachs Asset Management (GSAM) saw the largest growth in Q2, more than doubling its FX options notionals to $3.2 billion and rising from tenth to fifth overall. More than a third of the manager’s new trades were in G10 pairs.

UBS and Citi were the main beneficiaries of GSAM’s increase. Both banks gained more than $500 million in notionals in Q2 with the manager. Morgan Stanley had previously held 64% of GSAM’s notionals but this declined to 39% in Q2.

Other movers included Invesco, which after halving its books in the first quarter slightly increased its notionals and moved up one place to third. BlackRock went the other way, shedding $516 million of notionals to drop from third to fourth.

Americas currency pairs were the only ones to grow, with US dollar/Mexican peso the most popular with a net increase in notionals of $580 million. Euro/US dollar reported the largest net cut, falling $2.7 billion, while US dollar/ruble also shrank by $2.4 billion.

 

About this data

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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 options 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. 

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. 

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 will track these stats every quarter, so please get in touch if something doesn’t look right, or to suggest other ways to present the data: [email protected]

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