The largest US mutual and exchange-traded fund managers are increasingly dedicating less of their foreign exchange forwards books to their top counterparty, with six of the largest 10 FX forward-holding managers giving their main dealer a smaller proportion of volume in each of the past three years.
Based on quarterly filings made to the Securities and Exchange Commission, our analysis looked at annual averages of quarterly allocations for each manager as well as the average allocation large managers made to their top FX forward counterparty. FX Markets included trades only where it could identify a counterparty, and managers’ quarterly figures were included only if they listed more than one dealer.
The filings offer a snapshot of fund positioning and dealer selection and have been aggregated through FX…
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