US fund filings: Citi extends lead, BNP Paribas climbs

Total value of forwards positions jumps 11% after second-quarter dip

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Citi extended its dominance of FX forwards trading among US funds in the third quarter, while BNP Paribas moved into second position on the back of a series of large trades with Vanguard, according to analysis of the latest filings by around 21,000 mutual funds.

The study is based on individual fund reports to the US Securities and Exchange Commission (SEC) covering the third quarter of last year, which represent 66,766 trades with an aggregate value of $834 billion.

It shows Citi leading the pack – as was the case in the first and second quarters of 2020 – with a market share of 14.46%. That is nearly four points more than its nearest rival, doubling the previous quarter’s gap between the first- and second-placed dealers. 

By region, the US bank picked up market share among Europe, the Middle East and Africa currencies excluding G10 pairs, and took more than 30% of all ex-G10 Americas forwards – more than double the share of the second-placed dealer. 

At the upper end of the ranking, BNP Paribas was the biggest mover, with the French bank jumping from a 7.76% overall market share in the second quarter to 10.72% in the third. That was enough for second place overall, leapfrogging JP Morgan and Morgan Stanley.

Compared to its US rivals, BNP Paribas prints far fewer tickets: 3,171 in the third quarter, compared to 8,300 at third-place Morgan Stanley. This equates to an average trade size of $28.2 million for the French dealer compared to $9.7 million for Morgan Stanley.

BNPP’s move was partly driven by a series of very large trades struck in the third quarter. The bank recorded 28 trades valued above $1 billion, compared with 10 in the previous quarter. Most of the new trades were with Vanguard in the euro/US dollar cross. The trades helped BNP Paribas move from fifth to second for EUR/USD in the third quarter, and from third to the top spot for trades over $500 million.

The French bank also moved from tenth to third for US dollar/Japanese yen in the third quarter, as its share of that cross doubled. But the bank tumbled in sterling/US dollar – its share collapsing from 11.7% in the second quarter to 2.6% in the third. 

Introduced at the end of last year, the filings are made on a monthly basis to the SEC and disclosed to the public on a quarterly basis. They represent a point-in-time snapshot of each fund’s live trades, rather than the sum of all trading during the period. 

It is not a perfect dataset – in aggregating the information, FX Markets identified and corrected a number of errors in individual fund filings. As one example, the first- and second-quarter results for Citi and JP Morgan had to be recalculated following the discovery of a reporting anomaly relating to one large manager (see box: About this data).

Look north

TD Securities, the markets business of Toronto Dominion Bank, continued its rise, cracking the overall top 10 in the third quarter, and moving into eighth position for G10, sixth in EUR/USD and third position for trade sizes above $500 million. Most of its larger tickets were with Vanguard, with the asset manager entering 24 trades valued at more than $500 million in the quarter, including a $5.6 billion EUR/USD transaction and a $4.2 billion GBP/USD trade. The Canadian dealer also struck two trades with Pimco valued at more than $1 billion. 

One source of the Canadian bank’s growth is thought to be its role as a credit intermediation provider at peer-to-peer matching venue, FX HedgePool. Standard Chartered also plays a central role in the platform, but while it was involved in some huge trades with known FX HedgePool client Vanguard – including trades of $8 billion and $6.7 billion in USD/JPY and EUR/USD, respectively – it slipped back slightly in the third quarter to eleventh place overall.

Other banks were also becalmed. JP Morgan stayed still or lost ground in all but one cut of the data – US dollar/Swiss franc, where it moved from second into first position, securing a near 6% market share lead in the third quarter. 

Bank of America slipped from fifth to seventh overall, following a large fall in trading with Vanguard. The bank recorded $14 billion of trading with the asset manager in the second quarter, but only $4.8 billion the following quarter.

Vanguard, kingmaker

There were notable moves in the largest currency pairs. Morgan Stanley jumped two spots to become the biggest dealer for USD/JPY, on the back of seven trades valued at more than $800 million with Vanguard. Bank of America fell from second to eleventh following a 97% reduction in trades by value with Vanguard, and a 92% fall in trades with Pimco. 

In EUR/USD, JP Morgan fell from fourth to eighth place, losing nearly 3% market share in the process. Commonwealth Bank moved up 10 places to fourteenth thanks to three $1 billion-plus trades with Vanguard.

In cable, HSBC moved from seventh to top position due to significantly increased trading with BlackRock and Pimco. Standard Chartered also moved from twelfth to sixth thanks to some $500 million-plus trades with Pimco.

State Street scored its highest position in USD/CNY, moving up to second position on the back of a string of large trades.

When trades are filtered by remaining maturity, TD Securities was the big mover at the short end, jumping up four places to fifth position for trades settling in less than a month from the reporting date. 

At the longer end, HSBC rose from third to top spot for trades with more than 12 months remaining, taking a 25% market share. The longest-dated trade of the quarter was between Morgan Stanley and faith-based investment manager GuideStone, which struck a $3.2 million USD/CNY forward expiring in July 2025. 

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 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 state 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 a given 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. 

Our third-quarter analysis is based on roughly 21,000 individual filings made between July 1 and September 30, 2020. Of these filings, 1,348 included FX forwards trades worth a total of $834 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.

Data for the first and second quarters was slightly restated after it emerged that AQR Capital Management had reported just two counterparties – Citi and JP Morgan – for all of its forwards, with an almost exact 50/50 split between the two. It’s believed these banks are the prime brokers to AQR, rather than the executing brokers. AQR’s positions have now been excluded from the first- and second-quarter totals. No other large asset managers appear to report this way.

It was not possible to check every trade, and FX Markets takes no responsibility for filing errors. 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. 

Contact: Lukas Becker

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