Total foreign exchange forwards notionals in the second quarter remained close to record levels, but billions of dollars of business changed hands between fund managers and their dealers, with Citi being one of the primary victims of the rotation.
The bank reported a cut of $13.8 billion and $3.5 billion of FX forwards and options positions, respectively, with US mutual funds and exchange-traded funds. It also saw a drop of $1.2 billion notional in forwards trades with life insurers.
The fall
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