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UK banks interest rate swap exposures fall £711bn

Credit derivatives exposures bucked the downward trend, growing 16% quarter on quarter

Time for action

Late or insufficient action to tame climate change could significantly affect some of the main benchmark rates, the Bank of England projected in its 2021 biennial exploratory scenario (BES) exercise. The BES considers two pathways to net zero greenhouse gas emissions: an early action (EA) and a late action (LA) scenario. It also includes a no additional action (NAA) scenario. Under the LA scenario – where governments rush to reach a 2050 net-zero target in just two decades – the sterling overnight interbank average rate (Sonia) is expected to plummet from a projected annual average of 85 basis points in 2030 to just 6bp the following year as policies are suddenly implemented. Under the same scenario, the secured overnight funding rate (SOFR) would drop from a projected annual average of 83bp to 11bp.

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