Swaps exposures of US G-Sibs dropped 12% in Q4
The fair value of in-the-money derivatives assets held by top US banks fell sharply in the final quarter of 2019, reversing some of the big gains made earlier in the year.
Net current credit exposures – the positive fair value of derivatives contracts – hit $474.8 billion in aggregate across the eight US global systemically important banks (G-Sibs) in Q4 2019. This was down -12% on Q3. Year-on-year, though, exposures were up +8%.
Over the three months to end-December, exposures to corporations
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