UK banks’ rate swaps books continued to grow in Q2

The interest rate swap portfolios of UK dealers continued to grow over the second quarter, though their exposure to other types of derivatives fell back, Bank of England data shows.

The total fair value of derivatives assets and liabilities held by UK banks fell 11% to £7.07 trillion ($9.39 trillion) over the three months to end-June. However, interest rate swap exposures defied the overall trend by climbing over 3% to £4.42 trillion. Over Q1, gross interest rate swap derivatives increased a

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