UK banks interest rate swap exposures fall £711bn

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

The total fair value of derivatives assets and liabilities held by UK banks sank £981 billion ($1.4 trillion) to £5.35 trillion in Q1 2021 – the lowest since Q4 2019.

Interest rate swap exposures made up the lion’s share of the quarterly drop, according to figures from the Bank of England, falling by £711 billion (19%) to £3.05 trillion.

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