The fair value of derivatives held by UK banks fell by £321 billion ($232 billion) to £5.03 trillion in Q2 2021 – the fifth consecutive quarterly decline since exposures hit £7.96 trillion in Q1 2020, Bank of England (BoE) data shows.
FX futures and forwards and interest rate swaps accounted for the lion’s share of the decline. At the end of June, FX futures and forwards exposures fell £114 billion to $496 billion, an 18.7% drop over the quarter. Interest rate swap exposures fell by £108
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