At US G-Sibs, rates derivatives notionals the lowest since 2014
Banks cut interest rate swaps notionals by -18% year-on-year
Top US banks sloughed off more than $31 trillion of interest rate derivatives notionals in the fourth quarter of 2019, regulatory filings show.
Aggregate interest rate contract notionals across the eight US global systemically important banks (G-Sibs) fell by -17% to $145.7 trillion over the three months to end-December. This is -4% lower than in Q4 2018, and the lowest notional amount going back to at least Q2 2014, when public disclosure began.
Swaps made up the lion’s share of interest rate
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