QUARTERLY
2023 VOLUME 17, NUMBER 3
16
TABLE VI-A. Derivatives, All FDIC-Insured Call Report Filers
(dollar figures in millions;
notional amounts unless otherwise indicated)
2nd
Quarter
2023
1st
Quarter
2023
4th
Quarter
2022
3rd
Quarter
2022
2nd
Quarter
2022
%
Change
22Q2-
23Q2
Asset Size Distribution
Less
Than
$100
Million
$100
Million
to $1
Billion
$1
Billion
to $10
Billion
$10
Billion
to $250
Billion
Greater
Than
$250
Billion
ALL DERIVATIVE HOLDERS
Number of institutions reporting derivatives 1,187 1,178 1,141 1,212 1,254 -5.3 10 506 526 131 14
Total assets of institutions reporting derivatives $21,524,691 $21,778,638 $21,631,677 $21,656,127 $21,873,051 -1.6 $657 $262,110 $1,649,964 $6,043,034 $13,568,926
Total deposits of institutions reporting derivatives 17,039,067 17,123,918 17,562,378 17,673,277 17,982,075 -5.2 492 219,310 1,350,936 4,826,589 10,641,740
Total derivatives 224,647,898 220,468,605 192,875,723 198,385,321 197,421,142 13.8 125 10,659 205,991 4,698,930 219,732,192
Derivative Contracts by Underlying
Risk Exposure
Interest rate 164,098,782 160,283,100 139,774,359 141,989,523 142,884,741 14.8 125 10,149 198,435 2,791,496 161,098,578
Foreign exchange* 49,083,326 48,529,675 43,001,986 45,988,455 44,459,158 10.4 0 0 3,051 1,664,046 47,416,230
Equity 5,471,018 5,001,131 4,423,904 4,409,702 4,330,864 26.3 0 30 32 53,963 5,416,993
Commodity & other (excluding credit derivatives) 1,519,658 1,574,689 1,432,977 1,606,776 1,779,436 -14.6 0 0 141 126,787 1,392,730
Credit 4,474,144 5,079,273 4,241,352 4,389,784 3,965,766 12.8 0 40 3,805 62,638 4,407,661
Total 224,646,928 220,467,868 192,874,578 198,384,240 197,419,965 13.8 125 10,219 205,464 4,698,930 219,732,192
Derivative Contracts by Transaction Type
Swaps 143,242,708 137,729,743 118,597,662 121,132,626 121,285,181 18.1 0 1,653 142,142 3,125,856 139,973,058
Futures & forwards 33,317,054 34,502,393 28,748,693 31,661,060 32,045,336 4.0 0 1,000 9,449 1,117,159 32,189,446
Purchased options 20,127,902 20,067,871 19,695,467 19,118,334 18,596,675 8.2 0 234 20,121 182,195 19,925,352
Written options 20,751,678 20,222,587 19,693,855 18,780,453 18,958,408 9.5 0 983 10,009 162,153 20,578,533
Total 217,439,342 212,522,593 186,735,678 190,692,473 190,885,599 13.9 0 3,870 181,720 4,587,362 212,666,389
Fair Value of Derivative Contracts
Interest rate contracts 54,259 64,099 72,856 76,860 76,672 -29.2 0 61 1,946 -2,338 54,589
Foreign exchange contracts 9,782 2,918 -14,980 15,025 11,233 -12.9 0 0 1 1,287 8,493
Equity contracts -7,184 -5,957 4,403 16,949 12,308 -158.4 0 0 8 -559 -6,634
Commodity & other (excluding credit derivatives) 1,819 2,790 8,892 18,933 22,615 -92.0 0 0 2 271 1,547
Credit derivatives as guarantor** 15,417 12,909 5,346 -16,373 -18,433 -183.6 0 4 16 -100 15,497
Credit derivatives as beneficiary** -17,352 -14,434 -4,002 23,163 22,643 -176.6 0 0 -3 -483 -16,867
Derivative Contracts by Maturity***
Interest rate contracts < 1 year 112,943,731 109,261,325 92,694,359 97,477,065 96,672,591 16.8 0 1,484 27,789 1,621,997 111,292,461
1-5 years 29,392,067 30,208,347 27, 375,717 26,085,681 26,253,904 12.0 5 2,516 83,241 619,090 28,687,217
> 5 years 21,500,104 21,259,200 20,667,400 19,919,888 22,979,692 -6.4 0 1,964 66,583 343,076 21,088,482
Foreign exchange and gold contracts < 1 year 35,713,887 36,896,856 33,156,693 34,753,442 33,883,174 5.4 0 0 1,794 1,533,849 34,178,243
1-5 years 5,264,822 4,979,588 4,811,621 4,481,609 4,545,526 15.8 0 0 312 103,351 5,161,160
> 5 years 3,320,695 2,528,186 2,444,283 2,226,842 2,476,418 34.1 0 0 1 6,556 3,314,138
Equity contracts < 1 year 5,331,649 4,990,234 4,335,420 4,315,354 4,272,177 24.8 0 7 2 23,085 5,308,555
1-5 years 1,142,298 1,150,946 999,329 1,057,822 911,068 25.4 0 23 4 7,293 1,134,980
> 5 years 132,964 106,507 98,766 140,485 174,232 -23.7 0 0 0 21,520 111,444
Commodity & other contracts (including
credit derivatives, excluding
gold contracts) < 1 year
2,903,697 3,102,480 2,743,038 2,933,679 3,007,398 -3.4 0 2 190 41,902 2,861,603
1-5 years 3,038,310 3,290,726 2,844,783 2,819,537 2,653,707 14.5 0 14 1,420 64,429 2,972,448
> 5 years 270,488 487,503 272,418 468,669 680,264 -60.2 0 66 2,269 7,668 260,486
Risk-Based Capital: Credit Equivalent Amount
Total current exposure to tier 1 capital (%) 14.4 13.0 14.9 21.0 17.5 0.0 0.7 2.8 4.7 21.2
Total potential future exposure to tier 1 capital (%) 31.6 32.0 31.8 32.2 35.2 0.0 0.2 0.9 5.2 49.9
Total exposure (credit equivalent amount)
to tier 1 capital (%)
45.9 45.1 46.7 53.2 52.7 0.0 0.9 3.7 9.9 71.1
Credit losses on derivatives**** -12.8 -12.5 101.1 106.6 104.6 -112.2 0.0 1.4 1.3 -0.3 -15.1
HELD FOR TRADING
Number of institutions reporting derivatives 153 158 165 173 172 -11.0 0 12 73 56 12
Total assets of institutions reporting derivatives 16,286,963 16,517,738 16,459,085 16,478,700 16,613,157 -2.0 0 7,072 324,457 3,090,110 12,865,324
Total deposits of institutions reporting derivatives 12,811,834 12,895,162 13,224,437 13,290,145 13,518,784 -5.2 0 5,891 266,472 2,473,404 10,066,067
Derivative Contracts by Underlying
Risk Exposure
Interest rate 157,949,351 155,617,896 135,502,495 137,555,249 138,592,472 14.0 0 314 43,560 1,263,780 156,641,697
Foreign exchange 45,798,549 45,123,349 40,604,230 42,216,283 41,401,741 10.6 0 0 2,718 1,567,298 44,228,533
Equity 5,417,476 4,948,378 4,375,929 4,363,822 4,283,905 26.5 0 0 0 44,555 5,372,920
Commodity & other 1,476,394 1,532,080 1,391,961 1,565,817 1,737,954 -15.0 0 0 39 119,207 1,357,148
Total 210,641,770 207,221,703 181,874,615 185,701,171 186,016,071 13.2 0 314 46,317 2,994,840 207,600,299
Trading Revenues: Cash & Derivative
Instruments
Interest rate** 3,479 5,728 4,623 -1,179 894 289.1 0 0 5 91 3,383
Foreign exchange** 5,173 4,438 1,168 8,156 6,366 -18.7 0 0 2 215 4,956
Equity** 3,995 5,335 3,099 3,308 777 414.2 0 0 4 392 3,600
Commodity & other (including credit derivatives)** 1,027 2,086 785 2,453 2,363 -56.5 0 0 0 57 970
Total trading revenues** 13,674 17,586 9,675 12,739 10,401 31.5 0 0 10 755 12,908
Share of Revenue
Trading revenues to gross revenues (%)** 5.6 7.6 4.8 7.1 6.8 0.0 0.0 0.2 1.7 6.6
Trading revenues to net operating revenues (%)** 27.0 33.5 20.8 27.7 25.6 0.0 0.0 1.0 8.5 31.6
HELD FOR PURPOSES OTHER THAN TRADING
Number of institutions reporting derivatives 547 546 528 541 553 -1.1 0 104 304 125 14
Total assets of institutions reporting derivatives 20,738,050 20,871,019 20,707,301 20,730,909 20,822,169 -0.4 0 56,282 1,206,930 5,905,913 13,568,926
Total deposits of institutions reporting derivatives 16,387,383 16,454,728 16,786,145 16,882,713 17,089,251 -4.1 0 46,745 983,850 4,715,049 10,641,740
Derivative Contracts by Underlying Risk
Exposure
Interest rate 6,123,185 4,642,380 4,252,676 4,412,573 4,267,827 43.5 0 3,527 135,061 1,527,716 4,456,881
Foreign exchange 577,582 563,149 519,396 491,890 513,259 12.5 0 0 209 47,818 529,555
Equity 53,542 52,752 47,975 45,880 46,959 14.0 0 30 31 9,408 44,073
Commodity & other 43,264 42,609 41,016 40,959 41,482 4.3 0 0 102 7,580 35,582
Total notional amount 6,797,573 5,300,890 4,861,062 4,991,302 4,869,528 39.6 0 3,556 135,403 1,592,523 5,066,091
All line items are reported on a quarterly basis.
* Includes spot foreign exchange contracts. All other references to foreign exchange contracts in which notional values or fair values are reported exclude spot foreign exchange contracts.
** Does not include banks filing the FFIEC 051 report form, which was introduced in first quarter 2017.
*** Derivative contracts subject to the risk-based capital requirements for derivatives.
**** Credit losses on derivatives is applicable to all banks filing the FFIEC 031 report form and banks filing the FFIEC 041 report form that have $300 million or more in total assets,
but is not applicable to banks filing the FFIEC 051 form. N/M - Not Meaningful