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Federal Deposit
Insurance Corporation

Each depositor insured to at least $250,000 per insured bank

FDIC Quarterly Banking Profile

Table VI-A Derivatives, All FDIC-Insured Commercial Banks and State-Chartered Savings Banks
(dollar figures in millions)
notional amounts unless otherwise indicated
3rd Quarter
2016
2nd Quarter
2016
1st Quarter
2016
4th Quarter
2015
3rd Quarter
2015
% Change
15Q3-16Q3
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 1,440 1,446 1,429 1,414 1,418 1.6 64 849 420 97 10
Total assets of institutions reporting derivatives $15,188,973 $15,033,334 $14,766,799 $14,422,442 $14,231,258 6.7 $4,918 $357,633 $1,311,261 $4,738,420 $8,776,741
Total deposits of institutions reporting derivatives 11,513,763 11,313,838 11,189,545 10,938,376 10,735,417 7.3 4,103 293,936 1,043,882 3,602,309 6,569,533
Total derivatives 179,902,250 192,350,486 195,508,825 181,986,620 195,399,913 -7.9 272 26,500 130,616 45,723,148 134,021,715
Derivative Contracts by Underlying Risk Exposure
Interest rate 132,992,944 143,794,699 147,218,272 138,363,456 148,665,387 -10.5 272 26,482 124,748 39,714,914 93,126,528
Foreign exchange* 36,299,774 37,701,788 37,129,026 33,133,791 34,638,122 4.8 0 1 4,744 5,412,955 30,882,074
Equity 2,734,807 2,672,364 2,533,921 2,395,120 2,508,972 9.0 0 6 291 178,291 2,556,219
Commodity & other (excluding credit derivatives) 1,312,260 1,328,302 1,209,774 1,107,759 1,389,755 -5.6 0 6 73 80,130 1,232,051
Credit 6,562,465 6,853,333 7,417,833 6,986,493 8,197,677 -19.9 0 6 760 336,857 6,224,843
Total 179,902,250 192,350,486 195,508,825 181,986,620 195,399,913 -7.9 272 26,500 130,616 45,723,148 134,021,715
Derivative Contracts by Transaction Type
Swaps 103,013,911 111,900,682 114,814,419 107,392,487 112,697,189 -8.6 50 7,642 75,587 28,363,516 74,567,116
Futures & forwards 36,958,352 38,790,406 37,151,052 35,684,999 38,988,244 -5.2 70 9,562 28,147 7,144,237 29,776,336
Purchased options 15,466,148 16,277,239 16,857,478 15,469,691 16,817,381 -8.0 6 654 5,012 4,797,222 10,663,254
Written options 15,459,962 16,012,000 16,706,898 15,419,416 16,236,717 -4.8 146 8,636 20,809 4,975,225 10,455,147
Total 170,898,372 182,980,326 185,529,847 173,966,592 184,739,531 -7.5 272 26,494 129,555 45,280,199 125,461,853
Fair Value of Derivative Contracts
Interest rate contracts 77,293 75,052 75,481 67,223 76,692 0.8 -4 31 -227 34,019 43,473
Foreign exchange contracts 13,372 11,369 -11,530 -12,485 -15,284 N/M 0 0 -9 5,673 7,709
Equity contracts 1,643 6,637 5,035 5,318 7,880 -79.1 0 0 0 486 1,157
Commodity & other (excluding credit derivatives) -2,185 -3,151 -4,310 -3,571 -6,952 N/M 0 0 1 158 -2,343
Credit derivatives as guarantor 17,871 1,037 2,901 -2,697 1,890 845.6 0 -1 -2 -200 18,074
Credit derivatives as beneficiary -17,575 -167 -966 7,076 2,441 N/M 0 0 -28 686 -18,233
Derivative Contracts by Maturity**
Interest rate contracts < 1 year 58,874,863 66,424,471 65,650,642 55,047,362 60,754,367 -3.1 67 8,763 27,174 13,111,643 45,727,215
1-5 years 45,382,718 47,001,897 50,714,670 49,406,784 52,458,012 -13.5 20 2,020 28,795 12,648,454 32,703,429
> 5 years 32,522,071 33,930,510 34,846,003 32,980,646 34,618,605 -6.1 32 5,724 42,124 10,464,334 22,009,857
Foreign exchange and gold contracts < 1 year 25,797,765 26,622,784 26,231,748 24,129,842 25,206,603 2.3 0 0 2,482 3,022,185 22,773,097
1-5 years 4,096,173 4,112,254 4,081,595 3,986,436 3,672,989 11.5 0 0 564 386,575 3,709,034
> 5 years 1,901,381 2,150,431 1,819,360 1,647,804 1,500,445 26.7 0 0 163 197,934 1,703,285
Equity contracts < 1 year 1,954,392 1,907,096 1,841,069 1,743,252 1,610,476 21.4 0 0 20 63,701 1,890,671
1-5 years 821,844 709,947 674,710 627,875 671,362 22.4 0 0 105 46,141 775,597
> 5 years 129,226 134,063 129,076 130,188 183,539 -29.6 0 0 4 15,548 113,674
Commodity & other contracts (including credit < 1 year 2,826,215 3,032,137 2,813,615 2,651,133 2,566,099 10.1 0 5 33 83,820 2,742,356
derivatives, excluding gold contracts) 1-5 years 4,009,114 4,354,280 4,800,922 4,694,153 5,771,045 -30.5 0 5 91 155,739 3,853,278
> 5 years 540,260 368,331 619,196 405,131 750,909 -28.1 0 0 149 31,858 508,253
Risk-Based Capital: Credit Equivalent Amount
Total current exposure to tier 1 capital (%) 35.2 37.2 34.5 30.1 34.3   0.0 0.6 1.2 21.3 51.8
Total potential future exposure to tier 1 capital (%) 41.0 43.5 47.5 48.3 50.3   0.1 0.3 0.7 15.7 66.3
Total exposure (credit equivalent amount) to tier 1 capital (%) 76.2 80.7 82.0 78.4 84.6   0.2 0.9 1.8 37.0 118.1
Credit losses on derivatives*** 38.0 32.0 13.0 78.0 72.0 -47.2 0.0 0.0 0.0 14.0 24
HELD FOR TRADING
Number of institutions reporting derivatives 251 257 252 250 247 1.6 4 95 89 54 9
Total assets of institutions reporting derivatives 12,138,728 11,985,165 11,719,847 11,460,982 11,384,424 6.6 291 40,229 329,528 3,256,467 8,512,214
Total deposits of institutions reporting derivatives 9,188,820 8,976,508 8,831,049 8,660,644 8,553,870 7.4 257 33,390 259,585 2,549,515 6,346,072
Derivative Contracts by Underlying Risk Exposure
Interest rate 130,490,614 141,316,485 144,689,891 136,029,963 146,136,877 -10.7 8 1,655 31,272 39,177,815 91,279,865
Foreign exchange 33,353,870 34,671,042 34,029,316 31,666,580 31,766,032 5.0 0 0 3,745 5,286,886 28,063,240
Equity 2,718,187 2,656,373 2,510,439 2,370,468 2,486,427 9.3 0 0 0 164,846 2,553,341
Commodity & other 1,310,469 1,326,621 1,208,052 1,105,989 1,387,414 -5.5 0 1 39 79,090 1,231,340
Total 167,873,141 179,970,521 182,437,698 171,173,001 181,776,750 -7.6 8 1,656 35,056 44,708,637 123,127,785
Trading Revenues: Cash & Derivative Instruments
Interest rate 2,959 1,906 3,072 155 2,581 14.6 0 1 26 668 2,264
Foreign exchange 2,294 3,736 1,407 3,401 1,931 18.8 0 0 4 172 2,118
Equity 728 972 670 741 50 1,356.0 0 0 3 35 690
Commodity & other (including credit derivatives) 440 420 455 -25 758 -42.0 0 0 2 -74 512
Total trading revenues 6,421 7,034 5,604 4,271 5,319 20.7 0 1 35 801 5,584
Share of Revenue
Trading revenues to gross revenues (%) 4.9 5.5 4.6 3.5 4.4   0.0 0.2 1.0 2.4 5.9
Trading revenues to net operating revenues (%) 20.7 24.7 22.6 15.7 19.9   0.0 0.9 4.8 11.4 24.1
HELD FOR PURPOSES OTHER THAN TRADING
Number of institutions reporting derivatives 1,319 1,325 1,302 1,299 1,305 1.1 61 772 384 92 10
Total assets of institutions reporting derivatives 14,893,505 14,754,861 14,523,798 14,205,001 13,960,566 6.7 4,715 327,194 1,224,302 4,560,552 8,776,741
Total deposits of institutions reporting derivatives 11,271,299 11,087,199 10,994,534 10,764,768 10,518,599 7.2 3,923 268,463 974,400 3,454,981 6,569,533
Derivative Contracts by Underlying Risk Exposure
Interest rate 2,502,330 2,478,214 2,528,380 2,333,492 2,528,510 -1.0 264 24,827 93,476 537,099 1,846,664
Foreign exchange 504,491 513,919 538,565 433,677 409,385 23.2 0 0 698 19,978 483,815
Equity 16,620 15,991 23,483 24,652 22,545 -26.3 0 6 291 13,445 2,878
Commodity & other 1,791 1,681 1,722 1,770 2,342 -23.5 0 5 34 1,040 711
Total notional amount 3,025,231 3,009,806 3,092,149 2,793,591 2,962,781 2.1 264 24,838 94,499 571,562 2,334,068

All line items are reported on a quarterly basis.

N/M - Not Meaningful

*Include 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.

** Derivative contracts subject to the risk-based capital requirements for derivatives.

*** The reporting of credit losses on derivatives is applicable to all banks filing the FFIEC 031 report form and to those banks filing the FFIEC 041 report form that have $300 million or more in total assets.

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