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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 Call Report Filers
(dollar figures in millions
notional amounts unless otherwise indicated)
1st Quarter
2017
4th Quarter
2016
3rd Quarter
2016
2nd Quarter
2016
1st Quarter
2016
% Change
16Q1-17Q1
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 1,418 1,425 1,441 1,446 1,429 -0.8 58 826 424 101 9
Total assets of institutions reporting derivatives $15,362,217 $15,183,863 $15,189,007 $15,033,250 $14,766,710 4.0 $4,332 $352,576 $1,323,761 $5,098,034 $8,583,515
Total deposits of institutions reporting derivatives 11,768,696 11,589,570 11,513,889 11,313,864 11,189,572 5.2 3,631 293,122 1,062,767 3,926,463 6,482,713
Total derivatives 180,509,183 166,795,905 179,902,250 192,350,483 195,508,112 -7.7 225 25,942 119,695 46,445,639 133,917,682
Derivative Contracts by Underlying Risk Exposure
Interest rate 132,702,864 124,479,961 132,992,944 143,794,696 147,217,558 -9.9 206 25,786 115,281 38,794,347 93,767,243
Foreign exchange* 38,313,517 33,277,647 36,299,774 37,701,788 37,129,026 3.2 0 1 3,334 7,081,614 31,228,569
Equity 2,839,056 2,487,752 2,734,807 2,672,364 2,533,921 12.0 0 0 167 165,730 2,673,160
Commodity & other (excluding credit derivatives) 1,349,981 1,257,180 1,312,260 1,328,302 1,209,774 11.6 0 1 28 85,167 1,264,785
Credit 5,303,594 5,293,365 6,562,465 6,853,333 7,417,833 -28.5 0 1 885 318,782 4,983,926
Total 180,495,880 166,795,905 179,902,250 192,350,483 195,508,112 -7.7 93 12,824 119,642 46,445,639 133,917,682
Derivative Contracts by Transaction Type
Swaps 99,182,539 96,383,751 103,013,911 111,900,682 114,814,113 -13.6 19 6,196 80,421 25,495,034 73,600,869
Futures & forwards 39,858,095 34,192,699 36,958,352 38,790,403 37,151,052 7.3 17 3,273 19,270 8,615,182 31,220,353
Purchased options 16,947,409 14,799,704 15,466,148 16,277,239 16,857,276 0.5 0 319 4,190 5,863,363 11,079,536
Written options 17,051,369 14,586,156 15,459,962 16,012,000 16,706,694 2.1 56 3,035 14,742 5,930,275 11,103,260
Total 173,039,411 159,962,310 170,898,372 182,980,323 185,529,134 -6.7 93 12,823 118,623 45,903,855 127,004,018
Fair Value of Derivative Contracts
Interest rate contracts 65,735 62,630 77,292 75,051 75,481 -12.9 0 81 230 33,118 32,305
Foreign exchange contracts 1,613 10,779 13,372 11,369 -11,530 N/M 0 0 11 2,833 -1,231
Equity contracts -4,921 -2,181 1,643 6,637 5,035 N/M 0 0 0 -12 -4,909
Commodity & other (excluding credit derivatives) 118 622 -2,185 -3,151 -4,310 N/M 0 0 0 -201 318
Credit derivatives as guarantor** 24,958 16,617 17,871 1,037 2,901 760.3 0 -1 -1 436 24,524
Credit derivatives as beneficiary** -24,932 -15,028 -17,575 -167 -966 N/M 0 0 -29 -130 -24,773
Derivative Contracts by Maturity***
Interest rate contracts < 1 year 61,926,338 55,052,877 58,874,863 66,424,468 65,650,625 -5.7 34 5,680 19,604 12,197,014 49,704,006
1-5 years 46,450,806 43,262,497 45,382,723 47,001,897 50,714,212 -8.4 25 2,023 30,579 12,133,656 34,284,523
> 5 years 29,972,991 29,761,959 32,522,164 33,930,510 34,845,968 -14.0 23 6,076 46,396 8,898,588 21,021,908
Foreign exchange and gold contracts < 1 year 27,320,413 23,910,532 25,797,765 26,622,784 26,231,748 4.2 0 0 1,971 4,864,826 22,453,616
1-5 years 4,772,297 4,453,265 4,096,173 4,112,254 4,081,595 16.9 0 0 587 900,678 3,871,032
> 5 years 2,429,320 2,420,119 1,901,381 2,150,431 1,819,360 33.5 0 0 82 664,278 1,764,961
Equity contracts < 1 year 2,202,638 1,847,254 1,954,392 1,907,096 1,841,069 19.6 0 0 15 49,180 2,153,444
1-5 years 762,751 680,094 821,844 709,947 674,710 13.0 0 0 63 43,536 719,152
> 5 years 84,970 122,956 129,226 134,063 129,076 -34.2 0 0 0 15,406 69,564
Commodity & other contracts (including credit < 1 year 2,722,501 2,681,842 2,826,215 3,032,137 2,813,615 -3.2 0 4 46 92,030 2,630,421
derivatives, excluding gold contracts) 1-5 years 3,054,143 3,198,687 4,009,130 4,354,280 4,800,922 -36.4 0 5 157 161,837 2,892,144
> 5 years 487,184 339,228 540,260 368,331 619,196 -21.3 0 16 237 34,922 452,010
Risk-Based Capital: Credit Equivalent Amount
Total current exposure to tier 1 capital (%) 25.7 29.2 35.2 37.2 34.5   0.0 0.4 0.6 15.7 38.5
Total potential future exposure to tier 1 capital (%) 46.6 44.0 41.0 43.5 47.5   0.1 0.3 0.7 22.2 74.5
Total exposure (credit equivalent amount) to tier 1 capital (%) 72.3 73.2 76.2 80.7 82.0   0.1 0.7 1.3 37.9 112.9
Credit losses on derivatives**** 1.2 30.3 38.1 31.9 13.3 -91.0 0.0 0.0 0.0 0.3 1.0
HELD FOR TRADING
Number of institutions reporting derivatives 201 260 251 257 252 -20.2 3 44 91 55 8
Total assets of institutions reporting derivatives 12,124,340 12,093,950 12,138,739 11,985,163 11,719,834 3.5 248 21,235 329,567 3,463,883 8,309,408
Total deposits of institutions reporting derivatives 9,265,768 9,222,752 9,188,820 8,976,508 8,831,048 4.9 213 17,747 261,671 2,736,768 6,249,369
Derivative Contracts by Underlying Risk Exposure
Interest rate 130,188,927 121,957,335 130,490,614 141,316,485 144,689,181 -10.0 5 642 35,043 38,258,164 91,895,073
Foreign exchange 35,648,870 31,228,297 33,353,870 34,671,042 34,029,316 4.8 0 0 2,786 6,823,412 28,822,671
Equity 2,823,564 2,472,540 2,718,187 2,656,373 2,510,439 12.5 0 0 0 153,501 2,670,063
Commodity & other 1,321,931 1,255,198 1,310,469 1,326,621 1,208,052 9.4 0 1 14 58,040 1,263,877
Total 169,983,292 156,913,371 167,873,141 179,970,521 182,436,988 -6.8 5 643 37,843 45,293,117 124,651,684
Trading Revenues: Cash & Derivative Instruments
Interest rate** 3,906 -1,376 2,962 1,906 3,072 27.1 0 0 24 1,123 2,759
Foreign exchange** 1,684 5,941 2,294 3,736 1,407 19.7 0 0 3 -137 1,818
Equity** 922 574 728 972 670 37.6 0 0 6 10 907
Commodity & other (including credit derivatives)** 546 844 437 420 455 20.0 0 0 1 -120 665
Total trading revenues** 7,059 5,984 6,421 7,034 5,604 26.0 0 0 34 876 6,149
Share of Revenue
Trading revenues to gross revenues (%)** 5.4 4.6 4.9 5.5 4.6   0.0 0.0 0.9 2.5 6.7
Trading revenues to net operating revenues (%)** 24.0 19.9 20.7 24.7 22.6   0.0 0.0 4.2 11.6 29.2
HELD FOR PURPOSES OTHER THAN TRADING
Number of institutions reporting derivatives 830 1,295 1,320 1,325 1,302 -36.3 15 325 385 96 9
Total assets of institutions reporting derivatives 14,907,649 14,886,289 14,893,525 14,754,766 14,523,713 2.6 1,143 154,668 1,231,829 4,936,495 8,583,515
Total deposits of institutions reporting derivatives 11,394,815 11,348,196 11,271,425 11,087,225 10,994,562 3.6 947 128,565 988,292 3,794,298 6,482,713
Derivative Contracts by Underlying Risk Exposure
Interest rate 2,500,806 2,522,626 2,502,329 2,478,211 2,528,378 -1.1 88 12,179 80,186 536,183 1,872,170
Foreign exchange 511,772 509,119 504,491 513,919 538,565 -5.0 0 0 414 35,199 476,159
Equity 15,492 15,211 16,620 15,991 23,483 -34.0 0 0 167 12,228 3,097
Commodity & other 28,049 1,982 1,791 1,681 1,722 1,528.9 0 0 15 27,127 908
Total notional amount 3,056,119 3,048,938 3,025,231 3,009,802 3,092,147 -1.2 88 12,180 80,781 610,738 2,352,333

All line items are reported on a quarterly basis.

N/M - Not Meaningful

* 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.

**** The reporting of 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.

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