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Quarterly Derivatives Fact Sheet - First Quarter 1996
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General
The notional amount of derivatives in commercial bank portfolios increased by $987 billion in
the first quarter to $17.85 trillion. (This figure excludes spot foreign exchange contracts, which
increased by $258 billion to $563 billion). During the first quarter, the notional amount of
interest rate contracts rose by $725 billion, to $11.82 trillion. Foreign exchange contracts
increased by $262 billion, to $5.65 trillion, while commodity and equity contracts fell by $388
million, to $378 billion. The number of commercial banks holding derivatives decreased by 9 in
the first quarter to 549. [See Tables 1,
2, and 3.]
Approximately 66 percent of the notional amount of derivative positions were comprised of interest
rate contracts with an additional 32 percent represented by foreign exchange contracts. Commodity
and equity contracts accounted for only 2 percent of the total notional amount. The composition of contract
types remains relatively unchanged since 1991. [See Table 3.]
Off-balance sheet derivatives continue to be concentrated in the largest banks. Nine commercial
banks account for 94 percent of the total notional amount of derivatives in the banking system, with
97 percent accounted for by the top 25 banks (these figures include spot foreign exchange). [See Table 3 for concentrations excluding spot foreign exchange.]
Over-the-counter (OTC) and exchange-traded contracts comprised 87 percent and 13 percent, respectively,
of the notional holdings as of first quarter, which is virtually the same as fourth quarter 1995.
OTC contracts tend to be more popular with banks and bank customers because of their flexibility; they are easily tailored to meet risk management needs. However, OTC contracts tend to be less liquid
than exchange-traded contracts, which are standardized and fungible. [See Table 3.]
The notional values of short-term (i.e., with remaining maturities of less than one year) contracts
are up $490 billion from fourth quarter, to $8.76 trillion. Medium-term (i.e., with remaining
maturities of one to five years) contracts increased by $340 billion, to $3.93 trillion, and long-term
(i.e., with maturities of five or more years) contracts increased by $111 billion, to $987 billion. [See Tables 10, 11, and 12.]
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