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Quarterly Derivatives Fact Sheet - Second Quarter 1996
Choose Section: General.......Risk....Revenue........High-risk Mortgage Securities and Structured Notes
General
The notional amount of derivativesderivatives in commercial bank portfolios
increased by $1.2 trillion in the second quarter to $19 trillion.
(This figure excludes spot foreign exchange contracts, which
decreased by $2.5 billion to $560 billion). During the second
quarter, the notional amount of interest rate contracts rose by
$698 billion, to $12.52 trillion. Foreign exchange contracts
increased by $476 billion, to $6.13 trillion, while commodity and
equity contracts increased by $16 billion, to $394 billion. The
number of commercial banks holding derivatives decreased by 42 in
the second quarter to 507. [See Tables 1,
2, and 3.]
Approximately 66 percent of the notional amount of derivative
positions was 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 [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 98 percent accounted for by the top 25 banks (these figures
include spot foreign exchange). [See Table 3 and Graph 4 for concentrations excluding spot foreign exchange.]
Over-the-counter (OTC) and exchange-traded contracts comprised 86
percent and 14 percent, respectively, of the notional holdings as
of second quarter, which is virtually the same as first quarter
1996. [See Table 3.]
OTC contracts tend to be more popular with
banks and bank customers because they can be tailored to meet
firm-specific risk management needs. However, OTC contracts tend
to be less liquid than exchange-traded contracts, which are
standardized and fungible.
The notional amounts of short-term (i.e., with remaining
maturities of less than one year) contracts are up $509 billion
from the first quarter, to $9.27 trillion. Contracts with
remaining maturities of one to five years increased by $179
billion, to $4.11 trillion, and long-term (i.e., with maturities
of five or more years) contracts increased by $105 billion, to
$1.09 trillion. [See Tables 10, 11, and 12.]
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