Publications:
Quarterly Derivatives Fact Sheet -- First Quarter 1998
Read Section: General.......Risk.......Revenue.......High-risk Mortgage Securities and Structured Notes
GENERAL
The notional amount of derivatives in insured commercial bank portfolios increased by $985
billion (about three percent) in the first quarter, to $26.0 trillion. During the first quarter, the
notional amount of interest rate contracts rose by $1.3 trillion, to $18.4 trillion. Foreign
exchange contracts fell by $362 billion, to $7.1 trillion. This figure excludes spot foreign
exchange contracts, which increased by $361 billion to $678 billion. Equity, commodity and
other contracts rose by $35 billion, to $529 billion. Credit derivatives almost doubled, increasing
by $37 billion, to $91 billion. The number of commercial banks holding derivatives decreased by
8, to 451. [See Tables 1, 2,
and 3.]
Approximately 70 percent of the notional amount of derivative positions was comprised of
interest rate contracts with an additional 27 percent represented by foreign exchange contracts.
Equity, commodity and other contracts accounted for only 2 percent of the total notional amount.
The composition of contract types remains relatively unchanged since 1994.
[See Table 3.]
Holdings of off-balance sheet derivatives continue to be concentrated in the largest banks. Eight
commercial banks account for 94 percent of the total notional amount of derivatives in the
banking system, with 99 percent held by the top 25 banks. [See Tables 3,
5.]
Over-the-counter (OTC) and exchange-traded contracts comprised 85 percent and 15 percent,
respectively, of the notional holdings as of first quarter of 1998, which has remained virtually the
same since the fourth quarter of 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 expose participants to greater credit risks and tend
to be less liquid than exchange-traded contracts, which are standardized and fungible.
The notional amounts of short-term contracts (i.e., with remaining maturities of less than one
year) fell by $1 trillion from the fourth quarter of 1997, to $9.7 trillion. Contracts with
remaining maturities of one to five years rose by $20 billion, to $5.8 trillion, and long-term (i.e.,
with maturities of five or more years) contracts increased by $160 billion, to $2.3 trillion. [See
Tables 10, 11
and 12.]
Next:
Risk
|
