The OCC’s quarterly report on bank trading and derivatives activities is based on call report information provided by all insured U.S. commercial banks, savings associations and trust companies (collectively, “banks”), reports filed by U.S. financial holding companies, and other published data. Beginning in the first quarter of 2012, savings associations reported their financial results in the call reports. As a result, their trading and derivatives activity is now included in the OCC’s quarterly derivatives report.
- Insured U.S. commercial banks and savings associations reported trading revenue of $5.3 billion in the third quarter, $0.2 billion lower (3.5%) than in the second quarter, and $0.3 billion lower (5.1%) than in the third quarter of 2014.
- Credit exposure from derivatives increased in the third quarter, due to a decline in interest rates. Net current credit exposure (NCCE) increased $39.1 billion, or 9.6%, to $444.6 billion.
- Trading risk, as measured by Value-at-Risk (VaR), rose in the third quarter. Average VaR across the top 5 dealer banking companies increased $10 million, or 2.9%, to $357 million.
- Notional derivatives fell $5.7 trillion, or 2.9%, to $192.2 trillion, the lowest level since the third quarter of 2008. Notionals have declined in each of the past four quarters. Derivative contracts remain concentrated in interest rate products, which represent 76.9% of total derivative notional amounts. Credit derivatives, which represent 4.3% of total derivatives notionals, declined 3.4% from the second quarter to $8.2 trillion.