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FDIC - Quarterly Banking Profile
Table VI-A Derivatives, All FDIC-Insured Commercial Banks and State-Chartered Savings Banks
(dollar figures in millions
notional amounts unless otherwise indicated)		 2nd Quarter
2007 		1st Quarter
2007 		4th Quarter
2006 		3rd Quarter
2006 		2nd Quarter
2006 		% Change
06:2-07:2 		Asset Size Distribution 2nd Quarter 2007
Less
Than $100
Million		 $100 Million
To
$1 Billion		 $1 Billion
To
$10 Billion		 Greater
Than $10
Billion
ALL DERIVATIVE HOLDERS
Number of institutions reporting derivatives 1,055 1,052 1,014 1,014 992 6.4 72 631 266 86
Total assets of institutions reporting derivatives $9,144,539 $8,866,417 $8,834,552 $8,411,745 $8,276,560 10.5 $5,003 $274,996 $823,685 $8,040,855
Total deposits of institutions reporting derivatives 5,898,181 5,746,224 5,751,222 5,431,440 5,403,746 9.1 3,995 218,896 600,061 5,075,230
Total derivatives 153,825,897 146,085,265 132,182,077 127,106,628 120,205,407 28.0 118 18,127 104,342 153,703,309
Derivative Contracts by Underlying Risk Exposure
Interest rate 123,340,731 118,593,265 107,434,319 103,198,838 98,738,848 24.9 104 17,813 86,201 123,236,613
Foreign exchange* 15,117,714 14,167,853 12,564,207 12,226,835 12,256,709 23.3 0 53 6,142 15,111,519
Equity 2,638,709 2,317,769 2,270,942 2,218,658 1,902,399 38.7 14 223 11,535 2,626,937
Commodity & other (excluding credit derivatives) 951,725 840,613 893,310 1,558,264 738,026 29.0 0 3 180 951,542
Credit 11,777,018 10,165,765 9,019,299 7,904,034 6,569,425 79.3 0 35 284 11,776,699
Total 153,825,897 146,085,265 132,182,077 127,106,628 120,205,407 28.0 118 18,127 104,342 153,703,309
Derivative Contracts by Transaction Type
Swaps 95,320,189 88,007,079 81,339,522 77,555,665 74,448,925 28.0 21 8,404 64,482 95,247,282
Futures & forwards 16,199,457 15,307,468 14,882,008 14,482,742 13,788,776 17.5 32 2,310 15,940 16,181,174
Purchased options 14,377,520 15,737,380 12,944,893 13,301,484 12,367,870 16.2 17 4,792 17,473 14,355,239
Written options 14,842,737 15,588,256 13,332,487 12,945,812 12,081,029 22.9 48 2,563 5,600 14,834,526
Total 140,739,903 134,640,182 122,498,910 118,285,703 112,686,600 24.9 118 18,069 103,495 140,618,221
Fair Value of Derivative Contracts
Interest rate contracts 20,077 24,447 23,299 22,720 21,194 -5.3 0 -17 -3 20,097
Foreign exchange contracts 5,661 74,088 5,324 4,144 4,641 22.0 0 0 -26 5,687
Equity contracts -24,713 -18,845 -17,845 -13,526 -9,364 163.9 1 13 42 -24,769
Commodity & other (excluding credit derivatives) 1,946 22,530 2,658 2,562 2,806 -30.6 0 0 0 1,946
Credit derivatives as guarantor -22,960 9,032 31,583 14,671 7,311 NM 0 0 -1 -22,959
Credit derivatives as beneficiary 23,820 -9,677 -32,745 -14,819 -8,992 NM 0 0 0 23,820
Derivative Contracts by Maturity**
Interest rate contracts < 1 year 39,403,738 33,255,949 29,551,704 26,615,376 22,679,708 73.7 27 3,220 23,266 39,377,224
1-5 years 33,846,038 33,802,189 31,385,640 30,872,442 31,161,579 8.6 13 8,545 25,804 33,811,677
> 5 years 24,588,177 24,684,533 23,273,618 22,518,236 22,835,007 7.7 18 3,070 29,952 24,555,138
Foreign exchange contracts < 1 year 8,948,450 8,372,488 7,690,210 6,687,566 7,473,995 19.7 0 23 4,966 8,943,461
1-5 years 1,667,700 1,571,241 1,415,846 1,573,062 1,240,609 34.4 0 4 18 1,667,678
> 5 years 676,071 624,415 592,897 767,427 518,618 30.4 0 3 10 676,058
Equity contracts < 1 year 442,652 397,235 341,346 333,262 334,715 32.2 1 20 162 442,469
1-5 years 283,520 236,557 220,856 296,151 219,638 29.1 6 94 407 283,013
> 5 years 62,916 74,332 44,858 53,988 44,457 41.5 0 0 32 62,883
Commodity & other contracts < 1 year 280,133 271,647 235,107 496,634 230,213 21.7 0 0 134 279,999
1-5 years 261,410 200,542 272,314 274,378 177,869 47.0 0 3 35 261,372
> 5 years 27,273 23,955 21,581 14,486 10,426 161.6 0 0 0 27,273
Risk-Based Capital: Credit Equivalent Amount
Total current exposure to tier 1 capital (%) 30.8 28.3 29.2 28.6 33.6   0.4 0.2 1.2 36.0
Total potential future exposure to tier 1 capital (%) 113.4 106.9 97.7 99.0 90.2   0.2 0.3 1.0 133.2
Total exposure (credit equivalent amount) to tier 1 capital (%) 144.2 135.2 126.9 127.6 123.8   0.5 0.5 2.2 169.2
Credit losses on derivatives*** 6.3 -2.9 -25.1 -19.3 -3.3 NM 0.0 1.6 0.3 4.3
HELD FOR TRADING
Number of institutions reporting derivatives 165 152 147 147 149 10.7 6 45 55 59
Total assets of institutions reporting derivatives 7,782,327 7,383,462 7,223,466 6,927,469 6,808,697 14.3 373 20,066 244,465 7,517,422
Total deposits of institutions reporting derivatives 4,922,584 4,766,993 4,712,044 4,435,577 4,399,031 11.9 282 16,246 170,075 4,735,981
Derivative Contracts by Underlying Risk Exposure
Interest rate 120,829,579 115,845,739 104,691,811 100,299,894 96,221,190 25.6 10 222 40,985 120,788,363
Foreign exchange 13,684,212 12,769,131 11,788,411 11,207,259 11,206,773 22.1 0 10 5,153 13,679,049
Equity 2,622,872 2,313,326 2,266,778 2,214,881 1,898,493 38.2 0 6 410 2,622,457
Commodity & other 951,236 840,345 893,087 1,558,095 737,910 28.9 0 0 124 951,112
Total 138,087,899 131,768,541 119,640,087 115,280,129 110,064,365 25.5 10 238 46,671 138,040,980
Trading Revenues: Cash & Derivative Instruments
Interest rate 2,980 2,405 1,146 546 1,665 79.0 0 0 19 2,961
Foreign exchange 1,264 1,831 1,613 1,355 2,672 -52.7 0 0 8 1,256
Equity 1,021 1,732 1,214 1,827 100 921.0 0 0 1 1,020
Commodity & other (including credit derivatives) 877 1,053 -111 789 272 -91.2 0 0 0 24
Total trading revenues 6,142 7,021 3,861 4,517 4,710 12.3 0 0 27 5,262
Share of Revenue
Trading revenues to gross revenues (%) 3.4 4.3 2.9 3.4 3.6   0.0 0.0 0.5 3.5
Trading revenues to net operating revenues (%) 22.3 28.9 19.6 20.7 21.6   0.0 0.4 3.8 22.9
HELD FOR PURPOSES OTHER THAN TRADING
Number of institutions reporting derivatives 969 969 935 934 920 5.3 64 586 236 83
Total assets of institutions reporting derivatives 8,962,437 8,636,687 8,604,934 8,227,057 8,123,922 10.3 4,472 253,102 732,932 7,971,932
Total deposits of institutions reporting derivatives 5,772,676 5,582,122 5,589,925 5,305,574 5,299,416 8.9 3,598 201,019 537,402 5,030,657
Derivative Contracts by Underlying Risk Exposure
Interest rate 2,511,152 2,747,526 2,742,508 2,898,943 2,517,658 -0.3 95 17,591 45,216 2,448,251
Foreign exchange 124,526 119,405 111,928 102,685 100,555 23.8 0 19 426 124,081
Equity 15,837 4,443 4,164 3,777 3,906 305.5 14 218 11,125 4,480
Commodity & other 489 268 223 169 116 321.6 0 3 56 430
Total notional amount 2,652,004 2,871,642 2,858,823 3,005,575 2,622,234 1.1 108 17,831 56,824 2,577,241

All line items are reported on a quarterly basis.

*Include 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.

**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 to those banks filing the FFIEC 041 report form that have $300 million or more in total assets.

Last Updated 08/22/2007 Questions, Suggestions & Requests

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