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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)		 1st Quarter
2007 		4th Quarter
2006 		3rd Quarter
2006 		2nd Quarter
2006 		1st Quarter
2006 		% Change
06:1-07:1 		Asset Size Distribution 1st 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 1,050 1,014 1,013 992 981 7.0 74 639 252 85
Total assets of institutions reporting derivatives $8,861,789 $8,832,645 $8,409,669 $8,276,558 $8,025,662 10.4 $5,142 $273,101 $784,998 $7,798,548
Total deposits of institutions reporting derivatives 5,742,345 5,749,612 5,429,994 5,403,746 5,251,640 9.3 4,130 218,248 575,849 4,944,117
Total derivatives 146,084,457 132,181,371 127,106,508 120,205,407 111,086,862 31.5 135 16,649 94,115 145,973,557
Derivative Contracts by Underlying Risk Exposure
Interest rate 118,592,547 107,433,612 103,198,718 98,738,848 92,291,252 28.5 119 16,248 88,600 118,487,580
Foreign exchange* 14,167,866 12,564,207 12,226,835 12,256,709 11,248,488 26.0 0 133 3,850 14,163,883
Equity 2,317,685 2,270,942 2,218,658 1,902,399 1,420,814 63.1 15 236 1,006 2,316,427
Commodity & other (excluding credit derivatives) 840,594 893,310 1,558,264 738,026 653,859 28.6 0 3 336 840,254
Credit 10,165,765 9,019,299 7,904,034 6,569,425 5,472,449 85.8 0 29 323 10,165,413
Total 146,084,457 132,181,371 127,106,508 120,205,407 111,086,862 31.5 135 16,649 94,115 145,973,557
Derivative Contracts by Transaction Type
Swaps 88,006,829 81,339,522 77,555,615 74,448,925 68,849,645 27.8 21 6,669 65,910 87,934,230
Futures & forwards 15,307,229 14,881,672 14,482,742 13,788,776 13,044,998 17.3 45 2,311 13,883 15,290,991
Purchased options 15,737,388 12,944,822 13,301,414 12,367,870 11,579,154 35.9 16 5,278 7,620 15,724,473
Written options 15,587,925 13,332,188 12,945,812 12,081,029 11,202,378 39.1 53 2,266 5,786 15,579,821
Total 134,639,371 122,498,203 118,285,583 112,686,600 104,676,175 28.6 135 16,524 93,198 134,529,514
Fair Value of Derivative Contracts
Interest rate contracts 24,440 23,299 22,719 21,194 20,308 20.3 0 -1 7 24,434
Foreign exchange contracts 74,087 5,324 4,144 4,641 4,012 NM 0 0 -25 74,113
Equity contracts -18,823 -17,845 -13,526 -9,364 -10,632 77.0 1 9 53 -18,885
Commodity & other (excluding credit derivatives) 22,532 2,658 2,562 2,806 2,769 713.7 0 0 2 22,530
Credit derivatives as guarantor 9,033 31,583 14,671 7,311 10,228 -11.7 0 0 0 9,033
Credit derivatives as beneficiary -9,677 -32,745 -14,819 -8,992 -9,223 4.9 0 0 0 -9,677
Derivative Contracts by Maturity**
Interest rate contracts < 1 year 33,255,881 29,551,704 26,615,326 22,679,708 20,701,316 60.6 41 3,054 23,763 33,229,023
1-5 years 33,802,007 31,385,572 30,872,307 31,161,579 29,322,655 15.3 3 7,807 26,548 33,767,649
> 5 years 24,684,519 23,273,615 22,518,236 22,835,007 21,145,459 16.7 17 2,791 30,628 24,651,083
Foreign exchange contracts < 1 year 8,372,499 7,690,210 6,687,566 7,473,995 6,279,115 33.3 0 20 2,652 8,369,828
1-5 years 1,571,245 1,415,846 1,573,062 1,240,609 1,455,181 8.0 0 9 27 1,571,210
> 5 years 624,415 592,897 767,427 518,618 721,164 -13.4 0 7 10 624,398
Equity contracts < 1 year 397,234 341,346 333,262 334,732 288,762 37.6 1 17 189 397,026
1-5 years 236,576 220,856 296,151 219,638 200,405 18.0 7 89 422 236,058
> 5 years 74,332 44,858 53,988 44,457 34,279 116.8 0 0 43 74,290
Commodity & other contracts < 1 year 271,647 235,107 496,634 230,213 214,997 26.3 0 0 192 271,454
1-5 years 200,533 272,314 274,378 177,869 149,315 34.3 0 3 120 200,410
> 5 years 23,955 21,581 14,486 10,426 7,324 227.1 0 0 24 23,931
Risk-Based Capital: Credit Equivalent Amount
Total current exposure to tier 1 capital (%) 22.2 29.2 28.6 33.6 32.8 Blank 0.3 0.3 1.5 25.8
Total potential future exposure to tier 1 capital (%) 113.1 97.7 99.0 90.2 87.7 Blank 0.2 0.3 1.0 132.4
Total exposure (credit equivalent amount) to tier 1 capital (%) 135.3 126.9 127.6 123.8 120.5 Blank 0.5 0.6 2.4 158.2
Credit losses on derivatives*** -2.9 -25.1 -19.3 -3.3 3.6 NM 0.0 0.6 0.2 -3.7
HELD FOR TRADING
Number of institutions reporting derivatives 151 147 147 149 148 2.0 5 40 50 56
Total assets of institutions reporting derivatives 7,381,546 7,223,466 6,927,469 6,808,697 6,585,433 12.1 354 17,015 228,498 7,135,678
Total deposits of institutions reporting derivatives 4,765,635 4,712,044 4,435,577 4,399,031 4,260,458 11.9 280 13,846 157,985 4,593,523
Derivative Contracts by Underlying Risk Exposure
Interest rate 115,845,677 104,691,811 100,299,894 96,221,190 89,810,085 29.0 7 200 36,174 115,809,296
Foreign exchange 12,769,140 11,788,411 11,207,259 11,206,773 10,214,072 25.0 0 15 2,998 12,766,127
Equity 2,313,326 2,266,778 2,214,881 1,898,493 1,416,918 63.3 0 5 427 2,312,894
Commodity & other 840,345 893,087 1,558,095 737,910 649,704 29.3 0 0 301 840,045
Total 131,768,488 119,640,087 115,280,129 110,064,365 102,090,779 29.1 7 220 39,899 131,728,362
Trading Revenues: Cash & Derivative Instruments
Interest rate 2,404 1,146 546 1,665 1,242 93.6 0 0 13 2,391
Foreign exchange 1,831 1,613 1,355 2,672 2,311 -20.8 0 0 7 1,824
Equity 1,732 1,214 1,827 100 1,801 -3.8 0 0 0 1,732
Commodity & other (including credit derivatives) 175 -111 789 272 313 -44.1 0 0 0 175
Total trading revenues 6,142 3,861 4,517 4,710 5,666 8.4 0 0 21 6,122
Share of Revenue
Trading revenues to gross revenues (%) 4.3 2.9 3.4 3.6 4.6 Blank 0.0 -0.1 0.4 4.4
Trading revenues to net operating revenues (%) 28.9 19.6 20.7 21.6 26.8 Blank 0.0 -0.4 3.3 29.7
HELD FOR PURPOSES OTHER THAN TRADING
Number of institutions reporting derivatives 967 935 933 920 905 6.9 67 595 224 81
Total assets of institutions reporting derivatives 8,632,061 8,603,028 8,224,981 8,123,920 7,863,162 9.8 4,631 253,250 694,953 7,679,227
Total deposits of institutions reporting derivatives 5,578,243 5,588,316 5,304,128 5,299,416 5,138,716 8.6 3,735 201,980 512,881 4,859,646
Derivative Contracts by Underlying Risk Exposure
Interest rate 2,746,870 2,741,801 2,898,823 2,517,658 2,481,166 10.7 112 16,048 52,426 2,678,284
Foreign exchange 119,405 111,928 102,685 100,555 96,178 24.2 0 21 259 119,126
Equity 4,359 4,164 3,777 3,906 3,896 11.9 15 231 579 3,533
Commodity & other 249 223 169 116 4,155 -94.0 0 3 36 210
Total notional amount 2,870,882 2,858,117 3,005,455 2,622,234 2,585,396 11.0 128 16,303 53,299 2,801,152

All line items are reported on a quarterly basis

NM - Not Meaningful

*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 05/31/2007 Questions, Suggestions & Requests

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