FOR IMMEDIATE RELEASE
OCC Reports First Quarter Trading Revenue of
Trading revenue in the first quarter was
The report shows that the notional amount of derivatives held by insured U.S. commercial banks declined
OCC also reported:
- Banks hold collateral to cover 84 percent of their NCCE. The quality of the collateral is very high, as 77 percent is cash (U.S. dollar and non-dollar).
- Trading risk exposure, as measured by average value-at-risk (VaR), has begun to increase for several of the large bank dealers, after generally bottoming out in the third quarter of 2013.
- Receivables from interest rate contracts declined
- Derivatives contracts are concentrated in a small number of institutions. The largest four banks hold 92 percent of the total notional amount of derivatives, while the largest 25 banks hold nearly 100 percent.
- Derivative contracts remain concentrated in interest rate products, which represent 80.6 percent of total derivative notional values, down from 82.1 percent in the fourth quarter. On a product basis, swap products represent 60.5 percent of total derivatives notionals, down from 63.6 percent in the fourth quarter.
- Credit default swaps are the dominant product in the credit derivatives market, representing 96.3 percent of total credit derivatives.
- The number of commercial banks and savings associations holding derivatives was 1,395 in the first quarter, up from 1,383 in the fourth quarter.
A copy of the OCC's Quarterly Report on Bank Trading and Derivatives Activities: First Quarter 2014 is available on the OCC's Web site.
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