Quarterly Report on Bank Trading and
Derivatives Activities
First Quarter 2024

Office of the Comptroller of the Currency
Washington, D.C.
June 2024

Contents
About This Report .........................................................................................................................1
Executive Summary .......................................................................................................................1
Revenue ...........................................................................................................................................1
Insured U.S. Commercial Banks and Savings Associations’ Trading Revenue ........................2
Holding Company Trading Revenue .........................................................................................2
Bank Trading Revenue as a Percentage ofConsolidated Holding Company Trading Revenue .............................................................3
Counterparty Credit Risk .............................................................................................................3
Market Risk ....................................................................................................................................8
Value-at-Risk .............................................................................................................................8
Volatility Index ..........................................................................................................................8
Level 3 Trading Assets ..............................................................................................................9
Notional Amounts of All Derivative Contracts .......................................................................10
Credit Derivatives ....................................................................................................................11
Compression Activity ..............................................................................................................11
Centrally Cleared Derivative Contracts ...................................................................................12
Glossary of Terms ........................................................................................................................13
Appendix: Index of Tables and Figures .....................................................................................15

Quarterly Derivatives Report: First Quarter 2024iAbout This Report
The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading andderivatives activities is based on call report information provided by all insured U.S. commercial
banks and savings associations, reports filed by U.S. financial holding companies, and otherpublished data. 1 A total of 1,208 insured U.S. national and state commercial banks and savings
associations reported trading and derivatives activities at the end of the first quarter of 2024. 2 A
small group of large financial institutions continues to dominate trading and derivatives activity
in the U.S. commercial banking system. During the first quarter of 2024, four large commercial
banks represented 87.6 percent of the total banking industry notional amounts and 64.5 percent
of industry net current credit exposure (NCCE).
The OCC and other supervisors have dedicated examiners at the largest banks to continuously
evaluate the credit, market, operational, reputation, and compliance risks of bank trading andderivatives activities. In addition to the OCC’s supervisory activities, the OCC works with otherfinancial supervisors and major market participants to address infrastructure, clearing, andmargining issues in over-the-counter (OTC) derivatives. OCC activities include development ofobjectives and milestones for stronger trade processing and improved market transparency acrossderivative categories, migration of certain highly liquid products to clearinghouses, andrequirements for posting and collecting margin.
This is the 114th edition of the OCC’s Quarterly Report on Bank Trading and Derivatives
Activities. The first report was published in 1995. Please send any comments or feedback on the
structure and content of this report to QuarterlyDerivatives@occ.treas.gov.

Executive Summary
•

•
•
•

Insured U.S. commercial banks and savings associations (collectively, banks) reported
trading revenue of $15.6 billion in the first quarter of 2024, $4.0 billion more (34.2 percent)than in the previous quarter and $2.0 billion less (11.1 percent) than a year earlier (seetable 1).
Credit exposure from derivatives increased in the first quarter of 2024 compared with thefourth quarter of 2023. NCCE increased $11.0 billion, or 4.6 percent, to $251.0 billion (seetable 5).
Derivative notional amounts increased in the first quarter of 2024 by $13.6 trillion, or
7.1 percent, to $206.1 trillion (see table 10).
Derivative contracts remained concentrated in interest rate products, which totaled$144.4 trillion or 70.1 percent of total derivative notional amounts (see table 10).

Revenue
1

Values in the tables and figures in this report may not add up to the totals because of rounding.

Institutions with total assets of less than $5 billion have the option to file the Federal Financial Institutions
Examination Council (FFIEC) 051 call report. Due to the limited amount of derivatives data provided by FFIEC 051
call report filers, this report provides this information separately and distinctly in table 25 in the appendix.
2

Quarterly Derivatives Report: First Quarter 2024

1

Insured U.S. Commercial Banks and Savings Associations’ Trading
Revenue
Insured U.S. commercial banks and savings associations reported $15.6 billion in trading
revenue in the first quarter of 2024, $4.0 billion more (34.2 percent) than in the previous quarter
and $2.0 billion less (11.1 percent) than a year earlier (see table 1). The quarter-over-quarter
increase in trading revenue was due to increases in revenue from foreign exchange, equity, andcredit instruments. For a historical view of quarterly bank trading revenue by instrument, see
figure 15a in the appendix.
Table 1: Quarterly Bank Trading Revenue, in Millions of Dollars
1Q 2024

4Q 2023

Q/Q
changeQ/Q %change1Q 2023

Y/YchangeY/Y %changeInterest rate

$1,817$6,016–$4,199–69.8%$5,721–$3,904–68.2%

Foreign exchange$7,551$2,334$5,217223.5%$4,439$3,111

70.1%

Equity$4,814$3,603$1,211

33.6%$5,334

–$520

–9.7%

$504

$773

–$269

–34.8%$1,570–$1,066–67.9%$944–$1,077$2,021

187.6%

$516

$428

83.0%

$15,630$11,649$3,981

34.2%$17,581–$1,951–11.1%

Trading instruments

Commodity and otherCreditTotal trading revenue
Source: Call reports, Schedule RI

Holding Company Trading Revenue
Consolidated bank holding company (BHC) trading performance provides a more complete
picture of trading revenue in the banking system. As shown in table 2, consolidated holding
company trading revenue of $32.0 billion in the first quarter of 2024 was $325 million less (1.0
percent) than in the previous quarter. The quarter-over-quarter decrease in trading revenue wasdue to decreases in revenue from interest rate and equity instruments. Year-over-year holding
company trading revenue decreased by $5.7 billion (15.1 percent). For a historical view ofquarterly holding company trading revenue by instrument, see figure 15b in the appendix.
Table 2: Quarterly Holding Company Trading Revenue, in Millions of Dollars
Trading instruments

1Q 2024

4Q 2023

Q/Q
changeQ/Q %change1Q 2023

Y/YchangeY/Y %changeInterest rate

$4,491$14,397–$9,907–68.8%$11,955–$7,464–62.4%

Foreign exchange$8,638$1,768$6,870388.6%$5,760$2,87850.0%

Equity$13,059$14,476–$1,417–9.8%$13,714

–$655

–4.8%

Commodity and other$1,990$1,607

$383

23.8%

$3,471–$1,481–42.7%

Credit$3,800$53$3,7467017.0%$2,770$1,03037.2%

Total BHC trading revenue$31,977$32,302

–$325

–1.0%

$37,670–$5,693–15.1%

Source: Consolidated Financial Statements for Holding Companies—FR Y-9C, Schedule HI

Quarterly Derivatives Report: First Quarter 2024

2

Bank Trading Revenue as a Percentage of Consolidated Holding
Company Trading Revenue
Before the 2008 financial crisis, trading revenue at banks typically ranged from 60 percent to
80 percent of consolidated BHC trading revenue. Since the 2008 financial crisis and the adoptionof bank charters by the former investment banks, the percentage of bank trading revenue toconsolidated BHC trading revenue has decreased and is typically between 30 percent and50 percent. This decline reflects the significant amount of trading activity by the former
investment banks that, while included in BHC results, remains outside insured commercial
banks. More generally, insured U.S. commercial banks and savings associations have more
limited legal authorities than their holding companies, particularly in the trading of commodityand equity products.
In the first quarter of 2024, banks generated 48.9 percent of consolidated holding company
trading revenue, an increase from 36.1 percent in the previous quarter (see figure 1).
Figure 1: Bank Trading Revenue as a Percentage of Consolidated Holding Company Trading Revenue

Source: Consolidated Financial Statements for Holding Companies—FR Y-9C (Schedule HI) and call report (Schedule RI)Counterparty Credit Risk
Counterparty credit risk is a significant risk in bank derivative trading activities. The notionalamount of a derivative contract is a reference amount that determines contractual payments, but
it is generally not an amount at risk. The credit risk in a derivative contract is a function of anumber of variables, such as whether counterparties exchange notional principal, the volatility of
the underlying market factors (interest rate, currency, commodity, equity, or corporate reference
entity), the maturity and liquidity of the contract, and the creditworthiness of the counterparty.
Credit risk in derivatives differs from credit risk in loans because of the more uncertain nature of
the potential credit exposure. Because the credit exposure is a function of movements in market
factors, banks do not know, and can only estimate, how much the value of the derivative contract
might be at various points in the future.

Quarterly Derivatives Report: First Quarter 2024

3

The credit exposure is bilateral in most derivative transactions, such as swaps (which make up
the bulk of bank derivative contracts). Each party to the contract may (and, if the contract has along enough tenor, probably will) have a credit exposure to the other party at various times
during the contract’s life. With a funded traditional loan, the amount at risk is the amountadvanced to the borrower. The credit risk is unilateral as the bank faces the credit exposure of theborrower.
Measuring credit exposure in derivative contracts involves identifying those contracts on which abank would lose value if the counterparty to a contract defaulted. The total of all contracts withpositive value (i.e., derivative receivables) to the bank is the gross positive fair value (GPFV)and represents an initial measurement of credit exposure. The total of all contracts with negativevalue (i.e., derivative payables) to the bank is the gross negative fair value (GNFV) andrepresents a measurement of the exposure the bank poses to its counterparties.
GPFV decreased by $69.0 billion (3.2 percent) in the first quarter of 2024 to $2.1 trillion,
primarily driven by a $98.0 billion (15.9 percent) decrease in receivables from FX contracts anda $13.0 billion (0.9 percent) decrease in receivables from interest rate contracts (see table 3a).
GNFV decreased $96.0 billion (4.5 percent) to $2.0 trillion during the quarter, driven by a$124.0 billion (19.8 percent) decrease in payables on FX contracts and a $20.0 billion (1.5
percent) decrease in payables from interest rate contracts (see table 3b).
Table 3a: Gross Positive Fair Values, in Billions of Dollars
Trading instruments

1Q 2024

4Q 2023

Q/Q
changeQ/Q %change1Q 2023

Y/YchangeY/Y %changeInterest rate

$1,318$1,331

–$13

–0.9%

$1,405

–$87

–6.2%

FX

$516

$614

–$98

–15.9%

$534

–$18

–3.3%

Equity

$183

$149

$34

22.7%

$132

$50

38.1%

Commodity & other

$47

$42

$5

11.4%

$57

–$10

–17.6%

Credit

$39

$36

$3

8.7%

$40

–$1

–2.5%

GPFV

$2,103$2,171

–$69

–3.2%

$2,168

–$65

–3.0%

Source: Call reports, Schedule RC-L

Table 3b: Gross Negative Fair Values, in Billions of Dollars
Trading instruments

1Q 2024

4Q 2023

Q/Q
changeQ/Q %change1Q 2023

Y/YchangeY/Y %changeInterest rate

$1,255$1,274

–$20

–1.5%

$1,341

–$86

–6.4%

FX

$504

$629

–$124

–19.8%

$531

–$26

–5.0%

Equity

$201

$158

$43

27.0%

$138

$63

45.4%

Commodity & other

$45

$41

$4

9.4%

$54

–$9

–16.2%

Credit

$43

$42

$1

2.9%

$41

$1

3.2%

GNFV

$2,048$2,144

–$96

–4.5%

$2,105

–$57

–2.7%

Source: Call reports, Schedule RC-L
Note: Numbers may not add up to total due to rounding.

Quarterly Derivatives Report: First Quarter 20244A legally enforceable netting agreement between a bank and a counterparty creates a single legal
obligation for all transactions (called a “netting set”) under the agreement. Therefore, whenbanks have such agreements with their counterparties, contracts with negative values (an amounta bank would pay to its counterparty) can offset contracts with positive values (an amount owed
by the counterparty to the bank), leaving an NCCE as shown in table 4.
Table 4: Netting Contract Examples
Bank A portfolio with Counterparty B

Number ofcontracts

Value ofcontracts

Credit measure/metricContracts with positive value to Bank A

6

$500

GPFV

Contracts with negative value to Bank A

4

–$350

GNFV

Total contracts

10

$150

NCCE to Bank A from Counterparty B

Most derivative transactions that a bank has with an individual counterparty are subject to alegally enforceable netting agreement. Some transactions may be subject to the laws of ajurisdiction that does not provide legal certainty of netting agreements, in which case banks must
regard such transactions as separate from the netting set. Other transactions may involve
nonstandard contractual documentation. Transactions that are not subject to the same legally
enforceable netting agreement have distinct values that cannot be netted and for which theappropriate current credit measure is the gross exposure to the bank if that amount is positive.
While banks can net exposures within a netting set under the same netting agreement, theycannot net exposures across netting sets without a separate legally enforceable netting
agreement. As a result, a bank’s NCCE to a particular counterparty equals the sum of the GPFVof contracts less the dollar amount of netting benefits with that counterparty. A bank’s NCCE
across all counterparties equals the sum of its NCCE to each of its counterparties.
NCCE is the primary metric the OCC uses to evaluate credit risk in bank derivative activities.
NCCE for insured U.S. commercial banks and savings associations increased by $11.0 billion(4.6 percent) to $251.0 billion in the first quarter of 2024 (see table 5). 3 Legally enforceablenetting agreements allowed banks to reduce GPFV exposures by 88.0 percent ($1.9 trillion) in
the first quarter of 2024.
Table 5: Net Current Credit Exposure, in Billions of Dollars
Netting benefit ratio

1Q 2024

4Q 2023

Q/Q
changeQ/Q %change

GPFV$2,103$2,171

–$68

–3.1%

$251

$240

$11

4.6%

Netting benefit RC-R

$1,851$1,931

–$80

–4.1%

Netting benefit % RC-R

88.0%

88.9%

NCCE RC-R–0.9%

Source: Call reports, Schedules RC-L and RC-R

Banks report NCCE on two different schedules (RC-R and RC-L) of the call report, and the amounts reported are
not the same because of differences in the scope of coverage. Neither measure comprehensively captures NCCE.
RC-L includes exposure only from OTC derivative transactions; it excludes exchange-traded transactions. RC-R
excludes transactions not subject to capital requirements. This report uses RC-R to measure NCCE.

3

Quarterly Derivatives Report: First Quarter 2024

5

NCCE peaked at $804.0 billion at the end of 2008 during the financial crisis when interest rates
had plunged, and credit spreads were very high (see figure 2). The decline in NCCE since 2008
has largely resulted from declines in the GPFV of interest rate and credit contracts. After a large
increase in NCCE during the first quarter of 2020 as markets responded to the financial impact of
the COVID-19 global pandemic, NCCE ended the first quarter of 2024 at $251.0 billion as morenormal market activity resumed.
Figure 2: Net Current Credit Exposure (NCCE), in Billions of Dollars

Source: Call reports, Schedule RC-R

The bulk of NCCE in the financial system is concentrated in banks and securities firms(38.9 percent) and in corporations and other counterparties (55.2 percent) (see table 6). The
combined exposure to hedge funds and sovereign governments was small (5.9 percent in total).
Table 6: Net Current Credit Exposure by Counterparty Type as a Percentage of Total Net Current Credit
Exposure

Hedge funds

Sovereign
governments

Corporate and all
othercounterparties

38.9%

1.4%

4.5%

55.2%

34.6%

2.3%

5.0%

58.1%

34.5%

2.3%

3.9%

59.2%

Quarter

Banks andsecurities firms

1Q 2024
4Q 2023
4Q 2022
4Q 2021

37.9%

2.0%

7.4%

52.6%

4Q 2020

39.1%

2.2%

8.3%

50.4%

4Q 2019

44.2%

2.5%

9.2%

44.1%

4Q 2018

41.7%

5.0%

10.0%

43.2%

4Q 2017

41.7%

3.1%

7.9%

47.3%

4Q 2016

48.4%

2.0%

6.5%

43.0%

Source: Call reports, Schedule RC-L

A more risk-sensitive measure of credit exposure would consider the value of collateral held
against counterparty exposures. Reporting banks held collateral valued at 127.8 percent of their
Quarterly Derivatives Report: First Quarter 2024

6

total NCCE at the end of the first quarter of 2024, up from 118.9 percent in the fourth quarter of2023 (see table 7). Collateral held against hedge fund exposures increased in the first quarter to891.9 percent. Bank exposures to hedge funds are secured because banks take initial margin ontransactions with hedge funds, in addition to fully securing any current credit exposure.
Collateral coverage of corporate and sovereign exposures is much less than coverage of financial
institutions and hedge funds.
Table 7: Ratio of Fair Value (FV) Collateral to Net Current Credit Exposure

FV hedge funds

FV sovereign
governments

FV corporate
and all othercounterparties

FV/NCCE %891.9%

87.1%

104.9%

127.8%

142.0%

574.3%

79.1%

90.8%

118.9%

4Q 2022111.4%

474.5%

61.5%

75.4%

96.5%

4Q 2021128.6%

687.6%

69.3%

76.0%

108.0%

4Q 2020110.6%

467.6%

52.1%

59.5%

87.8%

4Q 2019130.0%

485.9%

48.3%

91.8%

114.5%

4Q 2018128.9%

308.0%

47.1%

91.8%

113.7%

4Q 2017124.4%

495.5%

25.1%

89.8%

111.5%

4Q 2016119.1%

491.5%

34.2%

67.0%

98.5%

Quarter

FV banks andsecurities firms

1Q 2024137.1%

4Q 2023

Source: Call reports, Schedule RC-L

The majority of collateral held by banks against NCCE is very liquid with 61.1 percent held incash (both U.S. dollar and other currencies) and an additional 10.2 percent held in U.S.
Treasuries and U.S. government agency securities (see table 8). Supervisors assess changes in
the quality and liquidity of collateral held as a key early indicator of potential easing in credit
terms. Examiners review the collateral management practices of derivative dealers as a regularpart of their supervision activities.
Table 8: Composition of Collateral
U.S.
Treasury
securities

U.S.
government
agencyCorp
bonds

Equitysecurities

All othercollateral

Quarter

Cash U.S. $Cash othercurrencies

1Q 2024

46.1%

15.0%

9.6%

0.6%

4.8%

6.5%

17.4%

4Q 2023

46.2%

15.1%

10.3%

0.7%

4.1%

6.7%

17.0%

4Q 2022

53.1%

14.9%

8.7%

0.4%

3.8%

5.5%

13.7%

4Q 2021

39.3%

24.5%

8.1%

0.9%

1.6%

8.2%

17.3%

4Q 2020

39.5%

28.6%

7.8%

1.7%

1.1%

7.2%

14.1%

4Q 2019

34.4%

24.5%

11.6%

1.7%

2.3%

7.6%

17.7%

4Q 2018

37.2%

23.3%

10.8%

2.2%

2.1%

7.1%

17.2%

4Q 2017

37.6%

25.5%

10.3%

1.9%

2.5%

5.7%

16.5%

4Q 2016

40.1%

31.5%

8.1%

1.7%

1.6%

5.0%

12.0%

Source: Call reports, Schedule RC-L

Quarterly Derivatives Report: First Quarter 2024

7

Market Risk
Value-at-Risk
Banks primarily control market risk in trading operations by establishing limits against potential
losses. Banks use value-at-risk (VaR) to quantify the maximum expected loss over a specified
time period and at a certain confidence level under relevant market conditions. Banks subject tothe market risk capital rule, 12 CFR 3, subpart F, are required to report their VaR-based
measures quarterly on Federal Financial Institutions Examination Council (FFIEC) Form 102.
The VaR measurement is calculated daily using a one-tail, 99 percent confidence level, and aholding period equivalent to a 10-business-day movement in underlying risk factors, such asrates, spreads, and prices. Tables 9a and 9b show the quarter-over-quarter change in VaR, as wellas the VaR-based capital charge, for banks most active in trading and derivatives activity. As
shown in table 9a, market risk in trading operations, as measured by VaR, is a small proportionof their risk-based capital. Figure 22 in the appendix illustrates the historical trend in VaR
measurements for these institutions.
Table 9a: Value-at-Risk, in Millions of Dollars

Value-at-risk

JPMorgan
Chase BankNA

Citibank NA

Bank of
America NA

Goldman
Sachs Bank
USA

1Q 2024 average 60-day VaR

$243

$232

$92

$307

4Q 2023 average 60-day VaR

$180

$205

$84

$344

Q/Q change

$63

$27

$8

–$37

$287,922$163,065$203,699$62,441

1Q 2024 total risk-based capital

Source: Market Risk Regulatory Report for Institutions Subject to the Market Risk Capital Rule—FFIEC 102

Table 9b: Value-at-Risk Capital Requirement, in Millions of Dollars

Value-at-risk capital requirement

JPMorgan
Chase BankNA

Citibank NA

Bank of
America NA

Goldman
Sachs Bank
USA

1Q 2024 VaR capital requirement

$729

$695

$276

$922

4Q 2023 VaR capital requirement

$540

$615

$252

$1,033Q/Q change

$189

$81

$24

–$111

$287,922$163,065$203,699$62,441

1Q 2024 total risk-based capital

Source: Market Risk Regulatory Report for Institutions Subject to the Market Risk Capital Rule—FFIEC 102

Volatility Index
Figure 3 shows the VIX, a volatility index, 4 which measures the market’s expectation of stock
market volatility in the S&P 500 index over the next 30-day period. Higher volatility as
represented by the VIX is associated with increased equity trading volume, which drives
increased bank and holding company equity trading revenue. The figure illustrates that there was
4

VIX is the trademarked ticker symbol for the Chicago Board Options Exchange SPX Volatility Index.

Quarterly Derivatives Report: First Quarter 20248

an extended period of low volatility following the end of the 2008 financial crisis that continued
until late in the first quarter of 2020. In mid-March 2020 volatility spiked as financial markets
reacted to fears over the potential impact of the COVID-19 global pandemic. The VIX exceeded
its previous high from the 2008 financial crisis before settling back to a more normal level of
13.0 percent at the end of the first quarter of 2024.
Figure 3: Volatility Index (VIX)

Source: Bloomberg

Level 3 Trading Assets
Another measure used to assess market risk is the volume of and changes in level 3 trading
assets. Level 3 trading assets are assets whose fair value cannot be determined by using
observable inputs, such as market prices. Since the peak of the financial crisis at the end of 2008,
major dealers have reduced the volume of level 3 trading assets. Because the model inputs that
determine the fair value of these exposures are not derived from observable market transactions,banks use their own model assumptions in determining their fair values. Level 3 trading assets
peaked at $204.0 billion at the end of 2008 (see figure 4). At the end of the first quarter of 2024,
banks held $37.0 billion of level 3 trading assets, up 5.7 percent from the previous quarter and16.9 percent lower than a year ago. Level 3 trading assets are $167.0 billion (81.9 percent) lower
than the peak level from 2008.
Figure 4: Level 3 Trading Assets, in Billions of Dollars

Source: Call reports, Schedule RC-Q

Quarterly Derivatives Report: First Quarter 2024

9

Notional Amounts of All Derivative Contracts
Changes in notional amounts are generally reasonable reflections of business activity and canprovide insight into potential revenue and operational issues. The notional amount of derivative
contracts, however, does not provide a useful measure of market or credit risk.
The total notional amount of derivative contracts held by banks in the first quarter increased by$13.6 trillion (7.1 percent) to $206.1 trillion from the previous quarter (see table 10). The
increase in the notional amount of derivative contracts by underlying risk exposure was driven
by increases across all instruments. Interest rate notional amounts continued to represent the
majority of banks’ derivative holdings at $144.4 trillion, or 70.1 percent of total derivatives (seetable 10).
Table 10: Derivative Notional Amounts by Underlying Risk Exposure Quarter-Over-Quarter, in Billions of
Dollars
Trading instrument

1Q 2024

4Q 2023

Q/Q
changeQ/Q %change1Q 2023

Y/YchangeY/Y %changeInterest rate

$144,427$136,274

FX$49,856$45,278$8,1536.0%$160,260–$15,833–9.9%$4,578

10.1%$45,686$4,1699.1%

Equity$6,253$5,674

$579

10.2%

$5,001$1,25225.0%

Commodity and other$1,557$1,493$65

4.3%$1,575

–$17

–1.1%

Credit derivatives$3,999$3,746$253

6.8%$5,079–$1,080–21.3%

Total notional$206,091$192,463$13,6287.1%$217,601–$11,510–5.3%

Source: Call reports, Schedule RC-L

The increase in the total notional amount of derivative contracts by contract type was primarily
driven by increases in all derivatives contracts (see table 11). Swaps contracts remained theleading derivatives contract type at 60.6 percent of all notional amounts.
The four banks with the most derivative activity hold 87.6 percent of all bank derivatives, while
the largest 25 banks account for nearly 100 percent of all contracts (see tables 15 and 17 andfigure 10 in the appendix for more information).
Table 11: Derivative Notional Amounts by Contract Type Quarter-Over-Quarter, in Billions of Dollars
Trading instrument

1Q 2024

4Q 2023

Q/Q
changeQ/Q %change1Q 2023

Y/YchangeY/Y %changeFutures and forwards$36,822$31,806$5,01515.8%$34,502$2,320

6.7%

Swaps

$124,893$117,303$7,5896.5%$137,730–$12,837–9.3%

Options$40,378$39,608

$770

1.9%

$40,290$88

0.2%

Credit derivatives$3,999$3,746$253

6.8%$5,079–$1,080–21.3%

Total notional$206,091$192,463$13,6287.1%$217,601–$11,510–5.3%

Source: Call reports, Schedule RC-L

Quarterly Derivatives Report: First Quarter 2024

10

Credit Derivatives
The notional amounts of credit derivatives increased $253.0 billion (6.8 percent) to $4.0 trillion
in the first quarter of 2024 (see table 11). As shown in the chart on the left of figure 5, credit
default swaps are the dominant product, at $3.3 trillion (83.7 percent) of all credit derivative
notional amounts.
Credit derivative contracts referencing investment-grade entities with maturities from one to five
years represented the largest segment of the market at $1.9 trillion or 48.1 percent of all credit
derivative notional amounts. Contracts of all tenors that reference investment-grade entities are$2.9 trillion or 73.4 percent of the market (see the chart on the right in figure 5).
Figure 5: Credit Derivative Composition, in Billions of Dollars

Source: Call reports, Schedule RC-L

The notional amount for the 116 banks that net sold credit protection (i.e., assumed credit risk)
was $1.9 trillion, up $128.2 billion (7.3 percent) from the fourth quarter of 2023 (see table 24 in
the appendix). The notional amount for the 95 banks that net purchased credit protection (i.e.,
hedged credit risk) was $2.1 trillion, $125.0 billion lower (6.3 percent) than in the fourth quarterof 2023 (see table 24 in the appendix).

Compression Activity
Notional amounts of banks’ derivative contracts have generally declined since 2014 because of
trade compression efforts, leading to less need for risk management products. Trade compression
continues to be a significant factor in reducing the amount of notional derivatives outstanding.
Trade compression aggregates a large number of swap contracts with similar factors, such as risk
or cash flows, into fewer trades. Compression removes economic redundancy in a derivative
book and reduces operational risk and capital costs for large banks. Trade compression activities
increased in the first quarter of 2024, as shown in figure 6.

Quarterly Derivatives Report: First Quarter 202411

Figure 6: Quarterly Compression Activity, in Trillions of Dollars

Source: LCH Group

Centrally Cleared Derivative Contracts
In the first quarter of 2015, banks began reporting their volumes of cleared and uncleared
derivative transactions, as well as risk weights for counterparties in each of these categories. In
the first quarter of 2024, 35.9 percent of banks’ derivative holdings were centrally cleared (seetable 12). From a market factor perspective, 47.9 percent of interest rate derivative contracts’
notional amounts outstanding were centrally cleared, while very little of the FX derivative
market was centrally cleared. The bank-held credit derivative market remained largely uncleared,
as 29.6 percent of credit derivative transactions were centrally cleared during the first quarter of2024.
Centrally cleared derivative transactions were heavily concentrated at qualifying central
counterparties, with 82.0 percent of notional amounts reflecting the 2 percent risk weight
applicable to such counterparties.
Table 12: Centrally Cleared Derivative Contracts as a Percentage of Total Derivative Contracts
QuarterInterest
rate

FX

EquityPrecious
metalsCredit

Other

Total

1Q 2024

47.9%

3.0%

25.2%

6.9%

29.6%

13.2%

35.9%

4Q 2023

44.9%

2.9%

24.0%

6.7%

28.2%

12.9%

33.9%

3Q 2023

49.7%

3.1%

23.4%

6.8%

32.5%

14.0%

37.8%

2Q 2023

52.9%

3.0%

23.5%

7.7%

35.1%

12.5%

41.3%

1Q 2023

52.2%

3.0%

24.7%

7.3%

30.9%

12.6%

40.5%

4Q 2022

49.1%

2.7%

23.8%

8.8%

28.9%

12.2%

37.9%

3Q 2022

54.3%

3.0%

23.9%

6.6%

30.6%

12.9%

41.7%

2Q 2022

55.9%

3.2%

24.8%

5.9%

25.4%

12.3%

43.1%

1Q 2022

56.1%

2.9%

24.3%

6.4%

33.8%

12.4%

43.4%

4Q 2021

51.8%

2.0%

20.6%

3.1%

29.2%

12.3%

39.4%

3Q 2021

50.5%

2.1%

21.4%

2.6%

35.3%

13.2%

39.0%

Source: Call reports, Schedule RC-R

Quarterly Derivatives Report: First Quarter 2024

12

Glossary of Terms
Bilateral netting: A legally enforceable arrangement between a bank and a counterparty thatcreates a single legal obligation covering all included individual contracts. This arrangementmeans that a bank’s receivables or payables, in the event of the default or insolvency of one ofthe parties, would be the net sum of all positive and negative fair values of contracts included in
the bilateral netting arrangement.
Centrally cleared derivative contract: A standardized derivative contract that is transacted
bilaterally but submitted for clearing to a central counterparty, with the central counterparty
becoming the ultimate counterparty to both the buyer and the seller.
Credit derivative: A financial contract that allows a party to take on or reduce credit exposure(generally on a bond, loan, or index). The OCC’s derivatives survey includes OTC credit
derivatives, such as credit default swaps, total return swaps, and credit spread options.
Derivative: A financial contract in which the value is derived from the performance ofunderlying market factors, such as interest rates, currency exchange rates, and commodity,
credit, and equity prices. Derivative transactions include a wide assortment of financial contracts,
such as structured debt obligations and deposits, swaps, futures, options, caps, floors, collars,
forwards, and various combinations thereof.
Gross negative fair value (GNFV): The sum total of the fair values of contracts when the bankowes money to its counterparties, without taking netting into account. This amount represents the
maximum losses the bank’s counterparties would incur if the bank defaulted and there was no
netting of contracts, and the counterparties held no bank collateral. GNFVs associated with credit
derivatives are included.
Gross positive fair value (GPFV): The sum total of the fair values of contracts when the bankis owed money by its counterparties, without taking netting into account. This amount represents
the maximum losses a bank would incur if all its counterparties defaulted and there was no
netting of contracts, and the bank held no counterparty collateral. GPFVs associated with credit
derivatives are included.
Net current credit exposure (NCCE): For a portfolio of derivative contracts, NCCE is the
GPFV of contracts less the dollar amount of netting benefits. On any individual contract, current
credit exposure (CCE) is the fair value of the contract if positive and zero when the fair value isnegative or zero. NCCE is also the net amount owed to banks if all contracts were immediately
liquidated.
Notional amount: The nominal or face amount that is used to calculate payments made on
swaps and other risk management products. This amount generally does not change hands and isthus referred to as notional.
OTC derivative contracts: Privately negotiated derivative contracts that are transacted off
organized exchanges.

Quarterly Derivatives Report: First Quarter 2024

13

Potential future exposure (PFE): An estimate of what the CCE could be over time, based on asupervisory formula in the agencies’ risk-based capital rules. PFE is generally determined bymultiplying the notional amount of the contract by a credit conversion factor that is based on theunderlying market factor (e.g., interest rates, commodity prices, or equity prices) and thecontract’s remaining maturity. The risk-based capital rules, however, permit banks to adjust theformulaic PFE measure by the net-to-gross ratio, which proxies the risk-reduction benefits
attributable to a valid bilateral netting contract. PFE data in this report use the amounts on whichbanks hold risk-based capital.
Qualifying central counterparties (QCCP): QCCPs are defined in 12 CFR 3.2 as a CCP either
that the Financial Stability Oversight Council has designated systemically important under title
VIII of the Dodd–Frank Wall Street Reform and Consumer Protection Act or that meets a seriesof standards. See 12 CFR 3.2 for a full definition.
Total credit exposure (TCE): The sum total of NCCE and PFE.
Total risk-based capital: The sum of tier 1 plus tier 2 capital. Tier 1 capital generally consistsof common shareholders’ equity, perpetual preferred shareholders’ equity with noncumulative
dividends, retained earnings, and tier 1 capital of consolidated subsidiaries that is not owned by
the bank (minority interest), less regulatory adjustments and deductions. Tier 2 capital generally
consists of subordinated debt, intermediate-term preferred stock, cumulative and long-term
preferred stock, tier 2 capital of consolidated subsidiaries that is not owned by the bank (minority
interest), and a portion of a bank’s allowance for loan and lease losses less regulatory
adjustments and deductions.
Trade compression: A significant factor in reducing the amount of notional derivatives
outstanding. Trade compression aggregates a large number of swap contracts with similar
factors, such as risk or cash flows, into fewer trades. Compression removes economic
redundancy in a derivative book and reduces operational risks and capital costs for large banks.
Volatility index (VIX): A measure of the market’s expectation of stock market volatility of
S&P 500 index options over the next 30-day period.

Quarterly Derivatives Report: First Quarter 2024

14

Appendix: Index of Tables and Figures
TablesTable 1: Quarterly Bank Trading Revenue, in Millions of Dollars .................................................2
Table 2: Quarterly Holding Company Trading Revenue, in Millions of Dollars ............................2
Table 3a: Gross Positive Fair Values, in Billions of Dollars ...........................................................4
Table 3b: Gross Negative Fair Values, in Billions of Dollars .........................................................4
Table 4: Netting Contract Examples ................................................................................................5
Table 5: Net Current Credit Exposure, in Billions of Dollars .........................................................5
Table 6: Net Current Credit Exposure by Counterparty Type as a Percentage ofTotal Net Current Credit Exposure ............................................................................................6
Table 7: Ratio of Fair Value Collateral to Net Current Credit Exposure ........................................7
Table 8: Composition of Collateral..................................................................................................7
Table 9a: Value-at-Risk, in Millions of Dollars ..............................................................................8
Table 9b: Value-at-Risk Capital Requirement, in Millions of Dollars ............................................8
Table 10: Derivative Notional Amounts by Underlying Risk Exposure
Quarter-Over-Quarter, in Billions of Dollars...........................................................................10
Table 11: Derivative Notional Amounts by Contract Type
Quarter-Over-Quarter, in Billions of Dollars...........................................................................10
Table 12: Centrally Cleared Derivative Contracts as a Percentage ofTotal Derivative Contracts .......................................................................................................12
Table 13. Notional Amounts of Derivative Contracts ...................................................................17
Table 14: Notional Amounts of Derivative Contracts (Holding Companies) ...............................18
Table 15: Distribution of Derivative Contracts .............................................................................19
Table 16: Credit Equivalent Exposures .........................................................................................20
Table 17: Notional Amounts of Derivative Contracts Held for Trading .......................................21
Table 18: Gross Fair Values of Derivative Contracts ....................................................................22
Table 19: Trading Revenues From Cash Instruments and Derivatives .........................................23
Table 20: Notional Amounts of Derivative Contracts by Contract Type andMaturity (Interest Rate, FX, and Gold) ....................................................................................24
Table 21: Notional Amounts of Derivative Contracts by Contract Type andMaturity (Precious Metals) ......................................................................................................25
Table 22: Notional Amounts of Derivative Contracts by Contract Type andMaturity (Other Commodity and Equity) ................................................................................26
Table 23: Notional Amounts of Credit Derivative Contracts by Contract Type andMaturity (Investment Grade and Sub-investment Grade) ........................................................27
Table 24: Distribution of Credit Derivative Contracts Held for Trading ......................................28
Table 25: Derivatives Data Reported by FFIEC 051 Filers...........................................................29

FiguresFigure 1: Bank Trading Revenue as a Percentage of Consolidated
Holding Company Trading Revenue .........................................................................................3
Figure 2: Net Current Credit Exposure, in Billions of Dollars ........................................................6
Figure 3: Volatility Index (VIX) ......................................................................................................9
Quarterly Derivatives Report: First Quarter 202415

Figure 4: Level 3 Trading Assets, in Billions of Dollars .................................................................9
Figure 5: Credit Derivative Composition, in Billions of Dollars...................................................11
Figure 6: Quarterly Compression Activity, in Trillions of Dollars ...............................................12
Figure 7. Derivative Notional Amounts by Type ..........................................................................30
Figure 8. Derivative Contracts by Product ....................................................................................31
Figure 9. Derivative Contracts by Type .........................................................................................32
Figure 10. Four Banks Dominate in Derivatives ...........................................................................33
Figure 11. Credit Exposure to Risk-Based Capital (in Percentage)...............................................34
Figure 12. Netting Benefit: Amount of Gross Credit Exposure Eliminated ThroughBilateral Netting (in Percentage) .............................................................................................35
Figure 13. Quarterly Charge-Offs/(Recoveries) From Derivatives—Bank ...................................36
Figure 14. Quarterly Charge-Offs/(Recoveries) From Derivatives—Holding Company .............37
Figure 15a. Quarterly Trading Revenue (Cash and Derivative Positions)—Bank ........................38
Figure 15b. Quarterly Trading Revenue (Cash and Derivative Positions)—
Holding Company ....................................................................................................................39
Figure 16. Quarterly Trading Revenue (Cash and Derivative Positions) as a
Percentage of Gross Revenue (in Percentage) .........................................................................40
Figure 17. Notional Amounts of Interest Rate and Foreign Exchange
Rate Contracts by Maturity ......................................................................................................41
Figure 18. Notional Amounts of Precious Metal Contracts by Maturity.......................................42
Figure 19. Notional Amounts of Equity Contracts and Commodity and Other Contracts by
Maturity....................................................................................................................................43
Figure 20. Notional Amounts of Credit Derivative Contracts by
Credit Quality and Maturity .....................................................................................................44
Figure 21. Notional Amounts of Over-the-Counter andCentrally Cleared Derivative Contracts ...................................................................................45
Figure 22. Average 60-Day Value-at-Risk ....................................................................................46

Quarterly Derivatives Report: First Quarter 202416

Table 13: Notional Amounts of Derivative Contracts

Top 25 Commercial Banks, Savings Associations, and Trust Companies in Derivatives, in Millions of Dollars, March 31, 2024

Bank name

Total assets

Total derivatives

Total futures(EXCH TR)

Total options(EXCH TR)

Total forwards(OTC)

Total swaps (OTC)

Total credit
derivatives(OTC)

Total options(OTC)

Spot FXGOLDMAN SACHS BANK USA$549,188$55,680,519$1,291,432$2,650,095$6,381,900$34,385,194$10,468,266$503,632$951,854

JPMORGAN CHASE BANK NA

3,503,360

54,018,588

1,162,438

1,171,375

9,902,837

31,774,252

8,781,965

1,225,721

965,825

CITIBANK NATIONAL ASSN

1,698,856

49,865,522

497,116

828,000

6,692,836

32,467,627

7,910,605

1,469,338

442,009

BANK OF AMERICA NA

2,550,363

20,966,095

155,495

413,788

4,288,200

11,844,206

3,737,489

526,917522,965WELLS FARGO BANK NA

1,743,283

14,220,852

472,824545,314

1,721,021

8,335,143

3,018,428

128,122

31,989

STATE STREET BANK&TRUST CO

333,667

2,798,721

29,88502,708,272

30,741

29,823

058,137HSBC NA

163,070

1,260,051

9,039

4,426

491,006

672,546

67,097

15,937

46,209U S BANK NATIONAL ASSN

669,426

1,207,356

172

600

73,793921,352

195,929

15,5095,946

BANK OF NEW YORK MELLON

357,477

1,148,791

11,78468

316,933

784,40335,348

255

116,936PNC BANK NATIONAL ASSN

561,950

682,589

9,967

14,93823,633560,21461,78912,0491,780

TD BANK NATIONAL ASSN

369,860

401,188

0

0

1,942

399,17571

00

TRUIST BANK

526,714396,366

5,633

26,14923,075

262,974

68,991

9,544

513

CITIZENS BANK NATIONAL ASSN

220,152

312,760

2,545

0

9,116

253,405

45,645

2,049

270

NORTHERN TRUST CO

155,573

299,27900270,989

27,835455

050,314MORGAN STANLEY BANK NA

212,723

283,462

1,118

60

27,989215,994

15,62722,674

3,531

CAPITAL ONE NATIONAL ASSN

478,877

267,630

25,7280

13,089221,301

841

6,671

308

FIFTH THIRD BANK NA

213,681

188,511

2,164

318

6,759

106,324

68,330

4,616

571

REGIONS BANK

153,946

173,998

181

0

3,114

138,753

26,5865,364

17

BMO BANK NATIONAL ASSN

264,643

155,302

0

0

3,132

149,883

2,286

1

339

KEYBANK NATIONAL ASSN

185,233

134,631

742

0

5,738

110,750

17,287

113

50

HUNTINGTON NATIONAL BANK

192,859

102,732

717

0

5,453

76,26816,037

4,257

71

MANUFACTURERS&TRADERS TR CO

214,668

78,625

0

0

3,420

70,992

4,214

0

255

COMERICA BANK

79,51372,723

0

0

2,835

57,446

10,758

1,684

154

BOKF NATIONAL ASSN

49,94865,295

3,456

3,452

43,332

8,249

6,805

0

0

UBS BANK USA
Top 25 commercial banks, SAs & TCs with
derivatives

110,525

61,39700061,397000$15,559,556$204,842,982$3,682,436$5,658,582$33,020,415$123,936,423$34,590,672$3,954,454$3,200,043

5,862,117

1,248,469

13,695

1,106

105,053956,282

127,937

44,397724

21,421,673

206,091,451

3,696,130

5,659,688

33,125,468

124,892,705

34,718,609

3,998,851

3,200,767

Other commercial banks, SAs & TCs with derivatives
Total all commercial banks, SAs & TCs with
derivatives

Note: Credit derivatives have been included in the sum of total derivatives. Credit derivatives have been included as an "over-the-counter" category, although the call report does not differentiate bymarket currently. Before the first quarter of 1995 total derivatives included spot FX. Beginning in that quarter, spot FX has been reported separately.
Source: Call reports, Schedule RC-L

Quarterly Derivatives Report: First Quarter 202417

Table 14: Notional Amounts of Derivative Contracts (Holding Companies)
Top 25 Holding Companies in Derivatives, in Millions of Dollars, March 31, 2024

Holding company

Total assets

Total derivatives

JPMORGAN CHASE & CO.

$4,090,727$53,615,020

CITIGROUP INC.

2,432,510

GOLDMAN SACHS GROUP, INC., THE

1,698,440

MORGAN STANLEY

Total futures(EXCH TR)

Total options(EXCH TR)

Total forwards(OTC)

Total swaps (OTC)$1,252,644$1,898,538$10,324,779$30,575,820

48,669,175

690,462

3,883,473

7,757,875

44,974,810

1,732,580

4,285,807

6,020,383

1,228,503

37,049,847

954,7111,550,006

BANK OF AMERICA CORPORATION

3,273,803

36,929,690

608,669WELLS FARGO & COMPANY

1,959,160

14,553,156

491,910MIZUHO AMERICAS LLC

74,9259,879,814

SMBC AMERICAS HOLDINGS, INC.

33,014

6,313,010

HSBC NORTH AMERICA HOLDINGS INC.

246,728

4,274,278

416,963

STATE STREET CORPORATION

338,0032,790,567

U.S. BANCORPBANK OF NEW YORK MELLONCORPORATION, THE

683,606

1,196,131

434,728

1,130,582

RBC US GROUP HOLDINGS LLC

166,734

784,454

BARCLAYS US LLC

198,127

730,860

PNC FINANCIAL SERVICES GROUP, INC., THE

566,181

TD GROUP US HOLDINGS LLC
TRUIST FINANCIAL CORPORATION

Total options(OTC)

Total credit
derivatives(OTC)

Spot FX$8,346,912$1,216,327$955,881

27,786,734

7,448,061

1,102,570

441,000

21,266,679

10,465,208

1,204,153

349,034

4,438,985

20,372,998

8,952,960

780,187

81,107

1,663,367

7,714,087

21,111,263

4,910,954

921,350

423,184

621,8142,150,473

8,161,622

3,014,645

112,692

31,98822,05635,150488,934

8,791,433

525,340

16,901

3,625

693,164

948,488279,826

2,713,236

1,675,868

2,428

91

741,821494,1422,533,382

72,033

15,937

46,20930,03002,708,272

22,441

29,824

058,137172

600

73,375910,546

195,929

15,5095,946

12,511

68

321,681760,719

35,348255

116,876

235,851

248,986

12,936

285,746

345

590

155

20,405

258,692

415,016

35,842

105

800

6

661,521

10,132

14,93827,433535,065

61,78912,164

1,780

530,324505,639

37,546

3,727

46,325

417,758283

0

0534,959

382,575

5,633

26,14923,309248,389

68,991

10,104513

CITIZENS FINANCIAL GROUP, INC.

220,862

312,760

2,545

0

9,116

253,405

45,645

2,049

270

CAPITAL ONE FINANCIAL CORPORATION

481,720

303,794

25,7280

13,195257,360

841

6,671

308

NORTHERN TRUST CORPORATION

156,111297,27900270,989

25,835455

050,314

BMO FINANCIAL CORP.

295,575

257,285

42,2293,391

57,297

150,647

2,345

1,375

353

FIFTH THIRD BANCORP

214,506

192,716

2,164

318

6,759

110,529

68,330

4,616

571

REGIONS FINANCIAL CORPORATION

155,227

172,623

181

0

3,139

137,353

26,5865,364

17

KEYCORP

187,531

140,753

742

0

6,764

115,846

17,287113

50

AMERIPRISE FINANCIAL, INC.

179,843

138,882

6,629

2,555

420

43,40582,7543,119

0$20,381,846$266,257,221$7,295,658$16,187,888$43,665,510$147,624,053$46,048,838$5,435,274$2,567,415

Top 25 holding companies with derivatives

Note: Currently, the Y-9 report does not differentiate credit derivatives by contract type. Credit derivatives have been included in the sum of total derivatives. Before the first quarter of 2005,
total derivatives included spot FX. Beginning in that quarter, spot FX has been reported separately.
Source: Consolidated Financial Statements for Bank Holding Companies, FR Y- 9, Schedule HC-L

Quarterly Derivatives Report: First Quarter 202418

Table 15: Distribution of Derivative Contracts

Top 25 Commercial Banks, Savings Associations, and Trust Companies in Derivatives, in Millions of Dollars, March 31, 2024

Bank Name

Total assets

Total derivatives

Percent
exchange
tradedcontracts

Percent OTC
contracts

Percent interest
rate contracts

Percent foreignexchange
contracts

Percent equity
contracts

Percent othercontracts

Percent credit
derivatives

GOLDMAN SACHS BANK USA$549,188$55,680,519

7.1

92.9

84.4

13.4

1.2

0.1

0.9

JPMORGAN CHASE BANK NA

3,503,360

54,018,588

4.3

95.7

65.6

25.9

4.8

1.4

2.3

CITIBANK NATIONAL ASSN

1,698,856

49,865,522

2.7

97.3

64.3

29.1

3.0

0.7

2.9

BANK OF AMERICA NA

2,550,363

20,966,095

2.7

97.3

62.9

29.2

4.9

0.5

2.5

WELLS FARGO BANK NA

1,743,283

14,220,852

7.2

92.8

79.2

16.8

2.5

0.6

0.9

STATE STREET BANK&TRUST CO

333,667

2,798,721

1.1

98.9

2.2

96.8

0.0

1.0

0.0

HSBC NA

163,070

1,260,051

1.1

98.9

10.7

84.5

1.3

2.1

1.3

U S BANK NATIONAL ASSN

669,426

1,207,356

0.1

99.9

88.9

8.9

0.0

0.9

1.3

BANK OF NEW YORK MELLON

357,477

1,148,791

1.0

99.0

20.0

79.6

0.4

0.0

0.0

PNC BANK NATIONAL ASSN

561,950

682,589

3.6

96.4

91.4

3.8

1.3

1.7

1.8

TD BANK NATIONAL ASSN

369,860

401,188

0.0

100.0

99.6

0.4

0.0

0.0

0.0

TRUIST BANK

526,714396,366

8.0

92.0

78.5

6.2

10.6

2.2

2.4

CITIZENS BANK NATIONAL ASSN

220,152

312,760

0.8

99.2

89.3

9.7

0.0

0.3

0.7

NORTHERN TRUST CO

155,573

299,279

0.0

100.0

9.1

90.5

0.3

0.0

0.0

MORGAN STANLEY BANK NA

212,723

283,462

0.4

99.6

38.0

39.0

15.0

0.0

8.0

CAPITAL ONE NATIONAL ASSN

478,877

267,630

9.6

90.4

84.0

6.1

0.0

7.3

2.5

FIFTH THIRD BANK NA

213,681

188,511

1.3

98.7

66.5

19.2

2.4

9.4

2.4

REGIONS BANK

153,946

173,998

0.1

99.9

93.3

1.3

0.0

2.3

3.1

BMO BANK NATIONAL ASSN

264,643

155,302

0.0

100.0

96.5

2.0

1.5

0.0

0.0

KEYBANK NATIONAL ASSN

185,233

134,631

0.6

99.4

86.8

4.7

0.0

8.4

0.1

HUNTINGTON NATIONAL BANK

192,859

102,732

0.7

99.3

89.8

4.7

0.7

0.6

4.1

MANUFACTURERS&TRADERS TR CO

214,668

78,625

0.0

100.0

98.2

1.8

0.0

0.0

0.0

COMERICA BANK

79,51372,723

0.0

100.0

74.4

3.9

0.0

19.4

2.3

BOKF NATIONAL ASSN

49,94865,295

10.6

89.4

76.8

0.2

0.1

23.0

0.0

UBS BANK USA
Top 25 commercial banks, SAs & TCs with derivatives

110,525

61,397

0.0

100.0

100.0

0.0

0.0

0.0

0.0

$15,559,556$204,842,982$9,341,018$195,501,964$143,299,161$49,809,171$6,251,890$1,528,307$3,954,454

Other commercial banks, SAs & TCs with derivatives

5,862,117

1,248,469

14,801

1,233,668

1,127,878

46,370749

29,07544,397

Total all commercial banks, SAs & TCs with derivatives
Top 25 Commercial Banks, SAs & TCs with derivatives:
percentage of total
Other commercial banks, SAs & TCs with derivatives:
percentage of total
Total all commercial banks, SAs & TCs with derivatives:
percentage of total

21,421,673

206,091,451

9,355,819

196,735,632

144,427,039

49,855,541

6,252,639

1,557,382

3,998,851

99.4

4.5

94.9

69.5

24.2

3.0

0.7

1.9

0.6

0.0

0.6

0.5

0.0

0.0

0.0

0.0

100.0

4.5

95.5

70.1

24.2

3.0

0.8

1.9

Note: Currently, the call report does not differentiate credit derivatives by over-the-counter or exchange-traded. Credit derivatives have been included in the "over-the-counter" category as well as in the sum of total
derivatives here. "FX" does not include spot FX. "Other" is defined as the sum of commodity and equity contracts.
Source: Call reports, Schedule RC-L

Quarterly Derivatives Report: First Quarter 2024

19

Table 16: Credit Equivalent Exposures

Top 25 Commercial Banks, Savings Associations, and Trust Companies in Derivatives, in Millions of Dollars, March 31, 2024

Bank Name

Total assets

Total derivatives

Total risk-based
capitalBilaterally
netted current
creditexposure

Potential future
exposure

Total credit
exposure fromall contracts

Percent of
total
creditexposure
to capital

GOLDMAN SACHS BANK USA$549,188$55,680,519$62,441$12,588$69,898$82,486132

JPMORGAN CHASE BANK NA

3,503,360

54,018,588

287,922

81,402

236,432

317,834

110

CITIBANK NATIONAL ASSN

1,698,856

49,865,522

163,065

39,028156,368

195,396120

BANK OF AMERICA NA

2,550,363

20,966,095

203,699

29,19560,851

90,04644

WELLS FARGO BANK NA

1,743,283

14,220,852

166,353

38,053

20,60258,65535

STATE STREET BANK&TRUST CO

333,667

2,798,721

18,3805,476

21,27426,750146

HSBC NA

163,070

1,260,051

19,298

2,806

3,216

6,022

31

U S BANK NATIONAL ASSN

669,426

1,207,356

68,892

5,048

9,318

14,36721

BANK OF NEW YORK MELLON

357,477

1,148,791

21,143

5,481

10,697

16,17877

PNC BANK NATIONAL ASSN

561,950

682,589

54,542

4,649-2,1592,490

5TD BANK NATIONAL ASSN

369,860

401,188

41,797

24

1,627

1,651

4

TRUIST BANK

526,714396,366

55,755

417

3,172

3,589

6

CITIZENS BANK NATIONAL ASSN

220,152

312,760

22,574

413

1,782

2,195

10

NORTHERN TRUST CO

155,573

299,279

12,104

1,585

4,785

6,370

53

MORGAN STANLEY BANK NA

212,723

283,462

24,033

294

4,852

5,146

21

CAPITAL ONE NATIONAL ASSN

478,877

267,630

53,384

3,093

6,403

9,496

18

FIFTH THIRD BANK NA

213,681

188,511

22,467

1,713

3,158

4,871

22

REGIONS BANK

153,946

173,998

16,036

422

636

1,058

7

BMO BANK NATIONAL ASSN

264,643

155,302

26,744

353

282

634

2

KEYBANK NATIONAL ASSN

185,233

134,631

20,735

558

588

1,147

6

HUNTINGTON NATIONAL BANK

192,859

102,732

17,908

1,737

928

2,665

15

MANUFACTURERS&TRADERS TR CO

214,668

78,62520,280

263

249

512

3

COMERICA BANK

79,51372,723

9,512

593

1,280

1,873

20

BOKF NATIONAL ASSN

49,94865,295

4,784

826

1,186

2,012

42

UBS BANK USA

110,525

61,397

10,231

0

163

163

2

$15,559,556$204,842,982$1,424,080$236,017$617,587$853,605

60

Top 25 commercial banks, SAs & TCs with derivatives
Other commercial banks, SAs & TCs with derivatives

5,862,117

1,248,469

613,995

15,386

9,907

25,293

4

Total all commercial banks, SAs & TCs with derivatives

21,421,673

206,091,451

2,038,074

251,403627,494

878,89743

Note: Total credit exposure is defined as the credit equivalent amount from derivative contracts (RC-R column B lines 20 and 21), which is the sum of netted current credit exposure and PFE.
The total credit exposure to capital ratio is calculated using risk-based capital (tier 1 plus tier 2 capital). Currently, the call report does not differentiate credit derivatives by contract type.
Credit derivatives have been included in the sum of total derivatives here.
Source: Call reports, Schedules RC-L and RC-R

Quarterly Derivatives Report: First Quarter 2024

20

Table 17: Notional Amounts of Derivative Contracts Held for Trading

Top Four Commercial Banks, Savings Associations, and Trust Companies in Derivatives, in Millions of Dollars, March 31, 2024

Bank name

Total assets

Total derivatives

Total held for trading &MTM

Percent
held fortrading &MTM

Total not held for
trading & MTM

Percent notheld fortrading &MTM

GOLDMAN SACHS BANK USA$521,102$549,188$55,680,519$55,140,000

99.9$36,887

JPMORGAN CHASE BANK NA

3,395,126

3,503,360

54,018,588

52,057,376

98.6

735,491

CITIBANK NATIONAL ASSN

1,684,710

1,698,856

49,865,522

48,286,313

99.8

109,871

BANK OF AMERICA NA

2,540,116

2,550,363

20,966,095

18,764,329

91.8

1,674,849

Top four commercial banks, SAs & TCs with derivatives$8,301,767$180,530,724$174,248,018

98.6$2,557,098

1.4

Other commercial banks, SAs & TCs with derivatives

13,119,906

25,560,727

22,192,065

87.8

3,095,419

12.2

Total all commercial banks, SAs & TCs with derivatives

21,421,673

206,091,451

196,440,083

97.2

5,652,517

2.8

Note: Currently, the call report does not differentiate between traded and not-traded credit derivatives. Credit derivatives have been excluded from the sum of total derivatives here.
Source: Call reports, Schedule RC-L

Quarterly Derivatives Report: First Quarter 2024

21

Table 18: Gross Fair Values of Derivative Contracts

Top Four Commercial Banks, Savings Associations, and Trust Companies in Derivatives, in Millions of Dollars, March 31, 2024

Bank name

Total assets

Total derivatives

Trading grosspositive fairvalue*

Trading grossnegative fairvalue**

Not fortrading
gross
positive fairvalue*

Not fortradinggross
negative fairvalue**

Creditderivatives
gross
positive fairvalue

Creditderivatives
grossnegative fairvalue**GOLDMAN SACHS BANK USA$549,188$55,680,519$677,859$665,280

$182

$66

$6,496$7,554JPMORGAN CHASE BANK NA

3,503,360

54,018,588

581,492

567,293

4,962

1,557

10,762

13,033

CITIBANK NATIONAL ASSN

1,698,856

49,865,522

414,264

402,407

2,009

1,339

16,00915,890BANK OF AMERICA NA

2,550,363

20,966,095

153,742

139,030

40,34245,200

4,273

3,954

Top four commercial banks, SAs & TCs with derivatives$8,301,767$180,530,724$1,827,357$1,774,010$47,495$48,162$37,540$40,431

Other commercial banks, SAs & TCs with derivatives

13,119,906

25,560,727

144,712145,923

44,04237,261

1,420

2,396

Total all commercial banks, SAs & TCs with derivatives

21,421,673

206,091,451

1,972,069

1,919,933

91,53785,42338,96042,827* Market value of contracts that have a positive fair value as of the end of the quarter.
** Market value of contracts that have a negative fair value as of the end of the quarter.
Note: Currently, the call report does not differentiate between traded and non-traded credit derivatives. Credit derivatives have been included in the sum of total derivatives here.
Source: Call reports, Schedule RC-L

Quarterly Derivatives Report: First Quarter 2024

22

Table 19: Trading Revenues From Cash Instruments and Derivatives

Top Four Commercial Banks, Savings Associations, and Trust Companies in Derivatives, in Millions of Dollars: Revenue Figures are for the Quarter (Not Year-to-Date), March 31, 2024

Bank name

Total assets

Total derivatives

Total
tradingrevenues
from cash& offbalance
sheet
positions

Tradingrevenuefrominterest rate
positions

Tradingrevenuefromforeignexchange
positions

Tradingrevenuefrom equity
positions

Tradingrevenuefromcommodity& otherpositions

Tradingrevenuefromcreditpositions

GOLDMAN SACHS BANK USA$549,188$55,680,519

2,267-1,311

3,008

223

12

335

JPMORGAN CHASE BANK NA

3,503,360

54,018,588

7,500

1,448

1,088

4,200

271

493

CITIBANK NATIONAL ASSN

1,698,856

49,865,522

1,656

1,162

1,263

-813

54

-10

BANK OF AMERICA NA

2,550,363

20,966,095

1,850

530

652

523

96

49

Top four commercial banks, SAs & TCs with derivatives$8,301,767$180,530,724

13,273

1,829

6,011

4,133

433

867

Other commercial banks, SAs & TCs with derivatives

13,119,906

25,560,727

2,357

-12

1,540

681

71

77

Total all commercial banks, SAs & TCs with derivatives

21,421,673

206,091,451

15,630

1,817

7,551

4,814

504

944

Note: Effective in the first quarter of 2007, trading revenues from credit exposures are reported separately, along with the four other types of exposures. The total derivatives column
includes credit exposures. Trading revenue is defined here as "trading revenue from cash instruments and off-balance-sheet derivative instruments."
Source: Call reports, Schedules RC-L and Schedule RI

Quarterly Derivatives Report: First Quarter 202423

Table 20: Notional Amounts of Derivative Contracts by Contract Type and Maturity (Interest Rate and Foreign Exchange Rate)
Top Four Commercial Banks, Savings Associations, and Trust Companies in Derivatives, in Millions of Dollars, March 31, 2024

Bank nameInterest ratematurity< 1 yearInterest ratematurity
1-5 years

Interest ratematurity> 5 years

Interest rate: all
maturities

Foreignexchange ratematurity< 1 year

Foreignexchange ratematurity 1-5
years

Foreignexchange ratematurity> 5 years

Foreignexchange rate:
all maturities

Total assets

Total derivatives

GOLDMAN SACHS BANK USA$549,188$55,680,519$23,929,422$9,145,590$8,455,964$41,530,976$5,972,012$1,066,339$768,917$7,807,268

JPMORGAN CHASE BANK NA

3,503,360

54,018,588

32,978,952

7,413,016

6,480,506

46,872,474

10,205,045

2,647,140

1,291,977

14,144,162

CITIBANK NATIONAL ASSN

1,698,856

49,865,522

21,406,991

4,557,576

3,312,955

29,277,522

10,344,302

2,174,470

1,011,620

13,530,392

BANK OF AMERICA NA
Top four commercial banks, SAs & TCs with
derivatives
Other commercial banks, SAs & TCs with
derivatives
Total all commercial banks, SAs & TCs with
derivatives

2,550,363

20,966,095

5,442,866

4,907,740

3,124,170

13,474,776

5,092,446

511,464

329,483

5,933,393$8,301,767$180,530,724$83,758,231$26,023,922$21,373,595$131,155,748$31,613,805$6,399,413$3,401,997$41,415,215

13,119,906

25,560,727

12,368,629

3,072,757

1,014,923

16,456,309

7,391,420

327,286

83,7097,802,415

21,421,673

206,091,451

96,126,860

29,096,679

22,388,518

147,612,057

39,005,225

6,726,699

3,485,706

49,217,630

Note: Beginning January 1, 2022, the largest banks are required to calculate their derivative exposure amount for regulatory capital purposes using the Standardized Approach for Counterparty Credit Risk (SA-CCR).
Refer to the call report instructions and OCC Bulletin 2020-7, “Standardized Approach for Counterparty Credit Risk: Final Rule,” for additional information on the SA-CCR exposure calculation.
Source: Call reports, Schedules RC-L and RC-R

Quarterly Derivatives Report: First Quarter 202424

Table 21: Notional Amounts of Derivative Contracts by Contract Type and Maturity (Precious Metals)

Top Four Commercial Banks, Savings Associations, and Trust Companies in Derivatives, in Millions of Dollars, March 31, 2024

Bank name

Total assets

Total derivatives

Precious
metalsmaturity< 1 year

Precious
metalsmaturity
1-5 years

Precious
metalsmaturity> 5 years

Precious
metals: all
maturities

GOLDMAN SACHS BANK USA$549,188$55,680,519

$132

$12

$0

$144

JPMORGAN CHASE BANK NA

3,503,360

54,018,588

232,730

24,842

18

257,590

CITIBANK NATIONAL ASSN

1,698,856

49,865,522

94,3327,490

0101,822BANK OF AMERICA NA

2,550,363

20,966,095

57,765

10,701068,466Top four commercial banks, SAs & TCs with derivatives$8,301,767$180,530,724$384,959$43,045$18$428,022

Other commercial banks, SAs & TCs with derivatives

13,119,906

25,560,727

9,837

766

0

10,604

Total all commercial banks, SAs & TCs with derivatives

21,421,673

206,091,451

394,796

43,811

18

438,626

Note: Beginning January 1, 2022, the largest banks are required to calculate their derivative exposure amount for regulatory capital purposes using the Standardized Approach for Counterparty Credit Risk (SA-CCR).
Under SA-CCR gold derivatives are considered precious metals derivative contracts rather than an exchange rate derivative contract, resulting in an increase in reported precious metals derivative contracts compared withprior quarters. Refer to the call report instructions and OCC Bulletin 2020-7, “Standardized Approach for Counterparty Credit Risk: Final Rule,” for additional information on the SA-CCR exposure calculation.
Source: Call reports, Schedules RC-L and RC-R

Quarterly Derivatives Report: First Quarter 202425

Table 22: Notional Amounts of Derivative Contracts by Contract Type and Maturity (Other Commodity and Equity)
Top Four Commercial Banks, Savings Associations, and Trust Companies in Derivatives, in Millions of Dollars, March 31, 2024

Bank name

Total assets

Total derivatives

Other
commodity
maturity< 1 year

Other
commodity
maturity
1-5 years

Other
commodity
maturity> 5 years

Other
commodity:
all maturities

Equity maturity< 1 year

Equitymaturity 1-5
tears

Equitymaturity> 5 years

Equity: all
maturities

GOLDMAN SACHS BANK USA$549,188$55,680,519$44,464$15,558$332$60,354$550,090$61,911$17,401$629,402

JPMORGAN CHASE BANK NA

3,503,360

54,018,588

881,747

131,996

3,352

1,017,095

3,677,469

769,328

54,5264,501,323

CITIBANK NATIONAL ASSN

1,698,856

49,865,522

130,420

41,585

252

172,257

702,279

144,499

11,055

857,833BANK OF AMERICA NA
Top four commercial banks, SAs & TCs with
derivatives

2,550,363

20,966,095

38,4477,640

311

46,398772,421278,502

17,882

1,068,805$8,301,767$180,530,724$1,095,078$196,779$4,247$1,296,104$5,702,259$1,254,240$100,864$7,057,363

Other commercial banks, SAs & TCs with derivatives
Total all commercial banks, SAs & TCs with
derivatives

13,119,906

25,560,727

106,51490,313

1,909

198,736

344,983

147,0149,846

501,843

21,421,673

206,091,451

1,201,592

287,092

6,156

1,494,840

6,047,242

1,401,254

110,7107,559,206

Note: Beginning January 1, 2022, the largest banks are required to calculate their derivative exposure amount for regulatory capital purposes using the Standardized Approach for Counterparty Credit Risk (SA-CCR).
Refer to the call report instructions and OCC Bulletin 2020-7, “Standardized Approach for Counterparty Credit Risk: Final Rule,” for additional information on the SA-CCR exposure calculation.
Source: Call reports, Schedules RC-L and RC-R

Quarterly Derivatives Report: First Quarter 2024

26

Table 23: Notional Amounts of Credit Derivative Contracts by Contract Type and Maturity (Investment Grade and Sub-Investment Grade)
Top Four Commercial Banks, Savings Associations, and Trust Companies in Derivatives, in Millions of Dollars, March 31, 2024

Bank name

Total assets

Total derivatives

Total credit
derivatives

Investment
grade
maturity<1 yearInvestment
grade
maturity
1-5 years

Investment
grade
maturity>5 yearsInvestment
grade
all maturities

Subinvestment
grade
maturity<1 yearSubinvestment
grade
maturity 1-5
years

Subinvestment
grade
maturity >5
years

Subinvestment
grade
all maturities$285,602$47,611$135,848$34,571$218,030

GOLDMAN SACHS BANK USA$549,188$55,680,519$503,632$43,375$198,464$43,763

JPMORGAN CHASE BANK NA

3,503,360

54,018,588

1,225,721

241,682559,388

140,037

941,107

78,047

167,970

38,597

284,614

CITIBANK NATIONAL ASSN

1,698,856

49,865,522

1,469,338

219,702852,879

67,7281,140,309

76,729228,305

23,995

329,029BANK OF AMERICA NA
Top four commercial banks, SAs & TCs with
derivatives
Other commercial banks, SAs & TCs with
derivatives
Total all commercial banks, SAs & TCs with
derivatives

2,550,363

20,966,095

526,917

117,269

205,651

63,775

386,695

45,632

83,67910,911

140,222$8,301,767$180,530,724$3,725,608$622,028$1,816,382$315,303$2,753,713$248,019$615,802$108,074$971,895

13,119,906

25,560,727

273,243

58,384

106,592

18,695

183,672

11,481

66,767

11,32389,571

21,421,673

206,091,451

3,998,851

680,412

1,922,974

333,998

2,937,385

259,500

682,569

119,397

1,061,466

Source: Call reports, Schedule RC-L

Quarterly Derivatives Report: First Quarter 2024

27

Table 24: Distribution of Credit Derivative Contracts Held for Trading

Top 25 Commercial Banks, Savings Associations, and Trust Companies in Derivatives, in Millions of Dollars, March 31, 2024

Bank name

Total assets

Total derivatives

Total credit
derivatives
purchased

Total credit
derivatives

Total credit
derivatives sold

Purchased
credit default
swaps

Purchased
total returnswaps

Purchased
creditoptions

Purchasedothercreditderivatives

Sold credit
default swaps

Sold total
returnswaps

Sold credit
optionsSoldothercreditderivatives

GOLDMAN SACHS BANK USA$549,188$55,680,519$503,632$278,892$224,740$261,072$5,693$11,907$220$208,939$3,765$11,842$194

JPMORGAN CHASE BANK NA

3,503,360

54,018,588

1,225,721

644,951

580,770

536,674

41,034

61,461

5,782

503,221

12,68264,82938

CITIBANK NATIONAL ASSN

1,698,856

49,865,522

1,469,338

761,892

707,446

689,831

30,46941,5920650,592

11,222

45,6320

BANK OF AMERICA NA

2,550,363

20,966,095

526,917

277,993248,924

220,831

18,36238,8000207,205

3,481

38,2380

WELLS FARGO BANK NA

1,743,283

14,220,852

128,122

68,99359,12910,48532,841

325

25,342

12,55329,290017,286

STATE STREET BANK&TRUST CO

333,667

2,798,721

0

0

0

0

0

0

0

0

0

0

0

HSBC NA

163,070

1,260,051

15,937

12,037

3,900

8,885

3,152

0

0

3,900

0

0

0

U S BANK NATIONAL ASSN

669,426

1,207,356

15,509

6,474

9,035

3,331

0

0

3,144

161

0

0

8,874

BANK OF NEW YORK MELLON

357,477

1,148,791

255

255

0

255

0

0

0

0

0

0

0

PNC BANK NATIONAL ASSN

561,950

682,589

12,049

4,975

7,074

100

0

0

4,875

0

0

0

7,074

TD BANK NATIONAL ASSN

369,860

401,188

0

0

0

0

0

0

0

0

0

0

0

TRUIST BANK

526,714396,366

9,544

3,296

6,248

325

1,592

0

1,379

0

0

0

6,248

CITIZENS BANK NATIONAL ASSN

220,152

312,760

2,049

0

2,049

0

0

0

0

0

0

0

2,049

NORTHERN TRUST CO

155,573

299,279

0

0

0

0

0

0

0

0

0

0

0

MORGAN STANLEY BANK NA

212,723

283,462

22,674

20,732

1,942

20,202

106

424

0

1,902

40

0

0

CAPITAL ONE NATIONAL ASSN

478,877

267,630

6,671

3,828

2,843

0

0

0

3,828

0

0

0

2,843

FIFTH THIRD BANK NA

213,681

188,511

4,616

1,133

3,483

0

0

0

1,133

0

0

0

3,483

REGIONS BANK

153,946

173,998

5,364

1,608

3,756

0

0

0

1,608

0

0

0

3,756

BMO BANK NATIONAL ASSN

264,643

155,302

1

1

0

1

0

0

0

0

0

0

0

KEYBANK NATIONAL ASSN

185,233

134,631

113

18

95

18

0

0

0

2

93

0

0

HUNTINGTON NATIONAL BANK

192,859

102,732

4,257

2,656

1,601

346

0

0

2,310

0

0

0

1,601

MANUFACTURERS&TRADERS TR CO

214,668

78,625

0

0

0

0

0

0

0

0

0

0

0

COMERICA BANK

79,51372,723

1,684

689

995

689

0

0

0

995

0

0

0

BOKF NATIONAL ASSN

49,94865,295

0

0

0

0

0

0

0

0

0

0

0

UBS BANK USA
Top 25 commercial banks, SAs & TCs with
derivatives
Other commercial banks, SAs & TCs with
derivatives
Total all commercial banks, SAs & TCs with
derivatives
Top 25 commercial banks, SAs & TCs with
derivatives: percentage of total
Other commercial banks, SAs & TCs with
derivatives: percentage of total
Total all commercial banks, SAs & TCs with
derivatives: percentage of total

110,525

61,397

0

0

0

0

0

0

0

0

0

0

0

$15,559,556$204,842,982$3,954,454$2,090,423$1,864,031$1,753,045$133,249$154,509$49,620$1,589,472$60,573$160,541$53,4455,862,117

1,248,469

44,39731,39013,006

2,433

0

0

28,957

2,840

11

0

10,155

21,421,673

206,091,451

3,998,851

2,121,814

1,877,037

1,755,478

133,249

154,50978,5781,592,312

60,584

160,541

63,600

98.9

52.3

46.6

43.8

3.3

3.9

1.2

39.7

1.5

4.0

1.3

1.1

0.8

0.3

0.1

0.0

0.0

0.7

0.1

0.0

0.0

0.3

100.0

53.1

46.9

43.9

3.3

3.9

2.0

39.8

1.5

4.0

1.6

Note: Credit derivatives have been excluded from the sum of total derivatives here.
Source: Call reports, Schedule RC-L

Quarterly Derivatives Report: First Quarter 2024

28

Table 25: Derivatives Data Reported by FFIEC 051 Filers*Commercial Banks, Savings Associations, and Trust Companies in Derivatives, in Millions of Dollars, March 31, 2024
FFIEC 051 Call Report Schedule SU
Gross notional amount of derivatives
Total gross notional amount of interest rate derivatives held for trading

4Q23

3Q23

2Q23

1Q23

4Q22

3Q22

2Q22

1Q22

4Q21

3Q21

2Q21

$5,586$5,325$5,242$5,016$4,792$4,915$4,953$4,994$5,011$5,301$5,189

$149

$149

$50

$47

$51

$43

$42

$35

$39

$44

$14

$173

$25,430$26,068$122,763$21,050$17,819$14,395$16,786$19,499$21,308$22,545$29,991$31,949

$614

$614

$845

$842

$676

$1,103$1,037$1,142$1,007$1,314$1,461$1,350

4Q21

3Q21
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported

2Q21

Total gross notional amount of all other derivatives held for trading
Total gross notional amount of interest rate derivatives not held for trading

1Q24$5,670Total gross notional amount of all other derivatives not held for trading

FFIEC 051 Call Report Schedule RC-R**
Notional principal amounts of over-the-counter derivative contracts
covered by the regulatory capital rules

1Q24
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported

Interest rate
Foreign exchange rate
Credit (investment grade reference asset)
Credit (non-investment grade reference asset)
EquityPrecious metals
Other
Notional principal amounts of centrally cleared derivative contracts
covered by the regulatory capital rules

4Q23$20,246
$7
$75
$302
$0
$4
$0

4Q23

Other

1Q24
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported

Current Credit Exposure
Current credit exposure across all derivative contracts covered by theregulatory capital rules

1Q24
Data Not
Reported

4Q23

Interest rate
Foreign exchange rate
Credit (investment grade reference asset)
Credit (non-investment grade reference asset)
EquityPrecious metals

$69
$0
$0
$0
$0
$0
$0

$354

3Q23
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported

2Q23$20,844
$5
$80
$251
$0
$0
$0

3Q23
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported

2Q23

3Q23
Data Not
Reported

2Q23

$90
$0
$0
$0
$0
$0
$0

$455

1Q23
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported

4Q22$12,839
$5
$188
$212
$0
$0
$0

1Q23
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported

4Q22

1Q23
Data Not
Reported

4Q22

$79
$0
$0
$0
$0
$0
$0

$493

3Q22
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported

2Q22$14,092
$4
$265
$176
$0
$0
$0

3Q22
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported

2Q22

3Q22
Data Not
Reported

2Q22

$108
$0
$0
$0
$0
$0
$0

$363

1Q22
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported$14,005
$4
$230
$168
$0
$4
$0

1Q22
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported

4Q21

1Q22
Data Not
Reported

4Q21

$21
$0
$0
$0
$0
$0
$0

$233

$17,688
$3
$196
$154
$0
$1
$1

3Q21
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported
Data Not
Reported

2Q21

3Q21
Data Not
Reported

2Q21

$193
$0
$0
$0
$0
$0
$0

$287

* Beginning September 30, 2019, the eligibility to file the FFIEC 051 call report expanded from banks with total assets less than $1 billion to include banks with less than $5 billion in total assets.
** Beginning September 30, 2019, banks filing the FFIEC 051 call report complete this information from schedule RC-R in the June and December reports only.
Source: Call reports, Schedule SU and Schedule RC-R

Quarterly Derivatives Report: First Quarter 2024

29

Figure 7: Derivative Notional Amounts by Type

Insured U.S. Commercial Banks and Savings Associations

Note: Total derivative notionals are now reported including credit derivatives, for which regulatory reporting does not differentiate between trading and nontrading.
Source: Call reports, Schedule RC-L

Quarterly Derivatives Report: First Quarter 202430

Figure 8: Derivative Contracts by Product*Insured U.S. Commercial Banks and Savings Associations* Notional amount of total: futures, exchange-traded options, over-the-counter options, forwards, and swaps.
Source: Call reports, Schedule RC-L

Quarterly Derivatives Report: First Quarter 2024

31

Figure 9: Derivative Contracts by Type*

Insured U.S. Commercial Banks and Savings Associations* Notional amount of total: futures, exchange-traded options, over-the-counter options, forwards, and swaps.
Note: As of 2006 Q2 equities and commodities are shown as separate categories. They were previously shown as “Other Derivs.”
Source: Call reports, Schedule RC-L

Quarterly Derivatives Report: First Quarter 2024

32

Figure 10: Four Banks Dominate in Derivatives*

Insured U.S. Commercial Banks and Savings Associations* Notional amount of total: futures, exchange-traded options, over-the-counter options, forwards, and swaps. See table 13 for a list of the top four banks.
Source: Call reports, Schedule RC-L

Quarterly Derivatives Report: First Quarter 2024

33

Figure 11: Credit Exposure to Risk-Based Capital (in Percentage)

Top Four Insured U.S. Commercial Banks and Savings Associations by Derivative Holdings

Note: Beginning January 1, 2022, the largest banks are required to calculate their derivative exposure amount for regulatory capital purposes using the Standardized Approach for Counterparty Credit Risk
(SA-CCR). Refer to the call report instructions and OCC Bulletin 2020-7, “Standardized Approach for Counterparty Credit Risk: Final Rule,” for additional information on the SA-CCR exposure calculation.
Note: The methodology to calculate the ratio of credit risk exposure to capital for the Top 4 category uses a weighted average of total current credit exposure.
Source: Call reports, Schedule RC-R

Quarterly Derivatives Report: First Quarter 2024

34

Figure 12: Netting Benefit*: Amount of Gross Credit Exposure Eliminated Through Bilateral Netting (in Percentage)
Insured U.S. Commercial Banks and Savings Associations by Derivative Holdings* The netting benefit is defined as the GPFV from call report Schedule RC-L minus the Net Current Credit Exposure from call report Schedule RC-R divided by the GPFV.
Note: Beginning January 1, 2022, the largest banks are required to calculate their derivative exposure amount for regulatory capital purposes using the Standardized Approach for Counterparty Credit Risk
(SA-CCR). Refer to the call report instructions and OCC Bulletin 2020-7, “Standardized Approach for Counterparty Credit Risk: Final Rule,” for additional information on the SA-CCR exposure calculation.
Source: Call reports, Schedules RC-L and RC-R

Quarterly Derivatives Report: First Quarter 2024

35

Figure 13: Quarterly Charge-Offs/(Recoveries) From Derivatives—Bank
Insured U.S. Commercial Banks and Savings Associations With Derivatives

Note: The figures are for each quarter alone, not year-to-date.
Source: Call reports, Schedule RI, NCCE: Pre-2009 Q2 (RC-R); 2009 Q2– 2014 Q4 (RC-L); 2015 Q1 onward (RC-R)

Quarterly Derivatives Report: First Quarter 202436

Figure 14: Quarterly Charge-Offs/(Recoveries) From Derivatives—Holding Company

Insured U.S. Commercial Banks and Savings Associations With Derivatives Compared With Holding Companies

Note: The figures are for each quarter alone, not year-to-date.
Source: Call reports, Schedule RI and Y-9, Schedule HI

Quarterly Derivatives Report: First Quarter 202437

Figure 15a: Quarterly Trading Revenue (Cash and Derivative Positions)*—Bank
Insured U.S. Commercial Banks and Savings Associations* The trading revenue figures are for cash and derivative activities. Revenue figures are for each quarter alone, not year-to-date.
Source: Call reports, Schedule RI

Quarterly Derivatives Report: First Quarter 2024

38

Figure 15b: Quarterly Trading Revenue (Cash and Derivative Positions)*—Holding Company
Bank Holding Companies* The trading revenue figures are for cash and derivative activities. Revenue figures are for each quarter alone, not year-to-date.
Source: Y9, Schedule HI

Quarterly Derivatives Report: First Quarter 2024

39

Figure 16: Quarterly Trading Revenue (Cash and Derivative Positions) as a Percentage of Gross Revenue (in Percentage)*
Top Four Insured U.S. Commercial Banks and Savings Associations by Derivative Holdings* The trading revenue figures are for cash and derivative activities. Revenue figures are quarterly, not year-to-date numbers.
Note: Gross revenue equals interest income plus non-interest income.
Source: Call reports, Schedule RI

Quarterly Derivatives Report: First Quarter 202440

Figure 17: Notional Amounts of Interest Rate and Foreign Exchange Rate Contracts by Maturity
Insured U.S. Commercial Banks and Savings Associations

Note: Beginning January 1, 2022, the largest banks are required to calculate their derivative exposure amount for regulatory capital purposes using the Standardized Approach for Counterparty Credit
Risk (SA-CCR). Refer to the call report instructions and OCC Bulletin 2020-7, “Standardized Approach for Counterparty Credit Risk: Final Rule,” for additional information on the SA-CCR exposure calculation.
Source: Call reports, Schedule RC-R

Quarterly Derivatives Report: First Quarter 2024

41

Figure 18: Notional Amounts of Precious Metal Contracts by Maturity
Insured U.S. Commercial Banks and Savings Associations

Note: Beginning January 1, 2022, the largest banks are required to calculate their derivative exposure amount for regulatory capital purposes using the Standardized Approach for Counterparty Credit Risk (SA-CCR).
Under SA-CCR gold derivatives are considered precious metals derivative contracts rather than an exchange rate derivative contract, resulting in an increase in reported precious metals derivative contracts comparedwith prior quarters. Refer to the call report instructions and OCC Bulletin 2020-7, “Standardized Approach for Counterparty Credit Risk: Final Rule,” for additional information on the SA-CCR exposure calculation.
Source: Call reports, Schedule RC-R

Quarterly Derivatives Report: First Quarter 2024

42

Figure 19: Notional Amounts of Equity Contracts and Commodity and Other Contracts by Maturity
Insured U.S. Commercial Banks and Savings Associations

Note: Beginning January 1, 2022, the largest banks are required to calculate their derivative exposure amount for regulatory capital purposes using the Standardized Approachfor Counterparty Credit Risk (SA-CCR). Refer to the call report instructions and OCC Bulletin 2020-7, “Standardized Approach for Counterparty Credit Risk: Final Rule,” for additional
information on the SA-CCR exposure calculation.
Source: Call reports, Schedule RC-R

Quarterly Derivatives Report: First Quarter 2024

43

Figure 20: Notional Amounts of Credit Derivative Contracts by Credit Quality and Maturity
Insured U.S. Commercial Banks and Savings Associations

Source: Call reports, Schedule RC-L

Quarterly Derivatives Report: First Quarter 2024

44

Figure 21: Notional Amounts of Over-the-Counter and Centrally Cleared Derivative Contracts
Insured U.S. Commercial Banks and Savings Associations

Source: Call reports, Schedule RC-R

Quarterly Derivatives Report: First Quarter 2024

45

Figure 22: Average 60-Day Value-at-Risk

Source: Market Risk Regulatory Report for Institutions Subject to the Market Risk Capital Rule—FFIEC 102

Quarterly Derivatives Report: First Quarter 2024

46