US DATA: more from OCC derivs report- Notional derivatives held by
U.S. commercial banks increased by $12.8T or +5.5% in Q1 to $244T.
Interest rate contracts increased $6T (3%) to $200T while FX contracts
increased 27% to $26.7T. “Banks hold collateral to cover 72 percent of
their NCCE. The quality of the collateral is very high, as 79 percent
is cash (U.S. dollar and non-dollar). Trading risk exposure, as measured
by value-at-risk (VaR), has declined for each of the five major dealers
since the first quarter of 2010. Derivatives contracts are concentrated
in a small number of institutions. The largest five banks hold 96
percent of the total notional amount of derivatives, while the largest
25 banks hold nearly 100 percent. Credit default swaps are the dominant
product in the credit derivatives market, representing 97 percent of
total credit derivatives. The number of commercial banks holding
derivatives declined by 23 in the quarter to 1,047.”