US DATA: OCC reports banks had derivs trading revenue of $7.4
billion in Q2, -1% vs Q1, but +11% YOY. Qrtly dip was more muted than in
prior years “indicating relatively strong results.” Q1-Q2 have been the
third and fourth highest on record. “We have not seen an increase in
risk commensurate with the rise in revenue. Revenue increased 11 percent
compared to the second quarter of 2010 while Value at Risk (VaR), an
industry standard measure of trading risk, was unchanged year over
year.” The OCC reported that net current credit exposure (NCCE), the
primary metric the OCC uses to measure credit risk in derivatives
activities, increased $11 billion, or three percent, to $364 billion
this quarter compared to the first quarter of 2011. 73% is
collateralized. NCCE is less than half the peak of $800 billion at the
end of 2008, at the height of the credit crisis. OCC anticipate a
material rise in credit exposures during Q3. Notional amount of
derivatives increased by $5.3T or 2.2% from Q1 to $249T. Interest rate
contracts increased $5 trillion (three percent) to $205T, while FX
contracts decreased one percent to $26.5 trillion.