Publications:
Quarterly Derivatives Fact Sheet -- Fourth Quarter 1996
Read Section: General.......Risk........High-risk Mortgage Securities and Structured Notes....Revenue
Revenues
The Call Report data include revenue information regarding cash and derivative trading
activities. The data also show the impact on net interest income and non-interest income from
derivatives used in non-trading activities. Note that the revenue data reported in Table 7 reflect figures for the fourth quarter alone; they are not annualized.
Relative to the third quarter of 1996, commercial banks reporting derivatives contracts in the
fourth quarter of 1996 show an aggregate increase in trading revenues from cash and derivatives
activities of $132 million, or 7.6 percent. The revenue figures reported for trading activities in
the fourth quarter indicate that the banks with derivatives realized approximately $1.87 billion in
the quarter from cash and off-balance sheet derivative positions, with the top eight banks
accounting for 81 percent of these trading revenues. In the fourth quarter, revenues from interest
rate positions did not change, generating $990 million, while revenues from foreign exchange
positions increased $253 million, to $767 million. Revenue from other trading positions,
including equities and commodities positions, fell $121 million, generating $109 million in
revenues, with approximately 90% of that amount in the top eight banks. Relative to year-end
1995, total year-to-date trading revenues from cash and derivatives positions have increased 23
percent, to $7.5 billion. [See Table 7.]
Derivatives held for purposes other than trading did not have a significant impact on either net
interest income or non-interest income in the third quarter. Non-traded derivatives contributed
$180 million, or 0.2 percent to the gross revenues of banks with derivative contracts in the fourth
quarter. These figures reflect a decrease of $146 million from the third quarter, due in part to the
decrease in the overall level of interest rates over the fourth quarter. Readers must be cautioned
that these results are only useful in the context of a more complete analysis of each bank's
asset/liability structure and management process.
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