Publications:
Quarterly Derivatives Fact Sheet - Second Quarter 1996
Choose Section: General.......Risk....Revenue........High-risk Mortgage Securities and Structured Notes
Revenues
The Call Report data include revenue information regarding cash and derivative 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 and Graph 6 reflect figures
for the first quarter alone.
The revenue figures reported for trading activities in the second quarter of 1996 indicate that the
banks with traded derivatives realized approximately $2 billion from cash and off-balance sheet
derivative contracts, with the top 9 banks accounting for 86.1 percent of these trading revenues.
Relative to the first quarter of 1996, the second quarter of 1996 resulted in an small decrease in
trading revenues from cash and derivatives activities of $62 million, or 3.1 percent. As with the
first quarter of 1996, over one third of trading revenues from cash and derivatives activities are
attributable to Morgan Guaranty Trust, which realized $634 million.
In the second quarter, revenues from interest rate contracts fell $207 million, to $951 million,
while revenues from foreign exchange contracts increased $104 million, to $733 million.
Revenue from other trading contracts, including equities and commodities contracts, rose $42
million, generating $233 million in revenues; with virtually all of that amount was in the top nine
banks. [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 second quarter. Non-traded derivatives contributed
$802 million, or 1.1 percent to the $74.6 billion in gross revenues of banks with derivative
contracts in the second quarter. These figures reflect an increase of $303 million from the first
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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High-risk Mortgage Securities and Structured Notes
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