A derivative is a financial contract whose value is derived from the performance of underlying market factors, such as interest rates, currency exchange rates, and commodity, credit, and equity prices. Derivative transactions include an assortment of financial contracts, including structured debt obligations and deposits, swaps, futures, options, caps, floors, collars, forwards, and various combinations thereof.
Each quarter, based on information from the Reports of Condition and Income (call reports) filed by all insured U.S. commercial banks and trust companies as well as other published financial data, the OCC prepares the Quarterly Report on Bank Derivatives Activities. That report describes what the call report information discloses about banks' derivative activities.
See also Accounting
Risk Management of Financial Derivatives (Comptroller's Handbook, January 1997)
Credit Derivatives – Guidelines for National Banks (OCC 1996-43, August 1996); Risk Management of Financial Derivatives (BC 277, November 1993)
Risk Management of Financial Derivatives and Bank Trading Activities (OCC 1999-2, January 1999, Supplemental Guidance)
Federal Deposit Insurance Corporation's Board of Directors (May 11, 2010)
Institute of International Bankers (March 1, 2010)
Institute of International Bankers (March 3, 2008)
Global Association of Risk Professionals (February 27, 2008)
New York Bankers Association (November 10, 2006)