Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the...

Quarterly Report on Bank Trading and Derivatives Activities

First Quarter 2020

Office of the Comptroller of the Currency Washington DC

June 2020

Quarterly Derivatives Report First Quarter 2020 i

Contents About This Report 1 Executive Summary 1 Revenue 2

Insured US Commercial Banks and Savings Associationsrsquo Trading Revenue 2 Holding Company Trading Revenue 2 Bank Trading Revenue as a Percentage of Consolidated Holding Company

Trading Revenue 3 Counterparty Credit Risk 3 Market Risk 8

Value-at-Risk 8 Volatility Index 8 Level 3 Trading Assets 9 Notional Amounts of All Derivative Contracts 10 Credit Derivatives 11 Compression Activity 12 Centrally Cleared Derivative Contracts 13

Glossary of Terms 14 Index of Tables and Figures 16 Appendix Supplementary Graphs and Tables 17

Quarterly Derivatives Report First Quarter 2020 1

About This Report The Office of the Comptroller of the Currencyrsquos (OCC) quarterly report on bank trading and derivatives activities is based on call report information provided by all insured US commercial banks and savings associations reports filed by US financial holding companies and other published data A total of 13601 insured US commercial banks and savings associations reported trading and derivatives activities at the end of the first quarter of 2020 A small group of large financial institutions continues to dominate trading and derivatives activity in the US commercial banking system During the first quarter of 2020 four large commercial banks represented 867 percent of the total banking industry notional amounts and 773 percent of industry net current credit exposure (NCCE) (see tables 1 and 4 in the appendix) The OCC and other supervisors have dedicated examiners at the largest banks to continuously evaluate the credit market operational reputation and compliance risks of bank trading and derivatives activities In addition to the OCCrsquos supervisory activities the OCC works with other financial supervisors and major market participants to address infrastructure clearing and margining issues in over-the-counter (OTC) derivatives OCC activities include development of objectives and milestones for stronger trade processing and improved market transparency across derivative categories migration of certain highly liquid products to clearinghouses and requirements for posting and collecting margin This is the 98th edition of the OCCrsquos Quarterly Report on Bank Trading and Derivatives Activities The first report was published in 1995 Please send any comments or feedback on the structure and content of this report to the OCC by email QuarterlyDerivativesocctreasgov Executive Summary bull Insured US commercial banks and savings associations (collectively banks) reported

trading revenue of $67 billion in the first quarter of 2020 $5050 million less (70 percent) than in the previous quarter and $33 billion less (334 percent) than a year earlier (see table 1)

bull Credit exposure from derivatives increased in the first quarter of 2020 compared with the fourth quarter of 2019 NCCE increased $2270 billion or 617 percent to $5940 billion (see table 5)

bull Derivative notional amounts increased in the first quarter of 2020 by $260 trillion or 152 percent to $1975 trillion (see table 10)

bull Derivative contracts remained concentrated in interest rate products which totaled $1460 trillion or 739 percent of total derivative notional amounts (see table 10)

1 Institutions with total assets of less than $5 billion have the option to file the FFIEC 051 call report Due to the limited amount of derivatives data provided by FFIEC 051 call report filers this report provides this information separately and distinctly in table 13 in the appendix

Revenue Insured US Commercial Banks and Savings Associationsrsquo Trading Revenue Insured US commercial banks and savings associations reported $67 billion in trading revenue in the first quarter of 2020 $5050 million less (70 percent) than in the previous quarter and $33 billion less (334 percent) than a year earlier (see table 1) The year-over-year decrease in trading revenue was primarily driven by decreases in equity derivatives and credit derivatives For a historical view of quarterly bank trading revenue by instrument see graph 9a in the appendix Table 1 Quarterly Bank Trading Revenue in Millions of Dollars

1Q

2020 4Q

2019 QQ

Change QQ

Change 1Q

2019 YY

Change YY

Change Interest rate and foreign exchange $7116 $5133 $1983 386 $6332 $785 124 Equity -$1040 $1427 -$2467 -1729 $2895 -$3935 -1359 Commodity and other $646 $600 $47 77 $323 $323 1000 Credit -$35 $34 -$69 -2016 $485 -$520 -1071 Total trading revenue $6688 $7194 -$505 -70 $10035 -$3347 -334

Source Call reports Schedule RI

Holding Company Trading Revenue Consolidated bank holding company (BHC) trading performance provides a more complete picture of trading revenue in the banking system As shown in table 2 consolidated holding company trading revenue of $90 billion in the first quarter of 2020 was $64 billion (414 percent) lower than in the previous quarter The quarter-over-quarter decrease in trading revenue was driven by a decrease in equity derivatives Year-over-year holding company trading revenue decreased by $158 billion (636 percent) For a historical view of quarterly holding company trading revenue by instrument see graph 9b in the appendix Table 2 Quarterly Holding Company Trading Revenue in Millions of Dollars

1Q

2020 4Q

2019 QQ

change QQ change

1Q 2019

YY change

Interest rate and foreign exchange $11660 $6893 $4767 692 $11440 $220 19 Equity -$4546 $7387 -$11933 -1615 $9215 -$13761 -1493 Commodity and other $1664 $981 $683 696 $1298 $366 282 Credit $257 $159 $98 616 $2903 -$2646 -911 Total HC trading revenue $9036 $15419 -$6384 -414 $24856 -$15820 -636

Source Consolidated Financial Statements for Holding CompaniesmdashFR Y-9C Schedule HI

Bank Trading Revenue as a Percentage of Consolidated Holding Company Trading Revenue Before the financial crisis trading revenue at banks typically ranged from 60 percent to 80 percent of consolidated BHC trading revenue Since the financial crisis and the adoption of bank charters by the former investment banks the percentage of bank trading revenue to consolidated BHC trading revenue has fallen and is now typically between 30 percent and 50 percent This decline reflects the significant amount of trading activity by the former investment banks that while included in BHC results remains outside insured commercial banks More generally insured US commercial banks and savings associations have more limited legal authorities than their holding companies particularly in the trading of commodity and equity products In the first quarter of 2020 banks generated 740 percent of consolidated holding company trading revenue an increase from 467 percent in the previous quarter (see figure 1) The increase in the percentage of trading revenue generated by banks resulted from the sharp decline in trading revenue from equity derivatives which are a much larger component of the consolidated holding company trading revenue Figure 1 Bank Trading Revenue as a Percentage of Consolidated Holding Company Trading Revenue

Source Consolidated Financial Statements for Holding CompaniesmdashFR Y-9C (Schedule HI) and call report (Schedule RI)

Counterparty Credit Risk Counterparty credit risk is a significant risk in bank derivative trading activities The notional amount of a derivative contract is a reference amount that determines contractual payments but it is generally not an amount at risk The credit risk in a derivative contract is a function of a number of variables such as whether counterparties exchange notional principal the volatility of the underlying market factors (interest rate currency commodity equity or corporate reference entity) the maturity and liquidity of the contract and the creditworthiness of the counterparty Credit risk in derivatives differs from credit risk in loans because of the more uncertain nature of the potential credit exposure Because the credit exposure is a function of movements in market

factors banks do not know and can only estimate how much the value of the derivative contract might be at various points in the future The credit exposure is bilateral in most derivative transactions such as swaps (which make up the bulk of bank derivative contracts) Each party to the contract may (and if the contract has a long enough tenor probably will) have a credit exposure to the other party at various times during the contractrsquos life With a funded traditional loan the amount at risk is the amount advanced to the borrower The credit risk is unilateral as the bank faces the credit exposure of the borrower Measuring credit exposure in derivative contracts involves identifying those contracts on which a bank would lose value if the counterparty to a contract defaulted The total of all contracts with positive value (ie derivative receivables) to the bank is the gross positive fair value (GPFV) and represents an initial measurement of credit exposure The total of all contracts with negative value (ie derivative payables) to the bank is the gross negative fair value (GNFV) and represents a measurement of the exposure the bank poses to its counterparties GPFV increased by $10 trillion (541 percent) in the first quarter of 2020 to $30 trillion primarily driven by a $566 billion (437 percent) increase in receivables from interest rate contracts (see table 3) GNFV increased $10 trillion (544 percent) to $29 trillion during the quarter primarily driven by a $568 billion (456 percent) increase in payables on interest rate contracts Table 3 Gross Positive Fair Values and Gross Negative Fair Values in Billions of Dollars

1Q

2020 4Q

2019 QQ

Change QQ

Change 1Q

2019 YY

Change YY

Change Interest rate $1863 $1296 $566 437 $1130 $732 648 Foreign exchange $752 $423 $328 775 $444 $308 694 Equity $196 $120 $76 630 $117 $78 668 Commodities $104 $38 $66 1727 $33 $71 2164 Credit $54 $47 $7 136 $43 $11 248 Gross positive fair value $2968 $1925 $1043 541 $1767 $1201 679

1Q

2020 4Q

2019 QQ

Change QQ

Change 1Q

2019 YY

Change YY

Change Interest rate $1814 $1246 $568 456 $1076 $738 686 Foreign exchange $768 $431 $336 780 $433 $335 773 Equity $186 $121 $65 533 $118 $68 581 Commodities $94 $39 $55 1388 $34 $61 1800 Credit $52 $48 $3 64 $45 $6 142 Gross negative fair value $2914 $1887 $1027 544 $1706 $1208 708

Source Call reports Schedule RC-L

A legally enforceable netting agreement between a bank and a counterparty creates a single legal obligation for all transactions (called a ldquonetting setrdquo) under the agreement Therefore when

banks have such agreements with their counterparties contracts with negative values (an amount a bank would pay to its counterparty) can offset contracts with positive values (an amount owed by the counterparty to the bank) leaving an NCCE as shown in table 4 Table 4 Netting Contract Examples

Bank A portfolio with Counterparty B Number of contracts

Value of contracts Credit measuremetric

Contracts with positive value to Bank A 6 $500 Gross positive fair value Contracts with negative value to Bank A 4 -$350 Gross negative fair value Total contracts 10 $150 NCCE to Bank A from Counterparty B

Most but not necessarily all derivative transactions that a bank has with an individual counterparty are subject to a legally enforceable netting agreement Some transactions may be subject to the laws of a jurisdiction that does not provide legal certainty of netting agreements in which case banks must regard such transactions as separate from the netting set Other transactions may involve nonstandard contractual documentation Transactions that are not subject to the same legally enforceable netting agreement have distinct values that cannot be netted and for which the appropriate current credit measure is the gross exposure to the bank if that amount is positive While banks can net exposures within a netting set under the same netting agreement they cannot net exposures across netting sets without a separate legally enforceable netting agreement As a result a bankrsquos NCCE to a particular counterparty equals the sum of the GPFV of contracts less the dollar amount of netting benefits with that counterparty A bankrsquos NCCE across all counterparties equals the sum of its NCCE to each of its counterparties NCCE is the primary metric the OCC uses to evaluate credit risk in bank derivative activities NCCE for insured US commercial banks and savings associations increased by $2270 billion (617 percent) to $5940 billion in the first quarter of 2020 (see table 5)2 Legally enforceable netting agreements allowed banks to reduce GPFV exposures by 800 percent ($24 trillion) in the first quarter of 2020 Table 5 Net Current Credit Exposure in Billions of Dollars

1Q

2020 4Q

2019 QQ

Change QQ

Change Gross positive fair value $2968 $1925 $1042 541 NCCE RC-R $594 $368 $227 617 Netting benefit RC-R $2374 $1558 $816 524 Netting benefit RC-R 800 809 -09

Source Call reports Schedules RC-L and RC-R

2 Banks report NCCE on two different schedules (RC-R and RC-L) of the call report and the amounts reported are not the same because of differences in the scope of coverage Neither measure comprehensively captures NCCE RC-L includes exposure only from OTC derivative transactions it excludes exchange-traded transactions RC-R excludes transactions not subject to capital requirements This report uses RC-R to measure NCCE

NCCE peaked at $8040 billion at the end of 2008 during the financial crisis when interest rates had plunged and credit spreads were very high (see figure 2) The decline in NCCE since 2008 has largely resulted from declines in the GPFV of interest rate and credit contracts The increase in NCCE since last quarter resulted from the sharp drop in interest rates in March 2020 due to the growing financial impact of the COVID-19 global pandemic The GPFV from interest rate contracts has fallen from $51 trillion at the end of 2008 to $19 trillion at the end of the first quarter of 2020 (see table 3) In addition on March 31 2020 exposure from credit contracts was $540 billion which is $10 trillion lower (951 percent) than the $11 trillion on December 31 2008 (see table 3) Figure 2 Net Current Credit Exposure in Billions of Dollars

Source Call reports Schedule RC-R

The bulk of NCCE in the financial system is concentrated in banks and securities firms (394 percent) and in corporations and other counterparties (507 percent) (see table 6) The combined exposure to hedge funds and sovereign governments was small (99 percent in total) Table 6 NCCE by Counterparty Type as a Percentage of Total NCCE

Banks and

securities firms Hedge funds Sovereign

governments Corp and all other

counterparties 1Q 2020 394 35 64 507 4Q 2019 442 25 92 441 4Q 2018 417 50 100 432 4Q 2017 417 31 79 473 4Q 2016 484 20 65 430 4Q 2015 533 21 60 385

A more risk-sensitive measure of credit exposure would consider the value of collateral held against counterparty exposures Reporting banks held collateral valued at 926 percent of their total NCCE at the end of the first quarter of 2020 down from 1145 percent in the fourth quarter of 2019 (see table 7) Collateral held against hedge fund exposures decreased in the first quarter

but coverage remains very high at 2308 percent Bank exposures to hedge funds are secured because banks take initial margin on transactions with hedge funds in addition to fully securing any current credit exposure Collateral coverage of corporate and sovereign exposures is much less than coverage of financial institutions and hedge funds although coverage of corporate exposures has been increasing over the past several years because of increases in the volume of trades cleared at central counterparties Table 7 Ratio of Fair Value Collateral to Net Current Credit Exposure

FV banks and

securities firms FV hedge funds FV sovereign governments

FV corporate and all other

counterparties FVNCCE 1Q 2020 1213 2308 517 658 926 4Q 2019 1300 4859 483 918 1145 4Q 2018 1289 3080 471 918 1137 4Q 2017 1244 4955 251 898 1115 4Q 2016 1191 4915 342 670 985 4Q 2015 1016 4355 156 662 896

The majority of collateral held by banks against NCCE is very liquid with 671 percent held in cash (both US dollar and non-dollar) and an additional 123 percent held in US Treasuries and government agency securities (see table 8) Supervisors assess changes in the quality and liquidity of collateral held as a key early indicator of potential easing in credit terms Examiners review the collateral management practices of derivative dealers as a regular part of their supervision activities Table 8 Composition of Collateral

Cash US $ Cash other currencies

US Treasury securities

US gov agency

Corp bonds

Equity securities

All other collateral

1Q 2020 446 225 107 16 19 43 144 4Q 2019 344 245 116 17 23 76 177 4Q 2018 372 233 108 22 21 71 172 4Q 2017 376 255 103 19 25 57 165 4Q 2016 401 315 81 17 16 50 120 4Q 2015 437 317 46 16 14 53 117

Credit quality metrics for derivative exposures remained relatively stable in the first quarter of 2020 as banks reported net charge-offs of $827 million compared with net recoveries of $15 million in the fourth quarter of 2019 (see graph 7 in the appendix) The number of banks reporting charge-offs increased from 10 to 14 banks Net charge-offs in the first quarter of 2020 represented 00139 percent of the NCCE from derivative contracts For comparison purposes commercial and industrial (CampI) loan net charge-offs increased $5355 million or 247 percent to $27 billion during the quarter and were 01 percent of total CampI loans Charge-offs of

derivative exposures typically are associated with problem commercial lending exposures in which the borrower has an associated swap transaction Market Risk Value-at-Risk Banks primarily control market risk in trading operations by establishing limits against potential losses Banks use value-at-risk (VaR) to quantify the maximum expected loss over a specified time period and at a certain confidence level under relevant market conditions Banks subject to the market risk capital rule 12 CFR 3 subpart F are required to report their VaR-based measures quarterly on Form FFIEC 102 The VaR measurement is calculated on a daily basis using a one-tail 99 percent confidence level and a holding period equivalent to a 10-business-day movement in underlying risk factors such as rates spreads and prices Tables 9a and 9b show the quarter-over-quarter change in VaR as well as the VaR-based capital charge for banks most active in trading and derivatives activity As shown in table 9a market risk in trading operations as measured by VaR is a small proportion of their risk-based capital Graph 16 in the appendix illustrates the historical trend in VaR measurements for these institutions Table 9a Value-at-Risk in Millions of Dollars

JPMorgan Chase Bank

NA Citibank NA Bank of

America NA

Goldman Sachs Bank

USA 1Q 2020 Average 60 Day VaR $254 $109 $53 $176 4Q 2019 Average 60 Day VaR $120 $64 $71 $128 QQ Change $134 $46 -$18 $49 1Q 2020 Total Risk-Based Capital $223578 $151654 $165532 $31099

Source Market Risk Regulatory Report for Institutions Subject to the Market Risk Capital RulemdashFFIEC 102

Table 9b Value-at-Risk Capital Requirement in Millions of Dollars

JPMorgan Chase Bank

America NA

Goldman Sachs Bank

USA 1Q 2020 VaR Capital Requirement $762 $327 $158 $529 4Q 2019 VaR Capital Requirement $361 $191 $212 $384 QQ Change $402 $137 -$54 $146 1Q 2020 Total Risk-Based Capital $223578 $151654 $165532 $31099

Source Market Risk Regulatory Report for Institutions Subject to the Market Risk Capital RulemdashFFIEC 102 Volatility Index Figure 3 shows the VIX a volatility index3 which measures the marketrsquos expectation of stock market volatility in the SampP 500 index over the next 30-day period The chart illustrates that 3 VIX is the trademarked ticker symbol for the Chicago Board Options Exchange SPX Volatility Index

there has been an extended period of low volatility since the end of the financial crisis that continued until late in the current quarter In mid-March volatility spiked as financial markets reacted to fears over the potential impact of the COVID-19 global pandemic The VIX exceeded its previous high from the 2008 financial crisis before settling back to a still elevated level at the quarterrsquos end Figure 3 Volatility Index (VIX)

Source Bloomberg

Level 3 Trading Assets Another measure used to assess market risk is the volume of and changes in level 3 trading assets Level 3 trading assets are assets whose fair value cannot be determined by using observable inputs such as market prices Since the peak of the financial crisis at the end of 2008 major dealers have reduced the volume of level 3 trading assets Because banks cannot observe inputs into the models that determine the fair value of these illiquid exposures banks use their own assumptions in determining their fair values Level 3 trading assets peaked at $2041 billion at the end of 2008 (see figure 4) At the end of the first quarter of 2020 banks held $395 billion of level 3 trading assets up 611 percent from the previous quarter and 480 percent higher than a year ago Level 3 trading assets are $1646 billion (806 percent) lower than the peak level from 2008

Figure 4 Level 3 Trading Assets in Billions of Dollars

Source Call reports Schedule RC-Q

Notional Amounts of All Derivative Contracts Changes in notional amounts are generally reasonable reflections of business activity and can provide insight into potential revenue and operational issues The notional amount of derivative contracts however does not provide a useful measure of market or credit risk The total notional amount of derivative contracts held by banks in the first quarter increased by $260 trillion (152 percent) to $1975 trillion from the previous quarter (see table 10) The increase in the notional amount of derivative contracts by underlying risk exposure was driven by increases across the majority of notional classes Interest rate notional amounts continued to represent the majority of banksrsquo derivative holdings at $1460 trillion or 739 percent of total derivatives (see table 10) The increase in the total notional amount of derivative contracts by contract type was driven by increases across the majority of notional classes (see table 11) Swap contracts remained the leading derivatives contract type at 560 percent of all notional amounts The four banks with the most derivative activity hold 867 percent of all bank derivatives while the largest 25 banks account for nearly 100 percent of all contracts (see tables 3 and 5 and graph 4 in the appendix for further information)

Table 10 Derivative Notional Amounts by Underlying Risk Exposure Quarter-Over-Quarter in Billions of Dollars

1Q 2020 4Q 2019

QQ Change

QQ Change 1Q 2019

YY Change

Interest rate $146027 $125056 $20971 168 $149185 -$3158 -21 Foreign exchange $42181 $37170 $5011 135 $42899 -$717 -17 Equity $3662 $3796 -$135 -35 $3675 -$14 -04 Commodity $1644 $1495 $149 99 $1377 $266 193 Credit derivatives $3986 $3945 $42 11 $4145 -$159 -38 Total notional $197500 $171462 $26038 152 $201282 -$3781 -19

Table 11 Derivative Notional Amounts by Contract Type Quarter-Over-Quarter in Billions of Dollars

1Q 2020 4Q 2019 QQ

Change QQ

Change 1Q 2019 YY

Change YY

Change Futures and forwards $46804 $34787 $12017 345 $46165 $639 14 Swaps $110599 $96614 $13985 145 $106833 $3766 35 Options $36111 $36117 -$6 00 $44138 -$8027 -182 Credit derivatives $3986 $3945 $42 11 $4145 -$159 -38 Total notional $197500 $171462 $26038 152 $201282 -$3781 -19

Credit Derivatives The notional amounts of credit derivatives increased $420 billion (11 percent) to $40 trillion in the first quarter of 2020 (see table 10) Contracts referencing investment-grade firms decreased $1060 billion and contracts referencing sub-investment-grade firms increased $1480 billion in the first quarter (see graph 14 in the appendix) Credit derivatives outstanding remained well below the peak of $164 trillion in the first quarter of 2008 (see graph 1 in the appendix) As shown in the chart on the left of figure 5 credit default swaps are the dominant product at $35 trillion (875 percent) of all credit derivative notional amounts Credit derivative contracts referencing investment-grade entities with maturities from one to five years represented the largest segment of the market at $18 trillion or 451 percent of all credit derivative notional amounts Contracts of all tenors that reference investment-grade entities are $29 trillion or 725 percent of the market (see the chart on the right in figure 5)

Figure 5 1Q 2020 Credit Derivative Composition in Billions of Dollars

The notional amount for the 88 banks that net sold credit protection (ie assumed credit risk) was $19 trillion up $269 billion (14 percent) from the fourth quarter of 2019 (see table 12 in the appendix) The notional amount for the 72 banks that net purchased credit protection (ie hedged credit risk) was $21 trillion $149 billion higher (07 percent) than in the fourth quarter of 2019 (see table 12 in the appendix) Compression Activity Notional amounts of banksrsquo derivative contracts have generally declined since 2011 because of trade compression efforts leading to less need for risk management products Trade compression continues to be a significant factor in reducing the amount of notional derivatives outstanding Trade compression aggregates a large number of swap contracts with similar factors such as risk or cash flows into fewer trades Compression removes economic redundancy in a derivative book and reduces operational risk and capital costs for large banks Trade compression activities increased in the first quarter of 2020 as shown in figure 6 Figure 6 Quarterly Compression Activity in Trillions of Dollars

Source LCH Clearnet

Centrally Cleared Derivative Contracts In the first quarter of 2015 banks began reporting their volumes of cleared and non-cleared derivative transactions as well as risk weights for counterparties in each of these categories In the first quarter of 2020 423 percent of banksrsquo derivative holdings were centrally cleared (see table 12) From a market factor perspective 529 percent of interest rate derivative contractsrsquo notional amounts outstanding were centrally cleared while very little of the FX derivative market was centrally cleared The bank-held credit derivative market remained largely uncleared as 344 percent of credit derivative transactions were centrally cleared during the first quarter of 2020 Centrally cleared derivative transactions were heavily concentrated at qualifying central counterparties with 916 percent of notional amounts reflecting the 2 percent risk weight applicable to such counterparties Table 12 Centrally Cleared Derivative Contracts as a Percentage of Total Derivative Contracts

Interest

rate Foreign

exchange Equity Precious metals Credit Other Total

1Q 2020 529 20 265 21 344 118 423 4Q 2019 467 17 248 28 264 115 371 3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 425 4Q 2018 510 12 257 80 293 175 398

Glossary of Terms Bilateral netting A legally enforceable arrangement between a bank and a counterparty that creates a single legal obligation covering all included individual contracts This arrangement means that a bankrsquos receivables or payables in the event of the default or insolvency of one of the parties would be the net sum of all positive and negative fair values of contracts included in the bilateral netting arrangement Centrally cleared derivative contract A standardized derivative contract that is transacted bilaterally but submitted for clearing to a central counterparty with the central counterparty becoming the ultimate counterparty to both the buyer and the seller Credit derivative A financial contract that allows a party to take on or reduce credit exposure (generally on a bond loan or index) The OCCrsquos derivatives survey includes OTC credit derivatives such as credit default swaps total return swaps and credit spread options Derivative A financial contract in which the 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 a wide assortment of financial contracts such as structured debt obligations and deposits swaps futures options caps floors collars forwards and various combinations thereof Gross negative fair value (GNFV) The sum total of the fair values of contracts when the bank owes money to its counterparties without taking netting into account This amount represents the maximum losses the bankrsquos counterparties would incur if the bank defaulted and there was no netting of contracts and the counterparties held no bank collateral GNFVs associated with credit derivatives are included Gross positive fair value (GPFV) The sum total of the fair values of contracts when the bank is owed money by its counterparties without taking netting into account This amount represents the maximum losses a bank would incur if all its counterparties defaulted and there was no netting of contracts and the bank held no counterparty collateral GPFVs associated with credit derivatives are included Net current credit exposure (NCCE) For a portfolio of derivative contracts NCCE is the GPFV of contracts less the dollar amount of netting benefits On any individual contract current credit exposure (CCE) is the fair value of the contract if positive and zero when the fair value is negative or zero NCCE is also the net amount owed to banks if all contracts were immediately liquidated Notional amount The nominal or face amount that is used to calculate payments made on swaps and other risk management products This amount generally does not change hands and is thus referred to as notional OTC derivative contracts Privately negotiated derivative contracts that are transacted off of organized exchanges

Potential future exposure (PFE) An estimate of what the CCE could be over time based on a supervisory formula in the agenciesrsquo risk-based capital rules PFE is generally determined by multiplying the notional amount of the contract by a credit conversion factor that is based on the underlying market factor (eg interest rates commodity prices or equity prices) and the contractrsquos remaining maturity The risk-based capital rules however permit banks to adjust the formulaic PFE measure by the net-to-gross ratio which proxies the risk-reduction benefits attributable to a valid bilateral netting contract PFE data in this report use the amounts on which banks hold risk-based capital Qualifying central counterparties (QCCP) QCCPs are defined in 12 CFR 32 as a CCP either that the Financial Stability Oversight Council has designated systemically important under title VIII of the DoddndashFrank Wall Street Reform and Consumer Protection Act or that meets a series of standards See 12 CFR 32 for a full definition Total credit exposure (TCE) The sum total of NCCE and PFE Total risk-based capital The sum of tier 1 plus tier 2 capital Tier 1 capital generally consists of common shareholdersrsquo equity perpetual preferred shareholdersrsquo equity with noncumulative dividends retained earnings and tier 1 capital of consolidated subsidiaries that is not owned by the bank (minority interest) less regulatory adjustments and deductions Tier 2 capital generally consists of subordinated debt intermediate-term preferred stock cumulative and long-term preferred stock tier 2 capital of consolidated subsidiaries that is not owned by the bank (minority interest) and a portion of a bankrsquos allowance for loan and lease losses less regulatory adjustments and deductions Trade compression A significant factor in reducing the amount of notional derivatives outstanding Trade compression aggregates a large number of swap contracts with similar factors such as risk or cash flows into fewer trades Compression removes economic redundancy in a derivative book and reduces operational risks and capital costs for large banks Volatility index (VIX) A measure of the marketrsquos expectation of stock market volatility of SampP 500 index options over the next 30-day period

Index of Tables and Figures Table 1 Quarterly Bank Trading Revenue in Millions of Dollars 2

Table 2 Quarterly Holding Company Trading Revenue in Millions of Dollars 2

Figure 1 Bank Trading Revenue as a Percentage of Consolidated Holding Company Trading Revenue 3

Table 3 Gross Positive Fair Values and Gross Negative Fair Values in Billions of Dollars 4

Table 4 Netting Contract Examples 5

Table 5 Net Current Credit Exposure in Billions of Dollars 5

Figure 2 Net Current Credit Exposure in Billions of Dollars 6

Table 6 NCCE by Counterparty Type as a Percentage of Total NCCE 6

Table 7 Ratio of Fair Value Collateral to Net Current Credit Exposure 7

Table 8 Composition of Collateral 7

Table 9a Value-at-Risk in Millions of Dollars 8

Table 9b Value-at-Risk Capital Requirement in Millions of Dollars 8

Figure 3 Volatility Index (VIX) 9

Figure 4 Level 3 Trading Assets in Billions of Dollars 10

Table 10 Derivative Notional Amounts by Underlying Risk Exposure

Quarter-Over-Quarter in Billions of Dollars 11

Table 11 Derivative Notional Amounts by Contract Type Quarter-Over-Quarter

in Billions of Dollars 11

Figure 5 1Q 2020 Credit Derivative Composition in Billions of Dollars 12

Figure 6 Quarterly Compression Activity in Trillions of Dollars 122

Table 12 Centrally Cleared Derivative Contracts as a Percentage

of Total Derivative Contracts 13

Appendix Supplementary Graphs and Tables Graph 1 Derivative Notional Amounts by Type Graph 2 Derivative Contracts by Product Graph 3 Derivative Contracts by Type Graph 4 Four Banks Dominate in Derivatives Graph 5 Credit Exposure to Risk-Based Capital (in Percentage) Graph 6 Netting Benefit Amount of Gross Credit Exposure Eliminated Through Bilateral

Netting Graph 7 Quarterly Charge-Offs(Recoveries) From DerivativesmdashBank Graph 8 Quarterly Charge-Offs(Recoveries) From DerivativesmdashHolding Company Graph 9a Quarterly Trading Revenue (Cash and Derivative Positions)mdashBank Graph 9b Quarterly Trading Revenue (Cash and Derivative Positions)mdashHolding Company Graph 10 Quarterly Trading Revenue (Cash and Derivative Positions) as a Percentage of Gross

Revenue (in Percentage) Graph 11 Notional Amounts of Interest Rate and FX + Gold Contracts by Maturity Graph 12 Notional Amounts of Precious Metal Contracts by Maturity Graph 13 Notional Amounts of Commodity and Equity Contracts by Maturity Graph 14 Notional Amounts of Credit Derivative Contracts by Credit Quality and Maturity Graph 15 Notional Amounts of Over-the-Counter and Centrally Cleared Derivative Contracts Graph 16 Average 60 Day VaR Table 1 Notional Amounts of Derivative Contracts Table 2 Notional Amounts of Derivative Contracts (Holding Companies) Table 3 Distribution of Derivative Contracts Table 4 Credit Equivalent Exposures Table 5 Notional Amounts of Derivative Contracts Held for Trading Table 6 Gross Fair Values of Derivative Contracts Table 7 Trading Revenues From Cash Instruments and Derivatives Table 8 Notional Amounts of Derivative Contracts by Contract Type and Maturity

(Interest Rate FX and Gold) Table 9 Notional Amounts of Derivative Contracts by Contract Type and Maturity

(Precious Metals) Table 10 Notional Amounts of Derivative Contracts by Contract Type and Maturity

(Other Commodity and Equity) Table 11 Notional Amounts of Credit Derivative Contracts by Contract Type and Maturity

(Investment Grade and Sub-Investment Grade) Table 12 Distribution of Credit Derivative Contracts Held for Trading Table 13 Derivatives Data Reported by FFIEC 051 Filers

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

2008Q1 CreditDerivativePeak$16441

Graph1 DerivativeNotionalAmountsbyType InsuredUSCommercialBanksandSavingsAssociations

inbiin

llos

$2000 50

$2000 00

$1000 50

$1000 00

$50000

$0

ToaNtoatloinl DelrTaig) ae(rdn En srNn-TadigdUe(o r n) CrdteiaieeiDrvtvs

Inbillosodollrin f as

Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

TotalNotional

Dealer(Trading)

EndUser(Non-Trading)

CreditDerivatives 7418

3097

182437

$192952

6853

3018

180186

$190057

6562

3030

167873

$177466

5293

3057

156901

$165252

5304

3061

169971

$178335

4935

3069

177519

$185522

5090

2917

180344

$188351

4186

2785

165002

$171973

4345

2737

196712

$203795

4179

2737

200286

$207202

4342

2763

199891

$206995

4270

2447

169636

$176353

4145

2619

194518

$201282

4074

2850

197950

$204874

4183

3162

193912

$201256

3945

3077

164441

$171462

3986

3518

189995

$197500

NoteNumbersmaynotadduptototalduetoroundingTotalderivativenotionalsarenowreportedincludingcreditderivativesforwhichregulatoryreportingdoesnotdifferentiatebetweentradingandnon-trading SourceCallreports

Graph2 DerivativeContractsbyProduct InsuredUSCommercialBanksandSavingsAssociations

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q1

$0

0

s eitvaivreDitderCspawSlatoTsnoOpil taotTsdrawrosampFeruutF

4

1

9

6

0

1

9

8

0

68

61

05

39

75

4

3

1

9

$

1

7

4

5

2

8

1

4

6

47

61

66

39

14

3

9

7

$

1

4

9

0

3

4

0

3

7

5

61

80

79

42

63

3

9

7

$

1

2

1

4

6

3

6

4

8

7

41

88

47

41

19

3

9

7

$

1

3

4

3

2

0

7

8

9

5

42

93

63

52

3

2

9

6

$

1

9

2

6

9

8

9

8

5

56

08

73

69

09

3

0

8

$

1

0

1

9

8

6

4

7

33

30

51

94

10

4

3

2

$

1

2

7

5

9

1

2

0

6

9

00

23

24

11

59

4

3

5

1

3

$

1

2

1

5

8

0

4

2

7

0

9

16

03

66

31

17

4

3

1

2

$

1

2

9

5

6

9

8

6

0

6

5

9

74

25

62

47

09

3

4

1

3

$

1

2

9

8

1

9

3

7

3

5

9

55

20

93

41

10

3

4

1

3

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$

1

2

Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q1

FuturesampForwards 2

4

8

2

6

5

8

3

1

8

96

18

91

41

47

2

3

1

ToaOpintl tos

$

1

2

TotalSwaps

9

7

1

9

6

CrdiDrvtves e t eiai

2

4

1

2

1

25

97

31

60

14ToaN toatloinl

2

4

1

$

1

2

7

2

3

9

6

2

0

6

5

88

77

31

58

55

1

2

0

1

6

$

1

2

7

0

9

8

7

4

2

1

48

62

13

90

15

1

2

8

3

$

1

7

8

2

0

7

5

1

2

20

88

47

56

1

6

9

$

00002$

00051$

00001$

0005$

nb

is

niolli

Notionalamountoftotalfuturesexchange-tradedoptionsoverthecounteroptionsforwardsandswaps NoteNumbersmaynotadduptototalduetorounding SourceCallreports

Graph3 DerivativeContractsbyType InsuredUSCommercialBanksandSavingsAssociations

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

00002$

00051$

00001$

0005$

s eivativreDitderCsiieoCmmodtsEquteiiegnahcnExigeroFetaRtsereItn

2020

Q1

$146027

42181

3662

1644

3986

197500

2019

Q4

$125056

37170

3796

1495

3945

171462

2018

Q4

$128174

39220

3374

1315

4270

176353

2017

Q4

$130417

32903

3080

1388

4186

171973

2016

Q4

$124488

31737

2475

1257

5293

165252

2015

Q4

$138369

32100

2395

1108

6986

180959

2014

Q4

$174687

33183

2537

1222

9449

221078

2013

Q4

$193084

28480

2028

1209

11191

235992

2012

Q4

$177650

27587

1970

1397

13190

221794

2011

Q4

$187866

25436

1606

1330

14759

230998

2010

Q4

$193399

20990

1364

1195

14151

231099

2009

Q4

$181454

16555

1685

979

14112

214786

2008

Q4

$175895

16224

2207

1061

16029

211416

2007

Q4

$129491

16614

2524

1067

15863

165559

2006

Q4

$107435

11900

2271

893

9020

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

nb

i

00052$

s

niolli

Notionalamountoftotalfuturesexchangetradedoptionsoverthecounteroptionsforwardsandswaps NoteAsof2006Q2equitiesandcommoditiestypesareshownasseparatecategoriesTheywerepreviouslyshownasldquoOtherDerivsrdquo Numbersmaynotadduptototalduetorounding SourceCallreports

Graph4 FourBanksDominateinDerivatives InsuredUSCommercialBanksandSavingsAssociations

inb

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

Top4

0 10000900008000070000600005000040000300002000010 100 100 2000 0 1 3000 0 1 4000 0 1 5000 0 1 6000 0 1 7000 0 1 8000 0 1 9000 0 1 0000 0 2dfnollii ollso a

Inbillionsofdollars

Top4 AllOtherBanks GrandTotal

FuturesampForwards $36267 $10537 $46804

TotalSwaps 98053 12546 110599

TotalOptions 33263 2848 36111

CreditDerivatives 3721 266 3986

TotalNotional 171303 26197 197500

0 000s r

Notionalamountoftotalfuturesexchange-tradedoptionsover-the-counteroptionsforwardsandswaps SourceCallreports

Graph5

CreditExposuretoRisk-BasedCapital(inPercentage) Top4InsuredUSCommercialBanksandSavingsAssociationsbyDerivativeHoldings

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1

0

10

20

510

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

GoldmanSachs

2015 2016 2017 2018 2019 20

0

15

CitibankNA

2015 2016 2017 2018 2019 20

0

40

10

20

5

Q1

201

Q2

2

Q3 Q4 Q1

201

Q2

3

Q3 Q4 Q1

201

Q2

4

Q3 Q4 Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

20

Q1

JPMorganChaseBankNA 250 246 247 229 219 216 205 183 183 189 181 177 229 228 219 209 225 221 216 199 201 193 195 179 197 184 190 167 173 150 163 153 181

BankofAmericaNA 149 141 139 132 129 125 121 117 109 107 107 93 100 95 91 85 81 77 68 66 66 64 59 57 62 61 62 57 58 58 59 56 68

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134 124 138

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372 344 319

TOTAL

NoteThemethodologytocalculatethecreditriskexposuretocapitalratiofortheTop4categoryusesaweightedaverageoftotalcurrentcreditexposure SourceCallreports

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176 164 173

Graph6 NettingBenefitAmountofGrossCreditExposureEliminatedThroughBilateralNetting(inPercentage) InsuredUSCommercialBanksandSavingsAssociationsbyDerivativeHoldings

it

feneNettgB

in

10

00

90

80

70

60

50

40

30

20

10

00

90

9

8

7

9

0

1

2

3

4

5

6

7

8

9

0

0 1 1 1 1 1 1 1 1 1 1 20 0 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019 20

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1

00 809 814 813 810804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

Thenettingbenefitisdefinedas$amountofnettingbenefitsgrosspositivefairvalue SourceCallreportsbeginningthefirstquarterof2015RC-RotherwiseRC-L

Graph7 QuarterlyCharge-O ffs(Recoveries)From Derivatives-Bank InsuredUSCommercialBanksandSavingsAssociationswithDerivatives

$0

$500

$1000

$1500

inmillions

0000

0001

0002

0003

0004

0005

Charge-Offsas

NCCE

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Inmillosodollrin f as

Q1

2000

Q2 Q3 Q4 Q1

2001

Q2 Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4

Charge-O ffs(Banks) 00 -10 -10 -30 20 -10 1073 3700 758 282 590 737 253 299 323 837

Q1

2004

Q2 Q3 Q4 Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4

Charge-O ffs(Banks) 467 349 922 54 13 142 230 83 36 -70 -160 -58 -31 91 1195 307

Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4 Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4

Charge-O ffs(Banks) 15 120 92 847 217 168 221 162 100 173 313 83 1601 72 91 69

Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4 Q1

2015

Q2 Q3 Q4

Charge-O ffs(Banks) 7635 5434 2612 7344 8428 6072 3577 8345 1278 5590 1453 791 6931 -793 1044 640

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-O ffs(Banks) 1330 1856 648 -784 122 871 -877 1026 -114 397 880 006 911 1723 -478 -145 8270

NoteThefiguresareforeachquarteralonenotyear-to-date NCCEPre2009Q2(RC-R)2009Q2-2014Q4(RC-L)2015Q1onward(RC-R) SourceCallreports

Charge-Offs(Banks)

Charge-Offs(HoldingCompanies)

Graph8 QuarterlyCharge-O ffs(Recoveries)From Derivatives-HoldingCompany InsuredUSCommercialBanksandSavingsAssociationswithDerivativesComparedwithHoldingCompanies

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

200

Q2

1

Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4 Q1

2004

Q2 Q3 Q4

Charge-O ffs(Banks)

Charge-O ffs(HoldingCompanies) 01

00

-10

193

-10

-70

-30

20

-10

1073

3696

3700

758

212

282

660

590

737

253

329

299

314

323

1278

837

512

467

404

349

942

922

90

54

Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4 Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4

Charge-O ffs(Banks)

1

4

14

45

23

18

8

35

4

5

-7

-28

-16

-7

-6

-3

10

9

119

32

31

15

120

93

92

1192

847

1570

217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

83

1617

1601

68

72

92

91

73

69

85

76

64

54

35

26

133

73

87

84

63

61

43

36

83

14

13

56

17

15

9

8

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-O ffs(Banks) 693 -79 104 64 133 186 65 -78 12 87 -88 103 -11 40 88 01 91 172 -48 -15 827

Charge-O ffs(HoldingCompanies) 690 -102 129 245 128 180 75 -25 14 89 -83 96 1145 35 366 01 95 179 -03 41 1021

NoteThefiguresareforeachquarteralonenotyear-to-date SourceCallreportsandY-9

Graph9a QuarterlyTradingRevenue(CashandDerivativePositions)-Bank InsuredUSCommercialBanksandSavingsAssociations

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

1Q2012 3Q2012 1Q2013 3Q2013 1Q2014 3Q2014 1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

IntrsRteetae Foeg xhne rinEcag Equtiy Co dt hr mmoiyampOte Crdt ei ToaTaigRvne tlrdn eeu

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

TotalTradingRevenue 5650

263

271

668

1424

$3023

7062

342

161

867

3719

$1973

6420

118

353

734

2294

$2920

6006

634

296

681

5941

($1547)

8031

447

330

1595

1743

$3917

6981

128

211

1359

697

$4586

6940

566

300

1454

1608

$3011

5824

-178

324

1649

1811

$2220

7684

487

395

1624

2861

$2317

7384

215

286

1727

4569

$587

7059

141

346

1444

3130

$1998

4030

-476

274

-43

1971

$2305

10035

485

323

2895

2254

$4078

8081

30

-43

2464

2900

$2730

7198

43

1109

1805

2718

$1523

7194

34

600

1427

662

$4471

6688

-34

646

-1040

2167

$4950

ThetradingrevenuefiguresareforcashandderivativeactivitiesRevenuefiguresareforeachquarteralonenotyear-to-date NoteNumbersmaynotadduptototalduetorounding SourceCallreports

Graph9b QuarterlyTradingRevenue(CashandDerivativePositions) HoldingCompany

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

2011Q3 2012Q1 2012Q3 2013Q1 2013Q3 2014Q1 2014Q3 2015Q1 2015Q3 2016Q1 2016Q3 2017Q1 2017Q3 2018Q1 2018Q3 2019Q1 2019Q3 2020Q1

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

14868

1482

969

4159

2899

$5359

11579

742

1003

3021

8007

($1193)

18198

3381

299

5939

2524

$6055

15376

1523

1317

5783

733

$6019

14861

1996

769

5123

1848

$5124

10721

-310

568

3867

2589

$4006

17229

1359

1177

5431

3900

$5361

14870

1848

779

7445

5133

($336)

13534

666

874

5222

3222

$3550

5513

-25

508

502

2530

$1997

24856

2903

1298

9215

3396

$8044

18359

1684

512

6083

3351

$6728

16423

1226

1045

4548

4241

$5363

15419

159

981

7387

1462

$5431

9036

257

1664

-4546

-288

$11948

ThetradingrevenuefiguresareforcashandderivativeactivitiesRevenuefiguresareforeachquarteralonenotyear-to-date NoteNumbersmaynotadduptototalduetorounding SourceY9

Graph10 QuarterlyTradingRevenue(CashandDerivativePositions)asaPercentageofGrossRevenue(inPercentage) Top4InsuredUSCommercialBanksandSavingsAssociationsbyDerivativeHoldings

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

TradingRevenuetoGrossRevenue

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

TradingRevenuetoGross

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1

JPMorganChaseBankNA 1 3 1 9263 131 347 67 173 1325 125 70 9 21 02 39 8 45 1 27 6 3 1226 1334 1383 1117 1798 1366 1401 1152 110 19 16 2 157 17 130 1 62 -333

Bako meriaNA n fA c 0 1 1 38 67 04 51 2 39 68 41 8 47 44 40 7 56 40 45 0 46 51 32 9 0178 91 51 6 8 9 9 17 0 7 8 32 0 9 9 38 2 4 4 49 0 4 0 40 13

CiiakNA tbn 1 3 8 48 91 84 65 0 71 94 64 0985 74 54 7 7 1 4 63 9 1 7 17 17 85 91 4 13 19 16 604 0 2 69 13 06 12 46 12 72 84 6 2050 23 3 8 55Golma ahd nScs 37 4 21 72 08 4 27 8 0 5 0 2367 2221 1374 1306 1585 1732 1332 616 28 95 16 2 1771 1566 710 215 15 18 17 1 6 131 56 281 2 02 896

TOTAL Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

Thetradingrevenuefigures areforcashandderivativeactivitiesRevenuefiguresarequarterlynotyear-to-datenumbers NoteGrossrevenueequalsinterestincomeplusnon-interestincome SourceCallreports

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q1

Graph11 NotionalAmountsofInterestRateandFX+GoldContractsbyMaturity InsuredUSCommercialBanksandSavingsAssociations

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

2

5

28

30

09

15

41

21

9

4

2

3

$2

2

9

1

2

6

2

5

4

5

4

91

58

42

82

40

21

7

3

2

$1

1

4

1

9

6

9

8

4

9

1

9

14

66

32

88

42

20

7

3

2

$9

4

5

0

5

8

5

6

8

0

2

25

61

35

43

48

25

7

3

2

$1

1

2

4

0

6

1

5

2

50

32

97

39

44

24

5

4

2

$4

6

1

0

6

8

5

0

8

3

8

4

50

94

29

41

39

16

5

4

3

2

$8

7

4

5

7

9

0

2

1

4

8

6

18

37

22

21

25

9

7

3

2

$8

7

0

2

1

9

5

3

7

4

2

77

41

46

83

23

10

7

4

2

1

$8

1

5

6

0

4

9

7

8

1

8

29

01

11

83

29

14

8

3

2

1

$2

0

8

2

7

3

1

5

6

3

1

0

78

27

41

76

31

15

8

3

2

1

$3

7

9

2

0

4

9

0

2

6

9

08

34

43

46

24

12

9

3

2

1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q1

3

7

9

7

4

12

39

63

04

24

13

IRlt1yr 8

3

2

1

$

IR1-5yr

8

6

8

0

5

2

R r

1

5

6I gt5ys

4

9

8

86

74

68

06

21

10

FXampGOLDlt1yr

5

4

3

1

$

FXampGOLD1-5yr

5

2

4

0

9

2

8

2

6

3

2FXampGOLDgt5yrs

90

72

77

16

6

3

2

1

$2

6

3

0

2

4

5

8

7

3

5

9

95

13

32

77

14

5

2

3

2

$3

3

5

8

1

9

8

2

8

84

76

98

57

13

6

1

2

1

$1

3

2

4

7

2

9

8

1

6

59

58

64

53

13

7

1

2

1

$1

4

7

0

6

2

8

0

1

4

8

35

04

31

45

11

5

1

2

1

$

XampGOLDgt5ys rFXampGOLD 5yr-1XampGOLDlt1yr

00051$

nb

i

Rlt1y

FXampGold

r

0

0 $

I

00001$

0005$

0003$

0002$

0001$

s

niolli

s

niolli

NoteFiguresaboveexcludeFXcontractswithanoriginalmaturityof14daysorlesswrittenoptionsbasisswapsandanyothercontractsnotsubjecttorisk-basedcapitalrequirements EffectiveQ12015thereportingform andcallreportinstructionschangedScheduleRC-RnowrequiresbankstoreportgoldandFXnotionalsinaggregateratherthanseparately SourceCallreports

Graph12 NotionalAmountsofPreciousMetalContractsbyMaturity InsuredUSCommercialBanksandSavingsAssociations

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

s rlsgt5yau tiocerP sMer-1ls 5yatsMeuiocerPlt1yrlssMeau tiocerP

4

0

67

26

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4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q1

75

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00

$PrcosMeaslt1yr eiu tl

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$

1$

nb

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niolli

NoteFiguresexcludeFXcontractswithanoriginalmaturityof14daysorlesswrittenoptionsbasisswapsandanyothercontractsnotsubjecttorisk-basedcapitalrequirements SourceCallreports

Graph13 NotionalAmountsofCommodityandEquityContractsbyMaturity InsuredUSCommercialBanksandSavingsAssociations

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Co dt r mmoiylt1y Co dt- r mmoiy15y Co dt ys mmoiygt5r

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

Equt r iylt1y Equt- r iy15y Equt riygt5ys

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

NoteFiguresaboveexcludeforeignexchangecontractswithanoriginalmaturityof14daysorlesswrittenoptionsbasisswapsandanyothercontractsnotsubjecttorisk-basedcapitalrequirements SourceCallreports

Graph14 NotionalAmountsofCreditDerivativeContractsbyCreditQualityandMaturity InsuredUSCommercialBanksandSavingsAssociations

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1

0

Investment-Gradelt1yr Investment-Gradegt5yrs Sub-Investment-Grade1-5yrs

Investment-Grade1-5yrs Sub-Investment-Gradelt1yr Sub-Investment-Gradegt5yrs

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

Investment-Gradelt1yr $1256 $1292 $1270 $1380 $1471 $1549 $1451 $1348 $1343 $1234 $934 $1216 $880 $805 $764 $837 $763 $758 $675 $781 $726

Investment-Grade1-5yrs 4649 4450 4108 3328 3400 3101 2765 2170 2072 2073 1897 2085 1839 1995 1988 2173 1976 2083 2084 2018 1799

Investment-Gradegt5yrs 508 359 520 281 457 262 385 214 309 195 186 345 331 184 338 204 367 189 330 198 367

TotalInvestmentGrade $6413 $6101 $5898 $4990 $5328 $4911 $4601 $3732 $3724 $3502 $3016 $3647 $3050 $2984 $3089 $3214 $3106 $3030 $3089 $2997 $2891

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Sub-Investment-Gradelt1yr $596 $569 $562 $607 $622 $683 $683 $581 $582 $375 $480 $509 $400 $318 $335 $304 $259 $275 $283 $268 $247

Sub-Investment-Grade1-5yrs 1813 1518 1673 1271 1313 1122 1159 869 838 718 814 830 763 801 791 691 661 708 701 624 743

Sub-Investment-Gradegt5yrs 194 213 152 119 155 157 101 111 159 77 149 93 133 133 69 61 119 111 60 56 105

TotalSub-InvestmentGrade $2604 $2299 $2387 $1997 $2090 $1962 $1943 $1561 $1579 $1170 $1443 $1432 $1296 $1252 $1195 $1056 $1039 $1093 $1044 $947 $1095

Graph15 1Q2020NotionalAmountsofOver-the-CounterandCentrallyClearedDerivativeContracts InsuredUSCommercialBanksandSavingsAssociations

ALLBANKS

InterestRate ForeignExchange Equity PreciousMetals Credit

InvestmentGrade Non-InvestmentGrade

Other BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

TotalCentrally Cleared

$0

0

0 $10000

$5000

Inbillionsofdollars

InterestRate ForeignExchange Equity PreciousMetals Credit Other

BankName Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Non-Investment Grade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

32042 30326 154 10135 785 1750 0 29 613 544 196 253 50 717 JPMorganChaseBankNA 18247 7844 317 12001 70 466 1 6 248 815 63 268 77 101 CitibankNA 988 471 73 114 4796 118 348 0 0 155 217 62 148 0 26 BankofAmericaNA 9224 26427 95 5431 0 32 0 0 0 102 0 95 0 5 GoldmanSachs 2293 559 61 1346 0 90 0 11 2 14 7 28 0 2 HSBCNA 922 227 50 0 432 49 127 0 2 0 1 1 25 1 66 WellsFargoBankNA 0 27 0 24 0 1 0 0 0 8 0 4 0 0 Mora tne akNA gnSalyBn

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

Toa Overtl -Total Cetall tenr y h-

Notoainl Clae Cutr erd one

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

InvestmentGrade Non-Investment

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

JPMorganChaseBankNA 51 49 1 99 31 69 0 100 53 47 44 56 7 93 CitibankNA 70 30 3 97 13 87 14 86 23 77 19 81 43 57 BankofAmericaNA 67 33 2 98 25 75 0 100 42 58 29 71 0 100 GoldmanSachs 26 74 2 98 0 100 0 100 0 100 0 100 HSBCNA 80 20 4 96 0 100 0 100 12 88 20 80 0 100 WellsFargoBankNA 79 21 0 100 28 72 0 100 6 94 2 98 1 99 MorganStanleyBankNA 0 100 0 100 0 100 0 100 0 100 0 100

Toatl Cenr y tallCleared asa of Toatl

Noinl toa

44 47 50 23 54 75 0

Total Over-the-Counter asa of Total

Noinl toa

56 53 50 77 46 25 100

SourceCallreportsScheduleRC-R

Graph16 Average60DayVaR

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

VaRCapitalRequirement

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

BakoA rcainl oiton fmeiaNtoaAsscain Ctbn iiakNA JPMognChs akNtoaAscain ra aeBnainlsoito Golma ah akUSA d nScsBn

SourceMarketRiskRegulatoryReportforInstitutionsSubjecttotheMarketRiskCapitalRulemdashFFIEC102

TABLE 1

TOTALLEGAL TOTAL TOTAL TOTAL TOTAL TOTAL CREDITENTITY TOTAL TOTAL FUTURES OPTIONS FORWARDS SWAPS OPTIONS DERIVATIVES SPOT

RANK BANK NAME INDENTIFIER ASSETS DERIVATIVES (EXCH TR) (EXCH TR) (OTC) (OTC) (OTC) (OTC) FX1 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 $2690959 $59611878 $1382207 $2421660 $12515999 $32746321 $9015121 $1530570 $7279282 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 254668 47218470 1008720 2266155 7992550 26395055 9350137 205853 3789213 CITIBANK NATIONAL ASSN E57ODZWZ7FF32TWEFA76 1632405 44200204 641531 810710 6863862 28144630 6317120 1422351 4605834 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 2031940 20272860 247849 229961 5614258 10766862 2851887 562043 3392575 WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 1763696 13448328 377251 198752 4895587 6201356 1691012 84370 60076 HSBC NA 1IE8VN30JCEQV1H4R804 201886 4560165 89612 3402 1262617 2727714 381458 95363 443917 STATE STREET BANKampTRUST CO 571474TGEMMWANRLN572 359196 2685928 2081 0 2626145 26261 31441 0 1116138 BANK OF NEW YORK MELLON HPFHU0OQ28E4N0NFVK49 387037 1104939 4497 41 334302 736117 29817 165 1035729 U S BANK NATIONAL ASSN 6BYL5QZYBDK8S7L73M02 533129 651836 26211 0 116502 360947 137124 11052 79310 PNC BANK NATIONAL ASSN AD6GFRVSDT01YPT1CS68 433803 490912 4337 4985 40864 395116 34873 10738 68311 TRUIST BANK JJKC32MCHWDI71265Z06 495079 301292 3602 22851 22558 185209 57140 9932 42012 NORTHERN TRUST CO 6PTKHDJ8HDUF78PFWH30 161164 295035 0 0 278106 16296 634 0 2028613 TD BANK NATIONAL ASSN 03D0JEWFDFUS0SEEKG89 355768 228523 0 0 2602 224504 1416 0 014 CITIZENS BANK NATIONAL ASSN DRMSV1Q0EKMEXLAU1P80 176633 216035 1477 0 25919 170025 15913 2702 10015 CAPITAL ONE NATIONAL ASSN 207ALC1P1YM0OVDV0K75 339216 200126 6433 0 5535 180932 1509 5717 8216 MUFG UNION BANK NA OX3PU53ZLPQKJ4700D47 135038 185354 3105 0 78605 99183 4329 132 77217 REGIONS BANK EQTWLK1G7ODGC2MGLV11 132707 138379 856 30 12961 96684 20850 6998 1018 FIFTH THIRD BANK NA QFROUN1UWUYU0DVIWD51 183724 127521 1210 196 8382 83485 29159 5088 15319 BOKF NATIONAL ASSN FU7RSW4CQQY98A2O7J66 46955 119847 2053 358 107755 6773 2887 22 020 KEYBANK NATIONAL ASSN HUX2X73FUCYHUVH1BK78 154994 114285 1420 0 7240 93988 10704 934 57421 MANUFACTURERSampTRADERS TR CO WWB2V0FCW3A0EE3ZJN75 124147 98062 0 0 3010 91332 3721 0 11222 MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 178664 74590 97 0 17757 31108 14149 11479 110323 HUNTINGTON NATIONAL BANK 2WHM8VNJH63UN14OL754 113764 74532 62 0 4296 46689 20310 3175 8424 BBVA USA C90VT034M03BN29IRA40 93020 57670 2396 0 2381 43084 8797 1013 025 SANTANDER BANK N A TR24TWEY5RVRQV65HD49 87569 48030 0 0 1945 38810 7111 164 11

TOP 25 COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES $13067159 $196524802 $3807006 $5959101 $42841739 $109908478 $30038619 $3969860 $2197456OTHER COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 5145839 975447 3443 758 151754 690375 112498 16619 2263TOTAL COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 18212998 197500249 3810449 5959858 42993493 110598852 30151117 3986479 2199719

Note Before the first quarter of 1995 total derivatives included spot FX Beginning in that quarter spot FX has been reported separatelyNote Numbers may not add up to total due to roundingSource Call reports Schedule RC-L

NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTSTOP 25 COMMERCIAL BANKS SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

MARCH 31 2020 MILLIONS OF DOLLARS

Note Credit derivatives have been included in the sum of total derivatives Credit derivatives have been included as an over the counter category although the call report does not differentiate by market currently

TABLE 2

LEGAL CREDITENTITY TOTAL TOTAL FUTURES OPTIONS FORWARDS SWAPS OPTIONS DERIVATIVES SPOT

RANK HOLDING COMPANY INDENTIFIER ASSETS DERIVATIVES (EXCH TR) (EXCH TR) (OTC) (OTC) (OTC) (OTC) FX1 JPMORGAN CHASE amp CO 7H6GLXDRUGQFU57RNE97 $3139431 $59495852 $1404658 $2856018 $13246444 $31731975 $8697257 $1559500 $7128232 GOLDMAN SACHS GROUP INC THE KD3XUN7C6T14HNAYLU02 1089759 47741370 1515056 3674461 8289503 22889611 10010422 1362317 2976053 CITIGROUP INC E57ODZWZ7FF32TWEFA76 2219770 45505022 774295 2852653 8456278 25969329 6133187 1319280 4623294 BANK OF AMERICA CORPORATION B4TYDEB6GKMZO031MB27 2619954 38241252 1112532 1115659 9864796 20958413 4307581 882271 3184335 MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 947795 35645329 840622 1473543 5425358 18514758 8803787 587261 670996 WELLS FARGO amp COMPANY KB1H1DSPRFMYMCUFXT09 1981349 13999826 385697 229857 5598635 6025119 1687270 73248 60007 HSBC NORTH AMERICA HOLDINGS INC 213800JCL1FHBQK3M654 297536 6664583 296259 495372 1262617 4126254 388717 95363 443858 MIZUHO AMERICAS LLC 51321 6409358 26728 11091 706056 5516905 143833 4745 68929 SMBC AMERICAS HOLDINGS INC 25519 5031924 157161 1413556 1184409 1465240 809460 2098 485710 STATE STREET CORPORATION 571474TGEMMWANRLN572 362528 2676967 2081 0 2626145 17300 31441 0 11161311 BANK OF NEW YORK MELLON CORPORATION THE HPFHU0OQ28E4N0NFVK49 468155 1134126 5049 141 383531 715423 29817 165 10367412 BARCLAYS US LLC 213800H14XVWOV87OI72 179955 756082 20637 317208 356704 15746 0 45787 1813 US BANCORP 6BYL5QZYBDK8S7L73M02 542909 668661 26211 0 117273 377001 137124 11052 79314 RBC US GROUP HOLDINGS LLC 137944 614635 133261 269889 36232 174261 566 426 8615 CREDIT SUISSE HOLDINGS (USA) INC 549300YHT5NGRKJD1R94 131778 523636 5281 3813 304116 115137 8653 86636 21916 PNC FINANCIAL SERVICES GROUP INC THE AD6GFRVSDT01YPT1CS68 445568 487809 4393 5143 47830 384832 34873 10738 68317 TRUIST FINANCIAL CORPORATION JJKC32MCHWDI71265Z06 506229 325549 3602 22851 33400 197946 57140 10610 42018 NORTHERN TRUST CORPORATION 6PTKHDJ8HDUF78PFWH30 161709 293285 0 0 278106 14546 634 0 2028619 TD GROUP US HOLDINGS LLC 03D0JEWFDFUS0SEEKG89 447269 287612 29713 0 24711 231772 1416 0 020 CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 396878 270937 6433 0 13355 243923 1509 5717 8221 CITIZENS FINANCIAL GROUP INC DRMSV1Q0EKMEXLAU1P80 176981 216035 1477 0 25919 170025 15913 2702 10022 MUFG AMERICAS HOLDINGS CORPORATION OX3PU53ZLPQKJ4700D47 165696 211077 4625 1050 101678 99262 4329 132 77223 BNP PARIBAS USA INC 549300QVEGJN81E8T563 183085 160185 0 0 141862 16508 1815 0 924 REGIONS FINANCIAL CORPORATION EQTWLK1G7ODGC2MGLV11 133638 136029 856 30 12961 94334 20850 6998 1025 AMERIPRISE FINANCIAL INC 6ZLKQF7QB6JAEKQS5388 145691 132850 9423 4560 274 63542 53370 1681 2

TOP 25 HOLDING COMPANIES WITH DERIVATIVES $16958447 $267629991 $6766050 $14746895 $58538193 $140129163 $41380964 $6068726 $2159191

Note Currently the Y-9 report does not differentiate credit derivativ Note Before to the first quarter of 2005 total derivatives included spot FX Beginning in that quarter spot FX has been reported separatelyNote Numbers may not add up to total due to roundingSource Consolidated Financial Statements for Bank Holding Companies FR Y- 9 Schedule HC-L

NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTS (HOLDING COMPANIES)TOP 25 HOLDING COMPANIES IN DERIVATIVES

TABLE 3

LEGAL PERCENT PERCENT PERCENT PERCENT PERCENT PERCENT PERCENTENTITY TOTAL TOTAL EXCH TRADED OTC INT RATE FOREIGN EXCH EQUITY OTHER CREDIT

RANK BANK NAME INDENTIFIER ASSETS DERIVATIVES CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS DERIVATIVES() () () () () () ()

1 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 $2690959 $59611878 64 936 724 204 31 16 262 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 254668 47218470 69 931 869 126 01 00 043 CITIBANK NATIONAL ASSN E57ODZWZ7FF32TWEFA76 1632405 44200204 33 967 634 303 20 10 324 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 2031940 20272860 24 976 707 242 23 01 285 WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 1763696 13448328 43 957 933 33 21 06 066 HSBC NA 1IE8VN30JCEQV1H4R804 201886 4560165 20 980 645 302 20 13 217 STATE STREET BANKampTRUST CO 571474TGEMMWANRLN572 359196 2685928 01 999 10 980 00 11 008 BANK OF NEW YORK MELLON HPFHU0OQ28E4N0NFVK49 387037 1104939 04 996 246 753 01 00 009 U S BANK NATIONAL ASSN 6BYL5QZYBDK8S7L73M02 533129 651836 40 960 861 119 00 03 1710 PNC BANK NATIONAL ASSN AD6GFRVSDT01YPT1CS68 433803 490912 19 981 906 43 11 19 2211 TRUIST BANK JJKC32MCHWDI71265Z06 495079 301292 88 912 784 42 131 09 3312 NORTHERN TRUST CO 6PTKHDJ8HDUF78PFWH30 161164 295035 00 1000 56 943 02 00 0013 TD BANK NATIONAL ASSN 03D0JEWFDFUS0SEEKG89 355768 228523 00 1000 984 16 00 00 0014 CITIZENS BANK NATIONAL ASSN DRMSV1Q0EKMEXLAU1P80 176633 216035 07 993 913 74 00 00 1315 CAPITAL ONE NATIONAL ASSN 207ALC1P1YM0OVDV0K75 339216 200126 32 968 874 20 00 77 2916 MUFG UNION BANK NA OX3PU53ZLPQKJ4700D47 135038 185354 17 983 931 67 01 00 0117 REGIONS BANK EQTWLK1G7ODGC2MGLV11 132707 138379 06 994 925 13 00 11 5118 FIFTH THIRD BANK NA QFROUN1UWUYU0DVIWD51 183724 127521 11 989 766 109 21 64 4019 BOKF NATIONAL ASSN FU7RSW4CQQY98A2O7J66 46955 119847 20 980 958 05 01 35 0020 KEYBANK NATIONAL ASSN HUX2X73FUCYHUVH1BK78 154994 114285 12 988 896 55 00 40 0821 MANUFACTURERSampTRADERS TR CO WWB2V0FCW3A0EE3ZJN75 124147 98062 00 1000 993 07 00 00 0022 MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 178664 74590 01 999 417 416 14 00 15423 HUNTINGTON NATIONAL BANK 2WHM8VNJH63UN14OL754 113764 74532 01 999 889 28 05 35 4324 BBVA USA C90VT034M03BN29IRA40 93020 57670 42 958 943 33 06 00 1825 SANTANDER BANK N A TR24TWEY5RVRQV65HD49 87569 48030 00 1000 938 55 03 00 03

TOP 25 COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES $13067159 $196524802 $9766106 $186758695 $145129030 $42129549 $3658585 $1637778 $3969860OTHER COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 5145839 975447 4201 971246 898023 51858 2993 5953 16619TOTAL FOR COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 18212998 197500249 9770307 187729941 146027053 42181406 3661579 1643731 3986479

() () () () () () () ()TOP 25 COMMERCIAL BANKS SAs amp TCs OF TOTAL COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 995 49 946 735 213 19 08 20OTHER COMMERCIAL BANKS SAs amp TCs OF TOTAL COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 05 00 05 05 00 00 00 00TOTAL FOR COMMERCIAL BANKS SAs amp TCs OF TOTAL COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 1000 49 951 739 214 19 08 20

Note FX does not include spot FX

Note Other is defined as the sum of commodity and equity contractsNote Numbers may not add up to total due to roundingSource Call reports Schedule RC-L

DISTRIBUTION OF DERIVATIVE CONTRACTSTOP 25 COMMERCIAL BANKS SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

Note Currently the call report does not differentiate credit derivatives by over the counter or exchange traded Credit derivatives have been included in the over the counter category as well as in the sum of total derivatives here

TABLE 4

BILATERALLY TOTAL CREDIT ()LEGAL TOTAL NETTED CURRENT POTENTIAL EXPOSURE TOTAL CREDITENTITY TOTAL TOTAL RISK-BASED CREDIT FUTURE FROM ALL EXPOSURE

RANK BANK NAME INDENTIFIER ASSETS DERIVATIVES CAPITAL EXPOSURE EXPOSURE CONTRACTS TO CAPITAL1 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 $2690959 $59611878 $222994 $215184 $188969 $404153 1812 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 254668 47218470 35470 72438 40549 112987 3193 CITIBANK NATIONAL ASSN E57ODZWZ7FF32TWEFA76 1632405 44200204 153194 112102 98732 210834 1384 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 2031940 20272860 167936 59392 55159 114551 685 WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 1763696 13448328 169846 31982 19462 51444 306 HSBC NA 1IE8VN30JCEQV1H4R804 201886 4560165 23073 12584 13912 26496 1157 STATE STREET BANKampTRUST CO 571474TGEMMWANRLN572 359196 2685928 18638 12748 5776 18524 998 BANK OF NEW YORK MELLON HPFHU0OQ28E4N0NFVK49 387037 1104939 20541 7049 5567 12616 619 U S BANK NATIONAL ASSN 6BYL5QZYBDK8S7L73M02 533129 651836 50295 5987 9262 15249 3010 PNC BANK NATIONAL ASSN AD6GFRVSDT01YPT1CS68 433803 490912 38830 9405 -1903 7501 1911 TRUIST BANK JJKC32MCHWDI71265Z06 495079 301292 46535 5171 4302 9473 2012 NORTHERN TRUST CO 6PTKHDJ8HDUF78PFWH30 161164 295035 10517 4412 1473 5885 5613 TD BANK NATIONAL ASSN 03D0JEWFDFUS0SEEKG89 355768 228523 29418 237 1028 1266 414 CITIZENS BANK NATIONAL ASSN DRMSV1Q0EKMEXLAU1P80 176633 216035 18102 1915 1477 3392 1915 CAPITAL ONE NATIONAL ASSN 207ALC1P1YM0OVDV0K75 339216 200126 30428 6087 4923 11011 3616 MUFG UNION BANK NA OX3PU53ZLPQKJ4700D47 135038 185354 14915 2192 291 2483 1717 REGIONS BANK EQTWLK1G7ODGC2MGLV11 132707 138379 14078 1654 625 2279 1618 FIFTH THIRD BANK NA QFROUN1UWUYU0DVIWD51 183724 127521 19305 3262 1919 5181 2719 BOKF NATIONAL ASSN FU7RSW4CQQY98A2O7J66 46955 119847 3854 16 22 38 120 KEYBANK NATIONAL ASSN HUX2X73FUCYHUVH1BK78 154994 114285 16436 2447 1224 3671 2221 MANUFACTURERSampTRADERS TR CO WWB2V0FCW3A0EE3ZJN75 124147 98062 12385 1212 191 1404 1122 MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 178664 74590 17349 442 2423 2865 1723 HUNTINGTON NATIONAL BANK 2WHM8VNJH63UN14OL754 113764 74532 12241 2246 840 3086 2524 BBVA USA C90VT034M03BN29IRA40 93020 57670 9563 876 183 1059 1125 SANTANDER BANK N A TR24TWEY5RVRQV65HD49 87569 48030 10930 1463 402 1865 17

TOP 25 COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES $13067159 $196524802 $1166874 $572504 $456808 $1029312 88OTHER COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 5145839 975447 504144 21666 7474 29140 6TOTAL AMOUNT FOR COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 18212998 197500249 1671018 594170 464282 1058452 63

Note Total credit exposure is defined as the credit equivalent amount from derivative contracts (RC-R column B lines 20 and 21) which is the sum of netted current credit exposure and PFENote The total credit exposure to capital ratio is calculated using risk based capital (tier 1 plus tier 2 capital) Note Currently the call report does not differentiate credit derivatives by contract type Credit derivatives have been included in the sum of total derivatives hereNote Numbers may not add up to total due to roundingSource Call reports Schedule RC-R

CREDIT EQUIVALENT EXPOSURESTOP 25 COMMERCIAL BANKS SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

TABLE 5

TOTAL TOTAL LEGAL HELD FOR HELD FOR NOT FOR NOT FORENTITY TOTAL TOTAL TRADING TRADING TRADING TRADING

RANK BANK NAME INDENTIFIER ASSETS DERIVATIVES amp MTM amp MTM MTM MTM1 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 $2690959 $59611878 $57594796 992 $486512 082 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 254668 47218470 46985415 999 27202 013 CITIBANK NATIONAL ASSN E57ODZWZ7FF32TWEFA76 1632405 44200204 42640672 997 137181 034 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 2031940 20272860 19079757 968 631060 32

TOP 4 COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES $6609972 $171303412 $166300640 992 $1281955 08OTHER COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 11603026 26196837 23694679 914 2236496 86TOTAL AMOUNT FOR COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 18212998 197500249 189995319 982 3518451 18

Note Currently the call report does not differentiate between traded and not-traded credit derivatives Credit derivatives have been excluded from the sum of total derivatives hereNote Numbers may not add up to total due to roundingSource Call reports Schedule RC-L

NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTS HELD FOR TRADINGTOP 4 COMMERCIAL BANKS SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

TABLE 6

LEGAL GROSS GROSS GROSS GROSS GROSS GROSSENTITY TOTAL TOTAL POSITIVE NEGATIVE POSITIVE NEGATIVE POSITIVE NEGATIVE

RANK BANK NAME INDENTIFIER ASSETS DERIVATIVES FAIR VALUE FAIR VALUE FAIR VALUE FAIR VALUE FAIR VALUE FAIR VALUE1 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 $2690959 $59611878 $833356 $823043 $4417 $3926 $18188 $189852 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 254668 47218470 908818 902434 560 439 4952 47853 CITIBANK NATIONAL ASSN E57ODZWZ7FF32TWEFA76 1632405 44200204 616996 604130 3902 3902 17217 155524 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 2031940 20272860 251089 245368 26573 30462 7356 6799

TOP 4 COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES $6609972 $171303412 $2610259 $2574975 $35452 $38729 $47713 $46121OTHER COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 11603026 26196837 240686 225411 27573 23065 6136 5402TOTAL AMOUNT FOR COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 18212998 197500249 2850945 2800386 63025 61794 53849 51523

Note Currently the call report does not differentiate between traded and non-traded credit derivatives Credit derivatives have been included in the sum of total derivatives here Numbers may not sum due to roundingMarket value of contracts that have a positive fair value as of the end of the quarterMarket value of contracts that have a negative fair value as of the end of the quarterSource Call reports Schedule RC-L

GROSS FAIR VALUES OF DERIVATIVE CONTRACTSTOP 4 COMMERCIAL BANKS SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

TRADING NOT FOR TRADING CREDIT DERIVATIVES

TABLE 7

TOTAL TRADING TRADING REV TRADING REV TRADING REV TRADING REV TRADING REVLEGAL REV FROM CASH amp FROM FROM FROM FROM FROM ENTITY TOTAL TOTAL OFF BAL SHEET INT RATE FOREIGN EXCH EQUITY COMMOD amp OTH CREDIT

RANK BANK NAME INDENTIFIER ASSETS DERIVATIVES POSITIONS POSITIONS POSITIONS POSITIONS POSITIONS POSITIONS1 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 $2690959 $59611878 ($940) $643 $1261 ($2411) $389 ($822)2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 254668 47218470 232 907 (749) (147) 0 2213 CITIBANK NATIONAL ASSN E57ODZWZ7FF32TWEFA76 1632405 44200204 3880 709 1342 874 96 8594 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 2031940 20272860 1994 751 714 501 6 22

TOP 4 COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES $6609972 $171303412 $5166 $3010 $2568 ($1183) $491 $280OTHER COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 11603026 26196837 1522 1940 (401) 143 155 (314)TOTAL AMOUNT FOR COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 18212998 197500249 6688 4950 2167 (1040) 646 (34)

Note Trading revenue is defined here as trading revenue from cash instruments and off-balance-sheet derivative instrumentsNote Numbers may not add up to total due to roundingSource Call reports Schedule RI

Note Effective in the first quarter of 2007 trading revenues from credit exposures are reported separately along with the four other types of exposures The total derivatives column includes credit exposures

TRADING REVENUES FROM CASH INSTRUMENTS AND DERIVATIVESTOP 4 COMMERCIAL BANKS SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

MARCH 31 2020 MILLIONS OF DOLLARSNOTE REVENUE FIGURES ARE FOR THE QUARTER (NOT YEAR-TO-DATE)

TABLE 8

LEGAL INT RATE INT RATE INT RATE INT RATE FX and GOLD FX and GOLD FX and GOLD FX and GOLDENTITY TOTAL TOTAL MATURITY MATURITY MATURITY ALL MATURITY MATURITY MATURITY ALL

RANK BANK NAME INDENTIFIER ASSETS DERIVATIVES lt 1 YR 1 - 5 YRS gt 5 YRS MATURITIES lt 1 YR 1 - 5 YRS gt 5 YRS MATURITIES1 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 $2690959 $59611878 $35239356 $22117716 $5010678 $62367750 $7227683 $2053572 $1007192 $102884472 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 254668 47218470 21816239 7161975 6672839 35651053 4202988 736900 586008 55258963 CITIBANK NATIONAL ASSN E57ODZWZ7FF32TWEFA76 1632405 44200204 19969190 3359342 2762538 26091070 11549272 562369 206109 123177504 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 2031940 20272860 6625994 4905598 3059150 14590742 4228869 457878 223463 4910210

TOP 4 COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES $6609972 $171303412 $83650779 $37544631 $17505205 $138700615 $27208812 $3810719 $2022772 $33042303OTHER COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 11603026 26196837 9186919 5543761 3482076 18212756 4361251 316928 129665 4807844TOTAL AMOUNT FOR COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 18212998 197500249 92837698 43088392 20987281 156913371 31570063 4127647 2152437 37850147

Note Figures above exclude any contracts not subject to risk-based capital requirements such as FX contracts with an original maturity of 14 days or less futures contracts written options and basis swapsTherefore the total notional amount of derivatives by maturity will not add to the total derivatives figure in this table

Note Numbers may not add up to total due to roundingNote Effective 2015 Q1 the reporting form and call report instructions changed Schedule RC-R now requires banks to report FX and gold notional amounts in aggregate rather than separatelySource Call reports Schedule RC-R

NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTS BY CONTRACT TYPE AND MATURITY (INTEREST RATE FX AND GOLD)TOP 4 COMMERCIAL BANKS SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

TABLE 9

LEGAL PREC METALS PREC METALS PREC METALS PREC METALSENTITY TOTAL TOTAL MATURITY MATURITY MATURITY ALL

RANK BANK NAME INDENTIFIER ASSETS DERIVATIVES lt 1 YR 1 - 5 YRS gt 5 YRS MATURITIES1 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 $2690959 $59611878 $27887 $1483 $0 $293702 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 254668 47218470 0 0 0 03 CITIBANK NATIONAL ASSN E57ODZWZ7FF32TWEFA76 1632405 44200204 7149 357 0 75064 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 2031940 20272860 173 0 0 173

TOP 4 COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES $6609972 $171303412 $35209 $1840 $0 $37049OTHER COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 11603026 26196837 11527 798 0 12325TOTAL FOR COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 18212998 197500249 46736 2638 0 49374

Note

Note Numbers may not add up to total due to roundingSource Call reports Schedule RC-R

NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTS BY CONTRACT TYPE amp MATURITY (PRECIOUS METALS)TOP 4 COMMERCIAL BANKS SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

Figures above exclude any contracts not subject to risk-based capital requirements such as FX contracts with an original maturity of 14 days or less futures contracts written options and basis swaps Therefore the total notional amount of derivatives by maturity will not add to the total derivatives figure in this table

TABLE 10

LEGAL OTHER COMM OTHER COMM OTHER COMM OTHER COMM EQUITY EQUITY EQUITY EQUITYENTITY TOTAL TOTAL MATURITY MATURITY MATURITY ALL MATURITY MATURITY MATURITY ALL

TOP 4 COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES $6609972 $171303412 $815748 $151922 $8754 $976424 $2753647 $703384 $112256 $3569287OTHER COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 11603026 26196837 61483 99310 136 160929 205806 76407 12236 294449TOTAL FOR COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 18212998 197500249 877231 251232 8890 1137353 2959453 779791 124492 3863736

Note Figures above exclude any contracts not subject to risk-based capital requirements such as FX contracts with an original maturity of 14 days or less futures contracts written options and basis swaps Therefore the total notional amount of derivatives by maturity will not add to the total derivatives figure in this tableNote Numbers may not add up to total due to roundingSource Call reports Schedule RC-R

NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTS BY CONTRACT TYPE AND MATURITY (OTHER COMMODITY AND EQUITY)TOP 4 COMMERCIAL BANKS SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

TABLE 11

LEGALENTITY TOTAL TOTAL TOTAL CREDIT MATURITY MATURITY MATURITY ALL MATURITY MATURITY MATURITY ALL

RANK BANK NAME INDENTIFIER ASSETS DERIVATIVES DERIVATIVES lt 1 YR 1 - 5 YRS gt 5 YRS MATURITIES lt 1 YR 1 - 5 YRS gt 5 YRS MATURITIES1 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 $2690959 $59611878 $1530570 $243614 $754741 $168611 $1166966 $84828 $235727 $43049 $3636042 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 254668 47218470 205853 16966 66418 23983 107367 10538 74218 13730 984863 CITIBANK NATIONAL ASSN E57ODZWZ7FF32TWEFA76 1632405 44200204 1422351 257974 713449 117035 1088458 80970 237598 15325 3338934 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 2031940 20272860 562043 164941 200702 37622 403265 56611 90934 11233 158778

TOP 4 COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES $6609972 $171303412 $3720817 $683495 $1735310 $347251 $2766056 $232947 $638477 $83337 $954761OTHER COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 11603026 26196837 265662 42072 63469 19901 125442 14206 104744 21271 140220TOTAL AMOUNT FOR COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 18212998 197500249 3986479 725567 1798779 367152 2891498 247153 743221 104608 1094981

Note Figures above exclude any contracts not subject to risk-based capital requirements such as FX contracts with an original maturity of 14 days or less futures contracts written options and basis swaps Therefore the total notional amount of derivatives by maturity will not add to the total derivatives figure in this tableNote Numbers may not add up to total due to roundingSource Call reports Schedule RC-L and RC-R

INVESTMENT GRADE SUB-INVESTMENT GRADE

NOTIONAL AMOUNTS OF CREDIT DERIVATIVE CONTRACTS BY CONTRACT TYPE AND MATURITY (INVESTMENT GRADE AND SUB-INVESTMENT GRADE)TOP 4 COMMERCIAL BANKS SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

CREDIT DERIVATIVES CREDIT DERIVATIVES

TABLE 12

LEGAL TOTAL CREDIT TOTAL OTHER CREDIT TOTAL OTHERENTITY TOTAL TOTAL CREDIT DEFAULT RETURN CREDIT CREDIT DEFAULT RETURN CREDIT CREDIT

RANK BANK NAME INDENTIFIER ASSETS DERIVATIVES DERVATIVES PURCHASED SOLD SWAPS SWAPS OPTIONS DERIVATIVES SWAPS SWAPS OPTIONS DERIVATIVES1 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 $2690959 $59611878 $1530570 $779403 $751167 $710758 $19034 $45531 $4080 $691910 $7801 $51409 $472 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 254668 47218470 205853 120221 85632 103478 5063 3195 8485 80696 2763 1814 3593 CITIBANK NATIONAL ASSN E57ODZWZ7FF32TWEFA76 1632405 44200204 1422351 740520 681831 704914 14812 20794 0 657431 5130 19270 04 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 2031940 20272860 562043 290148 271895 223083 9470 57595 0 205249 12031 54615 05 WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 1763696 13448328 84370 41390 42980 6460 14290 400 20240 4989 26152 0 118396 HSBC NA 1IE8VN30JCEQV1H4R804 201886 4560165 95363 54327 41036 42885 11442 0 0 39780 1255 0 07 STATE STREET BANKampTRUST CO 571474TGEMMWANRLN572 359196 2685928 0 0 0 0 0 0 0 0 0 0 08 BANK OF NEW YORK MELLON HPFHU0OQ28E4N0NFVK49 387037 1104939 165 165 0 165 0 0 0 0 0 0 09 U S BANK NATIONAL ASSN 6BYL5QZYBDK8S7L73M02 533129 651836 11052 3862 7190 1216 0 0 2646 75 0 0 711510 PNC BANK NATIONAL ASSN AD6GFRVSDT01YPT1CS68 433803 490912 10738 3252 7486 0 0 0 3252 0 0 0 748611 TRUIST BANK JJKC32MCHWDI71265Z06 495079 301292 9932 4366 5566 1032 1924 0 1410 147 0 0 541912 NORTHERN TRUST CO 6PTKHDJ8HDUF78PFWH30 161164 295035 0 0 0 0 0 0 0 0 0 0 013 TD BANK NATIONAL ASSN 03D0JEWFDFUS0SEEKG89 355768 228523 0 0 0 0 0 0 0 0 0 0 014 CITIZENS BANK NATIONAL ASSN DRMSV1Q0EKMEXLAU1P80 176633 216035 2702 0 2702 0 0 0 0 0 0 0 270215 CAPITAL ONE NATIONAL ASSN 207ALC1P1YM0OVDV0K75 339216 200126 5717 2156 3561 0 0 0 2156 0 0 0 356116 MUFG UNION BANK NA OX3PU53ZLPQKJ4700D47 135038 185354 132 132 0 132 0 0 0 0 0 0 017 REGIONS BANK EQTWLK1G7ODGC2MGLV11 132707 138379 6998 2568 4430 42 0 0 2526 42 0 0 438818 FIFTH THIRD BANK NA QFROUN1UWUYU0DVIWD51 183724 127521 5088 1395 3693 0 0 0 1395 0 0 0 369319 BOKF NATIONAL ASSN FU7RSW4CQQY98A2O7J66 46955 119847 22 4 18 4 0 0 0 18 0 0 020 KEYBANK NATIONAL ASSN HUX2X73FUCYHUVH1BK78 154994 114285 934 439 495 439 0 0 0 402 93 0 021 MANUFACTURERSampTRADERS TR CO WWB2V0FCW3A0EE3ZJN75 124147 98062 0 0 0 0 0 0 0 0 0 0 022 MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 178664 74590 11479 9409 2070 8930 0 479 0 2070 0 0 023 HUNTINGTON NATIONAL BANK 2WHM8VNJH63UN14OL754 113764 74532 3175 2386 789 0 0 0 2386 0 0 0 78924 BBVA USA C90VT034M03BN29IRA40 93020 57670 1013 7 1005 7 0 0 0 1005 0 0 025 SANTANDER BANK N A TR24TWEY5RVRQV65HD49 87569 48030 164 11 153 11 0 0 0 153 0 0 0

TOP 25 COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES $13067159 $196524802 $3969860 $2056162 $1913698 $1803557 $76035 $127994 $48576 $1683967 $55225 $127108 $47398OTHER COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 5145839 975447 16619 8191 8428 355 3385 0 4450 1090 2 0 7337TOTAL AMOUNT FOR COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 18212998 197500249 3986479 2064352 1922127 1803912 79420 127994 53026 1685057 55227 127108 54735

() () () () () () () () () () ()TOP 25 COMMERCIAL BANKS SAs amp TCs OF TOTAL COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 996 516 480 452 19 32 12 422 14 32 12OTHER COMMERCIAL BANKS SAs amp TCs OF TOTAL COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 04 02 02 00 01 00 01 00 00 00 02TOTAL AMOUNT FOR COMMERCIAL BANKS SAs amp TCs OF TOTAL COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 1000 518 482 453 20 32 13 423 14 32 14

Note Credit derivatives have been excluded from the sum of total derivatives hereNote Numbers may not add up to total due to roundingSource Call reports Schedule RC-L

DERIVATIVES

DISTRIBUTION OF CREDIT DERIVATIVE CONTRACTS HELD FOR TRADINGTOP 25 COMMERCIAL BANKS SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

TOTAL CREDIT PURCHASED SOLD

TABLE 13

Call Report Schedule SUA Gross Notional Amount of Derivatives 1Q20 4Q19 3Q19 2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17

Total gross notional amount of interest rate derivatives held for trading $4476 $2293 $2526 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655Total gross notional amount of all other derivatives held for trading $48 $33 $30 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2Total gross notional amount of interest rate derivatives not held for trading $37572 $20044 $18527 $11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154Total gross notional amount of all other derivatives not held for trading $1171 $631 $546 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Call Report Schedule RC-RA Notional principal amounts of over-the-counter derivative contracts covered by the regulatory capital rules

a Interest rate Data Not Reported $12435 Data Not Reported $7177 $5858 $4147 $4459 $4584 $4471 $3847 $4657 $5024 $4758b Foreign exchange rate and gold $18 $4 $5 $3 $4 $5 $429 $0 $0 $0 $0c Credit (investment grade reference asset) $166 $39 $41 $35 $17 $14 $14 $13 $14 $8 $4d Credit (non-investment grade reference asset) $61 $25 $25 $12 $12 $12 $11 $11 $11 $11 $11e Equity $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0g Other $9 $5 $5 $5 $5 $5 $5 $5 $5 $5 $5f Precious metals (except gold) $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0

B Notional principal amounts of centrally cleared derivative contracts covered by the regulatory capital rules a Interest rate $161 $168 $686 $1937 $2731 $3169 $129 $249 $343 $178 $158b Foreign exchange rate and gold $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0c Credit (investment grade reference asset) $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $4d Credit (non-investment grade reference asset) $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0e Equity $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0f Precious metals (except gold) $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0g Other $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0

C Current credit exposure across all derivative contracts covered by the regulatory capital rules $140 $95 $59 $49 $76 $119 $62 $44 $57 $49 $39

Source Call reports Schedule SU and Schedule RC-RBeginning September 30 2019 the eligibility to file the FFIEC 051 Call Report expanded from banks with total assets less than $1 billion to include banks with less than $5 billion in total assetsBeginning September 30 2019 banks filing the FFIEC 051 Call Report complete this information from schedule RC-R in the June and December reports only

COMMERCIAL BANKS SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVESDERIVATIVES DATA REPORTED BY FFIEC 051 FILERS

Quarterly Report on Bank Trading and Derivatives Activities First Quarter 2020
- Contents
- About This Report
- Executive Summary
- Revenue
- - Insured US Commercial Banks and Savings Associationsrsquo Trading Revenue
  - Holding Company Trading Revenue
  - Bank Trading Revenue as a Percentage of Consolidated Holding Company Trading Revenue
  - - Counterparty Credit Risk
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Level 3 Trading Assets
      - Notional Amounts of All Derivative Contracts
      - Credit Derivatives
      - Compression Activity
      - Centrally Cleared Derivative Contracts
      - Glossary of Terms
        
        Index of Tables and Figures
        
        Appendix Supplementary Graphs and Tables

Page 2: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

Quarterly Derivatives Report First Quarter 2020 i

Contents About This Report 1 Executive Summary 1 Revenue 2

Insured US Commercial Banks and Savings Associationsrsquo Trading Revenue 2 Holding Company Trading Revenue 2 Bank Trading Revenue as a Percentage of Consolidated Holding Company

Trading Revenue 3 Counterparty Credit Risk 3 Market Risk 8

Value-at-Risk 8 Volatility Index 8 Level 3 Trading Assets 9 Notional Amounts of All Derivative Contracts 10 Credit Derivatives 11 Compression Activity 12 Centrally Cleared Derivative Contracts 13

Glossary of Terms 14 Index of Tables and Figures 16 Appendix Supplementary Graphs and Tables 17

1Q

2020 4Q

2019 QQ

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2020 4Q

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Banks and

FV banks and

US gov agency

Corp bonds

Equity securities

1Q 2020 446 225 107 16 19 43 144 4Q 2019 344 245 116 17 23 76 177 4Q 2018 372 233 108 22 21 71 172 4Q 2017 376 255 103 19 25 57 165 4Q 2016 401 315 81 17 16 50 120 4Q 2015 437 317 46 16 14 53 117

JPMorgan Chase Bank

America NA

Goldman Sachs Bank

JPMorgan Chase Bank

America NA

Goldman Sachs Bank

Source Bloomberg

1Q 2020 4Q 2019

QQ Change

QQ Change 1Q 2019

YY Change

1Q 2020 4Q 2019 QQ

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Source LCH Clearnet

Interest

rate Foreign

1Q 2020 529 20 265 21 344 118 423 4Q 2019 467 17 248 28 264 115 371 3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 425 4Q 2018 510 12 257 80 293 175 398

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

llos

$2000 50

$2000 00

$1000 50

$1000 00

$50000

$0

Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

TotalNotional

Dealer(Trading)

3097

182437

$192952

6853

3018

180186

$190057

6562

3030

167873

$177466

5293

3057

156901

$165252

5304

3061

169971

$178335

4935

3069

177519

$185522

5090

2917

180344

$188351

4186

2785

165002

$171973

4345

2737

196712

$203795

4179

2737

200286

$207202

4342

2763

199891

$206995

4270

2447

169636

$176353

4145

2619

194518

$201282

4074

2850

197950

$204874

4183

3162

193912

$201256

3945

3077

164441

$171462

3986

3518

189995

$197500

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

4

1

9

6

0

1

9

8

0

68

61

05

39

75

4

3

1

9

$

1

7

4

5

2

8

1

4

6

47

61

66

39

14

3

9

7

$

1

4

9

0

3

4

0

3

7

5

61

80

79

42

63

3

9

7

$

1

2

1

4

6

3

6

4

8

7

41

88

47

41

19

3

9

7

$

1

3

4

3

2

0

7

8

9

5

42

93

63

52

3

2

9

6

$

1

9

2

6

9

8

9

8

5

56

08

73

69

09

3

0

8

$

1

0

1

9

8

6

4

7

33

30

51

94

10

4

3

2

$

1

2

7

5

9

1

2

0

6

9

00

23

24

11

59

4

3

5

1

3

$

1

2

1

5

8

0

4

2

7

0

9

16

03

66

31

17

4

3

1

2

$

1

2

9

5

6

9

8

6

0

6

5

9

74

25

62

47

09

3

4

1

3

$

1

2

9

8

1

9

3

7

3

5

9

55

20

93

41

10

3

4

1

3

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$

1

2

4

8

2

6

5

8

3

1

8

96

18

91

41

47

2

3

1

ToaOpintl tos

$

1

2

TotalSwaps

9

7

1

9

6

2

4

1

2

1

25

97

31

60

14ToaN toatloinl

2

4

1

$

1

2

7

2

3

9

6

2

0

6

5

88

77

31

58

55

1

2

0

1

6

$

1

2

7

0

9

8

7

4

2

1

48

62

13

90

15

1

2

8

3

$

1

7

8

2

0

7

5

1

2

20

88

47

56

1

6

9

$

00002$

00051$

00001$

0005$

nb

is

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

00002$

00051$

00001$

0005$

2020

Q1

$146027

42181

3662

1644

3986

197500

2019

Q4

$125056

37170

3796

1495

3945

171462

2018

Q4

$128174

39220

3374

1315

4270

176353

2017

Q4

$130417

32903

3080

1388

4186

171973

2016

Q4

$124488

31737

2475

1257

5293

165252

2015

Q4

$138369

32100

2395

1108

6986

180959

2014

Q4

$174687

33183

2537

1222

9449

221078

2013

Q4

$193084

28480

2028

1209

11191

235992

2012

Q4

$177650

27587

1970

1397

13190

221794

2011

Q4

$187866

25436

1606

1330

14759

230998

2010

Q4

$193399

20990

1364

1195

14151

231099

2009

Q4

$181454

16555

1685

979

14112

214786

2008

Q4

$175895

16224

2207

1061

16029

211416

2007

Q4

$129491

16614

2524

1067

15863

165559

2006

Q4

$107435

11900

2271

893

9020

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

nb

i

00052$

s

niolli

inb

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

Top4

0 10000900008000070000600005000040000300002000010 100 100 2000 0 1 3000 0 1 4000 0 1 5000 0 1 6000 0 1 7000 0 1 8000 0 1 9000 0 1 0000 0 2dfnollii ollso a

Inbillionsofdollars

TotalSwaps 98053 12546 110599

TotalNotional 171303 26197 197500

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

20

510

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

GoldmanSachs

2015 2016 2017 2018 2019 20

0

15

CitibankNA

2015 2016 2017 2018 2019 20

0

40

10

20

5

Q1

201

Q2

2

Q3 Q4 Q1

201

Q2

3

Q3 Q4 Q1

201

Q2

4

Q3 Q4 Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

20

Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134 124 138

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372 344 319

TOTAL

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176 164 173

it

feneNettgB

in

10

00

90

80

70

60

50

40

30

20

10

00

90

9

8

7

9

0

1

2

3

4

5

6

7

8

9

0

0 1 1 1 1 1 1 1 1 1 1 20 0 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019 20

00 809 814 813 810804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

$0

$500

$1000

$1500

inmillions

0000

0001

0002

0003

0004

0005

Charge-Offsas

NCCE

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

2001

Q2 Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4

Q1

2004

Q2 Q3 Q4 Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4

Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4 Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4

Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4 Q1

2015

Q2 Q3 Q4

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-Offs(Banks)

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

200

Q2

1

Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4 Q1

2004

Q2 Q3 Q4

Charge-O ffs(Banks)

00

-10

193

-10

-70

-30

20

-10

1073

3696

3700

758

212

282

660

590

737

253

329

299

314

323

1278

837

512

467

404

349

942

922

90

54

Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4 Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4

Charge-O ffs(Banks)

1

4

14

45

23

18

8

35

4

5

-7

-28

-16

-7

-6

-3

10

9

119

32

31

15

120

93

92

1192

847

1570

217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

83

1617

1601

68

72

92

91

73

69

85

76

64

54

35

26

133

73

87

84

63

61

43

36

83

14

13

56

17

15

9

8

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

668

1424

$3023

7062

342

161

867

3719

$1973

6420

118

353

734

2294

$2920

6006

634

296

681

5941

($1547)

8031

447

330

1595

1743

$3917

6981

128

211

1359

697

$4586

6940

566

300

1454

1608

$3011

5824

-178

324

1649

1811

$2220

7684

487

395

1624

2861

$2317

7384

215

286

1727

4569

$587

7059

141

346

1444

3130

$1998

4030

-476

274

-43

1971

$2305

10035

485

323

2895

2254

$4078

8081

30

-43

2464

2900

$2730

7198

43

1109

1805

2718

$1523

7194

34

600

1427

662

$4471

6688

-34

646

-1040

2167

$4950

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

14868

1482

969

4159

2899

$5359

11579

742

1003

3021

8007

($1193)

18198

3381

299

5939

2524

$6055

15376

1523

1317

5783

733

$6019

14861

1996

769

5123

1848

$5124

10721

-310

568

3867

2589

$4006

17229

1359

1177

5431

3900

$5361

14870

1848

779

7445

5133

($336)

13534

666

874

5222

3222

$3550

5513

-25

508

502

2530

$1997

24856

2903

1298

9215

3396

$8044

18359

1684

512

6083

3351

$6728

16423

1226

1045

4548

4241

$5363

15419

159

981

7387

1462

$5431

9036

257

1664

-4546

-288

$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

2

5

28

30

09

15

41

21

9

4

2

3

$2

2

9

1

2

6

2

5

4

5

4

91

58

42

82

40

21

7

3

2

$1

1

4

1

9

6

9

8

4

9

1

9

14

66

32

88

42

20

7

3

2

$9

4

5

0

5

8

5

6

8

0

2

25

61

35

43

48

25

7

3

2

$1

1

2

4

0

6

1

5

2

50

32

97

39

44

24

5

4

2

$4

6

1

0

6

8

5

0

8

3

8

4

50

94

29

41

39

16

5

4

3

2

$8

7

4

5

7

9

0

2

1

4

8

6

18

37

22

21

25

9

7

3

2

$8

7

0

2

1

9

5

3

7

4

2

77

41

46

83

23

10

7

4

2

1

$8

1

5

6

0

4

9

7

8

1

8

29

01

11

83

29

14

8

3

2

1

$2

0

8

2

7

3

1

5

6

3

1

0

78

27

41

76

31

15

8

3

2

1

$3

7

9

2

0

4

9

0

2

6

9

08

34

43

46

24

12

9

3

2

1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

7

9

7

4

12

39

63

04

24

13

IRlt1yr 8

3

2

1

$

IR1-5yr

8

6

8

0

5

2

R r

1

5

6I gt5ys

4

9

8

86

74

68

06

21

10

FXampGOLDlt1yr

5

4

3

1

$

FXampGOLD1-5yr

5

2

4

0

9

2

8

2

6

3

2FXampGOLDgt5yrs

90

72

77

16

6

3

2

1

$2

6

3

0

2

4

5

8

7

3

5

9

95

13

32

77

14

5

2

3

2

$3

3

5

8

1

9

8

2

8

84

76

98

57

13

6

1

2

1

$1

3

2

4

7

2

9

8

1

6

59

58

64

53

13

7

1

2

1

$1

4

7

0

6

2

8

0

1

4

8

35

04

31

45

11

5

1

2

1

$

00051$

nb

i

Rlt1y

FXampGold

r

0

0 $

I

00001$

0005$

0003$

0002$

0001$

s

niolli

s

niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

00PrcosMeasgt5yrs

1

i lt e u

$5

5

3

03

17

03

1$9

9

6

85

12

00

$4

1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 3: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

1Q

2020 4Q

2019 QQ

Change QQ

Change 1Q

2019 YY

Change YY

1Q

2020 4Q

2019 QQ

change QQ change

1Q 2019

YY change

1Q

2020 4Q

2019 QQ

Change QQ

Change 1Q

2019 YY

Change YY

1Q

2020 4Q

2019 QQ

Change QQ

Change 1Q

2019 YY

Change YY

1Q

2020 4Q

2019 QQ

Change QQ

Banks and

FV banks and

US gov agency

Corp bonds

Equity securities

1Q 2020 446 225 107 16 19 43 144 4Q 2019 344 245 116 17 23 76 177 4Q 2018 372 233 108 22 21 71 172 4Q 2017 376 255 103 19 25 57 165 4Q 2016 401 315 81 17 16 50 120 4Q 2015 437 317 46 16 14 53 117

JPMorgan Chase Bank

America NA

Goldman Sachs Bank

JPMorgan Chase Bank

America NA

Goldman Sachs Bank

Source Bloomberg

1Q 2020 4Q 2019

QQ Change

QQ Change 1Q 2019

YY Change

1Q 2020 4Q 2019 QQ

Change QQ

Change 1Q 2019 YY

Change YY

Source LCH Clearnet

Interest

rate Foreign

1Q 2020 529 20 265 21 344 118 423 4Q 2019 467 17 248 28 264 115 371 3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 425 4Q 2018 510 12 257 80 293 175 398

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

llos

$2000 50

$2000 00

$1000 50

$1000 00

$50000

$0

Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

TotalNotional

Dealer(Trading)

3097

182437

$192952

6853

3018

180186

$190057

6562

3030

167873

$177466

5293

3057

156901

$165252

5304

3061

169971

$178335

4935

3069

177519

$185522

5090

2917

180344

$188351

4186

2785

165002

$171973

4345

2737

196712

$203795

4179

2737

200286

$207202

4342

2763

199891

$206995

4270

2447

169636

$176353

4145

2619

194518

$201282

4074

2850

197950

$204874

4183

3162

193912

$201256

3945

3077

164441

$171462

3986

3518

189995

$197500

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

4

1

9

6

0

1

9

8

0

68

61

05

39

75

4

3

1

9

$

1

7

4

5

2

8

1

4

6

47

61

66

39

14

3

9

7

$

1

4

9

0

3

4

0

3

7

5

61

80

79

42

63

3

9

7

$

1

2

1

4

6

3

6

4

8

7

41

88

47

41

19

3

9

7

$

1

3

4

3

2

0

7

8

9

5

42

93

63

52

3

2

9

6

$

1

9

2

6

9

8

9

8

5

56

08

73

69

09

3

0

8

$

1

0

1

9

8

6

4

7

33

30

51

94

10

4

3

2

$

1

2

7

5

9

1

2

0

6

9

00

23

24

11

59

4

3

5

1

3

$

1

2

1

5

8

0

4

2

7

0

9

16

03

66

31

17

4

3

1

2

$

1

2

9

5

6

9

8

6

0

6

5

9

74

25

62

47

09

3

4

1

3

$

1

2

9

8

1

9

3

7

3

5

9

55

20

93

41

10

3

4

1

3

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$

1

2

4

8

2

6

5

8

3

1

8

96

18

91

41

47

2

3

1

ToaOpintl tos

$

1

2

TotalSwaps

9

7

1

9

6

2

4

1

2

1

25

97

31

60

14ToaN toatloinl

2

4

1

$

1

2

7

2

3

9

6

2

0

6

5

88

77

31

58

55

1

2

0

1

6

$

1

2

7

0

9

8

7

4

2

1

48

62

13

90

15

1

2

8

3

$

1

7

8

2

0

7

5

1

2

20

88

47

56

1

6

9

$

00002$

00051$

00001$

0005$

nb

is

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

00002$

00051$

00001$

0005$

2020

Q1

$146027

42181

3662

1644

3986

197500

2019

Q4

$125056

37170

3796

1495

3945

171462

2018

Q4

$128174

39220

3374

1315

4270

176353

2017

Q4

$130417

32903

3080

1388

4186

171973

2016

Q4

$124488

31737

2475

1257

5293

165252

2015

Q4

$138369

32100

2395

1108

6986

180959

2014

Q4

$174687

33183

2537

1222

9449

221078

2013

Q4

$193084

28480

2028

1209

11191

235992

2012

Q4

$177650

27587

1970

1397

13190

221794

2011

Q4

$187866

25436

1606

1330

14759

230998

2010

Q4

$193399

20990

1364

1195

14151

231099

2009

Q4

$181454

16555

1685

979

14112

214786

2008

Q4

$175895

16224

2207

1061

16029

211416

2007

Q4

$129491

16614

2524

1067

15863

165559

2006

Q4

$107435

11900

2271

893

9020

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

nb

i

00052$

s

niolli

inb

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

Top4

0 10000900008000070000600005000040000300002000010 100 100 2000 0 1 3000 0 1 4000 0 1 5000 0 1 6000 0 1 7000 0 1 8000 0 1 9000 0 1 0000 0 2dfnollii ollso a

Inbillionsofdollars

TotalSwaps 98053 12546 110599

TotalNotional 171303 26197 197500

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

20

510

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

GoldmanSachs

2015 2016 2017 2018 2019 20

0

15

CitibankNA

2015 2016 2017 2018 2019 20

0

40

10

20

5

Q1

201

Q2

2

Q3 Q4 Q1

201

Q2

3

Q3 Q4 Q1

201

Q2

4

Q3 Q4 Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

20

Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134 124 138

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372 344 319

TOTAL

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176 164 173

it

feneNettgB

in

10

00

90

80

70

60

50

40

30

20

10

00

90

9

8

7

9

0

1

2

3

4

5

6

7

8

9

0

0 1 1 1 1 1 1 1 1 1 1 20 0 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019 20

00 809 814 813 810804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

$0

$500

$1000

$1500

inmillions

0000

0001

0002

0003

0004

0005

Charge-Offsas

NCCE

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

2001

Q2 Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4

Q1

2004

Q2 Q3 Q4 Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4

Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4 Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4

Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4 Q1

2015

Q2 Q3 Q4

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-Offs(Banks)

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

200

Q2

1

Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4 Q1

2004

Q2 Q3 Q4

Charge-O ffs(Banks)

00

-10

193

-10

-70

-30

20

-10

1073

3696

3700

758

212

282

660

590

737

253

329

299

314

323

1278

837

512

467

404

349

942

922

90

54

Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4 Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4

Charge-O ffs(Banks)

1

4

14

45

23

18

8

35

4

5

-7

-28

-16

-7

-6

-3

10

9

119

32

31

15

120

93

92

1192

847

1570

217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

83

1617

1601

68

72

92

91

73

69

85

76

64

54

35

26

133

73

87

84

63

61

43

36

83

14

13

56

17

15

9

8

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

668

1424

$3023

7062

342

161

867

3719

$1973

6420

118

353

734

2294

$2920

6006

634

296

681

5941

($1547)

8031

447

330

1595

1743

$3917

6981

128

211

1359

697

$4586

6940

566

300

1454

1608

$3011

5824

-178

324

1649

1811

$2220

7684

487

395

1624

2861

$2317

7384

215

286

1727

4569

$587

7059

141

346

1444

3130

$1998

4030

-476

274

-43

1971

$2305

10035

485

323

2895

2254

$4078

8081

30

-43

2464

2900

$2730

7198

43

1109

1805

2718

$1523

7194

34

600

1427

662

$4471

6688

-34

646

-1040

2167

$4950

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

14868

1482

969

4159

2899

$5359

11579

742

1003

3021

8007

($1193)

18198

3381

299

5939

2524

$6055

15376

1523

1317

5783

733

$6019

14861

1996

769

5123

1848

$5124

10721

-310

568

3867

2589

$4006

17229

1359

1177

5431

3900

$5361

14870

1848

779

7445

5133

($336)

13534

666

874

5222

3222

$3550

5513

-25

508

502

2530

$1997

24856

2903

1298

9215

3396

$8044

18359

1684

512

6083

3351

$6728

16423

1226

1045

4548

4241

$5363

15419

159

981

7387

1462

$5431

9036

257

1664

-4546

-288

$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

2

5

28

30

09

15

41

21

9

4

2

3

$2

2

9

1

2

6

2

5

4

5

4

91

58

42

82

40

21

7

3

2

$1

1

4

1

9

6

9

8

4

9

1

9

14

66

32

88

42

20

7

3

2

$9

4

5

0

5

8

5

6

8

0

2

25

61

35

43

48

25

7

3

2

$1

1

2

4

0

6

1

5

2

50

32

97

39

44

24

5

4

2

$4

6

1

0

6

8

5

0

8

3

8

4

50

94

29

41

39

16

5

4

3

2

$8

7

4

5

7

9

0

2

1

4

8

6

18

37

22

21

25

9

7

3

2

$8

7

0

2

1

9

5

3

7

4

2

77

41

46

83

23

10

7

4

2

1

$8

1

5

6

0

4

9

7

8

1

8

29

01

11

83

29

14

8

3

2

1

$2

0

8

2

7

3

1

5

6

3

1

0

78

27

41

76

31

15

8

3

2

1

$3

7

9

2

0

4

9

0

2

6

9

08

34

43

46

24

12

9

3

2

1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

7

9

7

4

12

39

63

04

24

13

IRlt1yr 8

3

2

1

$

IR1-5yr

8

6

8

0

5

2

R r

1

5

6I gt5ys

4

9

8

86

74

68

06

21

10

FXampGOLDlt1yr

5

4

3

1

$

FXampGOLD1-5yr

5

2

4

0

9

2

8

2

6

3

2FXampGOLDgt5yrs

90

72

77

16

6

3

2

1

$2

6

3

0

2

4

5

8

7

3

5

9

95

13

32

77

14

5

2

3

2

$3

3

5

8

1

9

8

2

8

84

76

98

57

13

6

1

2

1

$1

3

2

4

7

2

9

8

1

6

59

58

64

53

13

7

1

2

1

$1

4

7

0

6

2

8

0

1

4

8

35

04

31

45

11

5

1

2

1

$

00051$

nb

i

Rlt1y

FXampGold

r

0

0 $

I

00001$

0005$

0003$

0002$

0001$

s

niolli

s

niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

00PrcosMeasgt5yrs

1

i lt e u

$5

5

3

03

17

03

1$9

9

6

85

12

00

$4

1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 4: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

1Q

2020 4Q

2019 QQ

Change QQ

Change 1Q

2019 YY

Change YY

1Q

2020 4Q

2019 QQ

change QQ change

1Q 2019

YY change

1Q

2020 4Q

2019 QQ

Change QQ

Change 1Q

2019 YY

Change YY

1Q

2020 4Q

2019 QQ

Change QQ

Change 1Q

2019 YY

Change YY

1Q

2020 4Q

2019 QQ

Change QQ

Banks and

FV banks and

US gov agency

Corp bonds

Equity securities

1Q 2020 446 225 107 16 19 43 144 4Q 2019 344 245 116 17 23 76 177 4Q 2018 372 233 108 22 21 71 172 4Q 2017 376 255 103 19 25 57 165 4Q 2016 401 315 81 17 16 50 120 4Q 2015 437 317 46 16 14 53 117

JPMorgan Chase Bank

America NA

Goldman Sachs Bank

JPMorgan Chase Bank

America NA

Goldman Sachs Bank

Source Bloomberg

1Q 2020 4Q 2019

QQ Change

QQ Change 1Q 2019

YY Change

1Q 2020 4Q 2019 QQ

Change QQ

Change 1Q 2019 YY

Change YY

Source LCH Clearnet

Interest

rate Foreign

1Q 2020 529 20 265 21 344 118 423 4Q 2019 467 17 248 28 264 115 371 3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 425 4Q 2018 510 12 257 80 293 175 398

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

llos

$2000 50

$2000 00

$1000 50

$1000 00

$50000

$0

Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

TotalNotional

Dealer(Trading)

3097

182437

$192952

6853

3018

180186

$190057

6562

3030

167873

$177466

5293

3057

156901

$165252

5304

3061

169971

$178335

4935

3069

177519

$185522

5090

2917

180344

$188351

4186

2785

165002

$171973

4345

2737

196712

$203795

4179

2737

200286

$207202

4342

2763

199891

$206995

4270

2447

169636

$176353

4145

2619

194518

$201282

4074

2850

197950

$204874

4183

3162

193912

$201256

3945

3077

164441

$171462

3986

3518

189995

$197500

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

4

1

9

6

0

1

9

8

0

68

61

05

39

75

4

3

1

9

$

1

7

4

5

2

8

1

4

6

47

61

66

39

14

3

9

7

$

1

4

9

0

3

4

0

3

7

5

61

80

79

42

63

3

9

7

$

1

2

1

4

6

3

6

4

8

7

41

88

47

41

19

3

9

7

$

1

3

4

3

2

0

7

8

9

5

42

93

63

52

3

2

9

6

$

1

9

2

6

9

8

9

8

5

56

08

73

69

09

3

0

8

$

1

0

1

9

8

6

4

7

33

30

51

94

10

4

3

2

$

1

2

7

5

9

1

2

0

6

9

00

23

24

11

59

4

3

5

1

3

$

1

2

1

5

8

0

4

2

7

0

9

16

03

66

31

17

4

3

1

2

$

1

2

9

5

6

9

8

6

0

6

5

9

74

25

62

47

09

3

4

1

3

$

1

2

9

8

1

9

3

7

3

5

9

55

20

93

41

10

3

4

1

3

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$

1

2

4

8

2

6

5

8

3

1

8

96

18

91

41

47

2

3

1

ToaOpintl tos

$

1

2

TotalSwaps

9

7

1

9

6

2

4

1

2

1

25

97

31

60

14ToaN toatloinl

2

4

1

$

1

2

7

2

3

9

6

2

0

6

5

88

77

31

58

55

1

2

0

1

6

$

1

2

7

0

9

8

7

4

2

1

48

62

13

90

15

1

2

8

3

$

1

7

8

2

0

7

5

1

2

20

88

47

56

1

6

9

$

00002$

00051$

00001$

0005$

nb

is

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

00002$

00051$

00001$

0005$

2020

Q1

$146027

42181

3662

1644

3986

197500

2019

Q4

$125056

37170

3796

1495

3945

171462

2018

Q4

$128174

39220

3374

1315

4270

176353

2017

Q4

$130417

32903

3080

1388

4186

171973

2016

Q4

$124488

31737

2475

1257

5293

165252

2015

Q4

$138369

32100

2395

1108

6986

180959

2014

Q4

$174687

33183

2537

1222

9449

221078

2013

Q4

$193084

28480

2028

1209

11191

235992

2012

Q4

$177650

27587

1970

1397

13190

221794

2011

Q4

$187866

25436

1606

1330

14759

230998

2010

Q4

$193399

20990

1364

1195

14151

231099

2009

Q4

$181454

16555

1685

979

14112

214786

2008

Q4

$175895

16224

2207

1061

16029

211416

2007

Q4

$129491

16614

2524

1067

15863

165559

2006

Q4

$107435

11900

2271

893

9020

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

nb

i

00052$

s

niolli

inb

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

Top4

0 10000900008000070000600005000040000300002000010 100 100 2000 0 1 3000 0 1 4000 0 1 5000 0 1 6000 0 1 7000 0 1 8000 0 1 9000 0 1 0000 0 2dfnollii ollso a

Inbillionsofdollars

TotalSwaps 98053 12546 110599

TotalNotional 171303 26197 197500

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

20

510

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

GoldmanSachs

2015 2016 2017 2018 2019 20

0

15

CitibankNA

2015 2016 2017 2018 2019 20

0

40

10

20

5

Q1

201

Q2

2

Q3 Q4 Q1

201

Q2

3

Q3 Q4 Q1

201

Q2

4

Q3 Q4 Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

20

Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134 124 138

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372 344 319

TOTAL

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176 164 173

it

feneNettgB

in

10

00

90

80

70

60

50

40

30

20

10

00

90

9

8

7

9

0

1

2

3

4

5

6

7

8

9

0

0 1 1 1 1 1 1 1 1 1 1 20 0 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019 20

00 809 814 813 810804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

$0

$500

$1000

$1500

inmillions

0000

0001

0002

0003

0004

0005

Charge-Offsas

NCCE

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

2001

Q2 Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4

Q1

2004

Q2 Q3 Q4 Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4

Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4 Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4

Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4 Q1

2015

Q2 Q3 Q4

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-Offs(Banks)

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

200

Q2

1

Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4 Q1

2004

Q2 Q3 Q4

Charge-O ffs(Banks)

00

-10

193

-10

-70

-30

20

-10

1073

3696

3700

758

212

282

660

590

737

253

329

299

314

323

1278

837

512

467

404

349

942

922

90

54

Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4 Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4

Charge-O ffs(Banks)

1

4

14

45

23

18

8

35

4

5

-7

-28

-16

-7

-6

-3

10

9

119

32

31

15

120

93

92

1192

847

1570

217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

83

1617

1601

68

72

92

91

73

69

85

76

64

54

35

26

133

73

87

84

63

61

43

36

83

14

13

56

17

15

9

8

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

668

1424

$3023

7062

342

161

867

3719

$1973

6420

118

353

734

2294

$2920

6006

634

296

681

5941

($1547)

8031

447

330

1595

1743

$3917

6981

128

211

1359

697

$4586

6940

566

300

1454

1608

$3011

5824

-178

324

1649

1811

$2220

7684

487

395

1624

2861

$2317

7384

215

286

1727

4569

$587

7059

141

346

1444

3130

$1998

4030

-476

274

-43

1971

$2305

10035

485

323

2895

2254

$4078

8081

30

-43

2464

2900

$2730

7198

43

1109

1805

2718

$1523

7194

34

600

1427

662

$4471

6688

-34

646

-1040

2167

$4950

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

14868

1482

969

4159

2899

$5359

11579

742

1003

3021

8007

($1193)

18198

3381

299

5939

2524

$6055

15376

1523

1317

5783

733

$6019

14861

1996

769

5123

1848

$5124

10721

-310

568

3867

2589

$4006

17229

1359

1177

5431

3900

$5361

14870

1848

779

7445

5133

($336)

13534

666

874

5222

3222

$3550

5513

-25

508

502

2530

$1997

24856

2903

1298

9215

3396

$8044

18359

1684

512

6083

3351

$6728

16423

1226

1045

4548

4241

$5363

15419

159

981

7387

1462

$5431

9036

257

1664

-4546

-288

$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

2

5

28

30

09

15

41

21

9

4

2

3

$2

2

9

1

2

6

2

5

4

5

4

91

58

42

82

40

21

7

3

2

$1

1

4

1

9

6

9

8

4

9

1

9

14

66

32

88

42

20

7

3

2

$9

4

5

0

5

8

5

6

8

0

2

25

61

35

43

48

25

7

3

2

$1

1

2

4

0

6

1

5

2

50

32

97

39

44

24

5

4

2

$4

6

1

0

6

8

5

0

8

3

8

4

50

94

29

41

39

16

5

4

3

2

$8

7

4

5

7

9

0

2

1

4

8

6

18

37

22

21

25

9

7

3

2

$8

7

0

2

1

9

5

3

7

4

2

77

41

46

83

23

10

7

4

2

1

$8

1

5

6

0

4

9

7

8

1

8

29

01

11

83

29

14

8

3

2

1

$2

0

8

2

7

3

1

5

6

3

1

0

78

27

41

76

31

15

8

3

2

1

$3

7

9

2

0

4

9

0

2

6

9

08

34

43

46

24

12

9

3

2

1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

7

9

7

4

12

39

63

04

24

13

IRlt1yr 8

3

2

1

$

IR1-5yr

8

6

8

0

5

2

R r

1

5

6I gt5ys

4

9

8

86

74

68

06

21

10

FXampGOLDlt1yr

5

4

3

1

$

FXampGOLD1-5yr

5

2

4

0

9

2

8

2

6

3

2FXampGOLDgt5yrs

90

72

77

16

6

3

2

1

$2

6

3

0

2

4

5

8

7

3

5

9

95

13

32

77

14

5

2

3

2

$3

3

5

8

1

9

8

2

8

84

76

98

57

13

6

1

2

1

$1

3

2

4

7

2

9

8

1

6

59

58

64

53

13

7

1

2

1

$1

4

7

0

6

2

8

0

1

4

8

35

04

31

45

11

5

1

2

1

$

00051$

nb

i

Rlt1y

FXampGold

r

0

0 $

I

00001$

0005$

0003$

0002$

0001$

s

niolli

s

niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

00PrcosMeasgt5yrs

1

i lt e u

$5

5

3

03

17

03

1$9

9

6

85

12

00

$4

1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 5: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

1Q

2020 4Q

2019 QQ

Change QQ

Change 1Q

2019 YY

Change YY

1Q

2020 4Q

2019 QQ

Change QQ

Change 1Q

2019 YY

Change YY

1Q

2020 4Q

2019 QQ

Change QQ

Banks and

FV banks and

US gov agency

Corp bonds

Equity securities

1Q 2020 446 225 107 16 19 43 144 4Q 2019 344 245 116 17 23 76 177 4Q 2018 372 233 108 22 21 71 172 4Q 2017 376 255 103 19 25 57 165 4Q 2016 401 315 81 17 16 50 120 4Q 2015 437 317 46 16 14 53 117

JPMorgan Chase Bank

America NA

Goldman Sachs Bank

JPMorgan Chase Bank

America NA

Goldman Sachs Bank

Source Bloomberg

1Q 2020 4Q 2019

QQ Change

QQ Change 1Q 2019

YY Change

1Q 2020 4Q 2019 QQ

Change QQ

Change 1Q 2019 YY

Change YY

Source LCH Clearnet

Interest

rate Foreign

1Q 2020 529 20 265 21 344 118 423 4Q 2019 467 17 248 28 264 115 371 3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 425 4Q 2018 510 12 257 80 293 175 398

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

llos

$2000 50

$2000 00

$1000 50

$1000 00

$50000

$0

Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

TotalNotional

Dealer(Trading)

3097

182437

$192952

6853

3018

180186

$190057

6562

3030

167873

$177466

5293

3057

156901

$165252

5304

3061

169971

$178335

4935

3069

177519

$185522

5090

2917

180344

$188351

4186

2785

165002

$171973

4345

2737

196712

$203795

4179

2737

200286

$207202

4342

2763

199891

$206995

4270

2447

169636

$176353

4145

2619

194518

$201282

4074

2850

197950

$204874

4183

3162

193912

$201256

3945

3077

164441

$171462

3986

3518

189995

$197500

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

4

1

9

6

0

1

9

8

0

68

61

05

39

75

4

3

1

9

$

1

7

4

5

2

8

1

4

6

47

61

66

39

14

3

9

7

$

1

4

9

0

3

4

0

3

7

5

61

80

79

42

63

3

9

7

$

1

2

1

4

6

3

6

4

8

7

41

88

47

41

19

3

9

7

$

1

3

4

3

2

0

7

8

9

5

42

93

63

52

3

2

9

6

$

1

9

2

6

9

8

9

8

5

56

08

73

69

09

3

0

8

$

1

0

1

9

8

6

4

7

33

30

51

94

10

4

3

2

$

1

2

7

5

9

1

2

0

6

9

00

23

24

11

59

4

3

5

1

3

$

1

2

1

5

8

0

4

2

7

0

9

16

03

66

31

17

4

3

1

2

$

1

2

9

5

6

9

8

6

0

6

5

9

74

25

62

47

09

3

4

1

3

$

1

2

9

8

1

9

3

7

3

5

9

55

20

93

41

10

3

4

1

3

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$

1

2

4

8

2

6

5

8

3

1

8

96

18

91

41

47

2

3

1

ToaOpintl tos

$

1

2

TotalSwaps

9

7

1

9

6

2

4

1

2

1

25

97

31

60

14ToaN toatloinl

2

4

1

$

1

2

7

2

3

9

6

2

0

6

5

88

77

31

58

55

1

2

0

1

6

$

1

2

7

0

9

8

7

4

2

1

48

62

13

90

15

1

2

8

3

$

1

7

8

2

0

7

5

1

2

20

88

47

56

1

6

9

$

00002$

00051$

00001$

0005$

nb

is

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

00002$

00051$

00001$

0005$

2020

Q1

$146027

42181

3662

1644

3986

197500

2019

Q4

$125056

37170

3796

1495

3945

171462

2018

Q4

$128174

39220

3374

1315

4270

176353

2017

Q4

$130417

32903

3080

1388

4186

171973

2016

Q4

$124488

31737

2475

1257

5293

165252

2015

Q4

$138369

32100

2395

1108

6986

180959

2014

Q4

$174687

33183

2537

1222

9449

221078

2013

Q4

$193084

28480

2028

1209

11191

235992

2012

Q4

$177650

27587

1970

1397

13190

221794

2011

Q4

$187866

25436

1606

1330

14759

230998

2010

Q4

$193399

20990

1364

1195

14151

231099

2009

Q4

$181454

16555

1685

979

14112

214786

2008

Q4

$175895

16224

2207

1061

16029

211416

2007

Q4

$129491

16614

2524

1067

15863

165559

2006

Q4

$107435

11900

2271

893

9020

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

nb

i

00052$

s

niolli

inb

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

Top4

0 10000900008000070000600005000040000300002000010 100 100 2000 0 1 3000 0 1 4000 0 1 5000 0 1 6000 0 1 7000 0 1 8000 0 1 9000 0 1 0000 0 2dfnollii ollso a

Inbillionsofdollars

TotalSwaps 98053 12546 110599

TotalNotional 171303 26197 197500

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

20

510

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

GoldmanSachs

2015 2016 2017 2018 2019 20

0

15

CitibankNA

2015 2016 2017 2018 2019 20

0

40

10

20

5

Q1

201

Q2

2

Q3 Q4 Q1

201

Q2

3

Q3 Q4 Q1

201

Q2

4

Q3 Q4 Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

20

Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134 124 138

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372 344 319

TOTAL

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176 164 173

it

feneNettgB

in

10

00

90

80

70

60

50

40

30

20

10

00

90

9

8

7

9

0

1

2

3

4

5

6

7

8

9

0

0 1 1 1 1 1 1 1 1 1 1 20 0 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019 20

00 809 814 813 810804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

$0

$500

$1000

$1500

inmillions

0000

0001

0002

0003

0004

0005

Charge-Offsas

NCCE

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

2001

Q2 Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4

Q1

2004

Q2 Q3 Q4 Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4

Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4 Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4

Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4 Q1

2015

Q2 Q3 Q4

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-Offs(Banks)

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

200

Q2

1

Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4 Q1

2004

Q2 Q3 Q4

Charge-O ffs(Banks)

00

-10

193

-10

-70

-30

20

-10

1073

3696

3700

758

212

282

660

590

737

253

329

299

314

323

1278

837

512

467

404

349

942

922

90

54

Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4 Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4

Charge-O ffs(Banks)

1

4

14

45

23

18

8

35

4

5

-7

-28

-16

-7

-6

-3

10

9

119

32

31

15

120

93

92

1192

847

1570

217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

83

1617

1601

68

72

92

91

73

69

85

76

64

54

35

26

133

73

87

84

63

61

43

36

83

14

13

56

17

15

9

8

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

668

1424

$3023

7062

342

161

867

3719

$1973

6420

118

353

734

2294

$2920

6006

634

296

681

5941

($1547)

8031

447

330

1595

1743

$3917

6981

128

211

1359

697

$4586

6940

566

300

1454

1608

$3011

5824

-178

324

1649

1811

$2220

7684

487

395

1624

2861

$2317

7384

215

286

1727

4569

$587

7059

141

346

1444

3130

$1998

4030

-476

274

-43

1971

$2305

10035

485

323

2895

2254

$4078

8081

30

-43

2464

2900

$2730

7198

43

1109

1805

2718

$1523

7194

34

600

1427

662

$4471

6688

-34

646

-1040

2167

$4950

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

14868

1482

969

4159

2899

$5359

11579

742

1003

3021

8007

($1193)

18198

3381

299

5939

2524

$6055

15376

1523

1317

5783

733

$6019

14861

1996

769

5123

1848

$5124

10721

-310

568

3867

2589

$4006

17229

1359

1177

5431

3900

$5361

14870

1848

779

7445

5133

($336)

13534

666

874

5222

3222

$3550

5513

-25

508

502

2530

$1997

24856

2903

1298

9215

3396

$8044

18359

1684

512

6083

3351

$6728

16423

1226

1045

4548

4241

$5363

15419

159

981

7387

1462

$5431

9036

257

1664

-4546

-288

$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

2

5

28

30

09

15

41

21

9

4

2

3

$2

2

9

1

2

6

2

5

4

5

4

91

58

42

82

40

21

7

3

2

$1

1

4

1

9

6

9

8

4

9

1

9

14

66

32

88

42

20

7

3

2

$9

4

5

0

5

8

5

6

8

0

2

25

61

35

43

48

25

7

3

2

$1

1

2

4

0

6

1

5

2

50

32

97

39

44

24

5

4

2

$4

6

1

0

6

8

5

0

8

3

8

4

50

94

29

41

39

16

5

4

3

2

$8

7

4

5

7

9

0

2

1

4

8

6

18

37

22

21

25

9

7

3

2

$8

7

0

2

1

9

5

3

7

4

2

77

41

46

83

23

10

7

4

2

1

$8

1

5

6

0

4

9

7

8

1

8

29

01

11

83

29

14

8

3

2

1

$2

0

8

2

7

3

1

5

6

3

1

0

78

27

41

76

31

15

8

3

2

1

$3

7

9

2

0

4

9

0

2

6

9

08

34

43

46

24

12

9

3

2

1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

7

9

7

4

12

39

63

04

24

13

IRlt1yr 8

3

2

1

$

IR1-5yr

8

6

8

0

5

2

R r

1

5

6I gt5ys

4

9

8

86

74

68

06

21

10

FXampGOLDlt1yr

5

4

3

1

$

FXampGOLD1-5yr

5

2

4

0

9

2

8

2

6

3

2FXampGOLDgt5yrs

90

72

77

16

6

3

2

1

$2

6

3

0

2

4

5

8

7

3

5

9

95

13

32

77

14

5

2

3

2

$3

3

5

8

1

9

8

2

8

84

76

98

57

13

6

1

2

1

$1

3

2

4

7

2

9

8

1

6

59

58

64

53

13

7

1

2

1

$1

4

7

0

6

2

8

0

1

4

8

35

04

31

45

11

5

1

2

1

$

00051$

nb

i

Rlt1y

FXampGold

r

0

0 $

I

00001$

0005$

0003$

0002$

0001$

s

niolli

s

niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

00PrcosMeasgt5yrs

1

i lt e u

$5

5

3

03

17

03

1$9

9

6

85

12

00

$4

1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 6: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

1Q

2020 4Q

2019 QQ

Change QQ

Change 1Q

2019 YY

Change YY

1Q

2020 4Q

2019 QQ

Change QQ

Change 1Q

2019 YY

Change YY

1Q

2020 4Q

2019 QQ

Change QQ

Banks and

FV banks and

US gov agency

Corp bonds

Equity securities

1Q 2020 446 225 107 16 19 43 144 4Q 2019 344 245 116 17 23 76 177 4Q 2018 372 233 108 22 21 71 172 4Q 2017 376 255 103 19 25 57 165 4Q 2016 401 315 81 17 16 50 120 4Q 2015 437 317 46 16 14 53 117

JPMorgan Chase Bank

America NA

Goldman Sachs Bank

JPMorgan Chase Bank

America NA

Goldman Sachs Bank

Source Bloomberg

1Q 2020 4Q 2019

QQ Change

QQ Change 1Q 2019

YY Change

1Q 2020 4Q 2019 QQ

Change QQ

Change 1Q 2019 YY

Change YY

Source LCH Clearnet

Interest

rate Foreign

1Q 2020 529 20 265 21 344 118 423 4Q 2019 467 17 248 28 264 115 371 3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 425 4Q 2018 510 12 257 80 293 175 398

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

llos

$2000 50

$2000 00

$1000 50

$1000 00

$50000

$0

Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

TotalNotional

Dealer(Trading)

3097

182437

$192952

6853

3018

180186

$190057

6562

3030

167873

$177466

5293

3057

156901

$165252

5304

3061

169971

$178335

4935

3069

177519

$185522

5090

2917

180344

$188351

4186

2785

165002

$171973

4345

2737

196712

$203795

4179

2737

200286

$207202

4342

2763

199891

$206995

4270

2447

169636

$176353

4145

2619

194518

$201282

4074

2850

197950

$204874

4183

3162

193912

$201256

3945

3077

164441

$171462

3986

3518

189995

$197500

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

4

1

9

6

0

1

9

8

0

68

61

05

39

75

4

3

1

9

$

1

7

4

5

2

8

1

4

6

47

61

66

39

14

3

9

7

$

1

4

9

0

3

4

0

3

7

5

61

80

79

42

63

3

9

7

$

1

2

1

4

6

3

6

4

8

7

41

88

47

41

19

3

9

7

$

1

3

4

3

2

0

7

8

9

5

42

93

63

52

3

2

9

6

$

1

9

2

6

9

8

9

8

5

56

08

73

69

09

3

0

8

$

1

0

1

9

8

6

4

7

33

30

51

94

10

4

3

2

$

1

2

7

5

9

1

2

0

6

9

00

23

24

11

59

4

3

5

1

3

$

1

2

1

5

8

0

4

2

7

0

9

16

03

66

31

17

4

3

1

2

$

1

2

9

5

6

9

8

6

0

6

5

9

74

25

62

47

09

3

4

1

3

$

1

2

9

8

1

9

3

7

3

5

9

55

20

93

41

10

3

4

1

3

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$

1

2

4

8

2

6

5

8

3

1

8

96

18

91

41

47

2

3

1

ToaOpintl tos

$

1

2

TotalSwaps

9

7

1

9

6

2

4

1

2

1

25

97

31

60

14ToaN toatloinl

2

4

1

$

1

2

7

2

3

9

6

2

0

6

5

88

77

31

58

55

1

2

0

1

6

$

1

2

7

0

9

8

7

4

2

1

48

62

13

90

15

1

2

8

3

$

1

7

8

2

0

7

5

1

2

20

88

47

56

1

6

9

$

00002$

00051$

00001$

0005$

nb

is

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

00002$

00051$

00001$

0005$

2020

Q1

$146027

42181

3662

1644

3986

197500

2019

Q4

$125056

37170

3796

1495

3945

171462

2018

Q4

$128174

39220

3374

1315

4270

176353

2017

Q4

$130417

32903

3080

1388

4186

171973

2016

Q4

$124488

31737

2475

1257

5293

165252

2015

Q4

$138369

32100

2395

1108

6986

180959

2014

Q4

$174687

33183

2537

1222

9449

221078

2013

Q4

$193084

28480

2028

1209

11191

235992

2012

Q4

$177650

27587

1970

1397

13190

221794

2011

Q4

$187866

25436

1606

1330

14759

230998

2010

Q4

$193399

20990

1364

1195

14151

231099

2009

Q4

$181454

16555

1685

979

14112

214786

2008

Q4

$175895

16224

2207

1061

16029

211416

2007

Q4

$129491

16614

2524

1067

15863

165559

2006

Q4

$107435

11900

2271

893

9020

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

nb

i

00052$

s

niolli

inb

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

Top4

0 10000900008000070000600005000040000300002000010 100 100 2000 0 1 3000 0 1 4000 0 1 5000 0 1 6000 0 1 7000 0 1 8000 0 1 9000 0 1 0000 0 2dfnollii ollso a

Inbillionsofdollars

TotalSwaps 98053 12546 110599

TotalNotional 171303 26197 197500

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

20

510

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

GoldmanSachs

2015 2016 2017 2018 2019 20

0

15

CitibankNA

2015 2016 2017 2018 2019 20

0

40

10

20

5

Q1

201

Q2

2

Q3 Q4 Q1

201

Q2

3

Q3 Q4 Q1

201

Q2

4

Q3 Q4 Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

20

Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134 124 138

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372 344 319

TOTAL

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176 164 173

it

feneNettgB

in

10

00

90

80

70

60

50

40

30

20

10

00

90

9

8

7

9

0

1

2

3

4

5

6

7

8

9

0

0 1 1 1 1 1 1 1 1 1 1 20 0 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019 20

00 809 814 813 810804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

$0

$500

$1000

$1500

inmillions

0000

0001

0002

0003

0004

0005

Charge-Offsas

NCCE

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

2001

Q2 Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4

Q1

2004

Q2 Q3 Q4 Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4

Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4 Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4

Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4 Q1

2015

Q2 Q3 Q4

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-Offs(Banks)

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

200

Q2

1

Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4 Q1

2004

Q2 Q3 Q4

Charge-O ffs(Banks)

00

-10

193

-10

-70

-30

20

-10

1073

3696

3700

758

212

282

660

590

737

253

329

299

314

323

1278

837

512

467

404

349

942

922

90

54

Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4 Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4

Charge-O ffs(Banks)

1

4

14

45

23

18

8

35

4

5

-7

-28

-16

-7

-6

-3

10

9

119

32

31

15

120

93

92

1192

847

1570

217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

83

1617

1601

68

72

92

91

73

69

85

76

64

54

35

26

133

73

87

84

63

61

43

36

83

14

13

56

17

15

9

8

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

668

1424

$3023

7062

342

161

867

3719

$1973

6420

118

353

734

2294

$2920

6006

634

296

681

5941

($1547)

8031

447

330

1595

1743

$3917

6981

128

211

1359

697

$4586

6940

566

300

1454

1608

$3011

5824

-178

324

1649

1811

$2220

7684

487

395

1624

2861

$2317

7384

215

286

1727

4569

$587

7059

141

346

1444

3130

$1998

4030

-476

274

-43

1971

$2305

10035

485

323

2895

2254

$4078

8081

30

-43

2464

2900

$2730

7198

43

1109

1805

2718

$1523

7194

34

600

1427

662

$4471

6688

-34

646

-1040

2167

$4950

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

14868

1482

969

4159

2899

$5359

11579

742

1003

3021

8007

($1193)

18198

3381

299

5939

2524

$6055

15376

1523

1317

5783

733

$6019

14861

1996

769

5123

1848

$5124

10721

-310

568

3867

2589

$4006

17229

1359

1177

5431

3900

$5361

14870

1848

779

7445

5133

($336)

13534

666

874

5222

3222

$3550

5513

-25

508

502

2530

$1997

24856

2903

1298

9215

3396

$8044

18359

1684

512

6083

3351

$6728

16423

1226

1045

4548

4241

$5363

15419

159

981

7387

1462

$5431

9036

257

1664

-4546

-288

$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

2

5

28

30

09

15

41

21

9

4

2

3

$2

2

9

1

2

6

2

5

4

5

4

91

58

42

82

40

21

7

3

2

$1

1

4

1

9

6

9

8

4

9

1

9

14

66

32

88

42

20

7

3

2

$9

4

5

0

5

8

5

6

8

0

2

25

61

35

43

48

25

7

3

2

$1

1

2

4

0

6

1

5

2

50

32

97

39

44

24

5

4

2

$4

6

1

0

6

8

5

0

8

3

8

4

50

94

29

41

39

16

5

4

3

2

$8

7

4

5

7

9

0

2

1

4

8

6

18

37

22

21

25

9

7

3

2

$8

7

0

2

1

9

5

3

7

4

2

77

41

46

83

23

10

7

4

2

1

$8

1

5

6

0

4

9

7

8

1

8

29

01

11

83

29

14

8

3

2

1

$2

0

8

2

7

3

1

5

6

3

1

0

78

27

41

76

31

15

8

3

2

1

$3

7

9

2

0

4

9

0

2

6

9

08

34

43

46

24

12

9

3

2

1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

7

9

7

4

12

39

63

04

24

13

IRlt1yr 8

3

2

1

$

IR1-5yr

8

6

8

0

5

2

R r

1

5

6I gt5ys

4

9

8

86

74

68

06

21

10

FXampGOLDlt1yr

5

4

3

1

$

FXampGOLD1-5yr

5

2

4

0

9

2

8

2

6

3

2FXampGOLDgt5yrs

90

72

77

16

6

3

2

1

$2

6

3

0

2

4

5

8

7

3

5

9

95

13

32

77

14

5

2

3

2

$3

3

5

8

1

9

8

2

8

84

76

98

57

13

6

1

2

1

$1

3

2

4

7

2

9

8

1

6

59

58

64

53

13

7

1

2

1

$1

4

7

0

6

2

8

0

1

4

8

35

04

31

45

11

5

1

2

1

$

00051$

nb

i

Rlt1y

FXampGold

r

0

0 $

I

00001$

0005$

0003$

0002$

0001$

s

niolli

s

niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

00PrcosMeasgt5yrs

1

i lt e u

$5

5

3

03

17

03

1$9

9

6

85

12

00

$4

1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 7: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

1Q

2020 4Q

2019 QQ

Change QQ

Banks and

FV banks and

US gov agency

Corp bonds

Equity securities

1Q 2020 446 225 107 16 19 43 144 4Q 2019 344 245 116 17 23 76 177 4Q 2018 372 233 108 22 21 71 172 4Q 2017 376 255 103 19 25 57 165 4Q 2016 401 315 81 17 16 50 120 4Q 2015 437 317 46 16 14 53 117

JPMorgan Chase Bank

America NA

Goldman Sachs Bank

JPMorgan Chase Bank

America NA

Goldman Sachs Bank

Source Bloomberg

1Q 2020 4Q 2019

QQ Change

QQ Change 1Q 2019

YY Change

1Q 2020 4Q 2019 QQ

Change QQ

Change 1Q 2019 YY

Change YY

Source LCH Clearnet

Interest

rate Foreign

1Q 2020 529 20 265 21 344 118 423 4Q 2019 467 17 248 28 264 115 371 3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 425 4Q 2018 510 12 257 80 293 175 398

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

llos

$2000 50

$2000 00

$1000 50

$1000 00

$50000

$0

Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

TotalNotional

Dealer(Trading)

3097

182437

$192952

6853

3018

180186

$190057

6562

3030

167873

$177466

5293

3057

156901

$165252

5304

3061

169971

$178335

4935

3069

177519

$185522

5090

2917

180344

$188351

4186

2785

165002

$171973

4345

2737

196712

$203795

4179

2737

200286

$207202

4342

2763

199891

$206995

4270

2447

169636

$176353

4145

2619

194518

$201282

4074

2850

197950

$204874

4183

3162

193912

$201256

3945

3077

164441

$171462

3986

3518

189995

$197500

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

4

1

9

6

0

1

9

8

0

68

61

05

39

75

4

3

1

9

$

1

7

4

5

2

8

1

4

6

47

61

66

39

14

3

9

7

$

1

4

9

0

3

4

0

3

7

5

61

80

79

42

63

3

9

7

$

1

2

1

4

6

3

6

4

8

7

41

88

47

41

19

3

9

7

$

1

3

4

3

2

0

7

8

9

5

42

93

63

52

3

2

9

6

$

1

9

2

6

9

8

9

8

5

56

08

73

69

09

3

0

8

$

1

0

1

9

8

6

4

7

33

30

51

94

10

4

3

2

$

1

2

7

5

9

1

2

0

6

9

00

23

24

11

59

4

3

5

1

3

$

1

2

1

5

8

0

4

2

7

0

9

16

03

66

31

17

4

3

1

2

$

1

2

9

5

6

9

8

6

0

6

5

9

74

25

62

47

09

3

4

1

3

$

1

2

9

8

1

9

3

7

3

5

9

55

20

93

41

10

3

4

1

3

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$

1

2

4

8

2

6

5

8

3

1

8

96

18

91

41

47

2

3

1

ToaOpintl tos

$

1

2

TotalSwaps

9

7

1

9

6

2

4

1

2

1

25

97

31

60

14ToaN toatloinl

2

4

1

$

1

2

7

2

3

9

6

2

0

6

5

88

77

31

58

55

1

2

0

1

6

$

1

2

7

0

9

8

7

4

2

1

48

62

13

90

15

1

2

8

3

$

1

7

8

2

0

7

5

1

2

20

88

47

56

1

6

9

$

00002$

00051$

00001$

0005$

nb

is

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

00002$

00051$

00001$

0005$

2020

Q1

$146027

42181

3662

1644

3986

197500

2019

Q4

$125056

37170

3796

1495

3945

171462

2018

Q4

$128174

39220

3374

1315

4270

176353

2017

Q4

$130417

32903

3080

1388

4186

171973

2016

Q4

$124488

31737

2475

1257

5293

165252

2015

Q4

$138369

32100

2395

1108

6986

180959

2014

Q4

$174687

33183

2537

1222

9449

221078

2013

Q4

$193084

28480

2028

1209

11191

235992

2012

Q4

$177650

27587

1970

1397

13190

221794

2011

Q4

$187866

25436

1606

1330

14759

230998

2010

Q4

$193399

20990

1364

1195

14151

231099

2009

Q4

$181454

16555

1685

979

14112

214786

2008

Q4

$175895

16224

2207

1061

16029

211416

2007

Q4

$129491

16614

2524

1067

15863

165559

2006

Q4

$107435

11900

2271

893

9020

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

nb

i

00052$

s

niolli

inb

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

Top4

0 10000900008000070000600005000040000300002000010 100 100 2000 0 1 3000 0 1 4000 0 1 5000 0 1 6000 0 1 7000 0 1 8000 0 1 9000 0 1 0000 0 2dfnollii ollso a

Inbillionsofdollars

TotalSwaps 98053 12546 110599

TotalNotional 171303 26197 197500

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

20

510

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

GoldmanSachs

2015 2016 2017 2018 2019 20

0

15

CitibankNA

2015 2016 2017 2018 2019 20

0

40

10

20

5

Q1

201

Q2

2

Q3 Q4 Q1

201

Q2

3

Q3 Q4 Q1

201

Q2

4

Q3 Q4 Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

20

Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134 124 138

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372 344 319

TOTAL

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176 164 173

it

feneNettgB

in

10

00

90

80

70

60

50

40

30

20

10

00

90

9

8

7

9

0

1

2

3

4

5

6

7

8

9

0

0 1 1 1 1 1 1 1 1 1 1 20 0 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019 20

00 809 814 813 810804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

$0

$500

$1000

$1500

inmillions

0000

0001

0002

0003

0004

0005

Charge-Offsas

NCCE

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

2001

Q2 Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4

Q1

2004

Q2 Q3 Q4 Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4

Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4 Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4

Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4 Q1

2015

Q2 Q3 Q4

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-Offs(Banks)

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

200

Q2

1

Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4 Q1

2004

Q2 Q3 Q4

Charge-O ffs(Banks)

00

-10

193

-10

-70

-30

20

-10

1073

3696

3700

758

212

282

660

590

737

253

329

299

314

323

1278

837

512

467

404

349

942

922

90

54

Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4 Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4

Charge-O ffs(Banks)

1

4

14

45

23

18

8

35

4

5

-7

-28

-16

-7

-6

-3

10

9

119

32

31

15

120

93

92

1192

847

1570

217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

83

1617

1601

68

72

92

91

73

69

85

76

64

54

35

26

133

73

87

84

63

61

43

36

83

14

13

56

17

15

9

8

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

668

1424

$3023

7062

342

161

867

3719

$1973

6420

118

353

734

2294

$2920

6006

634

296

681

5941

($1547)

8031

447

330

1595

1743

$3917

6981

128

211

1359

697

$4586

6940

566

300

1454

1608

$3011

5824

-178

324

1649

1811

$2220

7684

487

395

1624

2861

$2317

7384

215

286

1727

4569

$587

7059

141

346

1444

3130

$1998

4030

-476

274

-43

1971

$2305

10035

485

323

2895

2254

$4078

8081

30

-43

2464

2900

$2730

7198

43

1109

1805

2718

$1523

7194

34

600

1427

662

$4471

6688

-34

646

-1040

2167

$4950

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

14868

1482

969

4159

2899

$5359

11579

742

1003

3021

8007

($1193)

18198

3381

299

5939

2524

$6055

15376

1523

1317

5783

733

$6019

14861

1996

769

5123

1848

$5124

10721

-310

568

3867

2589

$4006

17229

1359

1177

5431

3900

$5361

14870

1848

779

7445

5133

($336)

13534

666

874

5222

3222

$3550

5513

-25

508

502

2530

$1997

24856

2903

1298

9215

3396

$8044

18359

1684

512

6083

3351

$6728

16423

1226

1045

4548

4241

$5363

15419

159

981

7387

1462

$5431

9036

257

1664

-4546

-288

$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

2

5

28

30

09

15

41

21

9

4

2

3

$2

2

9

1

2

6

2

5

4

5

4

91

58

42

82

40

21

7

3

2

$1

1

4

1

9

6

9

8

4

9

1

9

14

66

32

88

42

20

7

3

2

$9

4

5

0

5

8

5

6

8

0

2

25

61

35

43

48

25

7

3

2

$1

1

2

4

0

6

1

5

2

50

32

97

39

44

24

5

4

2

$4

6

1

0

6

8

5

0

8

3

8

4

50

94

29

41

39

16

5

4

3

2

$8

7

4

5

7

9

0

2

1

4

8

6

18

37

22

21

25

9

7

3

2

$8

7

0

2

1

9

5

3

7

4

2

77

41

46

83

23

10

7

4

2

1

$8

1

5

6

0

4

9

7

8

1

8

29

01

11

83

29

14

8

3

2

1

$2

0

8

2

7

3

1

5

6

3

1

0

78

27

41

76

31

15

8

3

2

1

$3

7

9

2

0

4

9

0

2

6

9

08

34

43

46

24

12

9

3

2

1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

7

9

7

4

12

39

63

04

24

13

IRlt1yr 8

3

2

1

$

IR1-5yr

8

6

8

0

5

2

R r

1

5

6I gt5ys

4

9

8

86

74

68

06

21

10

FXampGOLDlt1yr

5

4

3

1

$

FXampGOLD1-5yr

5

2

4

0

9

2

8

2

6

3

2FXampGOLDgt5yrs

90

72

77

16

6

3

2

1

$2

6

3

0

2

4

5

8

7

3

5

9

95

13

32

77

14

5

2

3

2

$3

3

5

8

1

9

8

2

8

84

76

98

57

13

6

1

2

1

$1

3

2

4

7

2

9

8

1

6

59

58

64

53

13

7

1

2

1

$1

4

7

0

6

2

8

0

1

4

8

35

04

31

45

11

5

1

2

1

$

00051$

nb

i

Rlt1y

FXampGold

r

0

0 $

I

00001$

0005$

0003$

0002$

0001$

s

niolli

s

niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

00PrcosMeasgt5yrs

1

i lt e u

$5

5

3

03

17

03

1$9

9

6

85

12

00

$4

1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 8: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

Banks and

FV banks and

US gov agency

Corp bonds

Equity securities

1Q 2020 446 225 107 16 19 43 144 4Q 2019 344 245 116 17 23 76 177 4Q 2018 372 233 108 22 21 71 172 4Q 2017 376 255 103 19 25 57 165 4Q 2016 401 315 81 17 16 50 120 4Q 2015 437 317 46 16 14 53 117

JPMorgan Chase Bank

America NA

Goldman Sachs Bank

JPMorgan Chase Bank

America NA

Goldman Sachs Bank

Source Bloomberg

1Q 2020 4Q 2019

QQ Change

QQ Change 1Q 2019

YY Change

1Q 2020 4Q 2019 QQ

Change QQ

Change 1Q 2019 YY

Change YY

Source LCH Clearnet

Interest

rate Foreign

1Q 2020 529 20 265 21 344 118 423 4Q 2019 467 17 248 28 264 115 371 3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 425 4Q 2018 510 12 257 80 293 175 398

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

llos

$2000 50

$2000 00

$1000 50

$1000 00

$50000

$0

Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

TotalNotional

Dealer(Trading)

3097

182437

$192952

6853

3018

180186

$190057

6562

3030

167873

$177466

5293

3057

156901

$165252

5304

3061

169971

$178335

4935

3069

177519

$185522

5090

2917

180344

$188351

4186

2785

165002

$171973

4345

2737

196712

$203795

4179

2737

200286

$207202

4342

2763

199891

$206995

4270

2447

169636

$176353

4145

2619

194518

$201282

4074

2850

197950

$204874

4183

3162

193912

$201256

3945

3077

164441

$171462

3986

3518

189995

$197500

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

4

1

9

6

0

1

9

8

0

68

61

05

39

75

4

3

1

9

$

1

7

4

5

2

8

1

4

6

47

61

66

39

14

3

9

7

$

1

4

9

0

3

4

0

3

7

5

61

80

79

42

63

3

9

7

$

1

2

1

4

6

3

6

4

8

7

41

88

47

41

19

3

9

7

$

1

3

4

3

2

0

7

8

9

5

42

93

63

52

3

2

9

6

$

1

9

2

6

9

8

9

8

5

56

08

73

69

09

3

0

8

$

1

0

1

9

8

6

4

7

33

30

51

94

10

4

3

2

$

1

2

7

5

9

1

2

0

6

9

00

23

24

11

59

4

3

5

1

3

$

1

2

1

5

8

0

4

2

7

0

9

16

03

66

31

17

4

3

1

2

$

1

2

9

5

6

9

8

6

0

6

5

9

74

25

62

47

09

3

4

1

3

$

1

2

9

8

1

9

3

7

3

5

9

55

20

93

41

10

3

4

1

3

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$

1

2

4

8

2

6

5

8

3

1

8

96

18

91

41

47

2

3

1

ToaOpintl tos

$

1

2

TotalSwaps

9

7

1

9

6

2

4

1

2

1

25

97

31

60

14ToaN toatloinl

2

4

1

$

1

2

7

2

3

9

6

2

0

6

5

88

77

31

58

55

1

2

0

1

6

$

1

2

7

0

9

8

7

4

2

1

48

62

13

90

15

1

2

8

3

$

1

7

8

2

0

7

5

1

2

20

88

47

56

1

6

9

$

00002$

00051$

00001$

0005$

nb

is

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

00002$

00051$

00001$

0005$

2020

Q1

$146027

42181

3662

1644

3986

197500

2019

Q4

$125056

37170

3796

1495

3945

171462

2018

Q4

$128174

39220

3374

1315

4270

176353

2017

Q4

$130417

32903

3080

1388

4186

171973

2016

Q4

$124488

31737

2475

1257

5293

165252

2015

Q4

$138369

32100

2395

1108

6986

180959

2014

Q4

$174687

33183

2537

1222

9449

221078

2013

Q4

$193084

28480

2028

1209

11191

235992

2012

Q4

$177650

27587

1970

1397

13190

221794

2011

Q4

$187866

25436

1606

1330

14759

230998

2010

Q4

$193399

20990

1364

1195

14151

231099

2009

Q4

$181454

16555

1685

979

14112

214786

2008

Q4

$175895

16224

2207

1061

16029

211416

2007

Q4

$129491

16614

2524

1067

15863

165559

2006

Q4

$107435

11900

2271

893

9020

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

nb

i

00052$

s

niolli

inb

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

Top4

0 10000900008000070000600005000040000300002000010 100 100 2000 0 1 3000 0 1 4000 0 1 5000 0 1 6000 0 1 7000 0 1 8000 0 1 9000 0 1 0000 0 2dfnollii ollso a

Inbillionsofdollars

TotalSwaps 98053 12546 110599

TotalNotional 171303 26197 197500

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

20

510

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

GoldmanSachs

2015 2016 2017 2018 2019 20

0

15

CitibankNA

2015 2016 2017 2018 2019 20

0

40

10

20

5

Q1

201

Q2

2

Q3 Q4 Q1

201

Q2

3

Q3 Q4 Q1

201

Q2

4

Q3 Q4 Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

20

Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134 124 138

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372 344 319

TOTAL

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176 164 173

it

feneNettgB

in

10

00

90

80

70

60

50

40

30

20

10

00

90

9

8

7

9

0

1

2

3

4

5

6

7

8

9

0

0 1 1 1 1 1 1 1 1 1 1 20 0 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019 20

00 809 814 813 810804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

$0

$500

$1000

$1500

inmillions

0000

0001

0002

0003

0004

0005

Charge-Offsas

NCCE

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

2001

Q2 Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4

Q1

2004

Q2 Q3 Q4 Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4

Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4 Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4

Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4 Q1

2015

Q2 Q3 Q4

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-Offs(Banks)

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

200

Q2

1

Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4 Q1

2004

Q2 Q3 Q4

Charge-O ffs(Banks)

00

-10

193

-10

-70

-30

20

-10

1073

3696

3700

758

212

282

660

590

737

253

329

299

314

323

1278

837

512

467

404

349

942

922

90

54

Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4 Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4

Charge-O ffs(Banks)

1

4

14

45

23

18

8

35

4

5

-7

-28

-16

-7

-6

-3

10

9

119

32

31

15

120

93

92

1192

847

1570

217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

83

1617

1601

68

72

92

91

73

69

85

76

64

54

35

26

133

73

87

84

63

61

43

36

83

14

13

56

17

15

9

8

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

668

1424

$3023

7062

342

161

867

3719

$1973

6420

118

353

734

2294

$2920

6006

634

296

681

5941

($1547)

8031

447

330

1595

1743

$3917

6981

128

211

1359

697

$4586

6940

566

300

1454

1608

$3011

5824

-178

324

1649

1811

$2220

7684

487

395

1624

2861

$2317

7384

215

286

1727

4569

$587

7059

141

346

1444

3130

$1998

4030

-476

274

-43

1971

$2305

10035

485

323

2895

2254

$4078

8081

30

-43

2464

2900

$2730

7198

43

1109

1805

2718

$1523

7194

34

600

1427

662

$4471

6688

-34

646

-1040

2167

$4950

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

14868

1482

969

4159

2899

$5359

11579

742

1003

3021

8007

($1193)

18198

3381

299

5939

2524

$6055

15376

1523

1317

5783

733

$6019

14861

1996

769

5123

1848

$5124

10721

-310

568

3867

2589

$4006

17229

1359

1177

5431

3900

$5361

14870

1848

779

7445

5133

($336)

13534

666

874

5222

3222

$3550

5513

-25

508

502

2530

$1997

24856

2903

1298

9215

3396

$8044

18359

1684

512

6083

3351

$6728

16423

1226

1045

4548

4241

$5363

15419

159

981

7387

1462

$5431

9036

257

1664

-4546

-288

$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

2

5

28

30

09

15

41

21

9

4

2

3

$2

2

9

1

2

6

2

5

4

5

4

91

58

42

82

40

21

7

3

2

$1

1

4

1

9

6

9

8

4

9

1

9

14

66

32

88

42

20

7

3

2

$9

4

5

0

5

8

5

6

8

0

2

25

61

35

43

48

25

7

3

2

$1

1

2

4

0

6

1

5

2

50

32

97

39

44

24

5

4

2

$4

6

1

0

6

8

5

0

8

3

8

4

50

94

29

41

39

16

5

4

3

2

$8

7

4

5

7

9

0

2

1

4

8

6

18

37

22

21

25

9

7

3

2

$8

7

0

2

1

9

5

3

7

4

2

77

41

46

83

23

10

7

4

2

1

$8

1

5

6

0

4

9

7

8

1

8

29

01

11

83

29

14

8

3

2

1

$2

0

8

2

7

3

1

5

6

3

1

0

78

27

41

76

31

15

8

3

2

1

$3

7

9

2

0

4

9

0

2

6

9

08

34

43

46

24

12

9

3

2

1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

7

9

7

4

12

39

63

04

24

13

IRlt1yr 8

3

2

1

$

IR1-5yr

8

6

8

0

5

2

R r

1

5

6I gt5ys

4

9

8

86

74

68

06

21

10

FXampGOLDlt1yr

5

4

3

1

$

FXampGOLD1-5yr

5

2

4

0

9

2

8

2

6

3

2FXampGOLDgt5yrs

90

72

77

16

6

3

2

1

$2

6

3

0

2

4

5

8

7

3

5

9

95

13

32

77

14

5

2

3

2

$3

3

5

8

1

9

8

2

8

84

76

98

57

13

6

1

2

1

$1

3

2

4

7

2

9

8

1

6

59

58

64

53

13

7

1

2

1

$1

4

7

0

6

2

8

0

1

4

8

35

04

31

45

11

5

1

2

1

$

00051$

nb

i

Rlt1y

FXampGold

r

0

0 $

I

00001$

0005$

0003$

0002$

0001$

s

niolli

s

niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

00PrcosMeasgt5yrs

1

i lt e u

$5

5

3

03

17

03

1$9

9

6

85

12

00

$4

1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 9: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

FV banks and

US gov agency

Corp bonds

Equity securities

1Q 2020 446 225 107 16 19 43 144 4Q 2019 344 245 116 17 23 76 177 4Q 2018 372 233 108 22 21 71 172 4Q 2017 376 255 103 19 25 57 165 4Q 2016 401 315 81 17 16 50 120 4Q 2015 437 317 46 16 14 53 117

JPMorgan Chase Bank

America NA

Goldman Sachs Bank

JPMorgan Chase Bank

America NA

Goldman Sachs Bank

Source Bloomberg

1Q 2020 4Q 2019

QQ Change

QQ Change 1Q 2019

YY Change

1Q 2020 4Q 2019 QQ

Change QQ

Change 1Q 2019 YY

Change YY

Source LCH Clearnet

Interest

rate Foreign

1Q 2020 529 20 265 21 344 118 423 4Q 2019 467 17 248 28 264 115 371 3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 425 4Q 2018 510 12 257 80 293 175 398

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

llos

$2000 50

$2000 00

$1000 50

$1000 00

$50000

$0

Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

TotalNotional

Dealer(Trading)

3097

182437

$192952

6853

3018

180186

$190057

6562

3030

167873

$177466

5293

3057

156901

$165252

5304

3061

169971

$178335

4935

3069

177519

$185522

5090

2917

180344

$188351

4186

2785

165002

$171973

4345

2737

196712

$203795

4179

2737

200286

$207202

4342

2763

199891

$206995

4270

2447

169636

$176353

4145

2619

194518

$201282

4074

2850

197950

$204874

4183

3162

193912

$201256

3945

3077

164441

$171462

3986

3518

189995

$197500

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

4

1

9

6

0

1

9

8

0

68

61

05

39

75

4

3

1

9

$

1

7

4

5

2

8

1

4

6

47

61

66

39

14

3

9

7

$

1

4

9

0

3

4

0

3

7

5

61

80

79

42

63

3

9

7

$

1

2

1

4

6

3

6

4

8

7

41

88

47

41

19

3

9

7

$

1

3

4

3

2

0

7

8

9

5

42

93

63

52

3

2

9

6

$

1

9

2

6

9

8

9

8

5

56

08

73

69

09

3

0

8

$

1

0

1

9

8

6

4

7

33

30

51

94

10

4

3

2

$

1

2

7

5

9

1

2

0

6

9

00

23

24

11

59

4

3

5

1

3

$

1

2

1

5

8

0

4

2

7

0

9

16

03

66

31

17

4

3

1

2

$

1

2

9

5

6

9

8

6

0

6

5

9

74

25

62

47

09

3

4

1

3

$

1

2

9

8

1

9

3

7

3

5

9

55

20

93

41

10

3

4

1

3

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$

1

2

4

8

2

6

5

8

3

1

8

96

18

91

41

47

2

3

1

ToaOpintl tos

$

1

2

TotalSwaps

9

7

1

9

6

2

4

1

2

1

25

97

31

60

14ToaN toatloinl

2

4

1

$

1

2

7

2

3

9

6

2

0

6

5

88

77

31

58

55

1

2

0

1

6

$

1

2

7

0

9

8

7

4

2

1

48

62

13

90

15

1

2

8

3

$

1

7

8

2

0

7

5

1

2

20

88

47

56

1

6

9

$

00002$

00051$

00001$

0005$

nb

is

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

00002$

00051$

00001$

0005$

2020

Q1

$146027

42181

3662

1644

3986

197500

2019

Q4

$125056

37170

3796

1495

3945

171462

2018

Q4

$128174

39220

3374

1315

4270

176353

2017

Q4

$130417

32903

3080

1388

4186

171973

2016

Q4

$124488

31737

2475

1257

5293

165252

2015

Q4

$138369

32100

2395

1108

6986

180959

2014

Q4

$174687

33183

2537

1222

9449

221078

2013

Q4

$193084

28480

2028

1209

11191

235992

2012

Q4

$177650

27587

1970

1397

13190

221794

2011

Q4

$187866

25436

1606

1330

14759

230998

2010

Q4

$193399

20990

1364

1195

14151

231099

2009

Q4

$181454

16555

1685

979

14112

214786

2008

Q4

$175895

16224

2207

1061

16029

211416

2007

Q4

$129491

16614

2524

1067

15863

165559

2006

Q4

$107435

11900

2271

893

9020

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

nb

i

00052$

s

niolli

inb

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

Top4

0 10000900008000070000600005000040000300002000010 100 100 2000 0 1 3000 0 1 4000 0 1 5000 0 1 6000 0 1 7000 0 1 8000 0 1 9000 0 1 0000 0 2dfnollii ollso a

Inbillionsofdollars

TotalSwaps 98053 12546 110599

TotalNotional 171303 26197 197500

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

20

510

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

GoldmanSachs

2015 2016 2017 2018 2019 20

0

15

CitibankNA

2015 2016 2017 2018 2019 20

0

40

10

20

5

Q1

201

Q2

2

Q3 Q4 Q1

201

Q2

3

Q3 Q4 Q1

201

Q2

4

Q3 Q4 Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

20

Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134 124 138

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372 344 319

TOTAL

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176 164 173

it

feneNettgB

in

10

00

90

80

70

60

50

40

30

20

10

00

90

9

8

7

9

0

1

2

3

4

5

6

7

8

9

0

0 1 1 1 1 1 1 1 1 1 1 20 0 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019 20

00 809 814 813 810804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

$0

$500

$1000

$1500

inmillions

0000

0001

0002

0003

0004

0005

Charge-Offsas

NCCE

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

2001

Q2 Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4

Q1

2004

Q2 Q3 Q4 Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4

Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4 Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4

Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4 Q1

2015

Q2 Q3 Q4

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-Offs(Banks)

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

200

Q2

1

Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4 Q1

2004

Q2 Q3 Q4

Charge-O ffs(Banks)

00

-10

193

-10

-70

-30

20

-10

1073

3696

3700

758

212

282

660

590

737

253

329

299

314

323

1278

837

512

467

404

349

942

922

90

54

Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4 Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4

Charge-O ffs(Banks)

1

4

14

45

23

18

8

35

4

5

-7

-28

-16

-7

-6

-3

10

9

119

32

31

15

120

93

92

1192

847

1570

217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

83

1617

1601

68

72

92

91

73

69

85

76

64

54

35

26

133

73

87

84

63

61

43

36

83

14

13

56

17

15

9

8

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

668

1424

$3023

7062

342

161

867

3719

$1973

6420

118

353

734

2294

$2920

6006

634

296

681

5941

($1547)

8031

447

330

1595

1743

$3917

6981

128

211

1359

697

$4586

6940

566

300

1454

1608

$3011

5824

-178

324

1649

1811

$2220

7684

487

395

1624

2861

$2317

7384

215

286

1727

4569

$587

7059

141

346

1444

3130

$1998

4030

-476

274

-43

1971

$2305

10035

485

323

2895

2254

$4078

8081

30

-43

2464

2900

$2730

7198

43

1109

1805

2718

$1523

7194

34

600

1427

662

$4471

6688

-34

646

-1040

2167

$4950

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

14868

1482

969

4159

2899

$5359

11579

742

1003

3021

8007

($1193)

18198

3381

299

5939

2524

$6055

15376

1523

1317

5783

733

$6019

14861

1996

769

5123

1848

$5124

10721

-310

568

3867

2589

$4006

17229

1359

1177

5431

3900

$5361

14870

1848

779

7445

5133

($336)

13534

666

874

5222

3222

$3550

5513

-25

508

502

2530

$1997

24856

2903

1298

9215

3396

$8044

18359

1684

512

6083

3351

$6728

16423

1226

1045

4548

4241

$5363

15419

159

981

7387

1462

$5431

9036

257

1664

-4546

-288

$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

2

5

28

30

09

15

41

21

9

4

2

3

$2

2

9

1

2

6

2

5

4

5

4

91

58

42

82

40

21

7

3

2

$1

1

4

1

9

6

9

8

4

9

1

9

14

66

32

88

42

20

7

3

2

$9

4

5

0

5

8

5

6

8

0

2

25

61

35

43

48

25

7

3

2

$1

1

2

4

0

6

1

5

2

50

32

97

39

44

24

5

4

2

$4

6

1

0

6

8

5

0

8

3

8

4

50

94

29

41

39

16

5

4

3

2

$8

7

4

5

7

9

0

2

1

4

8

6

18

37

22

21

25

9

7

3

2

$8

7

0

2

1

9

5

3

7

4

2

77

41

46

83

23

10

7

4

2

1

$8

1

5

6

0

4

9

7

8

1

8

29

01

11

83

29

14

8

3

2

1

$2

0

8

2

7

3

1

5

6

3

1

0

78

27

41

76

31

15

8

3

2

1

$3

7

9

2

0

4

9

0

2

6

9

08

34

43

46

24

12

9

3

2

1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

7

9

7

4

12

39

63

04

24

13

IRlt1yr 8

3

2

1

$

IR1-5yr

8

6

8

0

5

2

R r

1

5

6I gt5ys

4

9

8

86

74

68

06

21

10

FXampGOLDlt1yr

5

4

3

1

$

FXampGOLD1-5yr

5

2

4

0

9

2

8

2

6

3

2FXampGOLDgt5yrs

90

72

77

16

6

3

2

1

$2

6

3

0

2

4

5

8

7

3

5

9

95

13

32

77

14

5

2

3

2

$3

3

5

8

1

9

8

2

8

84

76

98

57

13

6

1

2

1

$1

3

2

4

7

2

9

8

1

6

59

58

64

53

13

7

1

2

1

$1

4

7

0

6

2

8

0

1

4

8

35

04

31

45

11

5

1

2

1

$

00051$

nb

i

Rlt1y

FXampGold

r

0

0 $

I

00001$

0005$

0003$

0002$

0001$

s

niolli

s

niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

00PrcosMeasgt5yrs

1

i lt e u

$5

5

3

03

17

03

1$9

9

6

85

12

00

$4

1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 10: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

JPMorgan Chase Bank

America NA

Goldman Sachs Bank

JPMorgan Chase Bank

America NA

Goldman Sachs Bank

Source Bloomberg

1Q 2020 4Q 2019

QQ Change

QQ Change 1Q 2019

YY Change

1Q 2020 4Q 2019 QQ

Change QQ

Change 1Q 2019 YY

Change YY

Source LCH Clearnet

Interest

rate Foreign

1Q 2020 529 20 265 21 344 118 423 4Q 2019 467 17 248 28 264 115 371 3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 425 4Q 2018 510 12 257 80 293 175 398

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

llos

$2000 50

$2000 00

$1000 50

$1000 00

$50000

$0

Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

TotalNotional

Dealer(Trading)

3097

182437

$192952

6853

3018

180186

$190057

6562

3030

167873

$177466

5293

3057

156901

$165252

5304

3061

169971

$178335

4935

3069

177519

$185522

5090

2917

180344

$188351

4186

2785

165002

$171973

4345

2737

196712

$203795

4179

2737

200286

$207202

4342

2763

199891

$206995

4270

2447

169636

$176353

4145

2619

194518

$201282

4074

2850

197950

$204874

4183

3162

193912

$201256

3945

3077

164441

$171462

3986

3518

189995

$197500

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

4

1

9

6

0

1

9

8

0

68

61

05

39

75

4

3

1

9

$

1

7

4

5

2

8

1

4

6

47

61

66

39

14

3

9

7

$

1

4

9

0

3

4

0

3

7

5

61

80

79

42

63

3

9

7

$

1

2

1

4

6

3

6

4

8

7

41

88

47

41

19

3

9

7

$

1

3

4

3

2

0

7

8

9

5

42

93

63

52

3

2

9

6

$

1

9

2

6

9

8

9

8

5

56

08

73

69

09

3

0

8

$

1

0

1

9

8

6

4

7

33

30

51

94

10

4

3

2

$

1

2

7

5

9

1

2

0

6

9

00

23

24

11

59

4

3

5

1

3

$

1

2

1

5

8

0

4

2

7

0

9

16

03

66

31

17

4

3

1

2

$

1

2

9

5

6

9

8

6

0

6

5

9

74

25

62

47

09

3

4

1

3

$

1

2

9

8

1

9

3

7

3

5

9

55

20

93

41

10

3

4

1

3

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$

1

2

4

8

2

6

5

8

3

1

8

96

18

91

41

47

2

3

1

ToaOpintl tos

$

1

2

TotalSwaps

9

7

1

9

6

2

4

1

2

1

25

97

31

60

14ToaN toatloinl

2

4

1

$

1

2

7

2

3

9

6

2

0

6

5

88

77

31

58

55

1

2

0

1

6

$

1

2

7

0

9

8

7

4

2

1

48

62

13

90

15

1

2

8

3

$

1

7

8

2

0

7

5

1

2

20

88

47

56

1

6

9

$

00002$

00051$

00001$

0005$

nb

is

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

00002$

00051$

00001$

0005$

2020

Q1

$146027

42181

3662

1644

3986

197500

2019

Q4

$125056

37170

3796

1495

3945

171462

2018

Q4

$128174

39220

3374

1315

4270

176353

2017

Q4

$130417

32903

3080

1388

4186

171973

2016

Q4

$124488

31737

2475

1257

5293

165252

2015

Q4

$138369

32100

2395

1108

6986

180959

2014

Q4

$174687

33183

2537

1222

9449

221078

2013

Q4

$193084

28480

2028

1209

11191

235992

2012

Q4

$177650

27587

1970

1397

13190

221794

2011

Q4

$187866

25436

1606

1330

14759

230998

2010

Q4

$193399

20990

1364

1195

14151

231099

2009

Q4

$181454

16555

1685

979

14112

214786

2008

Q4

$175895

16224

2207

1061

16029

211416

2007

Q4

$129491

16614

2524

1067

15863

165559

2006

Q4

$107435

11900

2271

893

9020

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

nb

i

00052$

s

niolli

inb

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

Top4

0 10000900008000070000600005000040000300002000010 100 100 2000 0 1 3000 0 1 4000 0 1 5000 0 1 6000 0 1 7000 0 1 8000 0 1 9000 0 1 0000 0 2dfnollii ollso a

Inbillionsofdollars

TotalSwaps 98053 12546 110599

TotalNotional 171303 26197 197500

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

20

510

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

GoldmanSachs

2015 2016 2017 2018 2019 20

0

15

CitibankNA

2015 2016 2017 2018 2019 20

0

40

10

20

5

Q1

201

Q2

2

Q3 Q4 Q1

201

Q2

3

Q3 Q4 Q1

201

Q2

4

Q3 Q4 Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

20

Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134 124 138

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372 344 319

TOTAL

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176 164 173

it

feneNettgB

in

10

00

90

80

70

60

50

40

30

20

10

00

90

9

8

7

9

0

1

2

3

4

5

6

7

8

9

0

0 1 1 1 1 1 1 1 1 1 1 20 0 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019 20

00 809 814 813 810804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

$0

$500

$1000

$1500

inmillions

0000

0001

0002

0003

0004

0005

Charge-Offsas

NCCE

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

2001

Q2 Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4

Q1

2004

Q2 Q3 Q4 Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4

Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4 Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4

Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4 Q1

2015

Q2 Q3 Q4

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-Offs(Banks)

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

200

Q2

1

Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4 Q1

2004

Q2 Q3 Q4

Charge-O ffs(Banks)

00

-10

193

-10

-70

-30

20

-10

1073

3696

3700

758

212

282

660

590

737

253

329

299

314

323

1278

837

512

467

404

349

942

922

90

54

Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4 Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4

Charge-O ffs(Banks)

1

4

14

45

23

18

8

35

4

5

-7

-28

-16

-7

-6

-3

10

9

119

32

31

15

120

93

92

1192

847

1570

217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

83

1617

1601

68

72

92

91

73

69

85

76

64

54

35

26

133

73

87

84

63

61

43

36

83

14

13

56

17

15

9

8

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

668

1424

$3023

7062

342

161

867

3719

$1973

6420

118

353

734

2294

$2920

6006

634

296

681

5941

($1547)

8031

447

330

1595

1743

$3917

6981

128

211

1359

697

$4586

6940

566

300

1454

1608

$3011

5824

-178

324

1649

1811

$2220

7684

487

395

1624

2861

$2317

7384

215

286

1727

4569

$587

7059

141

346

1444

3130

$1998

4030

-476

274

-43

1971

$2305

10035

485

323

2895

2254

$4078

8081

30

-43

2464

2900

$2730

7198

43

1109

1805

2718

$1523

7194

34

600

1427

662

$4471

6688

-34

646

-1040

2167

$4950

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

14868

1482

969

4159

2899

$5359

11579

742

1003

3021

8007

($1193)

18198

3381

299

5939

2524

$6055

15376

1523

1317

5783

733

$6019

14861

1996

769

5123

1848

$5124

10721

-310

568

3867

2589

$4006

17229

1359

1177

5431

3900

$5361

14870

1848

779

7445

5133

($336)

13534

666

874

5222

3222

$3550

5513

-25

508

502

2530

$1997

24856

2903

1298

9215

3396

$8044

18359

1684

512

6083

3351

$6728

16423

1226

1045

4548

4241

$5363

15419

159

981

7387

1462

$5431

9036

257

1664

-4546

-288

$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

2

5

28

30

09

15

41

21

9

4

2

3

$2

2

9

1

2

6

2

5

4

5

4

91

58

42

82

40

21

7

3

2

$1

1

4

1

9

6

9

8

4

9

1

9

14

66

32

88

42

20

7

3

2

$9

4

5

0

5

8

5

6

8

0

2

25

61

35

43

48

25

7

3

2

$1

1

2

4

0

6

1

5

2

50

32

97

39

44

24

5

4

2

$4

6

1

0

6

8

5

0

8

3

8

4

50

94

29

41

39

16

5

4

3

2

$8

7

4

5

7

9

0

2

1

4

8

6

18

37

22

21

25

9

7

3

2

$8

7

0

2

1

9

5

3

7

4

2

77

41

46

83

23

10

7

4

2

1

$8

1

5

6

0

4

9

7

8

1

8

29

01

11

83

29

14

8

3

2

1

$2

0

8

2

7

3

1

5

6

3

1

0

78

27

41

76

31

15

8

3

2

1

$3

7

9

2

0

4

9

0

2

6

9

08

34

43

46

24

12

9

3

2

1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

7

9

7

4

12

39

63

04

24

13

IRlt1yr 8

3

2

1

$

IR1-5yr

8

6

8

0

5

2

R r

1

5

6I gt5ys

4

9

8

86

74

68

06

21

10

FXampGOLDlt1yr

5

4

3

1

$

FXampGOLD1-5yr

5

2

4

0

9

2

8

2

6

3

2FXampGOLDgt5yrs

90

72

77

16

6

3

2

1

$2

6

3

0

2

4

5

8

7

3

5

9

95

13

32

77

14

5

2

3

2

$3

3

5

8

1

9

8

2

8

84

76

98

57

13

6

1

2

1

$1

3

2

4

7

2

9

8

1

6

59

58

64

53

13

7

1

2

1

$1

4

7

0

6

2

8

0

1

4

8

35

04

31

45

11

5

1

2

1

$

00051$

nb

i

Rlt1y

FXampGold

r

0

0 $

I

00001$

0005$

0003$

0002$

0001$

s

niolli

s

niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

00PrcosMeasgt5yrs

1

i lt e u

$5

5

3

03

17

03

1$9

9

6

85

12

00

$4

1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 11: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

Source Bloomberg

1Q 2020 4Q 2019

QQ Change

QQ Change 1Q 2019

YY Change

1Q 2020 4Q 2019 QQ

Change QQ

Change 1Q 2019 YY

Change YY

Source LCH Clearnet

Interest

rate Foreign

1Q 2020 529 20 265 21 344 118 423 4Q 2019 467 17 248 28 264 115 371 3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 425 4Q 2018 510 12 257 80 293 175 398

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

llos

$2000 50

$2000 00

$1000 50

$1000 00

$50000

$0

Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

TotalNotional

Dealer(Trading)

3097

182437

$192952

6853

3018

180186

$190057

6562

3030

167873

$177466

5293

3057

156901

$165252

5304

3061

169971

$178335

4935

3069

177519

$185522

5090

2917

180344

$188351

4186

2785

165002

$171973

4345

2737

196712

$203795

4179

2737

200286

$207202

4342

2763

199891

$206995

4270

2447

169636

$176353

4145

2619

194518

$201282

4074

2850

197950

$204874

4183

3162

193912

$201256

3945

3077

164441

$171462

3986

3518

189995

$197500

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

4

1

9

6

0

1

9

8

0

68

61

05

39

75

4

3

1

9

$

1

7

4

5

2

8

1

4

6

47

61

66

39

14

3

9

7

$

1

4

9

0

3

4

0

3

7

5

61

80

79

42

63

3

9

7

$

1

2

1

4

6

3

6

4

8

7

41

88

47

41

19

3

9

7

$

1

3

4

3

2

0

7

8

9

5

42

93

63

52

3

2

9

6

$

1

9

2

6

9

8

9

8

5

56

08

73

69

09

3

0

8

$

1

0

1

9

8

6

4

7

33

30

51

94

10

4

3

2

$

1

2

7

5

9

1

2

0

6

9

00

23

24

11

59

4

3

5

1

3

$

1

2

1

5

8

0

4

2

7

0

9

16

03

66

31

17

4

3

1

2

$

1

2

9

5

6

9

8

6

0

6

5

9

74

25

62

47

09

3

4

1

3

$

1

2

9

8

1

9

3

7

3

5

9

55

20

93

41

10

3

4

1

3

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$

1

2

4

8

2

6

5

8

3

1

8

96

18

91

41

47

2

3

1

ToaOpintl tos

$

1

2

TotalSwaps

9

7

1

9

6

2

4

1

2

1

25

97

31

60

14ToaN toatloinl

2

4

1

$

1

2

7

2

3

9

6

2

0

6

5

88

77

31

58

55

1

2

0

1

6

$

1

2

7

0

9

8

7

4

2

1

48

62

13

90

15

1

2

8

3

$

1

7

8

2

0

7

5

1

2

20

88

47

56

1

6

9

$

00002$

00051$

00001$

0005$

nb

is

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

00002$

00051$

00001$

0005$

2020

Q1

$146027

42181

3662

1644

3986

197500

2019

Q4

$125056

37170

3796

1495

3945

171462

2018

Q4

$128174

39220

3374

1315

4270

176353

2017

Q4

$130417

32903

3080

1388

4186

171973

2016

Q4

$124488

31737

2475

1257

5293

165252

2015

Q4

$138369

32100

2395

1108

6986

180959

2014

Q4

$174687

33183

2537

1222

9449

221078

2013

Q4

$193084

28480

2028

1209

11191

235992

2012

Q4

$177650

27587

1970

1397

13190

221794

2011

Q4

$187866

25436

1606

1330

14759

230998

2010

Q4

$193399

20990

1364

1195

14151

231099

2009

Q4

$181454

16555

1685

979

14112

214786

2008

Q4

$175895

16224

2207

1061

16029

211416

2007

Q4

$129491

16614

2524

1067

15863

165559

2006

Q4

$107435

11900

2271

893

9020

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

nb

i

00052$

s

niolli

inb

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

Top4

0 10000900008000070000600005000040000300002000010 100 100 2000 0 1 3000 0 1 4000 0 1 5000 0 1 6000 0 1 7000 0 1 8000 0 1 9000 0 1 0000 0 2dfnollii ollso a

Inbillionsofdollars

TotalSwaps 98053 12546 110599

TotalNotional 171303 26197 197500

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

20

510

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

GoldmanSachs

2015 2016 2017 2018 2019 20

0

15

CitibankNA

2015 2016 2017 2018 2019 20

0

40

10

20

5

Q1

201

Q2

2

Q3 Q4 Q1

201

Q2

3

Q3 Q4 Q1

201

Q2

4

Q3 Q4 Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

20

Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134 124 138

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372 344 319

TOTAL

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176 164 173

it

feneNettgB

in

10

00

90

80

70

60

50

40

30

20

10

00

90

9

8

7

9

0

1

2

3

4

5

6

7

8

9

0

0 1 1 1 1 1 1 1 1 1 1 20 0 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019 20

00 809 814 813 810804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

$0

$500

$1000

$1500

inmillions

0000

0001

0002

0003

0004

0005

Charge-Offsas

NCCE

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

2001

Q2 Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4

Q1

2004

Q2 Q3 Q4 Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4

Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4 Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4

Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4 Q1

2015

Q2 Q3 Q4

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-Offs(Banks)

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

200

Q2

1

Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4 Q1

2004

Q2 Q3 Q4

Charge-O ffs(Banks)

00

-10

193

-10

-70

-30

20

-10

1073

3696

3700

758

212

282

660

590

737

253

329

299

314

323

1278

837

512

467

404

349

942

922

90

54

Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4 Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4

Charge-O ffs(Banks)

1

4

14

45

23

18

8

35

4

5

-7

-28

-16

-7

-6

-3

10

9

119

32

31

15

120

93

92

1192

847

1570

217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

83

1617

1601

68

72

92

91

73

69

85

76

64

54

35

26

133

73

87

84

63

61

43

36

83

14

13

56

17

15

9

8

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

668

1424

$3023

7062

342

161

867

3719

$1973

6420

118

353

734

2294

$2920

6006

634

296

681

5941

($1547)

8031

447

330

1595

1743

$3917

6981

128

211

1359

697

$4586

6940

566

300

1454

1608

$3011

5824

-178

324

1649

1811

$2220

7684

487

395

1624

2861

$2317

7384

215

286

1727

4569

$587

7059

141

346

1444

3130

$1998

4030

-476

274

-43

1971

$2305

10035

485

323

2895

2254

$4078

8081

30

-43

2464

2900

$2730

7198

43

1109

1805

2718

$1523

7194

34

600

1427

662

$4471

6688

-34

646

-1040

2167

$4950

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

14868

1482

969

4159

2899

$5359

11579

742

1003

3021

8007

($1193)

18198

3381

299

5939

2524

$6055

15376

1523

1317

5783

733

$6019

14861

1996

769

5123

1848

$5124

10721

-310

568

3867

2589

$4006

17229

1359

1177

5431

3900

$5361

14870

1848

779

7445

5133

($336)

13534

666

874

5222

3222

$3550

5513

-25

508

502

2530

$1997

24856

2903

1298

9215

3396

$8044

18359

1684

512

6083

3351

$6728

16423

1226

1045

4548

4241

$5363

15419

159

981

7387

1462

$5431

9036

257

1664

-4546

-288

$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

2

5

28

30

09

15

41

21

9

4

2

3

$2

2

9

1

2

6

2

5

4

5

4

91

58

42

82

40

21

7

3

2

$1

1

4

1

9

6

9

8

4

9

1

9

14

66

32

88

42

20

7

3

2

$9

4

5

0

5

8

5

6

8

0

2

25

61

35

43

48

25

7

3

2

$1

1

2

4

0

6

1

5

2

50

32

97

39

44

24

5

4

2

$4

6

1

0

6

8

5

0

8

3

8

4

50

94

29

41

39

16

5

4

3

2

$8

7

4

5

7

9

0

2

1

4

8

6

18

37

22

21

25

9

7

3

2

$8

7

0

2

1

9

5

3

7

4

2

77

41

46

83

23

10

7

4

2

1

$8

1

5

6

0

4

9

7

8

1

8

29

01

11

83

29

14

8

3

2

1

$2

0

8

2

7

3

1

5

6

3

1

0

78

27

41

76

31

15

8

3

2

1

$3

7

9

2

0

4

9

0

2

6

9

08

34

43

46

24

12

9

3

2

1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

7

9

7

4

12

39

63

04

24

13

IRlt1yr 8

3

2

1

$

IR1-5yr

8

6

8

0

5

2

R r

1

5

6I gt5ys

4

9

8

86

74

68

06

21

10

FXampGOLDlt1yr

5

4

3

1

$

FXampGOLD1-5yr

5

2

4

0

9

2

8

2

6

3

2FXampGOLDgt5yrs

90

72

77

16

6

3

2

1

$2

6

3

0

2

4

5

8

7

3

5

9

95

13

32

77

14

5

2

3

2

$3

3

5

8

1

9

8

2

8

84

76

98

57

13

6

1

2

1

$1

3

2

4

7

2

9

8

1

6

59

58

64

53

13

7

1

2

1

$1

4

7

0

6

2

8

0

1

4

8

35

04

31

45

11

5

1

2

1

$

00051$

nb

i

Rlt1y

FXampGold

r

0

0 $

I

00001$

0005$

0003$

0002$

0001$

s

niolli

s

niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

00PrcosMeasgt5yrs

1

i lt e u

$5

5

3

03

17

03

1$9

9

6

85

12

00

$4

1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 12: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

1Q 2020 4Q 2019

QQ Change

QQ Change 1Q 2019

YY Change

1Q 2020 4Q 2019 QQ

Change QQ

Change 1Q 2019 YY

Change YY

Source LCH Clearnet

Interest

rate Foreign

1Q 2020 529 20 265 21 344 118 423 4Q 2019 467 17 248 28 264 115 371 3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 425 4Q 2018 510 12 257 80 293 175 398

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

llos

$2000 50

$2000 00

$1000 50

$1000 00

$50000

$0

Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

TotalNotional

Dealer(Trading)

3097

182437

$192952

6853

3018

180186

$190057

6562

3030

167873

$177466

5293

3057

156901

$165252

5304

3061

169971

$178335

4935

3069

177519

$185522

5090

2917

180344

$188351

4186

2785

165002

$171973

4345

2737

196712

$203795

4179

2737

200286

$207202

4342

2763

199891

$206995

4270

2447

169636

$176353

4145

2619

194518

$201282

4074

2850

197950

$204874

4183

3162

193912

$201256

3945

3077

164441

$171462

3986

3518

189995

$197500

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

4

1

9

6

0

1

9

8

0

68

61

05

39

75

4

3

1

9

$

1

7

4

5

2

8

1

4

6

47

61

66

39

14

3

9

7

$

1

4

9

0

3

4

0

3

7

5

61

80

79

42

63

3

9

7

$

1

2

1

4

6

3

6

4

8

7

41

88

47

41

19

3

9

7

$

1

3

4

3

2

0

7

8

9

5

42

93

63

52

3

2

9

6

$

1

9

2

6

9

8

9

8

5

56

08

73

69

09

3

0

8

$

1

0

1

9

8

6

4

7

33

30

51

94

10

4

3

2

$

1

2

7

5

9

1

2

0

6

9

00

23

24

11

59

4

3

5

1

3

$

1

2

1

5

8

0

4

2

7

0

9

16

03

66

31

17

4

3

1

2

$

1

2

9

5

6

9

8

6

0

6

5

9

74

25

62

47

09

3

4

1

3

$

1

2

9

8

1

9

3

7

3

5

9

55

20

93

41

10

3

4

1

3

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$

1

2

4

8

2

6

5

8

3

1

8

96

18

91

41

47

2

3

1

ToaOpintl tos

$

1

2

TotalSwaps

9

7

1

9

6

2

4

1

2

1

25

97

31

60

14ToaN toatloinl

2

4

1

$

1

2

7

2

3

9

6

2

0

6

5

88

77

31

58

55

1

2

0

1

6

$

1

2

7

0

9

8

7

4

2

1

48

62

13

90

15

1

2

8

3

$

1

7

8

2

0

7

5

1

2

20

88

47

56

1

6

9

$

00002$

00051$

00001$

0005$

nb

is

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

00002$

00051$

00001$

0005$

2020

Q1

$146027

42181

3662

1644

3986

197500

2019

Q4

$125056

37170

3796

1495

3945

171462

2018

Q4

$128174

39220

3374

1315

4270

176353

2017

Q4

$130417

32903

3080

1388

4186

171973

2016

Q4

$124488

31737

2475

1257

5293

165252

2015

Q4

$138369

32100

2395

1108

6986

180959

2014

Q4

$174687

33183

2537

1222

9449

221078

2013

Q4

$193084

28480

2028

1209

11191

235992

2012

Q4

$177650

27587

1970

1397

13190

221794

2011

Q4

$187866

25436

1606

1330

14759

230998

2010

Q4

$193399

20990

1364

1195

14151

231099

2009

Q4

$181454

16555

1685

979

14112

214786

2008

Q4

$175895

16224

2207

1061

16029

211416

2007

Q4

$129491

16614

2524

1067

15863

165559

2006

Q4

$107435

11900

2271

893

9020

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

nb

i

00052$

s

niolli

inb

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

Top4

0 10000900008000070000600005000040000300002000010 100 100 2000 0 1 3000 0 1 4000 0 1 5000 0 1 6000 0 1 7000 0 1 8000 0 1 9000 0 1 0000 0 2dfnollii ollso a

Inbillionsofdollars

TotalSwaps 98053 12546 110599

TotalNotional 171303 26197 197500

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

20

510

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

GoldmanSachs

2015 2016 2017 2018 2019 20

0

15

CitibankNA

2015 2016 2017 2018 2019 20

0

40

10

20

5

Q1

201

Q2

2

Q3 Q4 Q1

201

Q2

3

Q3 Q4 Q1

201

Q2

4

Q3 Q4 Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

20

Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134 124 138

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372 344 319

TOTAL

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176 164 173

it

feneNettgB

in

10

00

90

80

70

60

50

40

30

20

10

00

90

9

8

7

9

0

1

2

3

4

5

6

7

8

9

0

0 1 1 1 1 1 1 1 1 1 1 20 0 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019 20

00 809 814 813 810804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

$0

$500

$1000

$1500

inmillions

0000

0001

0002

0003

0004

0005

Charge-Offsas

NCCE

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

2001

Q2 Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4

Q1

2004

Q2 Q3 Q4 Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4

Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4 Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4

Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4 Q1

2015

Q2 Q3 Q4

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-Offs(Banks)

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

200

Q2

1

Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4 Q1

2004

Q2 Q3 Q4

Charge-O ffs(Banks)

00

-10

193

-10

-70

-30

20

-10

1073

3696

3700

758

212

282

660

590

737

253

329

299

314

323

1278

837

512

467

404

349

942

922

90

54

Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4 Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4

Charge-O ffs(Banks)

1

4

14

45

23

18

8

35

4

5

-7

-28

-16

-7

-6

-3

10

9

119

32

31

15

120

93

92

1192

847

1570

217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

83

1617

1601

68

72

92

91

73

69

85

76

64

54

35

26

133

73

87

84

63

61

43

36

83

14

13

56

17

15

9

8

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

668

1424

$3023

7062

342

161

867

3719

$1973

6420

118

353

734

2294

$2920

6006

634

296

681

5941

($1547)

8031

447

330

1595

1743

$3917

6981

128

211

1359

697

$4586

6940

566

300

1454

1608

$3011

5824

-178

324

1649

1811

$2220

7684

487

395

1624

2861

$2317

7384

215

286

1727

4569

$587

7059

141

346

1444

3130

$1998

4030

-476

274

-43

1971

$2305

10035

485

323

2895

2254

$4078

8081

30

-43

2464

2900

$2730

7198

43

1109

1805

2718

$1523

7194

34

600

1427

662

$4471

6688

-34

646

-1040

2167

$4950

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

14868

1482

969

4159

2899

$5359

11579

742

1003

3021

8007

($1193)

18198

3381

299

5939

2524

$6055

15376

1523

1317

5783

733

$6019

14861

1996

769

5123

1848

$5124

10721

-310

568

3867

2589

$4006

17229

1359

1177

5431

3900

$5361

14870

1848

779

7445

5133

($336)

13534

666

874

5222

3222

$3550

5513

-25

508

502

2530

$1997

24856

2903

1298

9215

3396

$8044

18359

1684

512

6083

3351

$6728

16423

1226

1045

4548

4241

$5363

15419

159

981

7387

1462

$5431

9036

257

1664

-4546

-288

$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

2

5

28

30

09

15

41

21

9

4

2

3

$2

2

9

1

2

6

2

5

4

5

4

91

58

42

82

40

21

7

3

2

$1

1

4

1

9

6

9

8

4

9

1

9

14

66

32

88

42

20

7

3

2

$9

4

5

0

5

8

5

6

8

0

2

25

61

35

43

48

25

7

3

2

$1

1

2

4

0

6

1

5

2

50

32

97

39

44

24

5

4

2

$4

6

1

0

6

8

5

0

8

3

8

4

50

94

29

41

39

16

5

4

3

2

$8

7

4

5

7

9

0

2

1

4

8

6

18

37

22

21

25

9

7

3

2

$8

7

0

2

1

9

5

3

7

4

2

77

41

46

83

23

10

7

4

2

1

$8

1

5

6

0

4

9

7

8

1

8

29

01

11

83

29

14

8

3

2

1

$2

0

8

2

7

3

1

5

6

3

1

0

78

27

41

76

31

15

8

3

2

1

$3

7

9

2

0

4

9

0

2

6

9

08

34

43

46

24

12

9

3

2

1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

7

9

7

4

12

39

63

04

24

13

IRlt1yr 8

3

2

1

$

IR1-5yr

8

6

8

0

5

2

R r

1

5

6I gt5ys

4

9

8

86

74

68

06

21

10

FXampGOLDlt1yr

5

4

3

1

$

FXampGOLD1-5yr

5

2

4

0

9

2

8

2

6

3

2FXampGOLDgt5yrs

90

72

77

16

6

3

2

1

$2

6

3

0

2

4

5

8

7

3

5

9

95

13

32

77

14

5

2

3

2

$3

3

5

8

1

9

8

2

8

84

76

98

57

13

6

1

2

1

$1

3

2

4

7

2

9

8

1

6

59

58

64

53

13

7

1

2

1

$1

4

7

0

6

2

8

0

1

4

8

35

04

31

45

11

5

1

2

1

$

00051$

nb

i

Rlt1y

FXampGold

r

0

0 $

I

00001$

0005$

0003$

0002$

0001$

s

niolli

s

niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

00PrcosMeasgt5yrs

1

i lt e u

$5

5

3

03

17

03

1$9

9

6

85

12

00

$4

1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 13: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

1Q 2020 4Q 2019

QQ Change

QQ Change 1Q 2019

YY Change

1Q 2020 4Q 2019 QQ

Change QQ

Change 1Q 2019 YY

Change YY

Source LCH Clearnet

Interest

rate Foreign

1Q 2020 529 20 265 21 344 118 423 4Q 2019 467 17 248 28 264 115 371 3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 425 4Q 2018 510 12 257 80 293 175 398

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

llos

$2000 50

$2000 00

$1000 50

$1000 00

$50000

$0

Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

TotalNotional

Dealer(Trading)

3097

182437

$192952

6853

3018

180186

$190057

6562

3030

167873

$177466

5293

3057

156901

$165252

5304

3061

169971

$178335

4935

3069

177519

$185522

5090

2917

180344

$188351

4186

2785

165002

$171973

4345

2737

196712

$203795

4179

2737

200286

$207202

4342

2763

199891

$206995

4270

2447

169636

$176353

4145

2619

194518

$201282

4074

2850

197950

$204874

4183

3162

193912

$201256

3945

3077

164441

$171462

3986

3518

189995

$197500

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

4

1

9

6

0

1

9

8

0

68

61

05

39

75

4

3

1

9

$

1

7

4

5

2

8

1

4

6

47

61

66

39

14

3

9

7

$

1

4

9

0

3

4

0

3

7

5

61

80

79

42

63

3

9

7

$

1

2

1

4

6

3

6

4

8

7

41

88

47

41

19

3

9

7

$

1

3

4

3

2

0

7

8

9

5

42

93

63

52

3

2

9

6

$

1

9

2

6

9

8

9

8

5

56

08

73

69

09

3

0

8

$

1

0

1

9

8

6

4

7

33

30

51

94

10

4

3

2

$

1

2

7

5

9

1

2

0

6

9

00

23

24

11

59

4

3

5

1

3

$

1

2

1

5

8

0

4

2

7

0

9

16

03

66

31

17

4

3

1

2

$

1

2

9

5

6

9

8

6

0

6

5

9

74

25

62

47

09

3

4

1

3

$

1

2

9

8

1

9

3

7

3

5

9

55

20

93

41

10

3

4

1

3

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$

1

2

4

8

2

6

5

8

3

1

8

96

18

91

41

47

2

3

1

ToaOpintl tos

$

1

2

TotalSwaps

9

7

1

9

6

2

4

1

2

1

25

97

31

60

14ToaN toatloinl

2

4

1

$

1

2

7

2

3

9

6

2

0

6

5

88

77

31

58

55

1

2

0

1

6

$

1

2

7

0

9

8

7

4

2

1

48

62

13

90

15

1

2

8

3

$

1

7

8

2

0

7

5

1

2

20

88

47

56

1

6

9

$

00002$

00051$

00001$

0005$

nb

is

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

00002$

00051$

00001$

0005$

2020

Q1

$146027

42181

3662

1644

3986

197500

2019

Q4

$125056

37170

3796

1495

3945

171462

2018

Q4

$128174

39220

3374

1315

4270

176353

2017

Q4

$130417

32903

3080

1388

4186

171973

2016

Q4

$124488

31737

2475

1257

5293

165252

2015

Q4

$138369

32100

2395

1108

6986

180959

2014

Q4

$174687

33183

2537

1222

9449

221078

2013

Q4

$193084

28480

2028

1209

11191

235992

2012

Q4

$177650

27587

1970

1397

13190

221794

2011

Q4

$187866

25436

1606

1330

14759

230998

2010

Q4

$193399

20990

1364

1195

14151

231099

2009

Q4

$181454

16555

1685

979

14112

214786

2008

Q4

$175895

16224

2207

1061

16029

211416

2007

Q4

$129491

16614

2524

1067

15863

165559

2006

Q4

$107435

11900

2271

893

9020

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

nb

i

00052$

s

niolli

inb

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

Top4

0 10000900008000070000600005000040000300002000010 100 100 2000 0 1 3000 0 1 4000 0 1 5000 0 1 6000 0 1 7000 0 1 8000 0 1 9000 0 1 0000 0 2dfnollii ollso a

Inbillionsofdollars

TotalSwaps 98053 12546 110599

TotalNotional 171303 26197 197500

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

20

510

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

GoldmanSachs

2015 2016 2017 2018 2019 20

0

15

CitibankNA

2015 2016 2017 2018 2019 20

0

40

10

20

5

Q1

201

Q2

2

Q3 Q4 Q1

201

Q2

3

Q3 Q4 Q1

201

Q2

4

Q3 Q4 Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

20

Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134 124 138

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372 344 319

TOTAL

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176 164 173

it

feneNettgB

in

10

00

90

80

70

60

50

40

30

20

10

00

90

9

8

7

9

0

1

2

3

4

5

6

7

8

9

0

0 1 1 1 1 1 1 1 1 1 1 20 0 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019 20

00 809 814 813 810804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

$0

$500

$1000

$1500

inmillions

0000

0001

0002

0003

0004

0005

Charge-Offsas

NCCE

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

2001

Q2 Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4

Q1

2004

Q2 Q3 Q4 Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4

Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4 Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4

Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4 Q1

2015

Q2 Q3 Q4

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-Offs(Banks)

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

200

Q2

1

Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4 Q1

2004

Q2 Q3 Q4

Charge-O ffs(Banks)

00

-10

193

-10

-70

-30

20

-10

1073

3696

3700

758

212

282

660

590

737

253

329

299

314

323

1278

837

512

467

404

349

942

922

90

54

Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4 Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4

Charge-O ffs(Banks)

1

4

14

45

23

18

8

35

4

5

-7

-28

-16

-7

-6

-3

10

9

119

32

31

15

120

93

92

1192

847

1570

217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

83

1617

1601

68

72

92

91

73

69

85

76

64

54

35

26

133

73

87

84

63

61

43

36

83

14

13

56

17

15

9

8

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

668

1424

$3023

7062

342

161

867

3719

$1973

6420

118

353

734

2294

$2920

6006

634

296

681

5941

($1547)

8031

447

330

1595

1743

$3917

6981

128

211

1359

697

$4586

6940

566

300

1454

1608

$3011

5824

-178

324

1649

1811

$2220

7684

487

395

1624

2861

$2317

7384

215

286

1727

4569

$587

7059

141

346

1444

3130

$1998

4030

-476

274

-43

1971

$2305

10035

485

323

2895

2254

$4078

8081

30

-43

2464

2900

$2730

7198

43

1109

1805

2718

$1523

7194

34

600

1427

662

$4471

6688

-34

646

-1040

2167

$4950

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

14868

1482

969

4159

2899

$5359

11579

742

1003

3021

8007

($1193)

18198

3381

299

5939

2524

$6055

15376

1523

1317

5783

733

$6019

14861

1996

769

5123

1848

$5124

10721

-310

568

3867

2589

$4006

17229

1359

1177

5431

3900

$5361

14870

1848

779

7445

5133

($336)

13534

666

874

5222

3222

$3550

5513

-25

508

502

2530

$1997

24856

2903

1298

9215

3396

$8044

18359

1684

512

6083

3351

$6728

16423

1226

1045

4548

4241

$5363

15419

159

981

7387

1462

$5431

9036

257

1664

-4546

-288

$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

2

5

28

30

09

15

41

21

9

4

2

3

$2

2

9

1

2

6

2

5

4

5

4

91

58

42

82

40

21

7

3

2

$1

1

4

1

9

6

9

8

4

9

1

9

14

66

32

88

42

20

7

3

2

$9

4

5

0

5

8

5

6

8

0

2

25

61

35

43

48

25

7

3

2

$1

1

2

4

0

6

1

5

2

50

32

97

39

44

24

5

4

2

$4

6

1

0

6

8

5

0

8

3

8

4

50

94

29

41

39

16

5

4

3

2

$8

7

4

5

7

9

0

2

1

4

8

6

18

37

22

21

25

9

7

3

2

$8

7

0

2

1

9

5

3

7

4

2

77

41

46

83

23

10

7

4

2

1

$8

1

5

6

0

4

9

7

8

1

8

29

01

11

83

29

14

8

3

2

1

$2

0

8

2

7

3

1

5

6

3

1

0

78

27

41

76

31

15

8

3

2

1

$3

7

9

2

0

4

9

0

2

6

9

08

34

43

46

24

12

9

3

2

1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

7

9

7

4

12

39

63

04

24

13

IRlt1yr 8

3

2

1

$

IR1-5yr

8

6

8

0

5

2

R r

1

5

6I gt5ys

4

9

8

86

74

68

06

21

10

FXampGOLDlt1yr

5

4

3

1

$

FXampGOLD1-5yr

5

2

4

0

9

2

8

2

6

3

2FXampGOLDgt5yrs

90

72

77

16

6

3

2

1

$2

6

3

0

2

4

5

8

7

3

5

9

95

13

32

77

14

5

2

3

2

$3

3

5

8

1

9

8

2

8

84

76

98

57

13

6

1

2

1

$1

3

2

4

7

2

9

8

1

6

59

58

64

53

13

7

1

2

1

$1

4

7

0

6

2

8

0

1

4

8

35

04

31

45

11

5

1

2

1

$

00051$

nb

i

Rlt1y

FXampGold

r

0

0 $

I

00001$

0005$

0003$

0002$

0001$

s

niolli

s

niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

00PrcosMeasgt5yrs

1

i lt e u

$5

5

3

03

17

03

1$9

9

6

85

12

00

$4

1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 14: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

Source LCH Clearnet

Interest

rate Foreign

1Q 2020 529 20 265 21 344 118 423 4Q 2019 467 17 248 28 264 115 371 3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 425 4Q 2018 510 12 257 80 293 175 398

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

llos

$2000 50

$2000 00

$1000 50

$1000 00

$50000

$0

Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

TotalNotional

Dealer(Trading)

3097

182437

$192952

6853

3018

180186

$190057

6562

3030

167873

$177466

5293

3057

156901

$165252

5304

3061

169971

$178335

4935

3069

177519

$185522

5090

2917

180344

$188351

4186

2785

165002

$171973

4345

2737

196712

$203795

4179

2737

200286

$207202

4342

2763

199891

$206995

4270

2447

169636

$176353

4145

2619

194518

$201282

4074

2850

197950

$204874

4183

3162

193912

$201256

3945

3077

164441

$171462

3986

3518

189995

$197500

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

4

1

9

6

0

1

9

8

0

68

61

05

39

75

4

3

1

9

$

1

7

4

5

2

8

1

4

6

47

61

66

39

14

3

9

7

$

1

4

9

0

3

4

0

3

7

5

61

80

79

42

63

3

9

7

$

1

2

1

4

6

3

6

4

8

7

41

88

47

41

19

3

9

7

$

1

3

4

3

2

0

7

8

9

5

42

93

63

52

3

2

9

6

$

1

9

2

6

9

8

9

8

5

56

08

73

69

09

3

0

8

$

1

0

1

9

8

6

4

7

33

30

51

94

10

4

3

2

$

1

2

7

5

9

1

2

0

6

9

00

23

24

11

59

4

3

5

1

3

$

1

2

1

5

8

0

4

2

7

0

9

16

03

66

31

17

4

3

1

2

$

1

2

9

5

6

9

8

6

0

6

5

9

74

25

62

47

09

3

4

1

3

$

1

2

9

8

1

9

3

7

3

5

9

55

20

93

41

10

3

4

1

3

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$

1

2

4

8

2

6

5

8

3

1

8

96

18

91

41

47

2

3

1

ToaOpintl tos

$

1

2

TotalSwaps

9

7

1

9

6

2

4

1

2

1

25

97

31

60

14ToaN toatloinl

2

4

1

$

1

2

7

2

3

9

6

2

0

6

5

88

77

31

58

55

1

2

0

1

6

$

1

2

7

0

9

8

7

4

2

1

48

62

13

90

15

1

2

8

3

$

1

7

8

2

0

7

5

1

2

20

88

47

56

1

6

9

$

00002$

00051$

00001$

0005$

nb

is

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

00002$

00051$

00001$

0005$

2020

Q1

$146027

42181

3662

1644

3986

197500

2019

Q4

$125056

37170

3796

1495

3945

171462

2018

Q4

$128174

39220

3374

1315

4270

176353

2017

Q4

$130417

32903

3080

1388

4186

171973

2016

Q4

$124488

31737

2475

1257

5293

165252

2015

Q4

$138369

32100

2395

1108

6986

180959

2014

Q4

$174687

33183

2537

1222

9449

221078

2013

Q4

$193084

28480

2028

1209

11191

235992

2012

Q4

$177650

27587

1970

1397

13190

221794

2011

Q4

$187866

25436

1606

1330

14759

230998

2010

Q4

$193399

20990

1364

1195

14151

231099

2009

Q4

$181454

16555

1685

979

14112

214786

2008

Q4

$175895

16224

2207

1061

16029

211416

2007

Q4

$129491

16614

2524

1067

15863

165559

2006

Q4

$107435

11900

2271

893

9020

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

nb

i

00052$

s

niolli

inb

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

Top4

0 10000900008000070000600005000040000300002000010 100 100 2000 0 1 3000 0 1 4000 0 1 5000 0 1 6000 0 1 7000 0 1 8000 0 1 9000 0 1 0000 0 2dfnollii ollso a

Inbillionsofdollars

TotalSwaps 98053 12546 110599

TotalNotional 171303 26197 197500

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

20

510

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

GoldmanSachs

2015 2016 2017 2018 2019 20

0

15

CitibankNA

2015 2016 2017 2018 2019 20

0

40

10

20

5

Q1

201

Q2

2

Q3 Q4 Q1

201

Q2

3

Q3 Q4 Q1

201

Q2

4

Q3 Q4 Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

20

Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134 124 138

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372 344 319

TOTAL

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176 164 173

it

feneNettgB

in

10

00

90

80

70

60

50

40

30

20

10

00

90

9

8

7

9

0

1

2

3

4

5

6

7

8

9

0

0 1 1 1 1 1 1 1 1 1 1 20 0 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019 20

00 809 814 813 810804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

$0

$500

$1000

$1500

inmillions

0000

0001

0002

0003

0004

0005

Charge-Offsas

NCCE

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

2001

Q2 Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4

Q1

2004

Q2 Q3 Q4 Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4

Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4 Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4

Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4 Q1

2015

Q2 Q3 Q4

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-Offs(Banks)

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

200

Q2

1

Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4 Q1

2004

Q2 Q3 Q4

Charge-O ffs(Banks)

00

-10

193

-10

-70

-30

20

-10

1073

3696

3700

758

212

282

660

590

737

253

329

299

314

323

1278

837

512

467

404

349

942

922

90

54

Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4 Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4

Charge-O ffs(Banks)

1

4

14

45

23

18

8

35

4

5

-7

-28

-16

-7

-6

-3

10

9

119

32

31

15

120

93

92

1192

847

1570

217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

83

1617

1601

68

72

92

91

73

69

85

76

64

54

35

26

133

73

87

84

63

61

43

36

83

14

13

56

17

15

9

8

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

668

1424

$3023

7062

342

161

867

3719

$1973

6420

118

353

734

2294

$2920

6006

634

296

681

5941

($1547)

8031

447

330

1595

1743

$3917

6981

128

211

1359

697

$4586

6940

566

300

1454

1608

$3011

5824

-178

324

1649

1811

$2220

7684

487

395

1624

2861

$2317

7384

215

286

1727

4569

$587

7059

141

346

1444

3130

$1998

4030

-476

274

-43

1971

$2305

10035

485

323

2895

2254

$4078

8081

30

-43

2464

2900

$2730

7198

43

1109

1805

2718

$1523

7194

34

600

1427

662

$4471

6688

-34

646

-1040

2167

$4950

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

14868

1482

969

4159

2899

$5359

11579

742

1003

3021

8007

($1193)

18198

3381

299

5939

2524

$6055

15376

1523

1317

5783

733

$6019

14861

1996

769

5123

1848

$5124

10721

-310

568

3867

2589

$4006

17229

1359

1177

5431

3900

$5361

14870

1848

779

7445

5133

($336)

13534

666

874

5222

3222

$3550

5513

-25

508

502

2530

$1997

24856

2903

1298

9215

3396

$8044

18359

1684

512

6083

3351

$6728

16423

1226

1045

4548

4241

$5363

15419

159

981

7387

1462

$5431

9036

257

1664

-4546

-288

$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

2

5

28

30

09

15

41

21

9

4

2

3

$2

2

9

1

2

6

2

5

4

5

4

91

58

42

82

40

21

7

3

2

$1

1

4

1

9

6

9

8

4

9

1

9

14

66

32

88

42

20

7

3

2

$9

4

5

0

5

8

5

6

8

0

2

25

61

35

43

48

25

7

3

2

$1

1

2

4

0

6

1

5

2

50

32

97

39

44

24

5

4

2

$4

6

1

0

6

8

5

0

8

3

8

4

50

94

29

41

39

16

5

4

3

2

$8

7

4

5

7

9

0

2

1

4

8

6

18

37

22

21

25

9

7

3

2

$8

7

0

2

1

9

5

3

7

4

2

77

41

46

83

23

10

7

4

2

1

$8

1

5

6

0

4

9

7

8

1

8

29

01

11

83

29

14

8

3

2

1

$2

0

8

2

7

3

1

5

6

3

1

0

78

27

41

76

31

15

8

3

2

1

$3

7

9

2

0

4

9

0

2

6

9

08

34

43

46

24

12

9

3

2

1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

7

9

7

4

12

39

63

04

24

13

IRlt1yr 8

3

2

1

$

IR1-5yr

8

6

8

0

5

2

R r

1

5

6I gt5ys

4

9

8

86

74

68

06

21

10

FXampGOLDlt1yr

5

4

3

1

$

FXampGOLD1-5yr

5

2

4

0

9

2

8

2

6

3

2FXampGOLDgt5yrs

90

72

77

16

6

3

2

1

$2

6

3

0

2

4

5

8

7

3

5

9

95

13

32

77

14

5

2

3

2

$3

3

5

8

1

9

8

2

8

84

76

98

57

13

6

1

2

1

$1

3

2

4

7

2

9

8

1

6

59

58

64

53

13

7

1

2

1

$1

4

7

0

6

2

8

0

1

4

8

35

04

31

45

11

5

1

2

1

$

00051$

nb

i

Rlt1y

FXampGold

r

0

0 $

I

00001$

0005$

0003$

0002$

0001$

s

niolli

s

niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

00PrcosMeasgt5yrs

1

i lt e u

$5

5

3

03

17

03

1$9

9

6

85

12

00

$4

1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 15: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

Interest

rate Foreign

1Q 2020 529 20 265 21 344 118 423 4Q 2019 467 17 248 28 264 115 371 3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 425 4Q 2018 510 12 257 80 293 175 398

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

llos

$2000 50

$2000 00

$1000 50

$1000 00

$50000

$0

Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

TotalNotional

Dealer(Trading)

3097

182437

$192952

6853

3018

180186

$190057

6562

3030

167873

$177466

5293

3057

156901

$165252

5304

3061

169971

$178335

4935

3069

177519

$185522

5090

2917

180344

$188351

4186

2785

165002

$171973

4345

2737

196712

$203795

4179

2737

200286

$207202

4342

2763

199891

$206995

4270

2447

169636

$176353

4145

2619

194518

$201282

4074

2850

197950

$204874

4183

3162

193912

$201256

3945

3077

164441

$171462

3986

3518

189995

$197500

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

4

1

9

6

0

1

9

8

0

68

61

05

39

75

4

3

1

9

$

1

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4

5

2

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1

4

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47

61

66

39

14

3

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7

$

1

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0

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61

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3

6

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8

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41

88

47

41

19

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$

1

3

4

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0

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8

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93

63

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1

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1

0

1

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4

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33

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1

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23

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3

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1

3

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1

2

1

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8

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2

7

0

9

16

03

66

31

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1

2

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6

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0

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74

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$

1

2

9

8

1

9

3

7

3

5

9

55

20

93

41

10

3

4

1

3

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$

1

2

4

8

2

6

5

8

3

1

8

96

18

91

41

47

2

3

1

ToaOpintl tos

$

1

2

TotalSwaps

9

7

1

9

6

2

4

1

2

1

25

97

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60

14ToaN toatloinl

2

4

1

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1

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2

0

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88

77

31

58

55

1

2

0

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$

1

2

7

0

9

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48

62

13

90

15

1

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3

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1

7

8

2

0

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5

1

2

20

88

47

56

1

6

9

$

00002$

00051$

00001$

0005$

nb

is

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

00002$

00051$

00001$

0005$

2020

Q1

$146027

42181

3662

1644

3986

197500

2019

Q4

$125056

37170

3796

1495

3945

171462

2018

Q4

$128174

39220

3374

1315

4270

176353

2017

Q4

$130417

32903

3080

1388

4186

171973

2016

Q4

$124488

31737

2475

1257

5293

165252

2015

Q4

$138369

32100

2395

1108

6986

180959

2014

Q4

$174687

33183

2537

1222

9449

221078

2013

Q4

$193084

28480

2028

1209

11191

235992

2012

Q4

$177650

27587

1970

1397

13190

221794

2011

Q4

$187866

25436

1606

1330

14759

230998

2010

Q4

$193399

20990

1364

1195

14151

231099

2009

Q4

$181454

16555

1685

979

14112

214786

2008

Q4

$175895

16224

2207

1061

16029

211416

2007

Q4

$129491

16614

2524

1067

15863

165559

2006

Q4

$107435

11900

2271

893

9020

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

nb

i

00052$

s

niolli

inb

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

Top4

0 10000900008000070000600005000040000300002000010 100 100 2000 0 1 3000 0 1 4000 0 1 5000 0 1 6000 0 1 7000 0 1 8000 0 1 9000 0 1 0000 0 2dfnollii ollso a

Inbillionsofdollars

TotalSwaps 98053 12546 110599

TotalNotional 171303 26197 197500

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

20

510

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

GoldmanSachs

2015 2016 2017 2018 2019 20

0

15

CitibankNA

2015 2016 2017 2018 2019 20

0

40

10

20

5

Q1

201

Q2

2

Q3 Q4 Q1

201

Q2

3

Q3 Q4 Q1

201

Q2

4

Q3 Q4 Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

20

Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134 124 138

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372 344 319

TOTAL

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176 164 173

it

feneNettgB

in

10

00

90

80

70

60

50

40

30

20

10

00

90

9

8

7

9

0

1

2

3

4

5

6

7

8

9

0

0 1 1 1 1 1 1 1 1 1 1 20 0 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019 20

00 809 814 813 810804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

$0

$500

$1000

$1500

inmillions

0000

0001

0002

0003

0004

0005

Charge-Offsas

NCCE

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

2001

Q2 Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4

Q1

2004

Q2 Q3 Q4 Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4

Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4 Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4

Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4 Q1

2015

Q2 Q3 Q4

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-Offs(Banks)

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

200

Q2

1

Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4 Q1

2004

Q2 Q3 Q4

Charge-O ffs(Banks)

00

-10

193

-10

-70

-30

20

-10

1073

3696

3700

758

212

282

660

590

737

253

329

299

314

323

1278

837

512

467

404

349

942

922

90

54

Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4 Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4

Charge-O ffs(Banks)

1

4

14

45

23

18

8

35

4

5

-7

-28

-16

-7

-6

-3

10

9

119

32

31

15

120

93

92

1192

847

1570

217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

83

1617

1601

68

72

92

91

73

69

85

76

64

54

35

26

133

73

87

84

63

61

43

36

83

14

13

56

17

15

9

8

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

668

1424

$3023

7062

342

161

867

3719

$1973

6420

118

353

734

2294

$2920

6006

634

296

681

5941

($1547)

8031

447

330

1595

1743

$3917

6981

128

211

1359

697

$4586

6940

566

300

1454

1608

$3011

5824

-178

324

1649

1811

$2220

7684

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395

1624

2861

$2317

7384

215

286

1727

4569

$587

7059

141

346

1444

3130

$1998

4030

-476

274

-43

1971

$2305

10035

485

323

2895

2254

$4078

8081

30

-43

2464

2900

$2730

7198

43

1109

1805

2718

$1523

7194

34

600

1427

662

$4471

6688

-34

646

-1040

2167

$4950

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

14868

1482

969

4159

2899

$5359

11579

742

1003

3021

8007

($1193)

18198

3381

299

5939

2524

$6055

15376

1523

1317

5783

733

$6019

14861

1996

769

5123

1848

$5124

10721

-310

568

3867

2589

$4006

17229

1359

1177

5431

3900

$5361

14870

1848

779

7445

5133

($336)

13534

666

874

5222

3222

$3550

5513

-25

508

502

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$1997

24856

2903

1298

9215

3396

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18359

1684

512

6083

3351

$6728

16423

1226

1045

4548

4241

$5363

15419

159

981

7387

1462

$5431

9036

257

1664

-4546

-288

$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

2

5

28

30

09

15

41

21

9

4

2

3

$2

2

9

1

2

6

2

5

4

5

4

91

58

42

82

40

21

7

3

2

$1

1

4

1

9

6

9

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9

14

66

32

88

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3

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5

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5

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25

61

35

43

48

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3

2

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1

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50

32

97

39

44

24

5

4

2

$4

6

1

0

6

8

5

0

8

3

8

4

50

94

29

41

39

16

5

4

3

2

$8

7

4

5

7

9

0

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6

18

37

22

21

25

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7

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2

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7

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2

1

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2

77

41

46

83

23

10

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1

$8

1

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6

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1

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29

01

11

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29

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0

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7

3

1

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6

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78

27

41

76

31

15

8

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7

9

2

0

4

9

0

2

6

9

08

34

43

46

24

12

9

3

2

1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

7

9

7

4

12

39

63

04

24

13

IRlt1yr 8

3

2

1

$

IR1-5yr

8

6

8

0

5

2

R r

1

5

6I gt5ys

4

9

8

86

74

68

06

21

10

FXampGOLDlt1yr

5

4

3

1

$

FXampGOLD1-5yr

5

2

4

0

9

2

8

2

6

3

2FXampGOLDgt5yrs

90

72

77

16

6

3

2

1

$2

6

3

0

2

4

5

8

7

3

5

9

95

13

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77

14

5

2

3

2

$3

3

5

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1

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8

2

8

84

76

98

57

13

6

1

2

1

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3

2

4

7

2

9

8

1

6

59

58

64

53

13

7

1

2

1

$1

4

7

0

6

2

8

0

1

4

8

35

04

31

45

11

5

1

2

1

$

00051$

nb

i

Rlt1y

FXampGold

r

0

0 $

I

00001$

0005$

0003$

0002$

0001$

s

niolli

s

niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

00PrcosMeasgt5yrs

1

i lt e u

$5

5

3

03

17

03

1$9

9

6

85

12

00

$4

1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 16: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

llos

$2000 50

$2000 00

$1000 50

$1000 00

$50000

$0

Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

TotalNotional

Dealer(Trading)

3097

182437

$192952

6853

3018

180186

$190057

6562

3030

167873

$177466

5293

3057

156901

$165252

5304

3061

169971

$178335

4935

3069

177519

$185522

5090

2917

180344

$188351

4186

2785

165002

$171973

4345

2737

196712

$203795

4179

2737

200286

$207202

4342

2763

199891

$206995

4270

2447

169636

$176353

4145

2619

194518

$201282

4074

2850

197950

$204874

4183

3162

193912

$201256

3945

3077

164441

$171462

3986

3518

189995

$197500

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

4

1

9

6

0

1

9

8

0

68

61

05

39

75

4

3

1

9

$

1

7

4

5

2

8

1

4

6

47

61

66

39

14

3

9

7

$

1

4

9

0

3

4

0

3

7

5

61

80

79

42

63

3

9

7

$

1

2

1

4

6

3

6

4

8

7

41

88

47

41

19

3

9

7

$

1

3

4

3

2

0

7

8

9

5

42

93

63

52

3

2

9

6

$

1

9

2

6

9

8

9

8

5

56

08

73

69

09

3

0

8

$

1

0

1

9

8

6

4

7

33

30

51

94

10

4

3

2

$

1

2

7

5

9

1

2

0

6

9

00

23

24

11

59

4

3

5

1

3

$

1

2

1

5

8

0

4

2

7

0

9

16

03

66

31

17

4

3

1

2

$

1

2

9

5

6

9

8

6

0

6

5

9

74

25

62

47

09

3

4

1

3

$

1

2

9

8

1

9

3

7

3

5

9

55

20

93

41

10

3

4

1

3

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$

1

2

4

8

2

6

5

8

3

1

8

96

18

91

41

47

2

3

1

ToaOpintl tos

$

1

2

TotalSwaps

9

7

1

9

6

2

4

1

2

1

25

97

31

60

14ToaN toatloinl

2

4

1

$

1

2

7

2

3

9

6

2

0

6

5

88

77

31

58

55

1

2

0

1

6

$

1

2

7

0

9

8

7

4

2

1

48

62

13

90

15

1

2

8

3

$

1

7

8

2

0

7

5

1

2

20

88

47

56

1

6

9

$

00002$

00051$

00001$

0005$

nb

is

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

00002$

00051$

00001$

0005$

2020

Q1

$146027

42181

3662

1644

3986

197500

2019

Q4

$125056

37170

3796

1495

3945

171462

2018

Q4

$128174

39220

3374

1315

4270

176353

2017

Q4

$130417

32903

3080

1388

4186

171973

2016

Q4

$124488

31737

2475

1257

5293

165252

2015

Q4

$138369

32100

2395

1108

6986

180959

2014

Q4

$174687

33183

2537

1222

9449

221078

2013

Q4

$193084

28480

2028

1209

11191

235992

2012

Q4

$177650

27587

1970

1397

13190

221794

2011

Q4

$187866

25436

1606

1330

14759

230998

2010

Q4

$193399

20990

1364

1195

14151

231099

2009

Q4

$181454

16555

1685

979

14112

214786

2008

Q4

$175895

16224

2207

1061

16029

211416

2007

Q4

$129491

16614

2524

1067

15863

165559

2006

Q4

$107435

11900

2271

893

9020

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

nb

i

00052$

s

niolli

inb

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

Top4

0 10000900008000070000600005000040000300002000010 100 100 2000 0 1 3000 0 1 4000 0 1 5000 0 1 6000 0 1 7000 0 1 8000 0 1 9000 0 1 0000 0 2dfnollii ollso a

Inbillionsofdollars

TotalSwaps 98053 12546 110599

TotalNotional 171303 26197 197500

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

20

510

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

GoldmanSachs

2015 2016 2017 2018 2019 20

0

15

CitibankNA

2015 2016 2017 2018 2019 20

0

40

10

20

5

Q1

201

Q2

2

Q3 Q4 Q1

201

Q2

3

Q3 Q4 Q1

201

Q2

4

Q3 Q4 Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

20

Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134 124 138

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372 344 319

TOTAL

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176 164 173

it

feneNettgB

in

10

00

90

80

70

60

50

40

30

20

10

00

90

9

8

7

9

0

1

2

3

4

5

6

7

8

9

0

0 1 1 1 1 1 1 1 1 1 1 20 0 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019 20

00 809 814 813 810804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

$0

$500

$1000

$1500

inmillions

0000

0001

0002

0003

0004

0005

Charge-Offsas

NCCE

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

2001

Q2 Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4

Q1

2004

Q2 Q3 Q4 Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4

Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4 Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4

Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4 Q1

2015

Q2 Q3 Q4

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-Offs(Banks)

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

200

Q2

1

Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4 Q1

2004

Q2 Q3 Q4

Charge-O ffs(Banks)

00

-10

193

-10

-70

-30

20

-10

1073

3696

3700

758

212

282

660

590

737

253

329

299

314

323

1278

837

512

467

404

349

942

922

90

54

Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4 Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4

Charge-O ffs(Banks)

1

4

14

45

23

18

8

35

4

5

-7

-28

-16

-7

-6

-3

10

9

119

32

31

15

120

93

92

1192

847

1570

217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

83

1617

1601

68

72

92

91

73

69

85

76

64

54

35

26

133

73

87

84

63

61

43

36

83

14

13

56

17

15

9

8

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

668

1424

$3023

7062

342

161

867

3719

$1973

6420

118

353

734

2294

$2920

6006

634

296

681

5941

($1547)

8031

447

330

1595

1743

$3917

6981

128

211

1359

697

$4586

6940

566

300

1454

1608

$3011

5824

-178

324

1649

1811

$2220

7684

487

395

1624

2861

$2317

7384

215

286

1727

4569

$587

7059

141

346

1444

3130

$1998

4030

-476

274

-43

1971

$2305

10035

485

323

2895

2254

$4078

8081

30

-43

2464

2900

$2730

7198

43

1109

1805

2718

$1523

7194

34

600

1427

662

$4471

6688

-34

646

-1040

2167

$4950

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

14868

1482

969

4159

2899

$5359

11579

742

1003

3021

8007

($1193)

18198

3381

299

5939

2524

$6055

15376

1523

1317

5783

733

$6019

14861

1996

769

5123

1848

$5124

10721

-310

568

3867

2589

$4006

17229

1359

1177

5431

3900

$5361

14870

1848

779

7445

5133

($336)

13534

666

874

5222

3222

$3550

5513

-25

508

502

2530

$1997

24856

2903

1298

9215

3396

$8044

18359

1684

512

6083

3351

$6728

16423

1226

1045

4548

4241

$5363

15419

159

981

7387

1462

$5431

9036

257

1664

-4546

-288

$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

2

5

28

30

09

15

41

21

9

4

2

3

$2

2

9

1

2

6

2

5

4

5

4

91

58

42

82

40

21

7

3

2

$1

1

4

1

9

6

9

8

4

9

1

9

14

66

32

88

42

20

7

3

2

$9

4

5

0

5

8

5

6

8

0

2

25

61

35

43

48

25

7

3

2

$1

1

2

4

0

6

1

5

2

50

32

97

39

44

24

5

4

2

$4

6

1

0

6

8

5

0

8

3

8

4

50

94

29

41

39

16

5

4

3

2

$8

7

4

5

7

9

0

2

1

4

8

6

18

37

22

21

25

9

7

3

2

$8

7

0

2

1

9

5

3

7

4

2

77

41

46

83

23

10

7

4

2

1

$8

1

5

6

0

4

9

7

8

1

8

29

01

11

83

29

14

8

3

2

1

$2

0

8

2

7

3

1

5

6

3

1

0

78

27

41

76

31

15

8

3

2

1

$3

7

9

2

0

4

9

0

2

6

9

08

34

43

46

24

12

9

3

2

1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

7

9

7

4

12

39

63

04

24

13

IRlt1yr 8

3

2

1

$

IR1-5yr

8

6

8

0

5

2

R r

1

5

6I gt5ys

4

9

8

86

74

68

06

21

10

FXampGOLDlt1yr

5

4

3

1

$

FXampGOLD1-5yr

5

2

4

0

9

2

8

2

6

3

2FXampGOLDgt5yrs

90

72

77

16

6

3

2

1

$2

6

3

0

2

4

5

8

7

3

5

9

95

13

32

77

14

5

2

3

2

$3

3

5

8

1

9

8

2

8

84

76

98

57

13

6

1

2

1

$1

3

2

4

7

2

9

8

1

6

59

58

64

53

13

7

1

2

1

$1

4

7

0

6

2

8

0

1

4

8

35

04

31

45

11

5

1

2

1

$

00051$

nb

i

Rlt1y

FXampGold

r

0

0 $

I

00001$

0005$

0003$

0002$

0001$

s

niolli

s

niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

00PrcosMeasgt5yrs

1

i lt e u

$5

5

3

03

17

03

1$9

9

6

85

12

00

$4

1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 17: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

llos

$2000 50

$2000 00

$1000 50

$1000 00

$50000

$0

Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

TotalNotional

Dealer(Trading)

3097

182437

$192952

6853

3018

180186

$190057

6562

3030

167873

$177466

5293

3057

156901

$165252

5304

3061

169971

$178335

4935

3069

177519

$185522

5090

2917

180344

$188351

4186

2785

165002

$171973

4345

2737

196712

$203795

4179

2737

200286

$207202

4342

2763

199891

$206995

4270

2447

169636

$176353

4145

2619

194518

$201282

4074

2850

197950

$204874

4183

3162

193912

$201256

3945

3077

164441

$171462

3986

3518

189995

$197500

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

4

1

9

6

0

1

9

8

0

68

61

05

39

75

4

3

1

9

$

1

7

4

5

2

8

1

4

6

47

61

66

39

14

3

9

7

$

1

4

9

0

3

4

0

3

7

5

61

80

79

42

63

3

9

7

$

1

2

1

4

6

3

6

4

8

7

41

88

47

41

19

3

9

7

$

1

3

4

3

2

0

7

8

9

5

42

93

63

52

3

2

9

6

$

1

9

2

6

9

8

9

8

5

56

08

73

69

09

3

0

8

$

1

0

1

9

8

6

4

7

33

30

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3

2

$

1

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2

0

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24

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$

1

2

9

8

1

9

3

7

3

5

9

55

20

93

41

10

3

4

1

3

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$

1

2

4

8

2

6

5

8

3

1

8

96

18

91

41

47

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ToaOpintl tos

$

1

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TotalSwaps

9

7

1

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1

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97

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20

88

47

56

1

6

9

$

00002$

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00001$

0005$

nb

is

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

00002$

00051$

00001$

0005$

2020

Q1

$146027

42181

3662

1644

3986

197500

2019

Q4

$125056

37170

3796

1495

3945

171462

2018

Q4

$128174

39220

3374

1315

4270

176353

2017

Q4

$130417

32903

3080

1388

4186

171973

2016

Q4

$124488

31737

2475

1257

5293

165252

2015

Q4

$138369

32100

2395

1108

6986

180959

2014

Q4

$174687

33183

2537

1222

9449

221078

2013

Q4

$193084

28480

2028

1209

11191

235992

2012

Q4

$177650

27587

1970

1397

13190

221794

2011

Q4

$187866

25436

1606

1330

14759

230998

2010

Q4

$193399

20990

1364

1195

14151

231099

2009

Q4

$181454

16555

1685

979

14112

214786

2008

Q4

$175895

16224

2207

1061

16029

211416

2007

Q4

$129491

16614

2524

1067

15863

165559

2006

Q4

$107435

11900

2271

893

9020

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

nb

i

00052$

s

niolli

inb

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

Top4

0 10000900008000070000600005000040000300002000010 100 100 2000 0 1 3000 0 1 4000 0 1 5000 0 1 6000 0 1 7000 0 1 8000 0 1 9000 0 1 0000 0 2dfnollii ollso a

Inbillionsofdollars

TotalSwaps 98053 12546 110599

TotalNotional 171303 26197 197500

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

20

510

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

GoldmanSachs

2015 2016 2017 2018 2019 20

0

15

CitibankNA

2015 2016 2017 2018 2019 20

0

40

10

20

5

Q1

201

Q2

2

Q3 Q4 Q1

201

Q2

3

Q3 Q4 Q1

201

Q2

4

Q3 Q4 Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

20

Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134 124 138

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372 344 319

TOTAL

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176 164 173

it

feneNettgB

in

10

00

90

80

70

60

50

40

30

20

10

00

90

9

8

7

9

0

1

2

3

4

5

6

7

8

9

0

0 1 1 1 1 1 1 1 1 1 1 20 0 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019 20

00 809 814 813 810804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

$0

$500

$1000

$1500

inmillions

0000

0001

0002

0003

0004

0005

Charge-Offsas

NCCE

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

2001

Q2 Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4

Q1

2004

Q2 Q3 Q4 Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4

Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4 Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4

Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4 Q1

2015

Q2 Q3 Q4

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-Offs(Banks)

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

200

Q2

1

Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4 Q1

2004

Q2 Q3 Q4

Charge-O ffs(Banks)

00

-10

193

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20

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1073

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212

282

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590

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253

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314

323

1278

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512

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404

349

942

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54

Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4 Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4

Charge-O ffs(Banks)

1

4

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23

18

8

35

4

5

-7

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-7

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10

9

119

32

31

15

120

93

92

1192

847

1570

217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

83

1617

1601

68

72

92

91

73

69

85

76

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54

35

26

133

73

87

84

63

61

43

36

83

14

13

56

17

15

9

8

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

668

1424

$3023

7062

342

161

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118

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($1547)

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1971

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2900

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2718

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600

1427

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$4471

6688

-34

646

-1040

2167

$4950

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

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($1193)

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7445

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($336)

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159

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1664

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-288

$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

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7

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08

34

43

46

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2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

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12

39

63

04

24

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IRlt1yr 8

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s

niolli

s

niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

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36

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9

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74

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00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

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0

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07

21

00PrcosMeasgt5yrs

1

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03

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9

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38

03

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6

0

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04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 18: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

llos

$2000 50

$2000 00

$1000 50

$1000 00

$50000

$0

Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

TotalNotional

Dealer(Trading)

3097

182437

$192952

6853

3018

180186

$190057

6562

3030

167873

$177466

5293

3057

156901

$165252

5304

3061

169971

$178335

4935

3069

177519

$185522

5090

2917

180344

$188351

4186

2785

165002

$171973

4345

2737

196712

$203795

4179

2737

200286

$207202

4342

2763

199891

$206995

4270

2447

169636

$176353

4145

2619

194518

$201282

4074

2850

197950

$204874

4183

3162

193912

$201256

3945

3077

164441

$171462

3986

3518

189995

$197500

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

4

1

9

6

0

1

9

8

0

68

61

05

39

75

4

3

1

9

$

1

7

4

5

2

8

1

4

6

47

61

66

39

14

3

9

7

$

1

4

9

0

3

4

0

3

7

5

61

80

79

42

63

3

9

7

$

1

2

1

4

6

3

6

4

8

7

41

88

47

41

19

3

9

7

$

1

3

4

3

2

0

7

8

9

5

42

93

63

52

3

2

9

6

$

1

9

2

6

9

8

9

8

5

56

08

73

69

09

3

0

8

$

1

0

1

9

8

6

4

7

33

30

51

94

10

4

3

2

$

1

2

7

5

9

1

2

0

6

9

00

23

24

11

59

4

3

5

1

3

$

1

2

1

5

8

0

4

2

7

0

9

16

03

66

31

17

4

3

1

2

$

1

2

9

5

6

9

8

6

0

6

5

9

74

25

62

47

09

3

4

1

3

$

1

2

9

8

1

9

3

7

3

5

9

55

20

93

41

10

3

4

1

3

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$

1

2

4

8

2

6

5

8

3

1

8

96

18

91

41

47

2

3

1

ToaOpintl tos

$

1

2

TotalSwaps

9

7

1

9

6

2

4

1

2

1

25

97

31

60

14ToaN toatloinl

2

4

1

$

1

2

7

2

3

9

6

2

0

6

5

88

77

31

58

55

1

2

0

1

6

$

1

2

7

0

9

8

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2

1

48

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13

90

15

1

2

8

3

$

1

7

8

2

0

7

5

1

2

20

88

47

56

1

6

9

$

00002$

00051$

00001$

0005$

nb

is

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

00002$

00051$

00001$

0005$

2020

Q1

$146027

42181

3662

1644

3986

197500

2019

Q4

$125056

37170

3796

1495

3945

171462

2018

Q4

$128174

39220

3374

1315

4270

176353

2017

Q4

$130417

32903

3080

1388

4186

171973

2016

Q4

$124488

31737

2475

1257

5293

165252

2015

Q4

$138369

32100

2395

1108

6986

180959

2014

Q4

$174687

33183

2537

1222

9449

221078

2013

Q4

$193084

28480

2028

1209

11191

235992

2012

Q4

$177650

27587

1970

1397

13190

221794

2011

Q4

$187866

25436

1606

1330

14759

230998

2010

Q4

$193399

20990

1364

1195

14151

231099

2009

Q4

$181454

16555

1685

979

14112

214786

2008

Q4

$175895

16224

2207

1061

16029

211416

2007

Q4

$129491

16614

2524

1067

15863

165559

2006

Q4

$107435

11900

2271

893

9020

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

nb

i

00052$

s

niolli

inb

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

Top4

0 10000900008000070000600005000040000300002000010 100 100 2000 0 1 3000 0 1 4000 0 1 5000 0 1 6000 0 1 7000 0 1 8000 0 1 9000 0 1 0000 0 2dfnollii ollso a

Inbillionsofdollars

TotalSwaps 98053 12546 110599

TotalNotional 171303 26197 197500

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

20

510

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

GoldmanSachs

2015 2016 2017 2018 2019 20

0

15

CitibankNA

2015 2016 2017 2018 2019 20

0

40

10

20

5

Q1

201

Q2

2

Q3 Q4 Q1

201

Q2

3

Q3 Q4 Q1

201

Q2

4

Q3 Q4 Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

20

Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134 124 138

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372 344 319

TOTAL

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176 164 173

it

feneNettgB

in

10

00

90

80

70

60

50

40

30

20

10

00

90

9

8

7

9

0

1

2

3

4

5

6

7

8

9

0

0 1 1 1 1 1 1 1 1 1 1 20 0 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019 20

00 809 814 813 810804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

$0

$500

$1000

$1500

inmillions

0000

0001

0002

0003

0004

0005

Charge-Offsas

NCCE

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

2001

Q2 Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4

Q1

2004

Q2 Q3 Q4 Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4

Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4 Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4

Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4 Q1

2015

Q2 Q3 Q4

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-Offs(Banks)

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

200

Q2

1

Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4 Q1

2004

Q2 Q3 Q4

Charge-O ffs(Banks)

00

-10

193

-10

-70

-30

20

-10

1073

3696

3700

758

212

282

660

590

737

253

329

299

314

323

1278

837

512

467

404

349

942

922

90

54

Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4 Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4

Charge-O ffs(Banks)

1

4

14

45

23

18

8

35

4

5

-7

-28

-16

-7

-6

-3

10

9

119

32

31

15

120

93

92

1192

847

1570

217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

83

1617

1601

68

72

92

91

73

69

85

76

64

54

35

26

133

73

87

84

63

61

43

36

83

14

13

56

17

15

9

8

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

668

1424

$3023

7062

342

161

867

3719

$1973

6420

118

353

734

2294

$2920

6006

634

296

681

5941

($1547)

8031

447

330

1595

1743

$3917

6981

128

211

1359

697

$4586

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300

1454

1608

$3011

5824

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324

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1811

$2220

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395

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$2317

7384

215

286

1727

4569

$587

7059

141

346

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3130

$1998

4030

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274

-43

1971

$2305

10035

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323

2895

2254

$4078

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-43

2464

2900

$2730

7198

43

1109

1805

2718

$1523

7194

34

600

1427

662

$4471

6688

-34

646

-1040

2167

$4950

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

14868

1482

969

4159

2899

$5359

11579

742

1003

3021

8007

($1193)

18198

3381

299

5939

2524

$6055

15376

1523

1317

5783

733

$6019

14861

1996

769

5123

1848

$5124

10721

-310

568

3867

2589

$4006

17229

1359

1177

5431

3900

$5361

14870

1848

779

7445

5133

($336)

13534

666

874

5222

3222

$3550

5513

-25

508

502

2530

$1997

24856

2903

1298

9215

3396

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18359

1684

512

6083

3351

$6728

16423

1226

1045

4548

4241

$5363

15419

159

981

7387

1462

$5431

9036

257

1664

-4546

-288

$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

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8

2

3

8

7

2

5

28

30

09

15

41

21

9

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3

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9

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2

6

2

5

4

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4

91

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42

82

40

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2

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2

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6

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08

34

43

46

24

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1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

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9

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4

12

39

63

04

24

13

IRlt1yr 8

3

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IR1-5yr

8

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i

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0

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s

niolli

s

niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

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74

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00

1$5

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0

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00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

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0

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07

21

00PrcosMeasgt5yrs

1

i lt e u

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38

03

00

$2

6

0

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04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 19: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

llos

$2000 50

$2000 00

$1000 50

$1000 00

$50000

$0

Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

TotalNotional

Dealer(Trading)

3097

182437

$192952

6853

3018

180186

$190057

6562

3030

167873

$177466

5293

3057

156901

$165252

5304

3061

169971

$178335

4935

3069

177519

$185522

5090

2917

180344

$188351

4186

2785

165002

$171973

4345

2737

196712

$203795

4179

2737

200286

$207202

4342

2763

199891

$206995

4270

2447

169636

$176353

4145

2619

194518

$201282

4074

2850

197950

$204874

4183

3162

193912

$201256

3945

3077

164441

$171462

3986

3518

189995

$197500

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

4

1

9

6

0

1

9

8

0

68

61

05

39

75

4

3

1

9

$

1

7

4

5

2

8

1

4

6

47

61

66

39

14

3

9

7

$

1

4

9

0

3

4

0

3

7

5

61

80

79

42

63

3

9

7

$

1

2

1

4

6

3

6

4

8

7

41

88

47

41

19

3

9

7

$

1

3

4

3

2

0

7

8

9

5

42

93

63

52

3

2

9

6

$

1

9

2

6

9

8

9

8

5

56

08

73

69

09

3

0

8

$

1

0

1

9

8

6

4

7

33

30

51

94

10

4

3

2

$

1

2

7

5

9

1

2

0

6

9

00

23

24

11

59

4

3

5

1

3

$

1

2

1

5

8

0

4

2

7

0

9

16

03

66

31

17

4

3

1

2

$

1

2

9

5

6

9

8

6

0

6

5

9

74

25

62

47

09

3

4

1

3

$

1

2

9

8

1

9

3

7

3

5

9

55

20

93

41

10

3

4

1

3

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$

1

2

4

8

2

6

5

8

3

1

8

96

18

91

41

47

2

3

1

ToaOpintl tos

$

1

2

TotalSwaps

9

7

1

9

6

2

4

1

2

1

25

97

31

60

14ToaN toatloinl

2

4

1

$

1

2

7

2

3

9

6

2

0

6

5

88

77

31

58

55

1

2

0

1

6

$

1

2

7

0

9

8

7

4

2

1

48

62

13

90

15

1

2

8

3

$

1

7

8

2

0

7

5

1

2

20

88

47

56

1

6

9

$

00002$

00051$

00001$

0005$

nb

is

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

00002$

00051$

00001$

0005$

2020

Q1

$146027

42181

3662

1644

3986

197500

2019

Q4

$125056

37170

3796

1495

3945

171462

2018

Q4

$128174

39220

3374

1315

4270

176353

2017

Q4

$130417

32903

3080

1388

4186

171973

2016

Q4

$124488

31737

2475

1257

5293

165252

2015

Q4

$138369

32100

2395

1108

6986

180959

2014

Q4

$174687

33183

2537

1222

9449

221078

2013

Q4

$193084

28480

2028

1209

11191

235992

2012

Q4

$177650

27587

1970

1397

13190

221794

2011

Q4

$187866

25436

1606

1330

14759

230998

2010

Q4

$193399

20990

1364

1195

14151

231099

2009

Q4

$181454

16555

1685

979

14112

214786

2008

Q4

$175895

16224

2207

1061

16029

211416

2007

Q4

$129491

16614

2524

1067

15863

165559

2006

Q4

$107435

11900

2271

893

9020

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

nb

i

00052$

s

niolli

inb

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

Top4

0 10000900008000070000600005000040000300002000010 100 100 2000 0 1 3000 0 1 4000 0 1 5000 0 1 6000 0 1 7000 0 1 8000 0 1 9000 0 1 0000 0 2dfnollii ollso a

Inbillionsofdollars

TotalSwaps 98053 12546 110599

TotalNotional 171303 26197 197500

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

20

510

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

GoldmanSachs

2015 2016 2017 2018 2019 20

0

15

CitibankNA

2015 2016 2017 2018 2019 20

0

40

10

20

5

Q1

201

Q2

2

Q3 Q4 Q1

201

Q2

3

Q3 Q4 Q1

201

Q2

4

Q3 Q4 Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

20

Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134 124 138

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372 344 319

TOTAL

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176 164 173

it

feneNettgB

in

10

00

90

80

70

60

50

40

30

20

10

00

90

9

8

7

9

0

1

2

3

4

5

6

7

8

9

0

0 1 1 1 1 1 1 1 1 1 1 20 0 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019 20

00 809 814 813 810804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

$0

$500

$1000

$1500

inmillions

0000

0001

0002

0003

0004

0005

Charge-Offsas

NCCE

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

2001

Q2 Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4

Q1

2004

Q2 Q3 Q4 Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4

Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4 Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4

Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4 Q1

2015

Q2 Q3 Q4

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-Offs(Banks)

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

200

Q2

1

Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4 Q1

2004

Q2 Q3 Q4

Charge-O ffs(Banks)

00

-10

193

-10

-70

-30

20

-10

1073

3696

3700

758

212

282

660

590

737

253

329

299

314

323

1278

837

512

467

404

349

942

922

90

54

Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4 Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4

Charge-O ffs(Banks)

1

4

14

45

23

18

8

35

4

5

-7

-28

-16

-7

-6

-3

10

9

119

32

31

15

120

93

92

1192

847

1570

217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

83

1617

1601

68

72

92

91

73

69

85

76

64

54

35

26

133

73

87

84

63

61

43

36

83

14

13

56

17

15

9

8

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

668

1424

$3023

7062

342

161

867

3719

$1973

6420

118

353

734

2294

$2920

6006

634

296

681

5941

($1547)

8031

447

330

1595

1743

$3917

6981

128

211

1359

697

$4586

6940

566

300

1454

1608

$3011

5824

-178

324

1649

1811

$2220

7684

487

395

1624

2861

$2317

7384

215

286

1727

4569

$587

7059

141

346

1444

3130

$1998

4030

-476

274

-43

1971

$2305

10035

485

323

2895

2254

$4078

8081

30

-43

2464

2900

$2730

7198

43

1109

1805

2718

$1523

7194

34

600

1427

662

$4471

6688

-34

646

-1040

2167

$4950

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

14868

1482

969

4159

2899

$5359

11579

742

1003

3021

8007

($1193)

18198

3381

299

5939

2524

$6055

15376

1523

1317

5783

733

$6019

14861

1996

769

5123

1848

$5124

10721

-310

568

3867

2589

$4006

17229

1359

1177

5431

3900

$5361

14870

1848

779

7445

5133

($336)

13534

666

874

5222

3222

$3550

5513

-25

508

502

2530

$1997

24856

2903

1298

9215

3396

$8044

18359

1684

512

6083

3351

$6728

16423

1226

1045

4548

4241

$5363

15419

159

981

7387

1462

$5431

9036

257

1664

-4546

-288

$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

2

5

28

30

09

15

41

21

9

4

2

3

$2

2

9

1

2

6

2

5

4

5

4

91

58

42

82

40

21

7

3

2

$1

1

4

1

9

6

9

8

4

9

1

9

14

66

32

88

42

20

7

3

2

$9

4

5

0

5

8

5

6

8

0

2

25

61

35

43

48

25

7

3

2

$1

1

2

4

0

6

1

5

2

50

32

97

39

44

24

5

4

2

$4

6

1

0

6

8

5

0

8

3

8

4

50

94

29

41

39

16

5

4

3

2

$8

7

4

5

7

9

0

2

1

4

8

6

18

37

22

21

25

9

7

3

2

$8

7

0

2

1

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5

3

7

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2

77

41

46

83

23

10

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1

$8

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6

0

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9

7

8

1

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29

01

11

83

29

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1

$2

0

8

2

7

3

1

5

6

3

1

0

78

27

41

76

31

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8

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$3

7

9

2

0

4

9

0

2

6

9

08

34

43

46

24

12

9

3

2

1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

7

9

7

4

12

39

63

04

24

13

IRlt1yr 8

3

2

1

$

IR1-5yr

8

6

8

0

5

2

R r

1

5

6I gt5ys

4

9

8

86

74

68

06

21

10

FXampGOLDlt1yr

5

4

3

1

$

FXampGOLD1-5yr

5

2

4

0

9

2

8

2

6

3

2FXampGOLDgt5yrs

90

72

77

16

6

3

2

1

$2

6

3

0

2

4

5

8

7

3

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95

13

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14

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84

76

98

57

13

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1

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59

58

64

53

13

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1

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4

7

0

6

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8

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4

8

35

04

31

45

11

5

1

2

1

$

00051$

nb

i

Rlt1y

FXampGold

r

0

0 $

I

00001$

0005$

0003$

0002$

0001$

s

niolli

s

niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

00PrcosMeasgt5yrs

1

i lt e u

$5

5

3

03

17

03

1$9

9

6

85

12

00

$4

1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 20: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

llos

$2000 50

$2000 00

$1000 50

$1000 00

$50000

$0

Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

TotalNotional

Dealer(Trading)

3097

182437

$192952

6853

3018

180186

$190057

6562

3030

167873

$177466

5293

3057

156901

$165252

5304

3061

169971

$178335

4935

3069

177519

$185522

5090

2917

180344

$188351

4186

2785

165002

$171973

4345

2737

196712

$203795

4179

2737

200286

$207202

4342

2763

199891

$206995

4270

2447

169636

$176353

4145

2619

194518

$201282

4074

2850

197950

$204874

4183

3162

193912

$201256

3945

3077

164441

$171462

3986

3518

189995

$197500

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

4

1

9

6

0

1

9

8

0

68

61

05

39

75

4

3

1

9

$

1

7

4

5

2

8

1

4

6

47

61

66

39

14

3

9

7

$

1

4

9

0

3

4

0

3

7

5

61

80

79

42

63

3

9

7

$

1

2

1

4

6

3

6

4

8

7

41

88

47

41

19

3

9

7

$

1

3

4

3

2

0

7

8

9

5

42

93

63

52

3

2

9

6

$

1

9

2

6

9

8

9

8

5

56

08

73

69

09

3

0

8

$

1

0

1

9

8

6

4

7

33

30

51

94

10

4

3

2

$

1

2

7

5

9

1

2

0

6

9

00

23

24

11

59

4

3

5

1

3

$

1

2

1

5

8

0

4

2

7

0

9

16

03

66

31

17

4

3

1

2

$

1

2

9

5

6

9

8

6

0

6

5

9

74

25

62

47

09

3

4

1

3

$

1

2

9

8

1

9

3

7

3

5

9

55

20

93

41

10

3

4

1

3

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$

1

2

4

8

2

6

5

8

3

1

8

96

18

91

41

47

2

3

1

ToaOpintl tos

$

1

2

TotalSwaps

9

7

1

9

6

2

4

1

2

1

25

97

31

60

14ToaN toatloinl

2

4

1

$

1

2

7

2

3

9

6

2

0

6

5

88

77

31

58

55

1

2

0

1

6

$

1

2

7

0

9

8

7

4

2

1

48

62

13

90

15

1

2

8

3

$

1

7

8

2

0

7

5

1

2

20

88

47

56

1

6

9

$

00002$

00051$

00001$

0005$

nb

is

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

00002$

00051$

00001$

0005$

2020

Q1

$146027

42181

3662

1644

3986

197500

2019

Q4

$125056

37170

3796

1495

3945

171462

2018

Q4

$128174

39220

3374

1315

4270

176353

2017

Q4

$130417

32903

3080

1388

4186

171973

2016

Q4

$124488

31737

2475

1257

5293

165252

2015

Q4

$138369

32100

2395

1108

6986

180959

2014

Q4

$174687

33183

2537

1222

9449

221078

2013

Q4

$193084

28480

2028

1209

11191

235992

2012

Q4

$177650

27587

1970

1397

13190

221794

2011

Q4

$187866

25436

1606

1330

14759

230998

2010

Q4

$193399

20990

1364

1195

14151

231099

2009

Q4

$181454

16555

1685

979

14112

214786

2008

Q4

$175895

16224

2207

1061

16029

211416

2007

Q4

$129491

16614

2524

1067

15863

165559

2006

Q4

$107435

11900

2271

893

9020

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

nb

i

00052$

s

niolli

inb

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

Top4

0 10000900008000070000600005000040000300002000010 100 100 2000 0 1 3000 0 1 4000 0 1 5000 0 1 6000 0 1 7000 0 1 8000 0 1 9000 0 1 0000 0 2dfnollii ollso a

Inbillionsofdollars

TotalSwaps 98053 12546 110599

TotalNotional 171303 26197 197500

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

20

510

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

GoldmanSachs

2015 2016 2017 2018 2019 20

0

15

CitibankNA

2015 2016 2017 2018 2019 20

0

40

10

20

5

Q1

201

Q2

2

Q3 Q4 Q1

201

Q2

3

Q3 Q4 Q1

201

Q2

4

Q3 Q4 Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

20

Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134 124 138

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372 344 319

TOTAL

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176 164 173

it

feneNettgB

in

10

00

90

80

70

60

50

40

30

20

10

00

90

9

8

7

9

0

1

2

3

4

5

6

7

8

9

0

0 1 1 1 1 1 1 1 1 1 1 20 0 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019 20

00 809 814 813 810804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

$0

$500

$1000

$1500

inmillions

0000

0001

0002

0003

0004

0005

Charge-Offsas

NCCE

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

2001

Q2 Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4

Q1

2004

Q2 Q3 Q4 Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4

Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4 Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4

Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4 Q1

2015

Q2 Q3 Q4

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-Offs(Banks)

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

200

Q2

1

Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4 Q1

2004

Q2 Q3 Q4

Charge-O ffs(Banks)

00

-10

193

-10

-70

-30

20

-10

1073

3696

3700

758

212

282

660

590

737

253

329

299

314

323

1278

837

512

467

404

349

942

922

90

54

Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4 Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4

Charge-O ffs(Banks)

1

4

14

45

23

18

8

35

4

5

-7

-28

-16

-7

-6

-3

10

9

119

32

31

15

120

93

92

1192

847

1570

217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

83

1617

1601

68

72

92

91

73

69

85

76

64

54

35

26

133

73

87

84

63

61

43

36

83

14

13

56

17

15

9

8

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

668

1424

$3023

7062

342

161

867

3719

$1973

6420

118

353

734

2294

$2920

6006

634

296

681

5941

($1547)

8031

447

330

1595

1743

$3917

6981

128

211

1359

697

$4586

6940

566

300

1454

1608

$3011

5824

-178

324

1649

1811

$2220

7684

487

395

1624

2861

$2317

7384

215

286

1727

4569

$587

7059

141

346

1444

3130

$1998

4030

-476

274

-43

1971

$2305

10035

485

323

2895

2254

$4078

8081

30

-43

2464

2900

$2730

7198

43

1109

1805

2718

$1523

7194

34

600

1427

662

$4471

6688

-34

646

-1040

2167

$4950

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

14868

1482

969

4159

2899

$5359

11579

742

1003

3021

8007

($1193)

18198

3381

299

5939

2524

$6055

15376

1523

1317

5783

733

$6019

14861

1996

769

5123

1848

$5124

10721

-310

568

3867

2589

$4006

17229

1359

1177

5431

3900

$5361

14870

1848

779

7445

5133

($336)

13534

666

874

5222

3222

$3550

5513

-25

508

502

2530

$1997

24856

2903

1298

9215

3396

$8044

18359

1684

512

6083

3351

$6728

16423

1226

1045

4548

4241

$5363

15419

159

981

7387

1462

$5431

9036

257

1664

-4546

-288

$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

2

5

28

30

09

15

41

21

9

4

2

3

$2

2

9

1

2

6

2

5

4

5

4

91

58

42

82

40

21

7

3

2

$1

1

4

1

9

6

9

8

4

9

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9

14

66

32

88

42

20

7

3

2

$9

4

5

0

5

8

5

6

8

0

2

25

61

35

43

48

25

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3

2

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4

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5

2

50

32

97

39

44

24

5

4

2

$4

6

1

0

6

8

5

0

8

3

8

4

50

94

29

41

39

16

5

4

3

2

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7

4

5

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9

0

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6

18

37

22

21

25

9

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2

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0

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77

41

46

83

23

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11

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29

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0

8

2

7

3

1

5

6

3

1

0

78

27

41

76

31

15

8

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$3

7

9

2

0

4

9

0

2

6

9

08

34

43

46

24

12

9

3

2

1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

7

9

7

4

12

39

63

04

24

13

IRlt1yr 8

3

2

1

$

IR1-5yr

8

6

8

0

5

2

R r

1

5

6I gt5ys

4

9

8

86

74

68

06

21

10

FXampGOLDlt1yr

5

4

3

1

$

FXampGOLD1-5yr

5

2

4

0

9

2

8

2

6

3

2FXampGOLDgt5yrs

90

72

77

16

6

3

2

1

$2

6

3

0

2

4

5

8

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95

13

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84

76

98

57

13

6

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1

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59

58

64

53

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7

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8

35

04

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45

11

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$

00051$

nb

i

Rlt1y

FXampGold

r

0

0 $

I

00001$

0005$

0003$

0002$

0001$

s

niolli

s

niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

00PrcosMeasgt5yrs

1

i lt e u

$5

5

3

03

17

03

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9

6

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12

00

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1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 21: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

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nb

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2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

00002$

00051$

00001$

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2020

Q1

$146027

42181

3662

1644

3986

197500

2019

Q4

$125056

37170

3796

1495

3945

171462

2018

Q4

$128174

39220

3374

1315

4270

176353

2017

Q4

$130417

32903

3080

1388

4186

171973

2016

Q4

$124488

31737

2475

1257

5293

165252

2015

Q4

$138369

32100

2395

1108

6986

180959

2014

Q4

$174687

33183

2537

1222

9449

221078

2013

Q4

$193084

28480

2028

1209

11191

235992

2012

Q4

$177650

27587

1970

1397

13190

221794

2011

Q4

$187866

25436

1606

1330

14759

230998

2010

Q4

$193399

20990

1364

1195

14151

231099

2009

Q4

$181454

16555

1685

979

14112

214786

2008

Q4

$175895

16224

2207

1061

16029

211416

2007

Q4

$129491

16614

2524

1067

15863

165559

2006

Q4

$107435

11900

2271

893

9020

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

nb

i

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inb

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

Top4

0 10000900008000070000600005000040000300002000010 100 100 2000 0 1 3000 0 1 4000 0 1 5000 0 1 6000 0 1 7000 0 1 8000 0 1 9000 0 1 0000 0 2dfnollii ollso a

Inbillionsofdollars

TotalSwaps 98053 12546 110599

TotalNotional 171303 26197 197500

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

20

510

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

GoldmanSachs

2015 2016 2017 2018 2019 20

0

15

CitibankNA

2015 2016 2017 2018 2019 20

0

40

10

20

5

Q1

201

Q2

2

Q3 Q4 Q1

201

Q2

3

Q3 Q4 Q1

201

Q2

4

Q3 Q4 Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

20

Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134 124 138

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372 344 319

TOTAL

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176 164 173

it

feneNettgB

in

10

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90

80

70

60

50

40

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0 1 1 1 1 1 1 1 1 1 1 20 0 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019 20

00 809 814 813 810804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

$0

$500

$1000

$1500

inmillions

0000

0001

0002

0003

0004

0005

Charge-Offsas

NCCE

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

2001

Q2 Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4

Q1

2004

Q2 Q3 Q4 Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4

Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4 Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4

Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4 Q1

2015

Q2 Q3 Q4

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-Offs(Banks)

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

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Q2

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2002

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Charge-O ffs(Banks)

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217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

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Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

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Q2 Q3 Q4 Q1

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Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

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inmillions

Q1

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Q2 Q3 Q4 Q1

2017

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InterestRate

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JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

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2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

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2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

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5

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1

i lt e u

$5

5

3

03

17

03

1$9

9

6

85

12

00

$4

1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 22: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

00002$

00051$

00001$

0005$

2020

Q1

$146027

42181

3662

1644

3986

197500

2019

Q4

$125056

37170

3796

1495

3945

171462

2018

Q4

$128174

39220

3374

1315

4270

176353

2017

Q4

$130417

32903

3080

1388

4186

171973

2016

Q4

$124488

31737

2475

1257

5293

165252

2015

Q4

$138369

32100

2395

1108

6986

180959

2014

Q4

$174687

33183

2537

1222

9449

221078

2013

Q4

$193084

28480

2028

1209

11191

235992

2012

Q4

$177650

27587

1970

1397

13190

221794

2011

Q4

$187866

25436

1606

1330

14759

230998

2010

Q4

$193399

20990

1364

1195

14151

231099

2009

Q4

$181454

16555

1685

979

14112

214786

2008

Q4

$175895

16224

2207

1061

16029

211416

2007

Q4

$129491

16614

2524

1067

15863

165559

2006

Q4

$107435

11900

2271

893

9020

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

nb

i

00052$

s

niolli

inb

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

Top4

0 10000900008000070000600005000040000300002000010 100 100 2000 0 1 3000 0 1 4000 0 1 5000 0 1 6000 0 1 7000 0 1 8000 0 1 9000 0 1 0000 0 2dfnollii ollso a

Inbillionsofdollars

TotalSwaps 98053 12546 110599

TotalNotional 171303 26197 197500

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

20

510

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

GoldmanSachs

2015 2016 2017 2018 2019 20

0

15

CitibankNA

2015 2016 2017 2018 2019 20

0

40

10

20

5

Q1

201

Q2

2

Q3 Q4 Q1

201

Q2

3

Q3 Q4 Q1

201

Q2

4

Q3 Q4 Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

20

Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134 124 138

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372 344 319

TOTAL

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176 164 173

it

feneNettgB

in

10

00

90

80

70

60

50

40

30

20

10

00

90

9

8

7

9

0

1

2

3

4

5

6

7

8

9

0

0 1 1 1 1 1 1 1 1 1 1 20 0 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019 20

00 809 814 813 810804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

$0

$500

$1000

$1500

inmillions

0000

0001

0002

0003

0004

0005

Charge-Offsas

NCCE

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

2001

Q2 Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4

Q1

2004

Q2 Q3 Q4 Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4

Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4 Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4

Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4 Q1

2015

Q2 Q3 Q4

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-Offs(Banks)

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

200

Q2

1

Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4 Q1

2004

Q2 Q3 Q4

Charge-O ffs(Banks)

00

-10

193

-10

-70

-30

20

-10

1073

3696

3700

758

212

282

660

590

737

253

329

299

314

323

1278

837

512

467

404

349

942

922

90

54

Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4 Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4

Charge-O ffs(Banks)

1

4

14

45

23

18

8

35

4

5

-7

-28

-16

-7

-6

-3

10

9

119

32

31

15

120

93

92

1192

847

1570

217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

83

1617

1601

68

72

92

91

73

69

85

76

64

54

35

26

133

73

87

84

63

61

43

36

83

14

13

56

17

15

9

8

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

668

1424

$3023

7062

342

161

867

3719

$1973

6420

118

353

734

2294

$2920

6006

634

296

681

5941

($1547)

8031

447

330

1595

1743

$3917

6981

128

211

1359

697

$4586

6940

566

300

1454

1608

$3011

5824

-178

324

1649

1811

$2220

7684

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395

1624

2861

$2317

7384

215

286

1727

4569

$587

7059

141

346

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3130

$1998

4030

-476

274

-43

1971

$2305

10035

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323

2895

2254

$4078

8081

30

-43

2464

2900

$2730

7198

43

1109

1805

2718

$1523

7194

34

600

1427

662

$4471

6688

-34

646

-1040

2167

$4950

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

14868

1482

969

4159

2899

$5359

11579

742

1003

3021

8007

($1193)

18198

3381

299

5939

2524

$6055

15376

1523

1317

5783

733

$6019

14861

1996

769

5123

1848

$5124

10721

-310

568

3867

2589

$4006

17229

1359

1177

5431

3900

$5361

14870

1848

779

7445

5133

($336)

13534

666

874

5222

3222

$3550

5513

-25

508

502

2530

$1997

24856

2903

1298

9215

3396

$8044

18359

1684

512

6083

3351

$6728

16423

1226

1045

4548

4241

$5363

15419

159

981

7387

1462

$5431

9036

257

1664

-4546

-288

$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

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2

5

28

30

09

15

41

21

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9

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6

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91

58

42

82

40

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0

2

6

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08

34

43

46

24

12

9

3

2

1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

7

9

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4

12

39

63

04

24

13

IRlt1yr 8

3

2

1

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IR1-5yr

8

6

8

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4

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FXampGOLDlt1yr

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FXampGOLD1-5yr

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4

0

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2FXampGOLDgt5yrs

90

72

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8

35

04

31

45

11

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1

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1

$

00051$

nb

i

Rlt1y

FXampGold

r

0

0 $

I

00001$

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s

niolli

s

niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

00PrcosMeasgt5yrs

1

i lt e u

$5

5

3

03

17

03

1$9

9

6

85

12

00

$4

1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 23: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

inb

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

Top4

0 10000900008000070000600005000040000300002000010 100 100 2000 0 1 3000 0 1 4000 0 1 5000 0 1 6000 0 1 7000 0 1 8000 0 1 9000 0 1 0000 0 2dfnollii ollso a

Inbillionsofdollars

TotalSwaps 98053 12546 110599

TotalNotional 171303 26197 197500

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

20

510

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

GoldmanSachs

2015 2016 2017 2018 2019 20

0

15

CitibankNA

2015 2016 2017 2018 2019 20

0

40

10

20

5

Q1

201

Q2

2

Q3 Q4 Q1

201

Q2

3

Q3 Q4 Q1

201

Q2

4

Q3 Q4 Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

20

Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134 124 138

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372 344 319

TOTAL

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176 164 173

it

feneNettgB

in

10

00

90

80

70

60

50

40

30

20

10

00

90

9

8

7

9

0

1

2

3

4

5

6

7

8

9

0

0 1 1 1 1 1 1 1 1 1 1 20 0 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019 20

00 809 814 813 810804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

$0

$500

$1000

$1500

inmillions

0000

0001

0002

0003

0004

0005

Charge-Offsas

NCCE

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

2001

Q2 Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4

Q1

2004

Q2 Q3 Q4 Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4

Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4 Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4

Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4 Q1

2015

Q2 Q3 Q4

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-Offs(Banks)

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

200

Q2

1

Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4 Q1

2004

Q2 Q3 Q4

Charge-O ffs(Banks)

00

-10

193

-10

-70

-30

20

-10

1073

3696

3700

758

212

282

660

590

737

253

329

299

314

323

1278

837

512

467

404

349

942

922

90

54

Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4 Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4

Charge-O ffs(Banks)

1

4

14

45

23

18

8

35

4

5

-7

-28

-16

-7

-6

-3

10

9

119

32

31

15

120

93

92

1192

847

1570

217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

83

1617

1601

68

72

92

91

73

69

85

76

64

54

35

26

133

73

87

84

63

61

43

36

83

14

13

56

17

15

9

8

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

668

1424

$3023

7062

342

161

867

3719

$1973

6420

118

353

734

2294

$2920

6006

634

296

681

5941

($1547)

8031

447

330

1595

1743

$3917

6981

128

211

1359

697

$4586

6940

566

300

1454

1608

$3011

5824

-178

324

1649

1811

$2220

7684

487

395

1624

2861

$2317

7384

215

286

1727

4569

$587

7059

141

346

1444

3130

$1998

4030

-476

274

-43

1971

$2305

10035

485

323

2895

2254

$4078

8081

30

-43

2464

2900

$2730

7198

43

1109

1805

2718

$1523

7194

34

600

1427

662

$4471

6688

-34

646

-1040

2167

$4950

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

14868

1482

969

4159

2899

$5359

11579

742

1003

3021

8007

($1193)

18198

3381

299

5939

2524

$6055

15376

1523

1317

5783

733

$6019

14861

1996

769

5123

1848

$5124

10721

-310

568

3867

2589

$4006

17229

1359

1177

5431

3900

$5361

14870

1848

779

7445

5133

($336)

13534

666

874

5222

3222

$3550

5513

-25

508

502

2530

$1997

24856

2903

1298

9215

3396

$8044

18359

1684

512

6083

3351

$6728

16423

1226

1045

4548

4241

$5363

15419

159

981

7387

1462

$5431

9036

257

1664

-4546

-288

$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

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5

28

30

09

15

41

21

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3

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9

1

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6

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5

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5

4

91

58

42

82

40

21

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2

$1

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9

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9

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14

66

32

88

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20

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0

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2

25

61

35

43

48

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2

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32

97

39

44

24

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6

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0

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0

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3

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4

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94

29

41

39

16

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4

3

2

$8

7

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5

7

9

0

2

1

4

8

6

18

37

22

21

25

9

7

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2

$8

7

0

2

1

9

5

3

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2

77

41

46

83

23

10

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4

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1

$8

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0

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29

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11

83

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9

2

0

4

9

0

2

6

9

08

34

43

46

24

12

9

3

2

1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

7

9

7

4

12

39

63

04

24

13

IRlt1yr 8

3

2

1

$

IR1-5yr

8

6

8

0

5

2

R r

1

5

6I gt5ys

4

9

8

86

74

68

06

21

10

FXampGOLDlt1yr

5

4

3

1

$

FXampGOLD1-5yr

5

2

4

0

9

2

8

2

6

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2FXampGOLDgt5yrs

90

72

77

16

6

3

2

1

$2

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3

0

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9

95

13

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8

84

76

98

57

13

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1

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1

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1

6

59

58

64

53

13

7

1

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1

$1

4

7

0

6

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8

0

1

4

8

35

04

31

45

11

5

1

2

1

$

00051$

nb

i

Rlt1y

FXampGold

r

0

0 $

I

00001$

0005$

0003$

0002$

0001$

s

niolli

s

niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

00PrcosMeasgt5yrs

1

i lt e u

$5

5

3

03

17

03

1$9

9

6

85

12

00

$4

1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 24: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

20

510

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

GoldmanSachs

2015 2016 2017 2018 2019 20

0

15

CitibankNA

2015 2016 2017 2018 2019 20

0

40

10

20

5

Q1

201

Q2

2

Q3 Q4 Q1

201

Q2

3

Q3 Q4 Q1

201

Q2

4

Q3 Q4 Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

20

Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134 124 138

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372 344 319

TOTAL

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176 164 173

it

feneNettgB

in

10

00

90

80

70

60

50

40

30

20

10

00

90

9

8

7

9

0

1

2

3

4

5

6

7

8

9

0

0 1 1 1 1 1 1 1 1 1 1 20 0 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019 20

00 809 814 813 810804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

$0

$500

$1000

$1500

inmillions

0000

0001

0002

0003

0004

0005

Charge-Offsas

NCCE

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

2001

Q2 Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4

Q1

2004

Q2 Q3 Q4 Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4

Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4 Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4

Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4 Q1

2015

Q2 Q3 Q4

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-Offs(Banks)

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

200

Q2

1

Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4 Q1

2004

Q2 Q3 Q4

Charge-O ffs(Banks)

00

-10

193

-10

-70

-30

20

-10

1073

3696

3700

758

212

282

660

590

737

253

329

299

314

323

1278

837

512

467

404

349

942

922

90

54

Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4 Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4

Charge-O ffs(Banks)

1

4

14

45

23

18

8

35

4

5

-7

-28

-16

-7

-6

-3

10

9

119

32

31

15

120

93

92

1192

847

1570

217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

83

1617

1601

68

72

92

91

73

69

85

76

64

54

35

26

133

73

87

84

63

61

43

36

83

14

13

56

17

15

9

8

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

668

1424

$3023

7062

342

161

867

3719

$1973

6420

118

353

734

2294

$2920

6006

634

296

681

5941

($1547)

8031

447

330

1595

1743

$3917

6981

128

211

1359

697

$4586

6940

566

300

1454

1608

$3011

5824

-178

324

1649

1811

$2220

7684

487

395

1624

2861

$2317

7384

215

286

1727

4569

$587

7059

141

346

1444

3130

$1998

4030

-476

274

-43

1971

$2305

10035

485

323

2895

2254

$4078

8081

30

-43

2464

2900

$2730

7198

43

1109

1805

2718

$1523

7194

34

600

1427

662

$4471

6688

-34

646

-1040

2167

$4950

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

14868

1482

969

4159

2899

$5359

11579

742

1003

3021

8007

($1193)

18198

3381

299

5939

2524

$6055

15376

1523

1317

5783

733

$6019

14861

1996

769

5123

1848

$5124

10721

-310

568

3867

2589

$4006

17229

1359

1177

5431

3900

$5361

14870

1848

779

7445

5133

($336)

13534

666

874

5222

3222

$3550

5513

-25

508

502

2530

$1997

24856

2903

1298

9215

3396

$8044

18359

1684

512

6083

3351

$6728

16423

1226

1045

4548

4241

$5363

15419

159

981

7387

1462

$5431

9036

257

1664

-4546

-288

$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

2

5

28

30

09

15

41

21

9

4

2

3

$2

2

9

1

2

6

2

5

4

5

4

91

58

42

82

40

21

7

3

2

$1

1

4

1

9

6

9

8

4

9

1

9

14

66

32

88

42

20

7

3

2

$9

4

5

0

5

8

5

6

8

0

2

25

61

35

43

48

25

7

3

2

$1

1

2

4

0

6

1

5

2

50

32

97

39

44

24

5

4

2

$4

6

1

0

6

8

5

0

8

3

8

4

50

94

29

41

39

16

5

4

3

2

$8

7

4

5

7

9

0

2

1

4

8

6

18

37

22

21

25

9

7

3

2

$8

7

0

2

1

9

5

3

7

4

2

77

41

46

83

23

10

7

4

2

1

$8

1

5

6

0

4

9

7

8

1

8

29

01

11

83

29

14

8

3

2

1

$2

0

8

2

7

3

1

5

6

3

1

0

78

27

41

76

31

15

8

3

2

1

$3

7

9

2

0

4

9

0

2

6

9

08

34

43

46

24

12

9

3

2

1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

7

9

7

4

12

39

63

04

24

13

IRlt1yr 8

3

2

1

$

IR1-5yr

8

6

8

0

5

2

R r

1

5

6I gt5ys

4

9

8

86

74

68

06

21

10

FXampGOLDlt1yr

5

4

3

1

$

FXampGOLD1-5yr

5

2

4

0

9

2

8

2

6

3

2FXampGOLDgt5yrs

90

72

77

16

6

3

2

1

$2

6

3

0

2

4

5

8

7

3

5

9

95

13

32

77

14

5

2

3

2

$3

3

5

8

1

9

8

2

8

84

76

98

57

13

6

1

2

1

$1

3

2

4

7

2

9

8

1

6

59

58

64

53

13

7

1

2

1

$1

4

7

0

6

2

8

0

1

4

8

35

04

31

45

11

5

1

2

1

$

00051$

nb

i

Rlt1y

FXampGold

r

0

0 $

I

00001$

0005$

0003$

0002$

0001$

s

niolli

s

niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

00PrcosMeasgt5yrs

1

i lt e u

$5

5

3

03

17

03

1$9

9

6

85

12

00

$4

1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 25: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

it

feneNettgB

in

10

00

90

80

70

60

50

40

30

20

10

00

90

9

8

7

9

0

1

2

3

4

5

6

7

8

9

0

0 1 1 1 1 1 1 1 1 1 1 20 0 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019 20

00 809 814 813 810804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

$0

$500

$1000

$1500

inmillions

0000

0001

0002

0003

0004

0005

Charge-Offsas

NCCE

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

2001

Q2 Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4

Q1

2004

Q2 Q3 Q4 Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4

Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4 Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4

Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4 Q1

2015

Q2 Q3 Q4

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-Offs(Banks)

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

200

Q2

1

Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4 Q1

2004

Q2 Q3 Q4

Charge-O ffs(Banks)

00

-10

193

-10

-70

-30

20

-10

1073

3696

3700

758

212

282

660

590

737

253

329

299

314

323

1278

837

512

467

404

349

942

922

90

54

Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4 Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4

Charge-O ffs(Banks)

1

4

14

45

23

18

8

35

4

5

-7

-28

-16

-7

-6

-3

10

9

119

32

31

15

120

93

92

1192

847

1570

217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

83

1617

1601

68

72

92

91

73

69

85

76

64

54

35

26

133

73

87

84

63

61

43

36

83

14

13

56

17

15

9

8

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

668

1424

$3023

7062

342

161

867

3719

$1973

6420

118

353

734

2294

$2920

6006

634

296

681

5941

($1547)

8031

447

330

1595

1743

$3917

6981

128

211

1359

697

$4586

6940

566

300

1454

1608

$3011

5824

-178

324

1649

1811

$2220

7684

487

395

1624

2861

$2317

7384

215

286

1727

4569

$587

7059

141

346

1444

3130

$1998

4030

-476

274

-43

1971

$2305

10035

485

323

2895

2254

$4078

8081

30

-43

2464

2900

$2730

7198

43

1109

1805

2718

$1523

7194

34

600

1427

662

$4471

6688

-34

646

-1040

2167

$4950

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

14868

1482

969

4159

2899

$5359

11579

742

1003

3021

8007

($1193)

18198

3381

299

5939

2524

$6055

15376

1523

1317

5783

733

$6019

14861

1996

769

5123

1848

$5124

10721

-310

568

3867

2589

$4006

17229

1359

1177

5431

3900

$5361

14870

1848

779

7445

5133

($336)

13534

666

874

5222

3222

$3550

5513

-25

508

502

2530

$1997

24856

2903

1298

9215

3396

$8044

18359

1684

512

6083

3351

$6728

16423

1226

1045

4548

4241

$5363

15419

159

981

7387

1462

$5431

9036

257

1664

-4546

-288

$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

2

5

28

30

09

15

41

21

9

4

2

3

$2

2

9

1

2

6

2

5

4

5

4

91

58

42

82

40

21

7

3

2

$1

1

4

1

9

6

9

8

4

9

1

9

14

66

32

88

42

20

7

3

2

$9

4

5

0

5

8

5

6

8

0

2

25

61

35

43

48

25

7

3

2

$1

1

2

4

0

6

1

5

2

50

32

97

39

44

24

5

4

2

$4

6

1

0

6

8

5

0

8

3

8

4

50

94

29

41

39

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4

3

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0

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37

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21

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77

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9

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2

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08

34

43

46

24

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1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

7

9

7

4

12

39

63

04

24

13

IRlt1yr 8

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IR1-5yr

8

6

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6I gt5ys

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74

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4

0

9

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8

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6

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2FXampGOLDgt5yrs

90

72

77

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0

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00001$

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PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

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1

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38

03

00

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6

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27

04

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$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 26: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

$0

$500

$1000

$1500

inmillions

0000

0001

0002

0003

0004

0005

Charge-Offsas

NCCE

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

2001

Q2 Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4

Q1

2004

Q2 Q3 Q4 Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4

Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4 Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4

Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4 Q1

2015

Q2 Q3 Q4

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

Charge-Offs(Banks)

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

200

Q2

1

Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4 Q1

2004

Q2 Q3 Q4

Charge-O ffs(Banks)

00

-10

193

-10

-70

-30

20

-10

1073

3696

3700

758

212

282

660

590

737

253

329

299

314

323

1278

837

512

467

404

349

942

922

90

54

Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4 Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4

Charge-O ffs(Banks)

1

4

14

45

23

18

8

35

4

5

-7

-28

-16

-7

-6

-3

10

9

119

32

31

15

120

93

92

1192

847

1570

217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

83

1617

1601

68

72

92

91

73

69

85

76

64

54

35

26

133

73

87

84

63

61

43

36

83

14

13

56

17

15

9

8

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

668

1424

$3023

7062

342

161

867

3719

$1973

6420

118

353

734

2294

$2920

6006

634

296

681

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8031

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330

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1743

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128

211

1359

697

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566

300

1454

1608

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5824

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324

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2861

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286

1727

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141

346

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3130

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4030

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274

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1971

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2254

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1109

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7194

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600

1427

662

$4471

6688

-34

646

-1040

2167

$4950

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

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18198

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299

5939

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769

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10721

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3867

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5431

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14870

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779

7445

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($336)

13534

666

874

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3222

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502

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16423

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4548

4241

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15419

159

981

7387

1462

$5431

9036

257

1664

-4546

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$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

2

5

28

30

09

15

41

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3

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2

9

1

2

6

2

5

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4

91

58

42

82

40

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3

2

$1

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4

1

9

6

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14

66

32

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25

61

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2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

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0

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39

63

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8

6

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5

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5

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0

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2FXampGOLDgt5yrs

90

72

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PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

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4

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67

26

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2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

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75

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21

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1

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Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

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$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

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inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 27: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

Charge-Offs(Banks)

illos

nmiin

$300 0

$200 0

$100 0

$0

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q1

2000

Q2 Q3 Q4 Q1

200

Q2

1

Q3 Q4 Q1

2002

Q2 Q3 Q4 Q1

2003

Q2 Q3 Q4 Q1

2004

Q2 Q3 Q4

Charge-O ffs(Banks)

00

-10

193

-10

-70

-30

20

-10

1073

3696

3700

758

212

282

660

590

737

253

329

299

314

323

1278

837

512

467

404

349

942

922

90

54

Q1

2005

Q2 Q3 Q4 Q1

2006

Q2 Q3 Q4 Q1

2007

Q2 Q3 Q4 Q1

2008

Q2 Q3 Q4 Q1

2009

Q2 Q3 Q4

Charge-O ffs(Banks)

1

4

14

45

23

18

8

35

4

5

-7

-28

-16

-7

-6

-3

10

9

119

32

31

15

120

93

92

1192

847

1570

217

477

168

266

221

164

162

Q1

2010

Q2 Q3 Q4 Q1

2011

Q2 Q3 Q4 Q1

2012

Q2 Q3 Q4 Q1

2013

Q2 Q3 Q4 Q1

2014

Q2 Q3 Q4

Charge-O ffs(Banks)

100

288

173

181

313

3598

83

1617

1601

68

72

92

91

73

69

85

76

64

54

35

26

133

73

87

84

63

61

43

36

83

14

13

56

17

15

9

8

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

668

1424

$3023

7062

342

161

867

3719

$1973

6420

118

353

734

2294

$2920

6006

634

296

681

5941

($1547)

8031

447

330

1595

1743

$3917

6981

128

211

1359

697

$4586

6940

566

300

1454

1608

$3011

5824

-178

324

1649

1811

$2220

7684

487

395

1624

2861

$2317

7384

215

286

1727

4569

$587

7059

141

346

1444

3130

$1998

4030

-476

274

-43

1971

$2305

10035

485

323

2895

2254

$4078

8081

30

-43

2464

2900

$2730

7198

43

1109

1805

2718

$1523

7194

34

600

1427

662

$4471

6688

-34

646

-1040

2167

$4950

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

14868

1482

969

4159

2899

$5359

11579

742

1003

3021

8007

($1193)

18198

3381

299

5939

2524

$6055

15376

1523

1317

5783

733

$6019

14861

1996

769

5123

1848

$5124

10721

-310

568

3867

2589

$4006

17229

1359

1177

5431

3900

$5361

14870

1848

779

7445

5133

($336)

13534

666

874

5222

3222

$3550

5513

-25

508

502

2530

$1997

24856

2903

1298

9215

3396

$8044

18359

1684

512

6083

3351

$6728

16423

1226

1045

4548

4241

$5363

15419

159

981

7387

1462

$5431

9036

257

1664

-4546

-288

$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

2

5

28

30

09

15

41

21

9

4

2

3

$2

2

9

1

2

6

2

5

4

5

4

91

58

42

82

40

21

7

3

2

$1

1

4

1

9

6

9

8

4

9

1

9

14

66

32

88

42

20

7

3

2

$9

4

5

0

5

8

5

6

8

0

2

25

61

35

43

48

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7

3

2

$1

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50

32

97

39

44

24

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4

2

$4

6

1

0

6

8

5

0

8

3

8

4

50

94

29

41

39

16

5

4

3

2

$8

7

4

5

7

9

0

2

1

4

8

6

18

37

22

21

25

9

7

3

2

$8

7

0

2

1

9

5

3

7

4

2

77

41

46

83

23

10

7

4

2

1

$8

1

5

6

0

4

9

7

8

1

8

29

01

11

83

29

14

8

3

2

1

$2

0

8

2

7

3

1

5

6

3

1

0

78

27

41

76

31

15

8

3

2

1

$3

7

9

2

0

4

9

0

2

6

9

08

34

43

46

24

12

9

3

2

1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

7

9

7

4

12

39

63

04

24

13

IRlt1yr 8

3

2

1

$

IR1-5yr

8

6

8

0

5

2

R r

1

5

6I gt5ys

4

9

8

86

74

68

06

21

10

FXampGOLDlt1yr

5

4

3

1

$

FXampGOLD1-5yr

5

2

4

0

9

2

8

2

6

3

2FXampGOLDgt5yrs

90

72

77

16

6

3

2

1

$2

6

3

0

2

4

5

8

7

3

5

9

95

13

32

77

14

5

2

3

2

$3

3

5

8

1

9

8

2

8

84

76

98

57

13

6

1

2

1

$1

3

2

4

7

2

9

8

1

6

59

58

64

53

13

7

1

2

1

$1

4

7

0

6

2

8

0

1

4

8

35

04

31

45

11

5

1

2

1

$

00051$

nb

i

Rlt1y

FXampGold

r

0

0 $

I

00001$

0005$

0003$

0002$

0001$

s

niolli

s

niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

00PrcosMeasgt5yrs

1

i lt e u

$5

5

3

03

17

03

1$9

9

6

85

12

00

$4

1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 28: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

($4000)

($2000)

$0

$2000

$4000

$6000

$8000

$10000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

263

271

668

1424

$3023

7062

342

161

867

3719

$1973

6420

118

353

734

2294

$2920

6006

634

296

681

5941

($1547)

8031

447

330

1595

1743

$3917

6981

128

211

1359

697

$4586

6940

566

300

1454

1608

$3011

5824

-178

324

1649

1811

$2220

7684

487

395

1624

2861

$2317

7384

215

286

1727

4569

$587

7059

141

346

1444

3130

$1998

4030

-476

274

-43

1971

$2305

10035

485

323

2895

2254

$4078

8081

30

-43

2464

2900

$2730

7198

43

1109

1805

2718

$1523

7194

34

600

1427

662

$4471

6688

-34

646

-1040

2167

$4950

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

14868

1482

969

4159

2899

$5359

11579

742

1003

3021

8007

($1193)

18198

3381

299

5939

2524

$6055

15376

1523

1317

5783

733

$6019

14861

1996

769

5123

1848

$5124

10721

-310

568

3867

2589

$4006

17229

1359

1177

5431

3900

$5361

14870

1848

779

7445

5133

($336)

13534

666

874

5222

3222

$3550

5513

-25

508

502

2530

$1997

24856

2903

1298

9215

3396

$8044

18359

1684

512

6083

3351

$6728

16423

1226

1045

4548

4241

$5363

15419

159

981

7387

1462

$5431

9036

257

1664

-4546

-288

$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

2

5

28

30

09

15

41

21

9

4

2

3

$2

2

9

1

2

6

2

5

4

5

4

91

58

42

82

40

21

7

3

2

$1

1

4

1

9

6

9

8

4

9

1

9

14

66

32

88

42

20

7

3

2

$9

4

5

0

5

8

5

6

8

0

2

25

61

35

43

48

25

7

3

2

$1

1

2

4

0

6

1

5

2

50

32

97

39

44

24

5

4

2

$4

6

1

0

6

8

5

0

8

3

8

4

50

94

29

41

39

16

5

4

3

2

$8

7

4

5

7

9

0

2

1

4

8

6

18

37

22

21

25

9

7

3

2

$8

7

0

2

1

9

5

3

7

4

2

77

41

46

83

23

10

7

4

2

1

$8

1

5

6

0

4

9

7

8

1

8

29

01

11

83

29

14

8

3

2

1

$2

0

8

2

7

3

1

5

6

3

1

0

78

27

41

76

31

15

8

3

2

1

$3

7

9

2

0

4

9

0

2

6

9

08

34

43

46

24

12

9

3

2

1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

7

9

7

4

12

39

63

04

24

13

IRlt1yr 8

3

2

1

$

IR1-5yr

8

6

8

0

5

2

R r

1

5

6I gt5ys

4

9

8

86

74

68

06

21

10

FXampGOLDlt1yr

5

4

3

1

$

FXampGOLD1-5yr

5

2

4

0

9

2

8

2

6

3

2FXampGOLDgt5yrs

90

72

77

16

6

3

2

1

$2

6

3

0

2

4

5

8

7

3

5

9

95

13

32

77

14

5

2

3

2

$3

3

5

8

1

9

8

2

8

84

76

98

57

13

6

1

2

1

$1

3

2

4

7

2

9

8

1

6

59

58

64

53

13

7

1

2

1

$1

4

7

0

6

2

8

0

1

4

8

35

04

31

45

11

5

1

2

1

$

00051$

nb

i

Rlt1y

FXampGold

r

0

0 $

I

00001$

0005$

0003$

0002$

0001$

s

niolli

s

niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

00PrcosMeasgt5yrs

1

i lt e u

$5

5

3

03

17

03

1$9

9

6

85

12

00

$4

1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 29: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

($5000)

$0

$5000

$10000

$15000

$20000

$25000

inmillions

Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

1880

738

3441

2025

$3808

15327

2940

1491

3612

4318

$2965

14868

1482

969

4159

2899

$5359

11579

742

1003

3021

8007

($1193)

18198

3381

299

5939

2524

$6055

15376

1523

1317

5783

733

$6019

14861

1996

769

5123

1848

$5124

10721

-310

568

3867

2589

$4006

17229

1359

1177

5431

3900

$5361

14870

1848

779

7445

5133

($336)

13534

666

874

5222

3222

$3550

5513

-25

508

502

2530

$1997

24856

2903

1298

9215

3396

$8044

18359

1684

512

6083

3351

$6728

16423

1226

1045

4548

4241

$5363

15419

159

981

7387

1462

$5431

9036

257

1664

-4546

-288

$11948

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

2

5

28

30

09

15

41

21

9

4

2

3

$2

2

9

1

2

6

2

5

4

5

4

91

58

42

82

40

21

7

3

2

$1

1

4

1

9

6

9

8

4

9

1

9

14

66

32

88

42

20

7

3

2

$9

4

5

0

5

8

5

6

8

0

2

25

61

35

43

48

25

7

3

2

$1

1

2

4

0

6

1

5

2

50

32

97

39

44

24

5

4

2

$4

6

1

0

6

8

5

0

8

3

8

4

50

94

29

41

39

16

5

4

3

2

$8

7

4

5

7

9

0

2

1

4

8

6

18

37

22

21

25

9

7

3

2

$8

7

0

2

1

9

5

3

7

4

2

77

41

46

83

23

10

7

4

2

1

$8

1

5

6

0

4

9

7

8

1

8

29

01

11

83

29

14

8

3

2

1

$2

0

8

2

7

3

1

5

6

3

1

0

78

27

41

76

31

15

8

3

2

1

$3

7

9

2

0

4

9

0

2

6

9

08

34

43

46

24

12

9

3

2

1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

7

9

7

4

12

39

63

04

24

13

IRlt1yr 8

3

2

1

$

IR1-5yr

8

6

8

0

5

2

R r

1

5

6I gt5ys

4

9

8

86

74

68

06

21

10

FXampGOLDlt1yr

5

4

3

1

$

FXampGOLD1-5yr

5

2

4

0

9

2

8

2

6

3

2FXampGOLDgt5yrs

90

72

77

16

6

3

2

1

$2

6

3

0

2

4

5

8

7

3

5

9

95

13

32

77

14

5

2

3

2

$3

3

5

8

1

9

8

2

8

84

76

98

57

13

6

1

2

1

$1

3

2

4

7

2

9

8

1

6

59

58

64

53

13

7

1

2

1

$1

4

7

0

6

2

8

0

1

4

8

35

04

31

45

11

5

1

2

1

$

00051$

nb

i

Rlt1y

FXampGold

r

0

0 $

I

00001$

0005$

0003$

0002$

0001$

s

niolli

s

niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

00PrcosMeasgt5yrs

1

i lt e u

$5

5

3

03

17

03

1$9

9

6

85

12

00

$4

1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 30: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

JPMorganChaseBankNA

2015 2016 2017 2018 2019 20

0

10

BankofAmericaNA

2015 2016 2017 2018 2019 20

0

5

10

CitibankNA

2015 2016 2017 2018 2019 20

0

10

20

Revenue

GoldmanSachs

2015 2016 2017 2018 2019 20

0

10

20

2014 2015 2016 2017 2018 2019 2020

1045 1006 853 535 1168 762 841 503 1014 845 851 851 1168 932 939 755 977 895 882 436 1243 953 793 877 744

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

2

5

28

30

09

15

41

21

9

4

2

3

$2

2

9

1

2

6

2

5

4

5

4

91

58

42

82

40

21

7

3

2

$1

1

4

1

9

6

9

8

4

9

1

9

14

66

32

88

42

20

7

3

2

$9

4

5

0

5

8

5

6

8

0

2

25

61

35

43

48

25

7

3

2

$1

1

2

4

0

6

1

5

2

50

32

97

39

44

24

5

4

2

$4

6

1

0

6

8

5

0

8

3

8

4

50

94

29

41

39

16

5

4

3

2

$8

7

4

5

7

9

0

2

1

4

8

6

18

37

22

21

25

9

7

3

2

$8

7

0

2

1

9

5

3

7

4

2

77

41

46

83

23

10

7

4

2

1

$8

1

5

6

0

4

9

7

8

1

8

29

01

11

83

29

14

8

3

2

1

$2

0

8

2

7

3

1

5

6

3

1

0

78

27

41

76

31

15

8

3

2

1

$3

7

9

2

0

4

9

0

2

6

9

08

34

43

46

24

12

9

3

2

1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

7

9

7

4

12

39

63

04

24

13

IRlt1yr 8

3

2

1

$

IR1-5yr

8

6

8

0

5

2

R r

1

5

6I gt5ys

4

9

8

86

74

68

06

21

10

FXampGOLDlt1yr

5

4

3

1

$

FXampGOLD1-5yr

5

2

4

0

9

2

8

2

6

3

2FXampGOLDgt5yrs

90

72

77

16

6

3

2

1

$2

6

3

0

2

4

5

8

7

3

5

9

95

13

32

77

14

5

2

3

2

$3

3

5

8

1

9

8

2

8

84

76

98

57

13

6

1

2

1

$1

3

2

4

7

2

9

8

1

6

59

58

64

53

13

7

1

2

1

$1

4

7

0

6

2

8

0

1

4

8

35

04

31

45

11

5

1

2

1

$

00051$

nb

i

Rlt1y

FXampGold

r

0

0 $

I

00001$

0005$

0003$

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niolli

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niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

00PrcosMeasgt5yrs

1

i lt e u

$5

5

3

03

17

03

1$9

9

6

85

12

00

$4

1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 31: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

InterestRate

IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

inb

F F

8

7

0

8

2

3

8

7

2

5

28

30

09

15

41

21

9

4

2

3

$2

2

9

1

2

6

2

5

4

5

4

91

58

42

82

40

21

7

3

2

$1

1

4

1

9

6

9

8

4

9

1

9

14

66

32

88

42

20

7

3

2

$9

4

5

0

5

8

5

6

8

0

2

25

61

35

43

48

25

7

3

2

$1

1

2

4

0

6

1

5

2

50

32

97

39

44

24

5

4

2

$4

6

1

0

6

8

5

0

8

3

8

4

50

94

29

41

39

16

5

4

3

2

$8

7

4

5

7

9

0

2

1

4

8

6

18

37

22

21

25

9

7

3

2

$8

7

0

2

1

9

5

3

7

4

2

77

41

46

83

23

10

7

4

2

1

$8

1

5

6

0

4

9

7

8

1

8

29

01

11

83

29

14

8

3

2

1

$2

0

8

2

7

3

1

5

6

3

1

0

78

27

41

76

31

15

8

3

2

1

$3

7

9

2

0

4

9

0

2

6

9

08

34

43

46

24

12

9

3

2

1

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$6

0

4

0

3

7

3

7

9

7

4

12

39

63

04

24

13

IRlt1yr 8

3

2

1

$

IR1-5yr

8

6

8

0

5

2

R r

1

5

6I gt5ys

4

9

8

86

74

68

06

21

10

FXampGOLDlt1yr

5

4

3

1

$

FXampGOLD1-5yr

5

2

4

0

9

2

8

2

6

3

2FXampGOLDgt5yrs

90

72

77

16

6

3

2

1

$2

6

3

0

2

4

5

8

7

3

5

9

95

13

32

77

14

5

2

3

2

$3

3

5

8

1

9

8

2

8

84

76

98

57

13

6

1

2

1

$1

3

2

4

7

2

9

8

1

6

59

58

64

53

13

7

1

2

1

$1

4

7

0

6

2

8

0

1

4

8

35

04

31

45

11

5

1

2

1

$

00051$

nb

i

Rlt1y

FXampGold

r

0

0 $

I

00001$

0005$

0003$

0002$

0001$

s

niolli

s

niolli

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

00PrcosMeasgt5yrs

1

i lt e u

$5

5

3

03

17

03

1$9

9

6

85

12

00

$4

1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 32: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 5$

4$

3$

2$

4

0

67

26

00

4$8

6

0

25

20

00

5$2

5

1

36

22

00

3$2

8

1

86

23

00

2$7

9

2

50

24

00

2$1

2

7

35

39

00

2$9

4

9

92

28

02

1$1

0

14

38

00

2$8

2

3

76

58

00

2$2

4

0

11

47

01

2$7

9

3

74

18

00

1$5

4

0

15

12

00

1$

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

5

1

0

75

15

00

2

0

1

07

21

00PrcosMeasgt5yrs

1

i lt e u

$5

5

3

03

17

03

1$9

9

6

85

12

00

$4

1

0

40

05

00

$7

3

0

38

03

00

$2

6

0

27

04

00

$

1$

nb

is

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 33: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $100

ns

inbiillo

$50

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$0

0

0 $400

$300

ns

inbiillo

$200

$100

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $892 $877

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 278 251

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 10 9

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 3084 2959

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 844 780

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 136 124

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 34: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

inbiin

llos

$1060

$1040

$1020

$1000

$800

$600

$400

$200

$

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20

0

Inbillionsofdollars

Q1

201

Q2

5

Q3 Q4 Q1

201

Q2

6

Q3 Q4 Q1

201

Q2

7

Q3 Q4 Q1

201

Q2

8

Q3 Q4 Q1

201

Q2

9

Q3 Q4

2020

Q1

2015

Q2 Q3 Q4 Q1

2016

Q2 Q3 Q4 Q1

2017

Q2 Q3 Q4 Q1

2018

Q2 Q3 Q4 Q1

2019

Q2 Q3 Q4

2020

Q1

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 35: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

llos

$60000

$40000

$20000

$0

Over-the-Counter

$0

0

0 $10000

$5000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80896 72475 741 34164 1023 2813 1 48 1018 1701 329 821 129 917 GrandTotal

33839 43754 77593 19024 21501 40525 10268 10309 20577 9319 32092 41411 6 200 41233 5 43 9323 3171 12495 0 64 64

417 1290 19783 14 706

2127 1415 5 2940 0 28 0 0 1 26 0 20 5 87 3 455 65219 1 64 ALLOTHER

83023 73890 746 37104 1023 2841 1 48 1019 1726 329 841 134 1003 626 1745 20387 15 370 TOTAL

ofTotal

Grade

Other

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

44 47 50 23 54 75 0

Noinl toa

56 53 50 77 46 25 100

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 36: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

$25

$20

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

illos

nmiin $15

$10

$5

$80

1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019 1Q2020

$0

0

$70

$60

$50

illos

nmiin

$40

$30

$20

$10

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 37: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

TABLE 1

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 38: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

TABLE 2

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 39: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

TABLE 3

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 40: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

TABLE 4

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 41: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

TABLE 5

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 42: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

TABLE 6

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 43: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

TABLE 7

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 44: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

TABLE 8

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 45: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

TABLE 9

Note

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 46: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

TABLE 10

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 47: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

TABLE 11

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

TABLE 12

DERIVATIVES

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

Page 49: Quarterly Report on Bank Trading and Derivatives …...About This Report The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities

TABLE 13

- Contents
- About This Report
- Executive Summary
- Revenue
    - Market Risk
    - - Value-at-Risk
      - Volatility Index
      - Glossary of Terms

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