Who’s Got the Biggest Derivatives Exposure?

For years, I’ve heard rumors about which banks and Wall Street investment firms hold what amount of derivatives. Well, I’ve found the official numbers.

Specifically, the following table shows the top 25 American commercial bank and trust company holders by notional value of all derivatives:


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The following table shows the top 25 American commercial bank and trust company holders by notional value of credit derivatives, including credit default swaps:

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This information comes from the official Comptroller of the Currency Administrator of National Banks’ Quarterly Report on Bank Trading and Derivatives Activities for the Second Quarter of 2008. Past reports can be found here.

The British Bankers Association also reports on the largest types of buyers of credit default swaps:

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And the BBA reports on the largest types of sellers of credit default swaps:

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Moreover, in 2006, Fitch reported by name the biggest counterparties in credit default swap contracts.

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This information comes from a 2007 report from the International Swaps and Derivatives Association.

Unofficial sources fill in some of the missing details. For example, economist Nouriel Roubini shows that hedge funds have large exposure in both credit default swap and collateralized fund obligations type derivatives .

And an article in the Guardian quotes an analyst as saying that “Barclays and Royal Bank of Scotland [are] most exposed among the UK banks to the credit derivatives market. Both have bought and sold, in roughly equal measure, £2.4 trillion of such contracts.”

Sovereign wealth funds also hold alot of derivatives. For example, this chart shows that sovereign wealth funds have more than one trillion dollars in single-name CDS instruments.

See also this for foreign banks that were large counterparties for Lehman CDS.

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