Is anyone aware of a data source for the composition of the derivative books across asset classes for large investment banks?
As an illustrative example with dummy figures, this could be a database or a report which displays notional/MTM/trade count/etc. data for derivative trades, split between "IR Futures", "IR Swaps" and "IR Options" trades, maybe distinguishing between currencies too:
|IR Futures (\$Bn)||IR Swaps (\$Bn)||IR Options (\$Bn)|
|JP Morgan Chase||\$200Bn||\$750Bn||\$250Bn|
|Bank of America||\$200Bn||\$700Bn||\$100Bn|
Some data of this sort can probably be extracted from the published accounts of investment banks, however it would be a pretty tedious task to go through their balance sheet. Alternatively, I believe this kind of data is also reported to the US Fed by individual banks through the FR Y-9C form, but again going through them is time-consuming. I was wondering whether there is some publication or consultancy which already compiles this information.
I have skimmed through Risk Quantum articles (paywalled), e.g.:
- "Derivatives footprint of top EU banks shrinks" (April 2021)
- "BofA kept up bond binge in Q1" (April 2021)
- "Goldman, Morgan Stanley led US dealers on equity swaps in 2020" (March 2021)
The data in these articles is quite close in nature to the type of data I am looking for, in particular the third link.