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 |
Citigroup | \$175Bn | \$800Bn | \$150Bn |
Bank of America | \$200Bn | \$700Bn | \$100Bn |
Goldman Sachs | \$50Bn | \$600Bn | \$225Bn |
Morgan Stanley | \$50Bn | \$550Bn | \$175Bn |
$\dots$ | $\dots$ | $\dots$ | $\dots$ |
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.