Data sources on derivative book composition for large investment banks

Question

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.

Answer 1

It turns out the webpage from the National Information Center (NIC) has comprehensive data on institutions supervised by the Fed, and stored in easily manageable formats, see ffiec.gov/npw.

Among those, the Consolidated Financial Statements for Bank Holding Companies (BHC), known as Form FR Y-9C, contains data on gross notional amounts for a variety of derivative categories (forwards, swaps, options, etc.) across asset classes (Equities, Rates, Commodities, etc.). Moreover, the Regulatory Capital Reporting for Institutions Subject to the Advanced Capital Adequacy Framework, known as Form FFIEC 101, contains data on repo exposure.

I have included some selected data since records began for illustration purposes (I can upload additional data if requested), only for the top 5 US investment banks. We observe some trends that have been widely discussed in the press, such as the demise of Credit Default Swaps (CDS) since the financial crisis, as well as the explosion in Equity funding trades such as swaps (which were at the heart of the Archegos meltdown).

_{IR OTC Option data includes both written and purchased options.}