The Office of the Currency Comptroller is out with their Q1 bank trading report. Summary of findings:
The notional value of derivatives held by U.S. commercial banks increased $1.6 trillion in the first quarter, or 1%, to $202.0 trillion, due to the continued migration of investment bank derivatives business into the commercial banking system. U.S. commercial banks generated record revenues of $9.8 billion trading cash and derivative instruments in the first quarter of 2009, compared to a $9.2 billion loss in the fourth quarter of 2008. Net current credit exposure decreased 13% to $695 billion. Derivative contracts remain concentrated in interest rate products, which comprise 84% of total derivative notional values. The notional value of credit derivative contracts decreased by 8% during the quarter to $14.6 trillion.
Also note the astronomic increase in VaR across the non-Goldman banks. Including GS on this table would demonstrate just how leveraged to market swings traders are at this point, and just how much of a neutron bomb a big drop in the market would be for trading portfolios.
Lastly, the next chart need no major commentary. I have discussed the issue of a Goldman Sachs initiated interest rate Black Swan event inthe past.