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OCC precious metal derivatives fat finger

IMG Auteur
Publié le 07 octobre 2015
436 mots - Temps de lecture : 1 - 1 minutes
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Rubrique : Marchés

Back in July I reported on some unusual figures in the US Office of the Comptroller of the Currency’s (OCC) quarterly report on precious metal derivatives. In the OCC’s 2015 Q1 report they had a figure of $75.62b, which was a huge increase from the 2014 Q4 figure of $22.42b. However, in the latest OCC report, the 2015 Q1 figure has been revised down to $26.94b. I have cut and pasted the two figures from the previous report (in green) and the new report (in red) below:

24hGold -  OCC precious metal ...

No doubt someone on the internet will claim this is a cover up, but looking deeper into the numbers it seems to be a case of a fat finger keying error. If we go back to the 2015 Q1 report it is clear that the main contributor to the $75.62b figure was Citibank, as can be seen from Table 9 below:

24hGold -  OCC precious metal ...

At the time Nick Laird of Sharelynx.com contacted the OCC and questioned them about the dramatic $42.048b and $10.970b figures (circled in blue) and the OCC confirmed that the figures were correct and provided the following screenshot of Citibank’s schedule RC-R as proof (relevant figures circled in blue):

24hGold -  OCC precious metal ...

I noted the large difference between Citibank’s centrally cleared derivative contracts figures versus their over-the-counter figures, saying it made “me wonder if the red figures are a fat finger and belong in a different row”. Looking at those figures in blue in light of the revised 2015 Q1 figure of $26.94b leads me to think the numbers are in the right row, just that the decimal place was keyed wrong by two points, that is, the figures were overstated by 100.

If we divide the centrally cleared figures by 100 and add them to the over-the-counter figures, we get revised Citibank white precious metal derivatives totals of:

Maturity < 1yr = 3,083,000 + (38,965,000 / 100) = 3,472,650
Maturity 1-5yrs = 703,000 + (10,267,000 / 100) = 805,670

If you plug these figures into Table 9, the Precious Metals All Maturities figure reduces from $75.62b to $26.88b. That is very close to the OCC’s revised figure of $26.94b and the remaining difference is probably the usual sort of minor adjustments the OCC has made to its figures in the past. So it doesn’t look like there was any real increase in silver/platinum/palladium derivatives in Q1 and nor was Citibank cornering that market.

There is one other dramatic change in the OCC report – a 75% reduction  in commodity derivatives:

24hGold -  OCC precious metal ...

No revision was made to the Q1 figure and almost all of the Q1 increase, and Q2 decrease, was JP Morgan, so we assume the +$4 trillion figure stands. Very unusual.

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