US Bank Derivative Exposure

Chris Whalen at the Institutional Risk Analyst asks an interesting question: How Much Capital Does a Bank Need?

The short answer: Alot.

The longer answer depends upon the bank's derivative exposure. Chris includes this handy chart to help you figure out just what that cap need might be:

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Economic Capital is as calculated by IRA. All figures in $000 :

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Sources: FDIC/IRA Bank Monitor; Q1 2008 data shown in “bank only” rollup.

WTF? $90 Trillion dollars derivative exposure for JPMorgan ? No wonder the Fed "rescue" of Bear Stearns was via JPM -- it was their own derivative exposure that was at risk.

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Source:

Memo to the President-Elect; How Much Capital Does a Bank Need?

Chris Whalen,

Institutional Risk Analyst, August 21, 2008

http://us1.institutionalriskanalytics.com/pub/IRAstory.asp?tag=301

Download bankcds_capital.pdf

Thursday, August 21, 2008 | 02:30 PM | Permalink | Comments (51) | TrackBack (0)

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primero!

Posted by: JS | Aug 21, 2008 2:39:17 PM