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US Bank Derivative Exposure

Posted By Barry Ritholtz On August 21, 2008 @ 2:30 pm In Credit,Derivatives,Valuation | Comments Disabled

Chris Whalen at the Institutional Risk Analyst [1] asks an interesting question: How Much Capital Does a Bank Need? [2]

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 :
>
Bank_deriv_exposure [3]

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.

>


Source:
Memo to the President-Elect; How Much Capital Does a Bank Need? [2]
Chris Whalen,
Institutional Risk Analyst, August
21, 2008   

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

Download bankcds_capital.pdf [4]


Article printed from The Big Picture: http://www.ritholtz.com/blog

URL to article: http://www.ritholtz.com/blog/2008/08/us-bank-derivative-exposure/

URLs in this post:

[1] Institutional Risk Analyst: http://us1.institutionalriskanalytics.com/

[2] How Much Capital Does a Bank Need?: http://us1.institutionalriskanalytics.com/pub/IRAstory.asp?tag=301

[3] Image: http://bigpicture.typepad.com/comments/files/bank_deriv_exposure.png

[4] Download bankcds_capital.pdf: http://bigpicture.typepad.com/comments/files/bankcds_capital.pdf

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