Key JPMorgan Charts
- npatel81
- Jul 13, 2012
- 1 min read
For those strapped for time, here are the key charts from the numerous JPM slidepacks just released.
CIO/Treasury snapshot. Note the ridiculous move in VaR which as everyone knows has about the same credibility as a JPM CDS blotter.
JPM Syntetic Credit Portfolio update aka CDS exposure which as we now know is all a big fudge. The Net Notional as of April 30 and Jue 30 shows just when the CIO book was unwound.
More details on Synthetic portfolio from the horse’s mouth:
Significant risk reduction has allowed us to transfer substantially all remaining synthetic credit positions to the IB
CIO synthetic credit group closed down
The IB has the expertise, capacity, trading platforms and market franchise to effectively trade and manage the remaining positions and maximize economic value going forward
Expect combined IB & synthetic credit portfolio risks to be within IB’s historical VaR & stress risk levels
IB RWA as of 7/2/12 will increase by ~$30B
IB VaR as of 7/2/12 (spot) has increased from $74mm to $113mm
Retained simple, transparent and easy to explain credit hedge within CIO
Portfolio hedge position is short credit in a small number of indices (~$11B notional)
Identified to hedge a subset of AFS assets – Hedge mitigates ~1/3 stress loss in several scenarios
Hedge will be reduced over time, as macro-economic conditions change
Standalone VaR for hedge portfolio $133mm3; Basel 2.5 RWA4 on portfolio hedge ~$34B
Peripheral European Exposure: call it over $18 billion in real terms, because we now know what JPM’s “hedging” means:
Net Interest Margin at record lows. Thank you ZIRP. Good luck with continued profits going forward without the benefit of your CDS-based “prop desk” hedge fund:
And finally, the “Net Income” piggybank that Loan Loss Reserves is getting smaller and smaller by the quarter, with only $24 billion left, down from $36 billion two years ago. What happens when this runs out?
And how much reserves are “released” each quarter:
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