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
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:
