The average derivative/asset ratio at the top 3 banks (JPM, Citi, BofA) as of Q1 stands at 37.6x. This is higher than the average leverage ratio (32x) of Lehman, Bear Stearns and Merrill Lynch leading up to the 2008-09 recession. The average exposure of these 3 banks to interest rate contracts (% of total derivatives) is 78.7%. A mere 0.1% loss on interest rate derivative contracts would send these banks reeling, a 3.5% loss would wipe out all of their assets, and a 10% loss would exceed all US Commercial Bank Assets combined.
Eric Pomboy, Meridian Macro Research via kingworldnews.com(via the Woodpile Report).
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