LTCM

[Picciotto, Sol]

Yesterday's Guardian here in the UK (Manchester Guardian to you folks still I guess) quotes a
document leaked to Reuters from UBS, the Swiss Bank which took a 950mSwFr loss over LTCM. This
was an internal credit appraisal which estimated that LTCM was leveraged up to 250 times, 27.2
times on-balance-sheet, and the rest off-balance-sheet, i.e. presumably via the margining
arrangements for derivatives. So its global market exposure could be around $900billion.
Apparently UBS was only authorised to deal with hedge funds leveraged up to 30 times, but went
with the 'business imperative [that] this was an important trading counter-party for the bank'. 

cheers

sol

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Sol Picciotto
Dept of Law
Lancaster University
Lancaster LA1 4YN, UK
phone (44) (0)1524-592464
e-mail s.picciotto at lancaster.ac.uk

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