Jane Street Counterparty Exposure Analyzer

Reuters Alert: $15B Shock
Exposure & Market Mechanics
Scenario Presets
Gross Notional Exposure ($B) $45.0 B
Posted Collateral / Margin ($B) $18.0 B
Liquidation Horizon (Days) 14 Days
Market Depth / Daily Volume ($B/day) $8.5 B/d
Firm Equity Capital Buffer ($B) $35.0 B
Reuters Grounding: Exclusive reporting states Jane Street absorbed a $15B hit from AI fund Situational Awareness. Remaining parameters (haircuts, slippage curve, capital buffer) are user-controlled stress-testing assumptions.
Net Uncollateralized Loss
$15.00 B
Reuters Headline Baseline
Implied Fire-Sale Slippage
33.33%
Almgren-Chriss Impact
Capital Buffer Depleted
42.86%
Firm Equity Drawdown
Counterparty Risk Status
Severe Absorption
Solvency Tier 3 Stress
Counterparty Balance Sheet Waterfall ($B)
Gross → Liquidation Haircut → Collateral Offset → Net Loss
Liquidation Slippage vs Participation Rate (Almgren-Chriss)
Price Depreciation Across Horizon
Loss Decomposition Breakdown
Gross Notional Position $45.00 B
Liquidation Haircut / Market Impact -$15.00 B
Post-Fire-Sale Position Value $30.00 B
Total Client Margin Offset +$18.00 B
Firm Equity Absorption Required $15.00 B
Historical Counterparty Benchmark Matrix
Event Loss ($B) Leverage Asset Focus
Jane Street / SA $15.0B ~2.5x AI Equities/Derivs
Archegos (2021) $10.0B ~5.0x TRS / Media Tech
LTCM (1998) $4.6B ~25.0x Fixed Income Arbitrage
Lehman PB (2008) $25.0B+ ~30.0x Structured Credit
Model Formulation:
• Net Loss = $\max(0, \text{Gross} \times \text{Slippage} - \text{Collateral})$
• Market Slippage $\eta = \gamma \times \left(\frac{\text{Gross} / \text{Days}}{\text{ADV}}\right)^{0.5}$
• Buffer Depletion = $\frac{\text{Net Loss}}{\text{Firm Equity Buffer}} \times 100$
Enjoy this tool? Build your own with Super