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Finally some data: About 17% of losses from subprime booked so far...
- Thread starter crgarcia
- Start date
Quote from crgarcia:
Of course data is approximated:
Subprimes mortgages are about $1.3 trillion.
Supposing 20% of defaults, $260 Billions
Subprime losses booked so far are $44.61 B
So, about 17.16% has been booked so far.
Booked losses detail:
Bear Stearns hedge funds: $800M
Accredited Home Lenders: $60M
Mortgage Guaranty Insurance Corporation: $1,000M
BNP Paribas: About $500M
Goldman Sachs' Global Alpha hedge fund: $2,080M
Citigroup: $700M
Sentinel Management Group: About $250M
Thornburg Mortgage: ???
Countrywide Financial: About: $10,000M
Rams Home Loans: $5,000M
Basis Capital's "Basis Yield Alpha Fund: ???
Northern Rock: About $5,000M
Merrill Lynch: $8,400M
Washington Mutual: $820M
Citigroup, UBS, Deutsche Bank, Bear Stearns, Lehman Brothers, Goldman Sachs and Morgan Stanley: An additional $10,000
Total: $44,610M ($44.61 B)
You need to check your math. Obviously the assets (houses) have some value to them. A more reasonable estimate would be as follows:
1.3 trillion in mortgages
If 20% default, that means that 260 billion worth of mortgages are in default, not necessarily a total loss.
Lets assume that the average mortgage is written down 30%.
That brings up a total loss of 76 billion.
Quote from daddyeaux:
the sellers are the ones that need to be watched....since some of those bodies are bound to float to the surface soon....
Okay, for those unfunded transactions, yes, you watch out for floating bodies as you say. Although generally in this case IBs will sign a CSA with the seller so that the seller is supposed to post collateral in an amount equal to the mark-to-market loss (in sort, this is a litle bit simplified).
The riskiest swap would be one that is not done under CSA, since generally in this case the protection buyer will only be collateralized by - at best - an upfront amount. Meaning that the buyer faces huge recovery risk.
For funded transactions, the whole transaction is obviously fully collateralized on day one so its essentially riskless for the protection buyer.
In my opinion, the biggest risks right now for IBs lies with the monolines, who typically do not sign CSA and do no post collateral (their AAA/Aaa rating is all they have to offer as guarantee), but even so, the big monolines, with the exception of AMBAC, have almost all their exposure to super senior tranches, eg those least risky, so IBs do not take very high risk.
If however these super senior tranches start defaulting, then the whole street goes burst.
Quote from jrkob:
Okay, for those unfunded transactions, yes, you watch out for floating bodies as you say. Although generally in this case IBs will sign a CSA with the seller so that the seller is supposed to post collateral in an amount equal to the mark-to-market loss (in sort, this is a litle bit simplified).
The riskiest swap would be one that is not done under CSA, since generally in this case the protection buyer will only be collateralized by - at best - an upfront amount. Meaning that the buyer faces huge recovery risk.
For funded transactions, the whole transaction is obviously fully collateralized on day one so its essentially riskless for the protection buyer.
In my opinion, the biggest risks right now for IBs lies with the monolines, who typically do not sign CSA and do no post collateral (their AAA/Aaa rating is all they have to offer as guarantee), but even so, the big monolines, with the exception of AMBAC, have almost all their exposure to super senior tranches, eg those least risky, so IBs do not take very high risk.
If however these super senior tranches start defaulting, then the whole street goes burst.
if the monolines go under, the whole subprime mess will be the least of everyone's problems.
Quote from jrkob:
Okay, for those unfunded transactions, yes, you watch out for floating bodies as you say. Although generally in this case IBs will sign a CSA with the seller so that the seller is supposed to post collateral in an amount equal to the mark-to-market loss (in sort, this is a litle bit simplified).
The riskiest swap would be one that is not done under CSA, since generally in this case the protection buyer will only be collateralized by - at best - an upfront amount. Meaning that the buyer faces huge recovery risk.
For funded transactions, the whole transaction is obviously fully collateralized on day one so its essentially riskless for the protection buyer.
In my opinion, the biggest risks right now for IBs lies with the monolines, who typically do not sign CSA and do no post collateral (their AAA/Aaa rating is all they have to offer as guarantee), but even so, the big monolines, with the exception of AMBAC, have almost all their exposure to super senior tranches, eg those least risky, so IBs do not take very high risk.
If however these super senior tranches start defaulting, then the whole street goes burst.
good answer...we now await what mark-to-market really means....akin the Clinton's definition of what "is" is