Hier sind die CDO Holdings der meisten Banken (mTuL)

verfasst von DT, 05.11.2007, 21:07

-->Hallo,

endlich habe ich Zahlen gefunden, auf die man sich wohl halbwegs verlassen kann.

Besonders interessant ist, daß die UBS die ABX noch mit 90 von 100 gerated hat. Da wir schon weit drunter sind (siehe ABX Indizes bei www.markit.com), sollte bei der UBS noch 8 Mrd USD weiterer Abschreibungsbedarf sein. Wenn man also nach geeigneten Bankshorts fragt, könnte die UBS ein heißer Kandidat sein.

Nachfolgend die CDO Deals aus dem Jahr 2007 und danach ein Versuch einer Zusammenstellung der Exposures der größeren Player:

http://ftalphaville.ft.com/blog/2007/11/05/8626/as-clear-as-alphabet-soup-banks-cdo-exposures/

Stichtag: 5.11.2007

As clear as alphabet soup: banks’ CDO exposures

Forget the banks’ Q3s. By any account, they’re billions of dollars out of date. For banks holding CDOs - and that’s most of Wall Street - writedowns will have greatly increased in the past three weeks.

The trouble is, no one, not even the SEC, knows exactly what banks’ exposures are. But the losses are beginning to come out of the woodwork: for Citi, in the news Monday, a $8bn-$10bn loss on the value of some assets. For Merrill Lynch, last week, it worked out at $8bn. For UBS, reporting their Q3s last week, $3.4bn.

Citi have painted the most comprehensive picture to date. But rather than making things clearer, it simply casts doubt on the other banks’ disclosures. Citi, for example, are reporting $8-10bn writedowns on a portfolio containing $10bn of high-grade CDO paper - which has been the principal faller in the past two weeks. But UBS only report writedowns of $3.4bn. And they hold $20bn of high-grade CDO paper.

There are very few proxies which can be used to judge banks’ CDO holdings. Even a league table of CDO deals arranged is a pretty poor indicator:

CDO league table

Unbedingt die Grafik hier ansehen. Elli, leider weiß ich nicht, wie man eine Grafik direkt in den Text kopiert. Vielleicht könnten Sie mich darüber aufklären.

[img][/img]

Wohlgemerkt, das sind nur die 2007er CDO Deals.

An added complication is the fact that banks are using wildly different estimates on the pricing of CDO assets. Although indices such as the ABX and TABX are valuable proxies for the market’s prices as a whole, they don’t necessarily reflect where banks individually are pricing their debt.

As reported in today’s FT, for example, Merrill Lynch, has written down mid-quality ABX debt to 63 cents in the dollar, even though the bank’s own analysts say its worth only 40. UBS, meanwhile, assumes the same debt to be worth 90 cents in the dollar. “Simple math would imply that UBS needs an additional $8bn write-down [on its $15.4bn holdings] if the ABX pricing is correct,” Merrill themselves had the cheek to point out in a report on their rival.

Here’s a breakdown of the main CDO exposures:

Citi
$10bn senior rated CDO debt
$8bn mezzanine CDO debt
$2.7bn “warehoused” CDOs
£200m CDO squared

Merrill Lynch
$8.3bn senior rated CDO debt
$5.3bn mezzanine CDO debt
$1bn “warehoused” CDO debt
$600m CDO squared

UBS
$20.2bn senior rated CDO debt
$1.8bn warehoused CDO debt

Total exposure undisclosed:

Bank of America
Undisclosed

Barclays
Q3s due November 27

Deutsche
$1.6bn on “trading activities in relative value trading in both debt and equity, CDO correlation trading and residential mortgage-backed securities.”

JPMorgan
$339m (net of hedges) “on collateralized debt obligation (CDO) warehouses and unsold positions.”

Lehman Brothers
Undisclosed

Morgan Stanley
Undisclosed

Wachovia
$534m writedown on CDOs


Gruß DT

Thread gesperrt

 

gesamter Thread:

• Hier sind die CDO Holdings der meisten Banken (mTuL) - DT, 05.11.2007, 21:07
  • Man sieht, daß WFC (Wells Fargo) von Warren B NICHT drin enthalten ist. (mT) - DT, 05.11.2007, 21:09
    • Hier noch eine Abschätzung, daß 1 Billion Verluste möglich/realistisch sind (mT) - DT, 05.11.2007, 21:55
      • Wells Fargo hat aber auch Abschreibungen hinter sich - Eddie09, 05.11.2007, 22:12
    • @DT - Die Banken haben alle ein Problem......... - Vatapitta, 05.11.2007, 22:45
  • Re: Hier sind die CDO Holdings der meisten Banken / @DT - - Elli -, 05.11.2007, 21:57
    • Hallo Elli, (mT) - DT, 05.11.2007, 22:26
      • Re: Hallo @DT, eiegene Bilder hochladen - Uwe, 06.11.2007, 00:11