Finally some data: About 17% of losses from subprime booked so far...

Discussion in 'Data Sets and Feeds' started by crgarcia, Nov 1, 2007.

  1. 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)
  2. Thanks. I think 20% is conservative. I am not sure that a direct comparison can be made but in the Thai 97 crisis bank total NPL's (much of which was plain vanilla property based lending) peaked at 70%. Even this is suspect as banks lent customers money to pay and installment and thus convert a non performing loan to performing.
  3. but what about derivatives tied to the 260 Billion

    and who is on the hook for the Credit Default Swaps.....

    if CDS counter parties start to die.. then the wheels come off
  4. You don't give your source for this info. But it's like I said in your other can't estimate until you have some type of clue what the total default is going to be. No one knows this right now. We aren't even close.

    To understand why, defaulting on a loan goes through a process, the process varying by state and to an extent by lender. A number of months of being late, then a statutory period where a notice of default, a notice of sale, etc, varying by state takes place. And during this process the property could be sold, or it could be brought current. Finally it gets to sale. Then, the lender takes it back and it goes through another process depending on whether there is PMI...which on some of these there is.

    When the property is finally available for sale, it then has to be listed, sit on the market, and then sell.

    This entire period could easily exceed a year. Now you tell me how anyone knows these types of numbers when we have large resets next years, following which late payment, statuatory periods, etc etc all have to take place. This all has a long ways to go. Any numbers you have are wild ass guesses...not estimates.

  5. jrkob


    swap counterparties are buying protection from their investors. If they die, its a termination event under which (i) if the transaction was unfunded the swap just terminates at no cost for either party (ii) if the transaction was funded the investor - eg the seller of protection - gets back their bond collateral and suffer no loss.

    Dying IBs may save the street from dying may be...
  6. jrkob


    how did you estimate this number (just asking) ?
  7. doesnt make sense....a CDS is a contract... the default swap is a guarantee of principal in return for a premium

    are you saying the CDS seller can just walk away?
  8. The banks are the counterparties. A lot of people think that the risk is spread too thin to hurt anyone but the top 5 banks have about 95% of the derivatives.

    There was an article at a couple of months ago about it.

  9. jrkob


    Yes. If the CDS buyer goes burst, the CDS seller walks away.
    Which is why I'm saying that protection buyer going burst is a blessing for a protection seller carrying a bad position.
    That's the way it works in the street.
  10. no..that's not what I'm askin...the swap buyer bought the protection so as not to go bust...

    the swap seller likely has 5% cash to cover any defaults that lie outside his model...

    the sellers are the ones that need to be watched....since some of those bodies are bound to float to the surface soon....
    #10     Nov 1, 2007