Data compiled by Bloomberg

All the charges stem from the collapse of the U.S. subprime- mortgage market and reflect credit losses or writedowns of mortgage assets that aren't subprime, as well as charges taken on leveraged-loan commitments since the beginning of 2007. They are net of financial hedges the firms used to mitigate losses and pre-tax figures unless the bank only provided after-tax numbers. Credit losses include the increase in the provisions for bad loans, impacted by the rising defaults in mortgage payments.

Capital raised includes common stock, preferred shares, subordinated debt and hybrid securities which count as Tier 1 or Tier 2 capital as well as equity stakes or subsidiaries sold for capital strengthening. Capital data begins with funds raised in July 2007.

All numbers are in billions of U.S. dollars, converted at today's exchange rate if reported in another currency. See WDCI Help pages for a list of the banks included in the Other European, Other U.S., Other Canada and Other Asia categories.

(a) European banks whose losses are less than $1 billion each are in this group: ING Groep, Allied Irish Banks, Bradford & Bingley, Aareal Bank, Deutsche Postbank, Standard Chartered, Northern Rock, Dexia, NordLB, Rabobank, HVB Group, Sachsen LB, Intesa Sanpaolo, Landesbank Hessen-Thueringen, SEB AB, Erste Bank, DnB NOR, Anglo Irish.

(b) Asian banks with writedowns less than $1 billion: Mitsubishi UFJ, Shinsei, Sumitomo Trust, Aozora Bank, DBS Group, Australia & New Zealand Banking Group, Abu Dhabi Commercial, Bank Hapoalim, Arab Banking Corp., Fubon Financial, Industrial & Commercial Bank of China, Citic International, BOC Hong Kong, Bank of East Asia, China Construction Bank, Sumitomo Mitsui, ICICI Bank, State Bank of India, United Overseas, Wing Lung.

(c) North American banks included in this group: Bank of Montreal, National Bank of Canada, Bank of Nova Scotia, Royal Bank of Canada, BB&T Corp., PNC Financial Services Group, SunTrust Banks, South Financial Group, Sovereign Bancorp, First Horizon.

(d) The difference between writedown and credit loss: Investment banks and the investment-banking units of financial conglomerates mark their assets to market values, whether they're loans, securities or collateralized debt obligations, and label that a ``writedown'' when values decline. Commercial banks take charge-offs on loans that have defaulted and increase reserves for loans they expect to go bad, which they label ``credit losses.'' Commercial banks can have writedowns on holdings of bonds or CDOs as well.

To contact the reporter on this story: Yalman Onaran in New York at yonaran@bloomberg.net; Dave Pierson at dpierson@bloomberg.net

Source: http://www.bloomberg.com/apps/news?pid=20670001&refer=home&sid=aSlW.imTKzY8

For Bloomberg Users, Tracking Losses Moves to Center Stage

Posted By PAUL JACKSON
September 2, 2008 8:11 am

Underscoring a fundamental shift in market focus, [1] Bloomberg News reported on usage patterns tied to its own ubiquitous terminals over the weekend; a new terminal function called WDCI, which allows users to track bank/financial sector write-downs, has seen its usage trump the more traditional league table function usually used by analysts to track bond and stock underwriters (LEAG).

"WDCI is the new league table, or even better, the negative league table," James Hyde, a banking analyst at London-based European Credit Management Ltd., told the new agency. "If people look at LEAG these days, it's to see who the biggest underwriter of mortgage securities was in the past. You're incriminated if you were."

The WDCI function in Bloomberg now shows that 110 of the world's largest financial firms have tallied $514 billion in write-downs as the credit crunch has moved onward.

Most analysts and market observers now believe the total cost of the credit crunch will run between $1 trillion and $2 trillion dollars. "We are in a credit crisis the likes of which I've never seen in my lifetime," said Ted Forstmann [2] in a recent editorial, whose scathing editorial in the Wall Street Journal twenty years ago warned things would end badly for the S&L industry.

"The credit problems in this country are considerably worse than people have said or know. I didn't even know subprime mortgages existed and I was worried about the credit crisis."

In April, the International Monetary Fund estimated total losses from the mortgage crisis [3] at $1 trillion, a number that already looks as if it will be the lower bound for a broader financial crisis that has grown in its wake.

The IMF cited "worrying macroeconomic feedback effects" as its primary concern, where uncertainty leads banks and consumers to pull back, further exacerbating uncertainty — and so the loop continues. "It is now clear that the current turmoil is more than simply a liquidity event, reflecting deep-seated balance sheet fragilities, which means its effects are likely to be broader, deeper, and more protracted," the study's authors wrote.

The IMF is expected to update its forecast later this month.

Source: http://www.housingwire.com/2008/09/02/for-bloomberg-users-tracking-losses-moves-to-center-stage/

• Money market (CP, CD, RP)
• Equity
• Debt (Gov't, Corporate, Structured)
  • Investment Grade Corporate
  • High Yield Corporate
  • Sovereign & Agency
  • MBS
  • ABS
  • Emerging Market
  • CLOs, CDOs
• Loans
  • Consumer loans
  • Corporate loans
  • Leveraged loans
• Derivatives
  • CDSs
  • FX
  • Interest rates
  • Equity & Equity Indices
  • Commodities

* Mutual Fund net assets

* Municipal bonds

A. Global Financial Stock (as of 2006) : $ 167 trn.

• Equity securities: 54 ($ trn.)
• Private Debt securities: 43
• Gov't debt securities: 26
• Bank deposits: 45

Source: McKinsey & Company, Mapping the Global Capital Market 2008 : Forth Annual Report, January 2008

(referred to: World Federation of Stock Exchange, Global Insight, McKinsey Global Institute Global Financial Stock Database)

B. Debt securities

1. Structured debt securities: $ 12.7 trn.

CDO issuance

SIFMA, global CDO issuance data

BIS Quarterly Review, December 2006, p9

2. Government debt securities

US Treasury Securities: $ 4.9 trn. (Aug 2008) – source: SIFMA, US Treasury

Outstanding U.S. Bond Market Debt $ Billions

RMBS: ABX indices

CMBS

CDO

HY Corporate

Leveraged loans

Global debt level

http://en.wikipedia.org/wiki/Global_debt_levels

The Securities Industry and Financial Markets Association (SIFMA) statistics on debt issuance (inc. CDO), some outstanding and other useful resources

Thompson One Banker global issuance data

Credit-default swaps

: financial instruments used to hedge against losses or speculate on a company's creditworthiness, pay the buyer face value in exchange for the underlying bonds or the cash equivalent set by the auction.

Market Statistics

BIS http://www.bis.org/statistics/derdetailed.htm

• Notional amount (2007): $ 44 trn.
• Gross market value (2007): $ 2 trn.

Related bodies

Creditfixings.com : a Web site run by auction administrators Markit Group Ltd. and Creditex Group Inc. More than 500 banks and investors signed up to settle credit-default swaps based on the auction price

The Depository Trust & Clearing Corp. (DTCP): runs a central registry for credit-default swaps

International Swaps and Derivatives Association (ISDA) in New York.

References

IAIS Global Reinsurance Market Report 2006

BIS, OTC derivatives market activity survey – leading global dealers to the central banks of the G10 countries, only CDS

Fitch Ratings, Global Credit Derivatives Survey, 21 Sep. 2006 – wider range but smaller panel of dealers

BBA, Credit Derivatives Report 2006, September 2006

ISDA, Mid-Year 2006 Market Survey, 19 Sep. 2006

G30, Reinsurance and International Financial Markets, 2006

Swiss Re, Munich Re

Committee on the Global Financial System, Credit Risk Transfer

Interesting facts

The DTCC said earlier this month there were about $72 billion in Lehman contracts outstanding at the time the company filed for bankruptcy.

ISDA has cited industry estimates of as much as $400 billion in Lehman contracts.

Sellers of credit-default swaps protecting against a default by bankrupt Washington Mutual Inc. will pay 43 cents on the dollar after the biggest bank failure in U.S. history.

Credit-swap investors earlier this week exchanged between $6 billion and $8 billion to settle Lehman contracts after an Oct. 10 auction that required protection sellers to pay 91.375 cents on the dollar, according to ISDA estimates.

Source: Bloomberg (http://www.bloomberg.com/apps/news?pid=newsarchive&sid=a21h5cpBspUM#)

A. Spot rates

1. Federal Reserve Bank of New York – Morning rates and Noon rates

http://www.federalreserve.gov/releases/H10/hist/

http://www.ny.frb.org/markets/fxrates/noon.cfm

These rates are also those required by the SEC for the integrated disclosure system for foreign private issuers. The information is based on data collected by the Federal Reserve Bank of New York from a sample of market participants.

Daily 10 am spot rates are midpoints of buying rates and selling rates, and do not necessarily reflect rates at which actual transactions have occurred. (E.U$FR1)

Daily 12 noon buying rates in New York are certified by the New York Federal Reserve Bank for customs purposes. (E.U$FR2)

The New York Fed announced its decision to discontinue the publication of foreign exchange rates on December 31, 2008, given the availability of alternative market-based sources for these rates.

2. WM/Reuters Closing Spot Rates (WM/REUTERS)

The WM/Reuters closing spot rates are fixings as calculated by The WM Company based on data provided by Reuters at or around 16:00 in London. This time reflects the middle of the 'global day' and the time of highest liquidity in the foreign exchange market. The updates are on Datastream series by 16:45 each day. The rates are based on snapshots of U.S. dollar quotes, or euro for a subset of the currencies, from multi-contributor sources. The euro subset includes Czech koruna, Danish krone, Estonian kroon, Hungarian forint, Latvian lats, Lithuanian litas, Norwegian kroner, Polish zloty, Romanian leu, Slovakian koruna, Swedish krona, and Swiss franc. The snapshots are taken from the Reuters system around 16:00 and median rates are then selected for each currency. This is done independently for bid and offer quotes. When the rates have been validated WM derive cross rates to GBP and EUR (or GBP and USD). Mid rates are calculated as the arithmetic mean of bids and offers. Legacy currencies to the euro are derived by WM from the fixed conversion factor established at the time the market adopted the euro and the USD/euro quote. WM monitors national holidays in USA, UK, Germany and Japan, and if two or more of these centres are open forwards are produced. If only one centre is open, generally rates from the previous weekday are used. No fixings are produced on 25 December or 1 January.

3. Tullett Prebon Spot rates (TULLETT PREBON)

Tullett Prebon is an established and recognized inter-dealer broker in emerging markets and forward FX. Series available on Thomson are rates for currencies to the U.S. dollar, euro, pound & a few others - for a total of 38 pairs for the spots & forwards; & 10 for NDF's. Bid (EB datatype) & ask (EO) quotes are as provided by TPI for each pair, mid rates (ER) calculated by Thomson. Quotes are from over-the-counter financial markets, a snapshot of the best bid & offer rate as of 16:00 London time & available on Datastream between 16:30 to 17:00. Spot rate is defined as the current market exchange rate. Forward is the exchange rate for a currency pair for a stated point in the future. Rates were quoted in 'pips' or points by Tullett Prebon, which have been subtracted or added to the current spot rate by Thomson. This gives the forward outright price for the relevant term. NDF or non-deliverable forward is a forward price for currencies, which are non-convertible or thinly traded. No principal is exchanged, th

4. Barclays Bank Plc. (BBI) - iPath ETN

The EUR/USD exchange rate is a foreign exchange spot rate that measures the relative values of two currencies, the euro and the U.S. dollar. When the euro appreciates relative to the U.S. dollar, the EUR/USD exchange rate (and the value of the Securities) increases; when the euro depreciates relative to the U.S. dollar, the EUR/USD exchange rate (and the value of the Securities) decreases. The EUR/USD exchange rate is expressed as a rate that reflects the number of U.S. dollars that can be exchanged for one euro in the interbank market for settlement in two days, as reported each day shortly after 10:00 am on Reuters page 1FED or any successor page. http://www.ipathetn.com/ERO-overview.jsp

5. European Central Bank rates – Euro to others

6. Tenfore Spot rates

http://www.tenfore.com/

Tenfore Global Market Data Solution

7. GTIS - GLOBAL TRADE INFORMATION SERVICES

source : IMF GFSR April 2008

주택저당대출의 최초 대출년도별 연체율을 나타낸다.

그림에서 보듯이 서브프라임 대출의 경우 2005년과 2006년도분 대출이 가장 연체율이 높다. 2003-2004년도 대출분의 경우 15% 내외를 기점으로 더 이상 증가하지 않고 있으나, 2005-2006년도분은 25% 수준을 넘어 계속 증가하고 있다.

연도별 데이타가 공개되자 시장에서 부실이 많을 거라고 지목받던 금융기관들은 앞다투어 '우리가 취급한 서브프라임은 대부분 2004년 이전거다' 라며 시장의 불신을 해소하려 노력했다.

구분할 것은 이 표는 연체율(Delinquency ratio)로서 부도율이나 차압률(Foreclosure ratio)과는 다르다. 연체대출중 최종적으로 갚지 못해서 경매에 들어가는 비중이 얼마나 될지, 경매를 통해 최종 회수하는 금액이 얼마나 될지(회수율)에 따라 실제 손실금액이 결정된다.