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#)