Brokers' trading exposures to Carlyle Capital's soon to be defaulted fund -- rumored to be leveraged at an astonishing 32X! -- has been the big question circulating street desks Thursday.
Here's one set of numbers currently circulating on the potential exposure (analyst unknown):
-Citibank (C) $4.7B
-Lehman (LEH) $3B
-BoA (BAC) $2B
-UBS (UBS) $1.8B
-Bear Stearns (BSC) $1.7B
-ING (ING) $1.5B
-JPMorgan (JPM) $1.4B
-Merrill Lynch (MER) $760m
-BN Paribas $600m
-Credit Suisse (CS) $500m
I cannot vouch for the accuracy of these numbers, but this is what is getting pinged around Wall Street trading desks . . .
UPDATE: March 13, 2008 11:15am
Standard & Poor's comments on subprime write-downs, via Briefing.com:
Standard & Poor's Ratings Services believes that the bulk of the write-downs of subprime securities may be behind the banks and brokers that have already announced their results for full-year 2007. "There may be some additional marks to market as market indicators have shown deterioration in the first quarter. However, when we dissect the percentage of write-downs taken against various types of exposures, in our opinion the magnitude of some write-downs is greater than any reasonable estimate of ultimate losses... The write-downs of collateralized debt obligations (CDOs) of subprime asset-backed securities [ABS] by large banks and investment banks (referred to as banks) in North America and Europe to-date total approximately $110 bln. To this amount we add approximately $40 bln in write-downs of insurers (financial guarantors and other insurers) and banks in the Gulf States and Asia to arrive at a rough estimate of $150 bln in global disclosed write-downs to-date... Based on available information, we believe that the largest players can be seen as having undertaken a rigorous valuation methodology to come up with conservative valuations. Citigroup and Merrill Lynch, for example, value their high-grade super-senior tranches at 52% and 68% discounts to original exposure, respectively. The broader range of banks values them at only a 30% discount. Similarly, Citi and Merrill value the super-senior tranches of the mezzanine CDOs at 63% and 73% discounts, respectively, whereas the broader range of banks values them at a 48% discount... We believe Citi and Merrill in particular have taken conservative views in this regard, and have built-in liquidity premiums.
Now if only these guys had any credibility left...