Monday, October 29, 2007
Bear Stearns Q3 2007
Overall
Credit Metric
retained interest as of Q3 2007:
non agency Mortgage and Asseted backed securites: 6.7 bil
agency Mortgage and Asseted backed securites: 2.9 bil
(8 bil investment grade, 6.2 bil are AAA)
--> nearly 4 bil non AAA retained interset, apply 25% write-down ratio $1 bil
VIE
CDO: 2.5 bil, max loss 0.44 bil
mortgage securitizations: 37.3 bil, max loss 1.27 bil
total inventory
--50 bil mortgage and Asset backed inventory,
--subprime mortage loans of $1.4 bil reprenting 2007 vintage production, and .7 bil investment grade subprime securities and .33 bil below investment grade retained interest
FI segment data
Q3 07 revenue : 117 mil
Q2 06 revenue : 1 bil
companied claimed to write-down net $700 mil related to mortgage inventory and leveraged finance (250 mil net writedown for leveraged loan).
-> only 450 mil net write-down for mortgage and CDOs.
--Q2 derivatives $11.27 bil where $10.375 bil represents "derivative financial instruments" (swaps, futures, options), credit derivative is around 0.9 bil
--Q3 derivatives $14.206 where $12.094 bil "derivative financial instruments"
--cash flow in finance is puny, so we arrive credit derivative value increasd from 0.9 bil to 2.1 bil --> credit derivative contributed 1.2 bil
--so we arrive that gross write-down is around 1.65 bil
pipeline of leveraged loan 7.6 bil, down from 20.8 bil Q2, marked down 250 mil, 3%
Hedging ***
--14.2 bil derivative/ 400 bil asset , 141 bil financial instruments
others information
--level 3 derivative gain (realized and unrealized) is 450 mil
Comments:
--high hedging ratio compared to Merrill Lynch
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