Monday, November 5, 2007
Citigroup extend the loss in Q4 due to writedown
--As of Sept 30th the fair value of sub-prime related direct exposures in securiteis and banking (S&B) business is $55 bil (11.7 bil related exposures in leindg and structuring business, 43 bil in most senior tranches , super senior tranches, of CDOs)
--Since then fair value dropped $8 bil to $11 bil following the downgrades of subprime mortgages after Q3
sub-prime direct exposure (lending and structuri8ng exposures)
--11.7 bil of subprime related exposures in lending and structuring business vs $13 bil in Q2, 24 bil at the beginningo of the year.
a.1: 2.7 bil of CDO warehouse inventory and unsold tranches of ABS CDOs
a.2: 4.2 bil of actively managed sub-prime loands purchased for resale or securitization
a.3: 4.8 bil of financing transactions with custoemrs secured by sub-prime collateral
CDO (ABS CDO super senior exposures)
--43 bil of exposures in the most senior tranches (super senior tranches) of CDOs which are collaterized by ASB CDOs
--a. 25 bil in commerical paper principally secured by super senior tranches of high grade ABS CDOs
a.18 bil of super senior tranches of ABS CDOs
a.1: 10 bil of high grade
a.2: 8 bil mezzanine
a.3: 0.2 bil of ABS CDO-squared transations
--not subject to valuation base on observaable market transactions
captial ratios
target: Tier 1 7.5%, TCE/RWMA (tangible common equity/risk-weighted managed assets) 6.5%
actual: Tier 1 7.3%, TCE/RWMA 5.9%
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