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CreditFlux CDO Write Downs

This document summarizes credit write-downs disclosed by various insurers, asset managers, banks, and other financial institutions as of January 26, 2009. It lists the organizations that have disclosed write-downs, the dates of disclosure, and breakdowns of the write-downs by category such as CDOs of ABS, RMBS exposure, and corporate credit exposure. In total, over $520 billion in write-downs have been disclosed from crisis-related losses.

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0% found this document useful (0 votes)
177 views33 pages

CreditFlux CDO Write Downs

This document summarizes credit write-downs disclosed by various insurers, asset managers, banks, and other financial institutions as of January 26, 2009. It lists the organizations that have disclosed write-downs, the dates of disclosure, and breakdowns of the write-downs by category such as CDOs of ABS, RMBS exposure, and corporate credit exposure. In total, over $520 billion in write-downs have been disclosed from crisis-related losses.

Uploaded by

fodriscoll
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLS, PDF, TXT or read online on Scribd
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Creditflux tally of credit write-downs

date of update: 26/1/09


changes since last update shown in red
latest announcem CDOs of ABS
Insurers/asset managers
ACA Capital
Aegon
AIG
Alesco Financial
Allstate
Ambac
Assured Guaranty
Deerfield Capital
FGIC
FSA
MBIA
Metlife
Prudential
PSP Investments
Radian
Ram Re
US Life (Old Mutual)
Scottish Re
Syncora
Swiss Re
Topdanmark
Zurich Financial Services
total

11/8/2007
8/7/2008
11/10/2008
3/12/2008
7/23/2008
11/5/2008
5/8/2008
2/29/2008
5/23/2008
8/6/2008
5/12/2008
7/29/2008
7/30/2008
7/22/2008
2/15/2008
8/15/2008
2/27/2008
7/11/2008
11/17/2008
11/4/2008
5/19/2008
11/13/2008

European banks
Alliance & Leicester
Allied Irish Banks
Apobank
Banca Italease
Barclays Bank
BayernLB

1,700
188.235294
33,190
120
181
11,136

8/1/2008
2/20/2008
2/13/2007
10/29/2007
5/15/2008
4/8/2008

360
1,006

54

1,940
1,046
53
140

33,753
41
439
219

4,846
3,500

780
1,600

978

965
1,800
374

3,410
385
170
406

2,864
2,575

61,074

North American banks and investment banks


Bank of America
1/16/2009
Bank of Montreal
11/25/2008
Bank of New York Mellon
1/20/2009
Bear Stearns
1/29/2008
Caisse de depot et placem
2/21/2008
CIBC
8/27/2008
Citigroup
10/16/2008
Desjardins
3/3/2008
Fannie Mae
11/10/2008
Freddie Mac
8/6/2008
Goldman Sachs
9/16/2008
JP Morgan Chase
1/15/2009
Lehman Brothers
6/16/2008
Merrill Lynch
10/16/2008
Moneygram International
1/14/2008
Morgan Stanley
12/17/2008
National Bank of Canada
5/29/2008
New York Community Banco
8/11/2008
Provident Bankshares
8/18/2008
Royal Bank of Canada
12/5/2008
Scotiabank
12/2/2008
Sovereign Bancorp
10/13/2008
State Street
1/20/2009
TD Bank
11/20/2008
US Bancorp
4/15/2008
Wachovia
10/22/2008
Zions Bancorp
12/2/2008
total

corporate cre RMBS exposuother or undefin All write-downs ($m)

9,089
360
16
2,300
388
34,106

369
339

485

1,561
6,320

74
64
1,723
906

10,386

112
275
38,347

5,136

2,834
416
785

932

4,053

1,300
200
26,100

4,100
5,467
1,300
2,845

7,800

3,810

612
157

392

84
1,319
2,959
3,300
1,700
5,305
4,100
12,998
1,060
3,781

530

287
1,860
32
84,319

516
23,702

40
14

3,254

42,272

1,557
5,103
15,904
224

1,400
3,400
13,125
1,992
60
30
93
1,120
139
602
6,579
79
253
3,133
183
59,011

1,078
153

81

1,143

227
916
2,717
5,621

1,700
242
66,943
161
2,560
12,761
1,059
140
4,846
2,722
6,900
374
3,410
754
509
479
64
1,723
4,255
2,575
112
1,836

12,855
776
5,937
2,300
1,557
5,575
55,382
224
2,959
3,300
7,200
12,072
9,000
55,068
1,060
17,383
60
30
93
2,263
688
602
6,579
366
253
5,509
215

1,118
167
227
916
7,194
5,621

Bradford & Bingley


BNP Paribas
Commerzbank
Cooperative Financial Servi
Credit Agricole

Credit Suisse
Deutsche Bank
Dekabank
Dexia (ex FSA)
Dresdner Bank (Allianz)
DZ Bank
Fortis Bank
HBOS
HSBC
HSH Nordbank
Hypo Real Estate Bank
IKB
ING
Jyske Bank
KBC
LBBW
Lloyds TSB
Natixis
NIB Capital
Northern Rock
Postbank
Rabobank
Royal Bank of Scotland
SachsenLB
SEB
Societe Generale
Standard Chartered
UBS
Unicredit
WestLB
Yorkshire Building Society
total

9/25/2008
11/5/2008
11/3/2008
4/3/2008
5/15/2008

10/23/2008
10/30/2008
3/18/2008
2/28/2008
5/9/2008
2/28/2008
8/4/2008
7/31/2008
8/7/2008
9/8/2008
8/13/2008
3/20/2008
11/12/2008
4/29/2008
1/22/2009
3/14/2007
7/30/2008
11/12/2008
8/9/2007
3/31/2008
10/27/2008
3/5/2008
11/4/2008
11/14/2007
2/7/2008
11/3/2008
2/26/2008
8/12/2008
5/8/2008
4/2/2008
3/25/2008

Asian and emerging market banks


Abu Dhabi Commercial Bank
ANZ
7/28/2008
Aozora Bank
5/15/2008
Arab Banking Corporation
11/5/2008
Bank of Ayudhya
10/21/2008
Bank of China
3/25/2008
Bank of East Asia
10/27/2008
Bankthai
8/6/2008
Bank Hapoalim
3/31/2008
Cathay Financial
3/21/2008
China Construction Bank
8/22/2008
Chon Hing Bank
8/13/2008
Citic International
8/21/2008
Development Bank of Singa
11/7/2008
Fubon
Gulf Investment Corporatio
2/20/2008
ICICI Bank
3/4/2008
Investec
11/15/2007
Mega International Commer
1/2/2008
Mitsubishi UFJ
8/13/2008
Mizuho
11/13/2008
National Agricultural Coope
2/5/2008
National Australia Bank
10/21/2008
Nipponkoa Insurance
4/4/2008
Norinchukin
11/27/2007

569

157
444
175

3,400

301

3,427
2,092

3,057
5,820
307.189542

530
3,386

2,523
3,677

76
935
3,660

1,141
673
144

584

473
165
139

1,958

195
1,604
4,359

1,668
790
2,745
565
42
5,546

506

445
2,009
44.1666666667
3,373

8,027.45

671
1,782
263
739
537
3,609

250
699

5,204
3,635

25
10
380

1,420.92
251
179

2,168
2,737
323

1,849
88

2,566
500
130
718

3,561
122
21,870

348

1,716
839

63,464

18,579

26,423

4,122

3,420
292
13,871
1,131
2,011
90
62,634

158
256
510.0
1239
50
1,577
579

64

212
295
168
915

386
65

261.3
183
110

807
246
263

73
359.5
3,898
107
669.54

2,348
629

10
921
2,539

11
584

108
431

601
2,703
1,443
44
7,073

9,537
14,974
307
195
3,405
1,608
8,163
5,204
6,066
1,833
928
2,745
8,617
52
5,927
1,927
2,839
4,770
179
586
739
537
12,146
500
218
7,698
414
37,805
1,970
2,011
90

157.8
255.6
510.0
1,239
50
1,577
644
212
295
168
1,301
65
261
990
110
246
263
73
10
3,640
7,650
107
670
108
431

Oversea Chinese Banking


Shin Kong Life Insurance
Shinsei Bank
Sumitomo Mitsui
United Overseas Bank
Wing Lung Bank
Woori Bank
total

8/5/2008
3/12/2008
5/15/2008
11/19/2007
5/6/2008
8/27/2008
5/5/2008

172
44.75

51
337.0

561.7
238
46
445
9,358

4,724

5,728

96
529
3,743

223
45
337
562
238
143
974

Exchange rates
AED
AUD
CAD
CHF
DKK
EUR
GBP
HKD
ILS
JPY
KRW
SEK
SGD
TWD
Crisis-related write-downs disclosed at ?date?
CDOs of ABS
Insurers/asset managers
61,074
North American banks
84,319
European banks
63,464
Asia/emerging market banks
9,358
total
218,216

corporate cre RMBS exposuother or undefin All write-downs


6,320
10,386
38,347
116,126
23,702
42,272
59,011
209,305
18,579
26,423
62,634
171,100
4,724
5,728
3,743
23,553
53,324
84,810
163,735
520,084

Source: all information based on publicly disclosed company information or on reliable press reports of public disclosures, compiled by Creditflux Ltd. Cu

currency
1.00
0.77
1.00
1.00
1.00
1.00
1.00
1.00
1.00
0.68
1.00
1.00
1.00
1.22
1.00
1.00
1.00
1.00
1.00
1.13
4.79
1.00

1.00
1.22
1.00
1.00
1.22
1.22
1.00
1.22
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.22
1.00
1.00
1.22
1.22
1.00
1.00
1.22
1.00
1.00
1.00

0.72
0.77
0.77
0.77
0.72
0.77

0.72
0.77
0.77
0.72
0.77

1.15
0.77
0.77
0.77
0.77
0.77
0.77
0.72
1.00
0.77
0.77
0.77
0.77
5.70
0.77
0.77
0.72
0.77
0.77
0.72
0.77
0.77
0.72
0.77
8.12
0.77
1.00
1.15
0.77
0.77
0.72

3.68
1.51
89.0
1.00
34.53
1.00
7.76
1.00
3.98
30.00
1.00
7.76
7.76
1.44
33.74
1.00
1.00
0.49
1.00
89.02
89.02
1.00
1.51
89.02
89.02

1.50
33.74
89.02
89.02
1.44
7.76
1,391.00

3.68
1.51
1.22
1.15
5.70
0.77
0.72
7.76
3.98
89.02
1,391.00
8.12
1.50
33.74

res, compiled by Creditflux Ltd. Cut-off date 26/1/09

notes

08q1 144m mtm change on corporate CDS portfolio 08q2 impairments on US subprime mortgage portfolio EUR41m
write-downs of: 07 yr super senior CDS USD11470m, investment portfolio USD2630m, available for sale securities USD643m, 08q1 super senior CDS U
$120m total investment in CDOs of ABS writtenoff, charge of $41.4m on other CDOs
write-downs of: 07yr RMBS impairments USD20m, ABS CDO impairmentsUSD62m, Alt-A unrealised losses USD60m, RMBS unrealised losses USD502
write-downs of: 07q4 CDOs of ABS USD5643.76m, corporate credit exposures USD360.24m, 08q1 CDOs of ABS USD1725.2m, RMBS USD1045.8m, in
writedowns of: 07yr unrealised losses on derivativesUSD480m, 08q1 unrealised losses on derivativesUSD526.4m, impairment on US RMBSUSD52.9m,
$61.3m of realised losses on sale of RMBS in first three months of 2008; $63.6m and $14.6m impairment charges on non-agency RMBS in 2007
write-downs of: 07yr loss and loss adjustment expenses (mainly on CDOs of ABS) USD1231m, mark to market losses on credit derivatives USD1936m,
write-downs of: 07yr Financial products investment portfolio USD964.5m, insured CDS USD417.7m, 08q1 insured CDS USD317.9m, RMBS USD300.4m
write-downs of: 07q4 CDOs of ABS USD1800m, Commercial real estate USD1100m, corporate/other USD400m, 08q1 CDOs of ABS USD1700m, Comm
write-downs of:07q4 USD49m credit related losses, 08q1 USD175m credit related losses, 08q2 USD175m credit related losses
write-downs of: 08yr subprime RMBS impairments USD9m, unrealised losses on subprime RMBS USD682m, 08q1 subprime RMBS impairments USD29
write-downs of: 07yr ABCP CAD450m, CDOs CAD470m,
$459m change in fair value of derivatives includes $120m for CDO of ABS/CMBS, $50m writedown for FG credit loss for CDO of ABS
write-downs of: 07q3 credit derivatives, mostly CDOs of ABS USD28.4m, 07q4 credit derivatives, mostly CDOs of ABS USD149.4m, loss reserve for RM
Q4 impairment charge on subprime RMBS
write-downs of: 07yr RMBS impairments USD971.7m, 08q1 RMBS impairments USD751.7m,
write-downs of: 2007 Q1-Q3 net unrealised losses on CDS portfolioUSD172.1m, Q4 net case loss provisions relating to CDOs of ABSUSD838.6m, net c
write-downs of: 07yr ABS CDOs CHF1440m, 08q1 ABS CDOs CHF819m, 08q2ABS CDOs CHF362m, 08q3 ABS CDOs CHF289m,
08q1 DKK538m loss on investments including CDOs
write-downs of: 08q1-3 Debt security impairments USD1100m, Debt security revaluations USD461m,

write-downs of: 07q4 super senior CDOs (of ABS and squared) USD3959m, other CDO and subprime exposures USD1300m, 08q1 super senior CDOs
write-downs of: 07yr Trading and structured credit related positions CAD169m, Canadian ABCP CAD134m, SIVs CAD15m, 08q1 Trading and structured
write-downs of: aggregate unrealised loss to end of 08 Alt-a MBS USD2764m, Prime MBS USD1781m, Subprime MBS USD591m, Commercial MBS US
$2.3bn in net mortgage inventory write downs mainly related to ABS CDOs and the unwinding of ABS CDO warehouses
2007 write-down of CAD1.9bn relating to ABCP investments
write-downs of: 08q1 CDO of ABS + RMBS CAD473m, losses on monoline and other hedgesCAD2906m, 08q2 unhedged RMBS exposures CAD114m,
writedowns of: 07yr direct subprime exposures (mainly ABS CDO super senior) USD19630m, leveraged loan commitments USD1500m, 08Q1 direct sub
ABCP
write-downs of: 07yr RMBS OTT impairments USD600m, 08q1 RMBS OTT impairments USD52m, 08q2RMBS OTT impairments USD507m, 08q3 RMBS
write-downs of: 08q2 impairments on available for sale securities (RMBS) USD1000m, mark to market losses on trading securities USD2300m,
write-downs of: 07yr loan warehouse USD1000m, 08yr RMBS USD1700m, CMBS USD1400m, non-investment grade credit origination and losses from
write-downs of: 2007 subprime positions including subprime CDOs USD1300m, 08q1 prime Alt-A and subprime mortgages USD1200m, leveraged loans
write-downs of: 07yr RMBS USD1300m, CDOs mainly CDOs of ABS USD200m, commercial mortgages USD900m, loan warehouse USD400m, 08q1 RM
write-downs of: 07yr ABS CDOs USD16700m, Subprime mortgage exposures USD3200m, monolines USD2600m, subprime exposures in US banks' inv

write-downs of: 07yr subprime trading positions principally super senior tranches of CDOs USD7800m, mortgage-related securities portfolios in subsidiar
08q2 loss of CAD73m taken to protect ABCP portfolio
write-downs of: 08q2 trups CDOs USD29.8m,
write-downs of: 08q2 trups CDOs unrealised losses to date USD92.7m,
write-downs of: 07yr RMBS and CDOs of ABS CAD357m, 08q1 capital markets writedown including subprime-related, muni GICs, US CMBS, US auction
write-downs of: 07yr structured credit instruments CAD191m, 08q1 non-bank ABCP CAD44m, SIVs CAD46m, CDOs CAD68m, reserve for monoline exp
write-downs of: 08q3 sale of CDO portfolio USD602m,
08yr mark-to-market losses in ivnvesment portfolio of $6300, 08q1 after-tax charge of $279 million related to certain active fixed-income strategies at Sta
08q3 CAD96 loss on mispricing, 08q4 CAD 350 credit trading losses
$253 million of impairment charges on structured investment securities purchased in the fourth quarter of 2007 from certain money market funds manag
write-downs of: 07h2 ABS CDO and other subprime related USD1048m, CMBS USD1088m, leveraged loan USD179m, ABCP USD57m, Securities losse
write-downs of: 07yr reit trups CDOs USD108.6m, 08q1 reit trups CDOs USD40.8m, 08q2 ABS CDOs USD28.7m, reit trups CDOs USD10.1m, 08q3 ABS

write-downs of: 07yr treasury assets fair value GBP32m, SIV impairment charge GBP142m, CDO impairment charge GBP11m, treasury assets through r

undefined derivatives losses


write-downs of: 07yr ABS CDO super senior GBP1468m, leveraged loans GBP58m, direct RMBS + monolines GBP823m, 08h1ABS CDO super senior G
impairments charged against income EUR1200m;mark to market on held for trading securities EUR1100;write-down of available for sale securities EUR2

write-downs of: 07yr SIVs and CDOs of ABS GBP94.4m, synthetic CDOs GBP49.7m, 08h1 synthetic CDOs GBP63m, structured investment portfolio GB
write-downs of: 07q3 LBO underwriting EUR194m, securitisation EUR36m, credit adjustment on monolines EUR12m, credit adjustment on other counter
write-downs of: 07yr US RMBS impairments EUR188m, US housing CDO impairments EUR395m, 08q1 corporate CDO impairments EUR116m, US RM
write-down for year ending 12/1/08 of GBP31.8m relating to SIVs
write-downs of: 07yr RMBS +CDOs of ABS EUR850m, unauthorised trading lossEUR230m, impairment charges on unhedged super senior CDOsEUR1

write-downs of: 07yr Leveraged loans CHF835m, CMBS CHF554m, RMBS CHF513m, CDOs CHF2656m, 08q1 Leveraged loans CHF1681m, CMBS CH
loans CHF100m, CMBS CHF500m, residential mortgages and CDO trading CHF-500m, 08q3 Leveraged loans CHF900m, CMBS CHF1000m, residentia
write-downs: 07Q3 credit trading losses relating to RMBS and CDO correlation EUR1600m, 07yr leveraged finance EUR1351m, monolines EUR82m, 08
235m negative valuation in liquid credit - assumed to be corporate
credit spread portfolio write-downs of EUR74m 07Q3 and EUR75m 07Q4
write-downs of: 07yr US RMBS EUR327m, CDO of ABS EUR759m, LBOsEUR30m, 08q1 US RMBS EUR369m, other ABS EUR94m, CDO of ABS EUR3
2007 writedowns of EUR715m spread-widening on bank bonds and EUR515m on ABS portfolio
write-downs of: 07yr super senior CDOs with subprime exposure EUR2400m, below super senior CDOs with subprime EUR200m, credit spread portfolio
write-downs: 07yr trading book ABS +FRNs through P&L GBP227m, Available for sale debt securities GBP509m, 08h1trading book ABS +FRNs through
write-downs of: 07h2 subprime RMBS (securitisation) USD529m, subprime RMBS (trading) USD463m, other ABS USD459m, monolines USD347m, leve
2007 writedowns of EUR563m on credit investments linked to subprime, EUR202m provision re North Street and EUR126m of other credit investments p
write-downs of: 07yr CDOs (reserves) EUR100m, CDOs (P&L) EUR290m, 08q1 cash CDOs EUR88m, synthetic CDOsEUR87m, 08q2 cash CDOs EUR1
valuation loss estimate of 2100m for 2007/08 (including 1bn for which "risk shield" from KfW + others is in place)
write-downs of: 07yr subprime RMBS EUR307m, alt-A EUR936m, CDOs EUR134m, 08q1 subprime RMBS EUR254m, alt-A EUR3334m, CDOs EUR105
07yr DKK55m loss on SIVs, 08q1 unrealised losses on structured credit of DKK242m
write-downs of: cumulative at 08q2CDOs/ABS (P&L) EUR486m, CDOs/ABS (reserves)EUR325m, monolines EUR187m, 08q3CDOs/ABS (P&L) EUR282
2007 impairment losses on structured securities of 452m, valuation reductions on ABS portfolio through valuation reserve of 635m and valuation adjus
write-downs: 07yr ABS CDOs (P&L) GBP114m, ABS (reserves) GBP413m, market dislocation GBP280m, SIVs GBP22m, 08h1ABS CDOs (P&L) GBP62
write-downs of: 07yr loans pending securitisation, CDOs of ABS and RMBS EUR949m, monolines EUR271m, 08q1 other crisis related impact EUR441m

2007 SIV impairment charge of 232.2m, CDO impairment charge of 178.3m and 11.3m written off from available for sale reserve
write-downs of: 08h1 structured credit portfolios EUR120m, structured credit substitute business EUR197m, 08q3 structured credit productsEUR47m, em
2007 write-downs relating to RMBS and CDOs of EUR284m through P&L and EUR127m to reserves
07yr US RMBS GBP633.3m, ABS CDOs GBP316.7m, ABN Amro CDOs of ABS GBP300m, leveraged loans GBP250m, 07yr monolines GBP456m, 08h1
500m adjustment in LBBW purchase price to cover potential structured finance valuation falls
2007 valuation reductions of SEK1,056m on ABS fixed income portfolio and SEK713m on other fixed income securities mainly bank debt
write-downs of: 07yr super senior CDOs EUR1250m, monoline counterparty risk EUR947m, RMBS trading portfolio EUR325m, mainly European ABS po
2007 writedowns of $116m +$45m for Whistejacket SIV, $122m for CDOs and $82m for other, January 2008 writedowns of $15m for SIV and $34m for o
write-downs of: 07q3 securitised creditCHF4226m, 07q4 super senior CDOs CHF12300m, alt-A CHF2300m, ACA CHF993m, US commercial real esta
write-downs of: 07yr structured credit EUR431m, SIVs EUR98m, 08q1 ABS portfolio EUR642m, other credit-related activitiesEUR336m,
07yr Valuation losses from the financial markets crisis EUR1304m,impairment charge for credit losses EUR221m,result from financial investments EUR1
50m writedown on structured credit investments in 2007, 15m in January

write-downs of: 07yr available for sale investment provisions AED378.512m, 08q1 available for sale investment provisions AED71.73m, 08q2 available fo
monolines (individual provision) 08h1 AUD226m, 08h2 AUD160m
write-down on CDOS of ABS in year to 3/08
write-downs of: 07yr CDOs and SIVs USD272m, 08q1 CDOs and SIVs USD599m, 08q2 CDOs and SIVs USD134m, 08q3 CDOs and SIVs USD234m,
write-downs of 08 first nine months THB1714m on unidentified CDOs
2007 impairment allowance of USD1.295bn and $282m reserve under shareholders equity on US subprime RMBS
write-downs of: 07yr SIVs impairments USD34.6m, CDOs USD128.1m, 08h1 SIVs impairments USD29.7m, CDOs USD167.8m, 08h2 CDOs USD283.4m
ILS1176m impairment on ABS portfolio in 2007
NTD3270m CDO write-offs in 2007 and NTD1760m to date in 2008
write-downs of: 07yr CDOs of ABS USD459m, US subprime RMBS USD171m, 08H1 CDOs of ABS USD456m, US subprime RMBS USD215m,
write-downs on SIVs HKD505.3m to end of 08h1
write-downs of: 07yr SIVs HKD1310m, 08h1 SIVs HKD717.9m,
08q3 allowance for ABS CDOs to date SGD263m, allowance for non-ABS CDOs to date SGD1162m,
structured credit and SIVs
year ending March 08 mark-to-market impact on credit derivative portfolio of $155m and of $108m on fixed income portfolio

NTD317m write-down on RMBS reported by Thomson Financial


write-downs of: to date at 30/6/08 RMBS JPY82000m, CMBS JPY1000m, CLOs JPY209000m, CDOs JPY32000m,
write-downs of: 07yr ABS CDOs (securities subsidiaries) JPY220000m, corporate CDOs (securities subsidiaries) JPY12000m, CMBS CDOs (securities s
write-downs of: 08h1 Provision on CDOs of ABS AUD181m, 08h2 Provision on CDOs of ABS AUD830m,
JPY9.6bn appraisal loss for foreign securities including CDOs
write-down on ABS CDOs at 30/9/07 of JPY38.4bn

write-downs of: cumulative 08q3 ABS CDOs SGD258m, corporate CDO allowance SGD32m, corporate CDOs revaluation SGD45m,
TWD1.51bn loss recognised on CDO in March 08
write-downs related to subprime in year to 3/08
unrealised loss of JPY50 billion on RMBS and CDOs of ABS
SGD300m provision for CDOs and loans in 07, 08q1 CDO of ABS provisions of SGD43m
write-downs of: 07yr SIV impairments HKD463m, IG corporate CDOs HKD131.3m, 08h1 SIV impairments HKD285.1m, IG corporate CDOs HKD228.7m
total losses on overseas derivatives since 2007 according to Bloomberg report 5/5/08 of KRW736bn

by Creditflux Ltd. Cut-off date 26/1/09

per senior CDS USD5560m, investment portfolio USD6080m, 08q3 super senior CDS USD7050m, investment portfolio USD18310m,

O unrealised losses USD40m, 08q1 Alt-A impairments USD89m, RMBS impairments USD35m, ABS CDO impairmentsUSD60m, other CDO impairments USD18m, 08q2
8q2CDOs of ABS USD1061.9m, 08q3 CDS realised losses USD837.9m, CDO unrealised losses USD1867.3m,

DOs of ABS) USD279.2m, mark to market losses on credit derivatives USD1400m,

m, 08q2 subprime RMBS impairments USD375m, unrealised losses on subprime RMBS USD908m,

ABS USD166.4m, loss reserve for RMBS USD30.5m, 08q2 credit derivatives, mostly CDOs of ABS USD61.7m,

unrealised losses on CDS portfolioUSD187.2m, CDOs of ABS impairment USD22.2m, 08q2 net case loss provisions on RMBS USD476m, CDOs of ABS impairment USD

SD439m, CMBS USD191m, 08q2 other CDO and subprime exposures USD645m, leveraged loans USD64m, unspecified market disruption-related USD511m, 08q3 CD
ounterparty credit risk including monolines mostly on CDOs CAD236m, 08q2 Trading and structured credit related positions CAD93m, Canadian ABCP CAD36m, SIVs C

uctured credit run-off activities (other) CAD196m, 08q3 US RMBS CAD-12m, losses on monoline and other hedgesCAD904m,
D6000m, monoline exposures USD1500m, auction rate securities USD1500m, alt-As USD1000m, commercial real estate USD600m, SIV losses USD212m, leveraged lo

266m, allowance for credit losses reflecting transfer ot leveraged loans from available for sale to retained loans USD605m, 08q2 prime Alt-A and subprime mortgages U
ortgages USD700m, loan warehouse USD500m, real estate held for sale USD300m, 08q2 RMBS USD2000m, other ABS USD300m, commercial mortgages USD1100m,
00m, Subprime mortgage exposures USD306m, alt-A mortgage exposures USD402m, non-US residential mortgage exposures USD105m, monolines USD3000m, subp

SIVs USD129m, loan commitments USD700m, 08q1 mortgage-related securities portfolios in subsidiary banks USD204m, SIVs USD187m, loan commitments USD910m

DOs of ABSCAD90m, auction rate securities and GICs CAD325m, other trading portfolios CAD175m, 08q3 MBIA CAD173m, RMBS CAD45m, CDOs of ABSCAD52m, au
m, 08q3 CDOs CAD26m, CLOs CAD20m, 08q4 Conduit CDOs CAD137m, Other CDOs CAD122m,

O and other subprime related USD339m, CMBS USD521m, leveraged loan USD309m, Securities losses at parent USD409m, other USD144m, 08q2 ABS CDO and othe
nd insurance trups CDOs USD19.2m,

BP330m, SIV impairment charge GBP118m, CDO impairment charge GBP18m, other treasury impairment loss charge GBP7m,

exposures GBP1523m,

t GBP27.2m, 08h2 at 25/9/08 SIVs and CDOs of ABS GBP133.8m,


ecuritisation EUR52m, credit adjustment on monolines EUR456m, credit adjustment on other counterparties EUR20m, 08q1 LBO underwriting EUR86m, securitisation EU
ents EUR25m, 08q2 corporate CDO impairments EUR18m, US RMBS impairments EUR119m, US housing CDO impairments EUR15m, 08q3 US RMBS impairments EU

chargesEUR75m, 08H1 RMBS +CDOs of ABS EUR551m, monolines EUR1705m,

3m, RMBS and CRE loans EUR885m, 08q2 leveraged finance EUR200m, monolines EUR530m, RMBSEUR1000m, commercial real estate EUR309m, unspecified avai

ures EUR95m, K2 EUR19m, 08q2 US RMBS EUR177m, other ABS EUR12m, CDO of ABS EUR97m, LBOsEUR28m, monoline exposures EUR212m, K2 EUR4m,

le through reserves EUR900m, 08q1 super senior CDOs with subprime exposure EUR244m, structured credit portfolio available for sale through reserves EUR1600m, C

SD142m, 08h1 subprime RMBS (securitisation) USD301m, subprime RMBS (trading) USD665m, other ABS USD1327m, monolines USD1206m, leveraged finance USD
credit investment portfolio assumed to be CDOs of ABS

RMBS EUR39m, alt-A EUR341m, CDOs EUR12m, SIVs/monolines/ABCP EUR5m, 08q3subprime RMBS EUR30m, alt-A EUR900m, CDOs EUR181m,
assumptions EUR1250m, monolines EUR104m, 08q4 structured credit portfolio EUR1900m,

senior)GBP307m, SIVs GBP46m, monolines GBP170m,


m, RMBS EUR192m, other crisis related impact EUR114m, 08q3 monolines EUR263m, other crisis related impact EUR216m,

monolines GBP2120m, CMBS GBP94m, CLOs GBP113m, high grade ABS CDOs GBP990m, mezzanine ABS CDOs GBP992m, 08q3US RMBS GBP170m, leveraged loa

risk EUR203m, RMBS trading portfolio EUR43m, unhedged CDOs in trading portfolio EUR350m, mainly European ABS portfolio (SGAM) EUR166m, exotic credit deriva

CHF200m, 08q1 super senior CDOs CHF5429.46m, subprime RMBS CHF1965.54m, alt-A CHF6195.48m, monolines CHF1675.32m, US commercial real estate CHF

aries) JPY35000m, non-US RMBS (securities subsidiaries) JPY129000m, CLOs (securities subsidiaries) JPY2000m, CMBS (securities subsidiaries) JPY3000m, ABS CD

ther CDO impairments USD18m, 08q2 Alt-A impairments USD2m, CRE CDO impairments USD39m, RMBS impairments USD137m, ABS CDO impairmentsUSD3m, Alt-

SD476m, CDOs of ABS impairment USD944.9m, change in fair value of CDS USD125.7m, 08q3 net case loss provisions on RMBS USD213m, net unrealised losses on

disruption-related USD511m, 08q3 CDO-related charges USD952m, leveraged loans + CMBS USD327m, 08q4 leveraged loans USD429m, CMBS USD853m, CDO-rel
93m, Canadian ABCP CAD36m, SIVs CAD-85m, smaller items CAD19m, 08q3 Trading and structured credit related positions CAD-25m, Canadian ABCP CAD28m, SIVs

00m, SIV losses USD212m, leveraged loan commitments USD739m, 08q2 direct subprime exposures (mainly ABS CDO super senior) USD3500m, monoline exposures

prime Alt-A and subprime mortgages USD405m, leveraged loans USD696m, 08q3 prime Alt-A and subprime mortgages USD2600m, leveraged loans USD1000m, 08q4
0m, commercial mortgages USD1100m, loan warehouse USD400m, real estate held for sale USD300m,
USD105m, monolines USD3000m, subprime exposures in US banks' investment portfolio USD3100m, leveraged finance USD925m, 08q2 ABS CDOs USD3500m, reside

SD187m, loan commitments USD910m, mortgage prop trading USD1200m, 08q2 mortgage-related securities portfolios in subsidiary banks USD100m, SIVs USD86m, l

BS CAD45m, CDOs of ABSCAD52m, auction rate securities and GICs CAD52m, CMBS CAD12m, 08q4 US subprime hedged with MBIA CAD248m, CDOs, ABS, RMBS a

er USD144m, 08q2 ABS CDO and other subprime related USD238m, CMBS USD209m, leveraged loan USD-102m, consumer mortgage structured productsUSD68m, n

underwriting EUR86m, securitisation EUR103m, credit adjustment on monolines EUR182m, credit adjustment on other counterparties EUR142m, 08q2 credit adjustmen
R15m, 08q3 US RMBS impairments EUR144m,

real estate EUR309m, unspecified available for sale assets EUR203m, 08q3 monolines EUR255m, RMBSEUR705m, commercial real estate EUR163m, unspecified ava

xposures EUR212m, K2 EUR4m,

for sale through reserves EUR1600m, CDO warehouse positions EUR79m, wrapped helocs, subprime and alt-As EUR43m, 08q2 structured credit portfolio available for

nes USD1206m, leveraged finance USD278m, other credit related items USD99m, available for sale ABS impairment USD55m,

m, CDOs EUR181m,

8q3US RMBS GBP170m, leveraged loans GBP36m, monolines GBP296m, CMBS GBP2m, CLOs GBP69m,

(SGAM) EUR166m, exotic credit derivatives portfolio consisting of ABS EUR417m, SIV EUR12m, 08q2 monoline counterparty risk EUR98m, RMBS trading portfolio EU

5.32m, US commercial real estate CHF451.86m, Referenced linked notesCHF1589.16m, 08q2 super senior CDOs CHF1100m, alt-A CHF500m, monolines CHF3000m

urities subsidiaries) JPY3000m, ABS CDOs (banking subsidiaries) JPY100000m, corporate CDOs (banking subsidiaries) JPY27000m, US RMBS (banking subsidiaries)

7m, ABS CDO impairmentsUSD3m, Alt-A dispositions USD96m, CRE CDO dispositions USD248m, RMBS dispositions USD185m, Alt-A unrealised losses USD134m, RM

BS USD213m, net unrealised losses on CDS portfolioUSD353m, net unrealised losses on insured CDOs of ABSUSD705.4m,

USD429m, CMBS USD853m, CDO-related charges USD1720m,


D-25m, Canadian ABCP CAD28m, SIVs CAD18m, counterparty credit risk including monolines mostly on CDOs CAD58m,

enior) USD3500m, monoline exposures USD2400m, auction rate securities USD-197m, alt-As USD325m, commercial real estate USD545m, leveraged loan commitmen

0m, leveraged loans USD1000m, 08q4 leveraged loans USD1800m, mortgage-related exposures USD1100m,

5m, 08q2 ABS CDOs USD3500m, residential mortgage exposures USD1300m, monolines USD2900m, subprime exposures in US banks' investment portfolio USD1700m

diary banks USD100m, SIVs USD86m, loan commitments USD500m, mortgage prop trading USD400m, monolines USD390m, 08q3 mortgage-related prop trading USD6

h MBIA CAD248m, CDOs, ABS, RMBS and other subprime relatedCAD204m, corporate support RMBS held for trading CAD41m, corporate support MBS available for sa

ortgage structured productsUSD68m, non-subprime CDOsUSD152m, 08q3 ABS CDO and other subprime related USD235m, CMBS USD347m, leveraged loan USD-22

arties EUR142m, 08q2 credit adjustment on monolines EUR457m, monoline provisions EUR85m, 08q3 LBO underwriting EUR16m, securitisation EUR91m, credit adjust

l real estate EUR163m, unspecified available for sale assets EUR85m, credit prop trading EUR873m,

structured credit portfolio available for sale through reserves EUR200m, CDO warehouse positions EUR14m, wrapped helocs, subprime and alt-As EUR67m, super sen

sk EUR98m, RMBS trading portfolio EUR15m, unhedged CDOs in trading portfolio EUR20m, mainly European ABS portfolio (SGAM) EUR84m, exotic credit derivatives

alt-A CHF500m, monolines CHF3000m, US commercial real estate CHF-300m, leveraged underwriting commitments CHF200m, Referenced linked notesCHF500m,

00m, US RMBS (banking subsidiaries) JPY1000m, non-US RMBS (banking subsidiaries) JPY32000m, CLOs (banking subsidiaries) JPY7000m, ABS (banking subsidiari

m, Alt-A unrealised losses USD134m, RMBS unrealised losses USD680m, CRE CDO unrealised losses USD-4m, ABS CDO unrealised losses USD-2m,

USD545m, leveraged loan commitments USD428m, 08q3 direct subprime exposures (mainly ABS CDO super senior) USD394m, monoline exposures USD919m, auct

S banks' investment portfolio USD1700m, 08q3ABS CDOs USD4400m, monolines USD1300m, 08q4 monolines USD3220m, subprime exposures in US banks' investme

8q3 mortgage-related prop trading USD640m, 08q4 mortgage-related securities portfolios in subsidiary banks USD800m, loan commitments USD1700m,

corporate support MBS available for sale CAD113m, international banking MBS available for sale CAD244m,

MBS USD347m, leveraged loan USD-22m, consumer mortgage structured productsUSD146m,

m, securitisation EUR91m, credit adjustment on monolines EUR55m,

ubprime and alt-As EUR67m, super senior CDOs of high grade with subprime EUR340m, super senior CDOs of mezz with subprime EUR58m,

AM) EUR84m, exotic credit derivatives portfolio consisting of ABS EUR372m, SIV EUR-7m, 08q3 monoline counterparty risk EUR453m, unhedged CDOs in trading portf

m, Referenced linked notesCHF500m, student loan ABS CHF500m,

es) JPY7000m, ABS (banking subsidiaries) JPY14000m, CMBS (banking subsidiaries) JPY6000m, SIVs (banking subsidiaries) JPY21000m, 08h1ABS CDOs (securities

alised losses USD-2m,

m, monoline exposures USD919m, auction rate securities USD166m, alt-As USD1153m, commercial real estate USD518m, SIV losses USD2004m, leveraged loan comm

prime exposures in US banks' investment portfolio USD1160m, leveraged finance USD1920m, commercial real estateUSD1130m,

mmitments USD1700m,

ime EUR58m,

R453m, unhedged CDOs in trading portfolio EUR315m, mainly European ABS portfolio (SGAM) EUR382m, exotic credit derivatives portfolio consisting of ABS EUR370m

PY21000m, 08h1ABS CDOs (securities subsidiaries) JPY7000m, CLOs (securities subsidiaries) JPY2000m, ABS CDOs (banking subsidiaries) JPY20000m, corporate C

osses USD2004m, leveraged loan commitments USD792m, 08q4 direct subprime exposures (mainly ABS CDO super senior) USD4582m, monoline exposures USD897

es portfolio consisting of ABS EUR370m, SIV EUR57m,

subsidiaries) JPY20000m, corporate CDOs (banking subsidiaries) JPY4000m, non-US RMBS (banking subsidiaries) JPY29000m, CLOs (banking subsidiaries) JPY2000

SD4582m, monoline exposures USD897m, auction rate securities USD307m, alt-As USD1319m, commercial real estate USD991m, SIV losses USD1064m, leveraged lo

m, CLOs (banking subsidiaries) JPY2000m, ABS (banking subsidiaries) JPY3000m, CMBS (banking subsidiaries) JPY1000m,

m, SIV losses USD1064m, leveraged loan commitments USD594m,

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