There are a few more holes - WAMU, LEH, CITI, and MER.
bloomberg.com
Lehman Brothers, the largest underwriter of U.S. mortgage bonds, tumbled $6.73, or 15 percent, to $39.26 after it obtained a $2 billion credit line from 40 banks. Implied volatility, a measure of how much investors are paying to insure against further stock-price losses, for Lehman options more than doubled.
Bloomberg: March 14: Lehman Brothers, largest mortgage underwriter in U.S., obtained a $2 billion, unsecured, three-year credit line from 40 banks. "The unsecured facility replaces an existing credit line"; JPMorgan and Citigroup led the effort.
Reuters: CDS spreads spiked to 465bp after Bear announcement, most among investment banks.
Fitch (via RGE): At the beginning of the turmoil Bear Stearns had the highest toxic waste ("residual balance") exposure as percent of adjusted equity on balance sheet: BSC = 54.5%; LEH = 53.3%; GS = 21%; MER = 17.8%; MS = 8.3%.
Cumberland: Main difference to BS: Lehman generated over 60% of their revenues outside the U.S. in Q4 2007
Fahey (Fitch): Lehman Brothers reported Level 3 assets-to-equity of 1.68x in 3Q07 (BSC 1.56; GS 1.84; MER 0.70; MS 2.74: gross notional Level 3 asset value, not netted with derivatives hedges in Level 1 or 2 as reported by other banks)
Hedges on Level 3 assets (i.e. "short their own instruments") produced book gains of $750m at Lehman (largest amount among 5 brokers) but Fitch decided that gains from credit spread widening will not be considered in evaluating operating performance
--> Gains from structured notes spread widening as percentage of pre tax earnings was 62% at Lehman in Q3; 129% at BS; 7% at GS; -17% at ML; 17% at MS. |
