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As illustrated in detail in my analysis, Bear Stearns is in some real trouble. CNBC reports that the US attorney is intensifying its investigation of the bank and an indictment is increasingly possible. In addition, Bear Stearn's exposure to the mortgage and real estate markets are sinking it. I expect:

 

A total of at LEAST $2.7 bilion in losses will be coming down on the Bear, devastating equity capital. I have scoured through roughly 30% of Bear Stearns entire ABS holdings, and these losses are from just that 30%. You can download the list of approximately 3,600 CDOs, loans, securities and related assets here:

icon Bear Stearns ABS inventory (1.56 MB 2008-02-07 09:42:27).

Asset Class Data Total
AltA Sum of BASE CASE LOSSES 171,716,337

Sum of Optimistic Case Losses 145,838,684

Sum of Worst Case Losses 223,471,645
AltA ARM Sum of BASE CASE LOSSES 363,177,975

Sum of Optimistic Case Losses 312,628,121

Sum of Worst Case Losses 464,277,684
CMBS Sum of BASE CASE LOSSES 121,477,512

Sum of Optimistic Case Losses 97,193,113

Sum of Worst Case Losses 168,432,011
Corporate Sum of BASE CASE LOSSES 481,250

Sum of Optimistic Case Losses 412,500

Sum of Worst Case Losses 550,000
HELOC Sum of BASE CASE LOSSES 4,104,225

Sum of Optimistic Case Losses 3,536,575

Sum of Worst Case Losses 5,239,525
Midprime Sum of BASE CASE LOSSES 402,412,147

Sum of Optimistic Case Losses 324,994,889

Sum of Worst Case Losses 557,246,661
Other ABS Sum of BASE CASE LOSSES 16,539,550

Sum of Optimistic Case Losses 12,396,275

Sum of Worst Case Losses 24,576,100
Prime Sum of BASE CASE LOSSES 52,647,715

Sum of Optimistic Case Losses 36,306,265

Sum of Worst Case Losses 86,379,593
Second Sum of BASE CASE LOSSES 147,610,602

Sum of Optimistic Case Losses 124,662,519

Sum of Worst Case Losses 170,558,685
Subprime Sum of BASE CASE LOSSES 1,436,911,912

Sum of Optimistic Case Losses 1,272,055,456

Sum of Worst Case Losses 1,766,624,824
Total Sum of BASE CASE LOSSES 2,717,079,225
Total Sum of Optimistic Case Losses 2,330,024,396
Total Sum of Worst Case Losses 3,467,356,728
     
     
     
  Losses under various scenario from exposure towards bond insurers in US$
 

  Total Sum of Base Case Losses 2,717,079,225
  Total Sum of Optimistic Case Losses 2,330,024,396
  Total Sum of Worst Case Losses 3,467,356,728