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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:
- $121 million in losses in CMBS,
- $172 million in Alt A residential
- $363 milion in ARMs
- $4 million in Helocs
- $402 million in midprime loans
- $148 million in 2nd lien loans
- and $1.4 BILLION in subprime loans.
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:
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 | |
