Monday, November 5, 2007

The Value of Merril's, Citi's, and UBS' Written-Off debt

What is the value on the dollar of the current CDOs that are being written off by some major banks such as Merril, Citi and UBS?

Merrill Lynch analysts calculate that mid-quality debt is now trading at 40 cents in the dollar. But Merrill Lynch itself has only written this type of debt down to 63 cents in the dollar, while UBS is still assuming this debt is worth 90 cents.

"Simple math would imply that UBS needs an additional $8bn write-down [on its $15.4bn holdings] if the ABX pricing is correct," Merrill says." Source: FT

40c/63c/90c on the dollar? That still seems too high, who would buy that stuff? And how much are the other banks holding or hiding?

It should not take too long to find out.

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