...The continuing turmoil in credit markets has resulted in diminishing liquidity and the re\01pricing of risk across a broad range of asset classes, including residential mortgage\01backed securities (RMBS), structured credit, leveraged loans and structured Investment vehicles. As the market value of these assets declines, financial institutions have reported real and mark\01to\01market losses of substantial magnitude. In particular, banks with exposures to subprime mortgage assets either in the form of RMBS or collateralised debt obligations referencing subprime mortgage assets (ABS\01CDOs) have suffered acute stress from the turmoil. As of May 2008, Fitch Ratings estimates disclosed losses by banks on subprime RMBS and ABD\01CDO exposures of USD165bn. Given the size of the subprime market, estimated to have originated as much as USD1.4trn of loans in the last three years (2005: USD625bn; 2006: USD600bn; and 2007: USD179bn), the poor underwriting...
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