...The continuing turmoil in credit markets has resulted in diminishing liquidity and the re\##pricing of risk across a broad range of asset classes, including residential mortgage\##backed 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\##to\##market 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\##CDOs) have suffered acute stress from the turmoil. As of May ####, Fitch Ratings estimates disclosed losses by banks on subprime RMBS and ABD\##CDO exposures of USD###bn. Given the size of the subprime market, estimated to have originated as much as USD#.#trn of loans in the last three years (####: USD###bn; ####: USD###bn; and ####: USD###bn), the poor underwriting...
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