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What are Broker's Exposure to Carlyle Capital ?

Thursday, March 13, 2008 | 10:30 AM

Broker's trading exposures to Carlyle Capital's soon to be defaulted fund -- rumored to be leveraged at an astonishing 32 X! -- has been the big question circulating street desks today.

Here's one set of numbers currently circulating on the potential exposure (analyst unknown):

-Citibank (C) $4.7B
-Lehman (LEH) $3B
-BoA (BAC) $2B
-UBS $1.8B
-Bear Stearns (BSC) $1.7B
-ING $1.5B
-JPMorgan (JPM) $1.4B
-Calyon $1.3B
-Merrill Lynch (MER) $760m
-BN Paribas $600m
-Credit Suisse $500m

I cannot vouch for the accuracy of these numbers, but this is what is getting pinged around Wall Street trading desks . . .

UPDATE: March 14, 2008 1:15pm

FT is reporting this list was culled from CCC’s annual report, and is therefore out of date.

The only question is whether it got better or worse . . .

Thanks, JD.

UPDATE: March 13, 2008 11:15am

Standard & Poor's comments on subprime write-downs, via Briefing.com:

Standard & Poor's Ratings Services believes that the bulk of the write-downs of subprime securities may be behind the banks and brokers that have already announced their results for full-year 2007. "There may be some additional marks to market as market indicators have shown deterioration in the first quarter. However, when we dissect the percentage of write-downs taken against various types of exposures, in our opinion the magnitude of some write-downs is greater than any reasonable estimate of ultimate losses... The write-downs of collateralized debt obligations (CDOs) of subprime asset-backed securities (ABS) by large banks and investment banks (referred to as banks) in North America and Europe to-date total approximately $110 bln. To this amount we add approximately $40 bln in write-downs of insurers (financial guarantors and other insurers) and banks in the Gulf States and Asia to arrive at a rough estimate of $150 bln in global disclosed write-downs to-date... Based on available information, we believe that the largest players can be seen as having undertaken a rigorous valuation methodology to come up with conservative valuations. Citigroup (C) and Merrill Lynch (MER), for example, value their high-grade supersenior tranches at 52% and 68% discounts to original exposure, respectively. The broader range of banks values them at only a 30% discount. Similarly, Citi and Merrill value the supersenior tranches of the mezzanine CDOs at 63% and 73% discounts, respectively, whereas the broader range of banks values them at a 48% discount... We believe Citi and Merrill in particular have taken conservative views in this regard, and have built in liquidity premiums.

Now if only these guys had any credibility left . . .