Bank write-downs are expected to total approximately $37.4 billion for 1Q08, according to a research note from Meredith Whitney at Oppenheimer & Co.

The bulk of the write-downs would occur at Citigroup, which is expected to take a loss of $13.1 billion overall with $9 billion in CDO exposure, $1.97 billion in CMBS and $2.2 billion in leveraged loans.

UBS is not far behind with an expected $11.1 billion write downs, spread amongst $6.9 billion in CDO exposure, $354.6 million in CMBS, $3.2 billion in Alt-A and $650 million in leveraged loan exposure.

Merrill Lynch and Bank of America may write off $4.5 billion and $4.3 billion, respectively. JPMorgan is expected to take a $2.8 billion hit and Wachovia is expected to write down $1.5 billion.

Overall, CDO write-downs are the bulk of the losses for this quarter, totaling $20.9 billion. These loss expectations were approximately 84% of a reduction from Whitney's 1Q08 estimates for U.S. banks. The cuts are related to declines in the ABX indices, LCDX index and widening CMBX spreads which mean increased writedowns, Whitney said.

(c) 2008 Asset Securitization Report and SourceMedia, Inc. All Rights Reserved.

Subscribe Now

Access to a full range of industry content, analysis and expert commentary.

30-Day Free Trial

No credit card required. Access coverage of the securitization marketplace, including breaking news updated throughout the day.