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So, as previously flagged, in the fourth quarter UBS logged a total of $13.7bn in losses related to the US residential mortgage market. They came in many shapes and sizes.

• $9.6bn on the super senior tranches of CDOs related to subprime
• $2bn on RMBS and CDOs of RMBS related to US Alt-A
• $1.2bn on other subprime and Alt-A assets in its reference linked note programme
• $871m in credit valuation adjustments on protection purchased from the monoline bond insurers

So where is the new bad news here? UBS in its fourth quarter statement (pages 19 to 21 for the gruesome details) has revealed a hitherto unknown $26.6bn in exposure to Alt-A mortgages, and taken a $2bn hit on them. Alt-A didn’t feature in their third quarter report whatsoever.Within that the bulk of UBS’s exposure looks relatively resilient - $0.8bn in losses on the higher rated, first lien exposure, now $21.2bn. The riskier stuff, totalling $5.4bn at the end of the year, took losses of $1.2bn. Given the wholesale meltdown in US housing though, this may cause investors further discomfort.

In addition, there’s a lot of net numbers floating around in the UBS statement. The bank at the end of last year had net exposure to subprime related assets of $27.6bn, which includes a $1.2bn addition for “monoline hedge ineffectiveness.” Read ACA. The bank’s exposure to the downgraded monoline has been treated as unhedged for risk management purposes, and added in full to its exposure numbers.A loss of $588m reflects only the degree to which UBS judges that its protection with ACA has been impaired by the insurer’s downgrade. The remaining $283m was made on protection purchased from insurers who remain, for however long, rated A or higher.In that, it is similar to Merrill, which took a $3.1bn writedown on hedges from guarantors, of which $2.6bn related to ACA.

But UBS has been slightly less forthcoming than Merrill in laying out its tarnished wares. It has notional exposure - via CDS bought as protection on CDOs - of $11.7bn to the monoline insurers, but that excludes any credit protection purchased elsewhere, from hedge funds or other banks for example. At Merrill, by comparison, the $19.9bn of notional to the monolines was part of about $24bn overall in short protection.

Another form of protection dreamt up by the bank itself has also gone awry: its reference-linked note programe, or credit-linked notes. UBS has 10 US programmes, worth a maximum of $16.9bn and with a fair value of $13.2bn at the end of December. They comprise corporate bonds, RMBS, CMBS, CLOs, CDOs and other asset-backed securities - presumably assets they can’t shift or put to use in other ways. The credit protection in place against this amounts to $3.8bn.

In issuing notes backed by these assets, UBS can generate an income for itself, which in times such as these help meet the payments, according to a recovery rate, on defaults of the referenced assets. Defaults in the underlying portfolio of assets, or those assets being sold at a loss, has meant that UBS has taken a $1.2bn loss, on top of the protection afforded by the RLN note-holders.

Worth noting, from the small print beneath the subprime exposure table, that “figures do not include the US RLN program.”

Related links:

Unhappy scenario of a spiralling daisy-chain of hedges - FT.com - or how Goldman got it right again