A string of public events are goading private fears that the banks with the biggest holdings of CMO derivativesparticularly investment bankssoon could get burned badly.

Management is just figuring out that they are sitting on some losses, one banking industry analyst declared. Which banks will suffer most isnt certain, because the losses involved will depend on what CMOs the bank is holding and how skilled it is in selling the paper. But its a safe bet that the institutions most vulnerable are the 25 with the biggest CMO and Remic holdings. (See chart below).

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