...on page C1 of today’s WSJ, which just published some analysis on the topic:
While the top 10 U.S. banks have cut their exposures to Level 3 assets (illiquid) in the past two years, they still have $360.7 billion of such securities (which they are allowed to price* even if there is no true market for these assets) which is equivalent to 42.6% of shareholder equity.
[Also]These big banks have a total of $13.8 billion in “unrealized losses” which are reflected in book value but have not been counted against earnings (ostensibly the banks believe this debt will be repaid) but if they were, it would have sliced the sector’s earnings by 21% through the first nine months of 2010.
---Today (My Italics)
* Ie, Banks are allowed to mark Level 3 assets to model. By definition these "assets" are not marketable.