Monday, February 19, 2007

freddie and fannie

more evidence the risk premiums are a little bit out of control or as jeff saut would say he feels like more and more using the "Jessica Simpson model of investing" ....

i give you this number from the latest fannie mae filing for the year 2003!(watch under the fannie logo)!. / pdf (they restated the numbers numerous times and have put up some number for 2004. i don´t remember how many billions they have found in accounting errors.......if you want to get angry you should read the link with the letter to shareholders with the smiling 3. since then they had to reduce their portfolio. but the proportion is still unbelievable) maybe their headquarter is located in ...........

ein beispiel mehr das in sachen risikoaufschlägen irgendetwas nicht ganz stimmig ist. jeff saut würde es wohl das "jessica simpson model of investing" nennen.........

ihr braucht euch dafür nur die datenreihe von fannie mae aus dem jahr 2003 ansehen. die haben danach die zahlen diverse male korrigieren müssen und wohl auch noch teilweise nummern für 2004 veröffentlicht. etliche mrd an buchhaltungsfehlern wurden gefunden. in den letzten jahren mußte fnm ihr portfolio reduzieren. die proportionen von eigenkaiptal und garantierten anleihen ist aber immer noch atemberaubend.

Outstanding MBS1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,300,166

1 Unpaid principal balance of MBS guaranteed by Fannie Mae and held by investors other than Fannie Mae.

größer/bigger page 1 (pdf)

outstanding guaranteed mbs $ 1.300.000.000.000 trillion!

core capital 34.000.000 billion! (2003)

spread today 0,24 over us bonds!!!!!!!

relations at freddie are not much better/ die relationen bei freddie sind nicht viel besser

Feb. 19 (Bloomberg) -- Freddie Mac, the second-largest source of money for U.S. home loans, said ``strong, steady'' demand among Asian investors will support the mortgage-backed bond market.

``There's strong, steady demand for Freddie Mac securities in this area of the world,''

Investors in Asia hold $3.1 trillion, or about two-thirds, of the world's foreign reserves. They increased purchases of U.S. agency debt for a third year in 2006 as they shifted from Treasuries in search of higher yields and returns, (lets hope that this will continue..../ man kann nur hoffen das die das beibehalten....)

Freddie Mac notes returned 4.1 percent last year, the most since 2002, compared with 3.1 percent for Treasuries

that makes this stat (much more infos!/jede menge mehr infos)

Fannie and Freddie bought 25.2% of the record $272.81 billion in subprime MBS sold in the first half of 2006, according to Inside Mortgage Finance Publications, a Bethesda, Md.-based publisher that covers the home loan industry.

In 2005, Fannie and Freddie purchased 35.3% of all subprime MBS, the publication estimated. The year before, the two purchased almost 44% of all subprime MBS sold.
Three big lenders, NovaStar Financial , Deutsche Bank and BNC Mortgage, part of Lehman Brothers , sold more than half of their subprime MBS to Fannie and Freddie this year, said Andrew Analore, editor at Inside Mortgage Finance (looks like things are doing well for nova(nfi) and the other subprime players ........./sieht so aus als wenn bei nova /nfi und den anderen im subprimesektor alles bestens läuft....

but no worry....../ aber keine angst......

Other experts noted that when Fannie purchases subprime MBS, it usually only buys triple-A-rated tranches. In the event of losses, the triple-A (chart above) bits are the last ones affected. Ed Groshans, an analyst at Fox-Pitt, Kelton, estimated that if losses in these pools of mortgages reached 10%, investors in the triple-A tranches would still get all their interest and principal back ( well at least the a tranches are starting to show some sign of stress lately........../ die einfach a papiere zeigen immerhin ernste anzeichen von problemen.......)

Higher interest rates will cause more people to go delinquent on their mortgages, but not enough to push losses on these pools over 6%," the analyst said.

At the end of June, the loan-to-value ratio on Fannie's book of business was 54%, he added. ( i doubt that this can be said about the data for the last 3 years of subprime purchases...kann wohl nicht für die letzten 3 jahre der subprimekäufe gelten)

chart single a

and the bbb- is already diving......und die unterste stufe ist bereits im freien fall

The extra yield, or spread, investors demand to own Freddie Mac's notes over similar-maturity U.S. notes narrowed to 24 basis points on Feb. 16 from 32 basis points six months ago,.... (with the underlying assets depreciating and the homeowner refinancing at a record pace "2006 Cash-out refinancing hits 16-yr peak in Q3-Freddie " und in derselben zeit fallen die zugrundeliegenden immobilienwerte und die hauseigentümer refinanzieren immer höhere hypotheken) Buying Support
Freddie Mac sold 35 percent of its reference notes to investors in Asia in the 12 months ended Sept. 30, compared with about 16 percent in 2001,

``Continued interest will support that sort of level,'' in the coming months, said Cook.

Asian investors bought about $135 billion net of U.S. agency debt last year, compared with net purchases of around $66 billion in government notes and bonds, according to Treasury Department figures. Buying of agency debt increased from $118 billion in 2005.
``From the perspective of central banks, it would make sense to shift to non-Treasuries because they probably want any bit of spread,''

China holds $1.07 trillion of the world's $4.99 trillion foreign reserves, the largest holding of any country. The next biggest holder globally is Japan, with $875 billion.

Freddie Mac had $776.9 billion in debt outstanding on Dec. 31, according to the company. Congress created McLean-based Freddie Mac and Washington-based Fannie Mae, the biggest mortgage finance company, to expand homeownership by increasing financing, and to provide market stability. (that really has worked well......./ man sieht gerade wie toll das gelungen ist.....) and with their creative handling on delinquencies the market looks more stable than it is.... thanks to mish! dank der eigenartigen handhabung von kreditausfällen sieht das ganze besser aus als es wirklich ist....)
i´m really no expert on accounting etc and i´m sure that the (by far) majority of the mbs backed by fannie and freddie are well protected and safe. but the proportion of the numbers and the fact that fnm could not provide correct numbers in the past and the almost non existent spread combined with the unravelling of one of the greatest bubbles of all times makes me wonder.......

lets hope the asians/the oil exporters will buy and buy and buy.........(and not just a few billions...)

bin sicher nicht ansatzweise ein experte in sachen bilanzierung etc. und ich bin ebenfalls überzeugt davon das der mit abstand größte teil der mbs gut abgesichert ist. aber die gewaltige diskrepanz zwischen ek und garantierten mbs und die tatsache das jahrelang keine bilanzen erstellt werden konnten kombiniert mit nicht vorhandenen risikoaufschlägen und nebenbei dem einbruch der größten blase der letzten zeit können einen nachdenklich werden lassen...
wünschen wir uns das die asiaten und die ölexportierenden länder weiter fleißig kaufen und kaufen und kaufen........

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