-->Hallo,
nach einer mehr oder weniger Seitwärtsbewegung gestern ging es heute wieder abwärts. Wir haben schon wieder die Hälfte der kurzen Erholung dieser Woche aufgegeben. Stellvertretend hierzu diese 06er AAA Tranche:
[img][/img]
Die Tabelle zeigt, daß wir fast schon wieder bei All Time Low sind.
16-Nov-07 Overview
Index Series Version Coupon RED ID Price High Low
ABX-HE-AAA 07-2 7 2 76 0A08AHAD4 71.58 99.33 69.93
ABX-HE-AA 07-2 7 2 192 0A08AGAD6 40.50 97.00 40.19
ABX-HE-A 07-2 7 2 369 0A08AFAD8 28.00 81.94 26.75
ABX-HE-BBB 07-2 7 2 500 0A08AIAD2 21.75 56.61 20.39
ABX-HE-BBB- 07-2 7 2 500 0A08AOAD9 20.75 50.33 19.11
ABX-HE-AAA 07-1 7 1 9 0A08AHAC6 76.06 100.09 75.61
ABX-HE-AA 07-1 7 1 15 0A08AGAC8 46.00 100.09 45.39
ABX-HE-A 07-1 7 1 64 0A08AFAC0 28.00 100.01 26.39
ABX-HE-BBB 07-1 7 1 224 0A08AIAC4 18.66 98.35 18.19
ABX-HE-BBB- 07-1 7 1 389 0A08AOAC1 18.13 97.47 17.24
ABX-HE-AAA 06-2 6 2 11 0A08AHAB8 85.45 100.12 84.29
ABX-HE-AA 06-2 6 2 17 0A08AGAB0 59.97 100.12 59.06
ABX-HE-A 06-2 6 2 44 0A08AFAB2 37.81 100.12 36.61
ABX-HE-BBB 06-2 6 2 133 0A08AIAB6 19.78 100.59 19.57
ABX-HE-BBB- 06-2 6 2 242 0A08AOAB3 17.84 100.94 17.84
ABX-HE-AAA 06-1 6 1 18 0A08AHAA1 94.70 100.38 94.13
ABX-HE-AA 06-1 6 1 32 0A08AGAA9 85.84 100.73 84.64
ABX-HE-A 06-1 6 1 54 0A08AFAA7 60.19 100.51 60.00
ABX-HE-BBB 06-1 6 1 154 0A08AIAA4 32.53 101.20 32.53
ABX-HE-BBB- 06-1 6 1 267 0A08AOAA2 27.13 102.19 27.13
Trotz der kleinen Sucker-Rallye am Ende des heutigen DJIA Tages sind ja die Banken bös geprügelt worden.
Ganz interessant noch, daß FNM und FRE (die beiden GSEs) in den letzten beiden Wochen ca 1/3 ihres Wertes verloren haben. Nachdem sie erstaunlicherweise trotz zweijähriger Pause ohne jegliche Geschäftsberichte und trotz Milliardenverlusten im Subprime-Bereich (FNM und FRE waren gerade auf die Subprime Loans spezialisiert) bei über 60 USD pro share verharrt hatten und nachdem es auch viele Shorties schon aufgegeben hatten, FNM und FRE zu shorten, da sie über dem Gesetz zu stehen schienen, hat wohl die beginnende Nachforschung des New Yorker Generalstaatsanwalts einiges ins Rollen gebracht.
Interessanterweise hat FNM gestern"new math" verkündet. Sie wollen angeblich nur 4% delinquente Hypotheken haben, keine 7.5% wie eigentlich errechnet wurde.
http://money.cnn.com/2007/11/15/magazines/fortune/fannie_losses.fortune/index.htm?postversion=2007111509
Ich hab's ja neulich (eigentlich aus Ironie) schon mal angesprochen: wenn alle Stricke reissen wird 2+2=3 gesetzlich implementiert oder es wird das Minuszeichen gesetzlich verboten.
Interessant sind auch die Spiele von GS, die wohl darauf setzen, wie beim Poker durch Bluffen die letzten zu sein, die noch bei der Reise nach Jerusalem sitzen bleiben. Obwohl deren Verhältnis von Level III Debt zu Eigenkapital ziemlich schlecht ist, hoffen sie wohl, durch ihren Mann Paulson als Chef der Treasury sicher zu sein.
Es bleibt interessant. Wohl dem, der schon seit Juli short ist oder den Mut hatte, bei der dead cat bounce Rallye Mitte Oktober short zu gehen. Dann kann man die Swings locker aussitzen, wenn die Puts lange genug laufen und man permanent im Plus ist.
Alle anderen brauchen gute Nerven und müssen wie die Spinne im Netz sitzen, denn die Fliegen sind schon im Anflug. Es wird diesmal kein Wunder geschehen.
Mors certa, hora incerta.
In diesem Sinne, schönes Wochenende,
DT
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-->http://money.cnn.com/magazines/fortune/fortune_archive/2007/11/26/101232905/index.htm
Enron all over again
Everything was supposed to be different in the post-Enron era, wasn't it? Yet here we are just six years after that calamity, and it feels as though someone hit rewind, says Fortune's Bethany McLean.
By Bethany McLean, Fortune editor-at-large
November 12 2007: 11:04 AM EST
(Fortune Magazine) -- Start with the headlines about off-balance-sheet entities known as structured investment vehicles, or SIVs (or sieves, as some wags are calling them). As Gertrude Stein never said, an off-balance-sheet vehicle is an off-balance-sheet vehicle is an off-balance-sheet vehicle. Just as Enron's off-balance-sheet vehicles were propping up its stock price by camouflaging the company's real financial results, so SIVs were inflating the credit market by providing demand for the complex securities created out of mortgages and loans used to finance buyouts. Like Enron's off-balance-sheet vehicles, SIVs were invisible to those on the outside--and to many on the inside--until they weren't. When times were good, these creations made money for their sponsors, but when times changed, they became a problem for the rest of us. It's a little bit like"heads I win, tails you lose," which is pretty much how a former Enron executive described that company's off-balance-sheet vehicles.
In both cases, part of the problem was that the rating agencies, which are supposed to serve as watchdogs, were blindly optimistic, either through sheer incompetence or because of conflicts of interest. Just as Enron's investment-grade rating--which it kept until four days before its bankruptcy--turned out to be an illusion, so did the investment-grade ratings on many mortgage-backed securities."Structured finance," as the Street calls the black art of making one thing look like something else, couldn't transform Enron from a money-losing company into a moneymaking one, and it couldn't make subprime mortgages into investment-grade debt. Now the rating agencies are scrambling to explain why it isn't a problem that they are paid by the very people they're supposed to rate, and Congress is holding hearings. That's exactly what happened six years ago.
Just as with Enron, the messy truth here is that some of the victims are also the villains. Buyers of these complex mortgage-backed securities didn't understand what they were getting, just as buyers of Enron's stock didn't understand its accounting. But no one wants to remember two simple rules--some things are too good to be true, and be wary of Wall Streeters bearing gifts--when everyone seems to be making so much money. And the collateral damage always hits the true innocents, such as gas pipeline workers and homeowners.
While Marx may be right that history repeats itself, it rarely does so exactly. One of the biggest enablers of the Enron mess was the accounting firm Arthur Andersen. Today it appears that the accountants have gotten some backbone. In early October the Center for Audit Quality--which has the backing of the Final Four accounting firms--issued a paper saying that firms could not employ wishful thinking in valuing the complex securities on their books. And that just might explain the mammoth losses that firms are suddenly declaring.
Und noch ein guter Artikel in Punkto FNM accounting:
http://money.cnn.com/2007/11/15/magazines/fortune/fannie_losses.fortune/index.htm?postversion=2007111509
Fannie Mae's fuzzy math
The mortgage lender has quietly changed the way it calculates its bad loans -- and it could be camouflaging steep credit losses, writes Fortune's Peter Eavis.
By Peter Eavis, Fortune senior writer
November 15 2007: 9:29 AM EST
(Fortune) -- Investors might want to take a closer look at Fannie Mae's latest earnings report. Lost in the unsurprising news of the mortgage lender's heavy losses was a critical change in the way the company discloses its bad loans -- a move that could mask that credit losses that are rising above levels that the company predicted just three months ago.
Without the change in disclosure, an important yardstick for credit losses that Fannie Mae (Charts) provides to investors would have looked much worse than it did in financials filed last week.
Fannie Mae's potentially misleading disclosure comes at a crucial time for the company. Fannie Mae was severely penalized last year for overstating earnings and for a lack of oversight. As part of its punishment, the amount of home loans that Fannie Mae can make was limited.
But now influential members of Congress, including Senator Charles Schumer, want Fannie Mae's watchdog, the Office of Federal Housing Enterprise Oversight (OFHEO), to temporarily lift the portfolio limits on the company and its rival Freddie Mac. Legislators want both lenders to buy more subprime mortgages to help stave off foreclosures.
Fannie Mae already holds a substantial amount of risky mortgages in its $2.4 trillion mortgage book -- and the recent shift in how it discloses a much-watched credit yardstick disguises just how quickly bad loans may be rising.
If that's the case, Fannie Mae will face a new barrage of questions about its bookkeeping.
Fannie Mae controller David Hisey responds that the change in how its loss numbers were presented makes them"more transparent, not misleading."
But Fannie Mae's numbers effectively make its credit look better than it is.
It all comes down to what's known as the credit loss ratio -- a measure that Fannie Mae has consistently provided to investors to help them assess the credit quality of its mortgages. The credit loss ratio expresses bad loan losses as a percentage of Fannie Mae's loans.
In August, Fannie Mae predicted its credit loss ratio would be 0.04-0.06 of a percentage point for all of 2007. (Wall Street generally refers to percentages in basis points, which each equal one hundredth of a percentage point. In Fannie Mae's terminology, then, its 2007 loss ratio estimate is four to six basis points.)
A range of four to six basis points may not sound like a big deal for an institution involved in mortgages, but for Fannie Mae it is the norm.
What matters is if Fannie Mae goes above that range. And Fannie Mae appears to have already done that this year. But its disclosure change makes that worrying development very hard to see.
Here's why: Last week, as part of its earnings report, Fannie Mae revealed that the company had changed the way it calculates the credit loss ratio. Under the new method, Fannie Mae's annualized credit loss ratio was just 4 basis points in the first nine months of the year.
At first glance, four basis points looks to be at the low-end of Fannie Mae's full-year forecast. Problem is, because the company is using a new methodology, the previous estimate no longer makes sense to use.
So what would have happened if the company had compared apples to apples -- and stuck with the old method of calculating its loss ratio?
Under the previous method, Fannie Mae would have been well outside of its range. The company would have reported an annualized loss ratio of 7.5 basis points in the first nine months of this year.
What exactly caused the change -- and how did it lead to a reduction in the credit loss ratio?
In its third quarter financial statements, Fannie Mae started to break out credit losses taken to fulfill an accounting treatment called SOP 03-3, which the company said it adopted at the start of 2005.
These SOP 03-3 losses were previously included in its credit loss ratio calculation, but Fannie Mae last week removed them from that calculation, causing its loss ratio to look much lower.
The company said it made the change to add transparency to its loss numbers and to show a more cash-based reflection of credit losses.
In a statement, Fannie Mae spokesman Brian Faith said that the forecast of four to six basis points was"predicated on our estimation of what our realized losses would be for the year."
What does realized losses mean? When asked that, Faith referred to Fannie Mae's most recent quarterly filing. There, realized losses appear to be defined as losses calculated under the new method. In other words, Faith appears to be suggesting that the 2007 forecast was always based on the new method of calculation.
Why is that hard to believe? When the company issued that range in August, it expressed all its published credit loss ratios under the old method. And on an August conference call, when discussing the full-year range of four to six basis points, Fannie Mae executives did not mention any change in calculation of the ratio.
Management acknowledges that credit losses are mounting. During an analyst call last week, Fannie Mae CEO Daniel Mudd warned that the company's loss ratio could rise to eight to 10 basis points in 2008, due to a worsening housing market. It's not clear whether that forecast is based on the old or new methodology.
The company may already be exceeding that 2008 guidance. Based on the old methodology for calculating the loss ratio for the third-quarter alone, the company's annualized loss ratio is already at 14 basis points.
If so, Fannie Mae's mounting losses are disturbing.
So what could a soaring loss ratio mean for Fannie Mae? Consider these numbers: At Sept. 30, Fannie Mae had exposure to $74 billion of loans with a FICO credit score below 620. Loans scored below 620 are generally classified as subprime. In addition, Fannie Mae has exposure to $196 billion of Alt-A mortgages, home loans for which the borrower doesn't have to submit complete documentation for basic criteria like income.
At the same time, Fannie Mae has only $40 billion of capital.
Worst-case, credit losses from high-risk loans like subprime and Alt-A could eat away at that capital and leave the mortgage giant on an extremely weak financial footing.
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