alles auf Kosten der Steuerzahler...

verfasst von nasdaq, 15.01.2003, 21:13

-->Das Duration Gap betrug zum Herbst -14 Monate. Laut Fannie Mae war davon das meiste durch Derivate abgesichert. Den Verlust im Derivategeschäft könnte ja dann aus der Auflösung dieser Positionen kommen. Wie dem auch sei auf jeden Fall eine äusserst riskante Spekulation.

Dazu noch folgendes:

Rather, one of the main tactics of these GSEs is to buy back their own mortgage
back securities. Indeed, as pointed out by Jaffe (2002), in 1991 Fannie Mae and Freddie Mac retained approximately 2% of their total issued MBSs, while by 2001 this number rose to 33%. This trend is not a one time aberration. For example in 2001, these two GSEs repurchased 50% of their newly issued MBSs.
The strategy by Fannie Mae and Freddie Mac to buy back their own mortgage
securities is done purely for profit. By repurchasing their own mortgage back securities, these GSEs are betting that they can make expected profits off the interest rate spread of their own securities over the interest they must pay off from issuing debt. That's not a bad thing if they were facing the additional interest risk on their own -- but they are not! Given their perceived
implicit guarantee, their portfolio strategy amplifies the moral hazard issue: if the strategy succeeds Fannie and Freddie win, and if it does not, we lose.



Die Kapitaldecke ist nicht nur dünn sie ist quasi nicht vorhanden:-):

Vgl. dazu Aussagen von William Poole (2002), President of the Federal Reserve Bank of
St. Louis.

For example, as established in the Federal Housing Enterprises Financial Safety and Soundness Act of 2002, the core capital requirement of on-balance sheet items is 2.5% and 0.45% of outstanding MBSs and other offbalance sheet obligations. In stark contrast, government securities dealers hold about 5% in
capital and Federally Insured Banks hold equity capital and subordinated debt of about 11% of total assets.


Für die vollständige Analyse:

<ul> ~ http://www.somc.rochester.edu/Nov02/Hess.pdf</ul>

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gesamter Thread:

• Was hat JPM bislang von seinen Derivativen abgeschrieben? (owT) - XERXES, 15.01.2003, 17:02
  • Re: Verwechslung? - dottore, 15.01.2003, 17:14
    • Re: Verwechslung? - XERXES, 15.01.2003, 18:58
      • alles auf Kosten der Steuerzahler... - nasdaq, 15.01.2003, 21:13