Bund, Tbond e la grossa coda gialla......(V.M. 77 anni)

[gipa69]

Domanda per Gipa: se hai tempo e voglia mi spieghi come funziona il meccanismo di trasmissione dai sub prime mortgage all'azionario? Ho letto che stanno saltando molte tranche equity dei CDO, ma continuo a non capire bene... Ti ringrazio molto

le tranche equity non sono emissioni azionarie ma sono comunque le emissioni obbligazioni collaterali più rischiose quelle con i rendimenti più alti e quindi quelle più interessanti nelle costruzioni carry.

La vendita di queste posizioni comporta anche lo smontaggio delle posizioni carry sottostanti.

Inoltre le difficoltà dei subprime possono trasmettersi al settore finanziario più solido a causa delle esposizioni delle stesse società con le istitutuzioni finanziarie collegate (si parla di New Century con esposizione debitorie importanti con le principali istituzioni finanziarie USA) e poi perchè diversi fondi comuni high yield possono avere nel proprio portafoglio emissioni CDO rischiose.

Mutual Funds at Some Risk on Mortgages

By GRETCHEN MORGENSON
Published: March 14, 2007
Mutual funds held mortgage-related debt securities issued by the subprime lenders New Century Financial, NovaStar Financial and others at the end of last year, indicating that everyday investors are among those who will probably be hurt by the turmoil that is tearing through the residential mortgage market.

Bad Loans Put Wall St. in a Swoon (March 14, 2007) As delinquencies among risky borrowers have risen, the stocks of companies that specialized in these loans have collapsed. The value of the residential mortgages they issued, which Wall Street packaged and sold to investors, has also dropped.

While it is relatively easy to identify those who owned shares in New Century — it closed at around 85 cents yesterday after the New York Stock Exchange suspended its listing — figuring out who holds the mortgage-related debt of such issuers is more difficult.

Regulatory filings show that mutual funds that specialize in generating high income have bought subprime mortgage securities as the market ballooned.

To be sure, with their holdings spread out among hundreds of issuing companies, mutual funds are considerably safer than more concentrated holdings. And some mutual funds may have limited their purchases of debt issued by subprime lenders to securities rated highly by credit rating agencies like Moody’s Investors Service, Standard & Poor’s and Fitch Ratings.

But the ills in the mortgage securities market are infecting even issues that carry higher ratings from those agencies. These securities have declined along with the broad market in recent days, although they have not fallen as far as lower-quality issues.

As prevailing interest rates have remained low, portfolio managers seeking income from their investments have had difficulties generating attractive yields. Pension funds with significant financial obligations to retirees took on more and more risk to generate income. During the housing market boom, mortgages became a favored investment vehicle among these managers.

The Regions Morgan Keegan Select High Income Fund, for example, a $1.2 billion portfolio run by Morgan Keegan, a regional brokerage firm based in Memphis, held $159 million, or 13 percent of its portfolio, in unrated mortgage-backed securities, or those below investment grade. Among the issues in its portfolio at the end of the year: a $3.4 million holding in home equity loans underwritten by New Century in 2006.

The fund also held five securities worth $30.4 million issued by First Franklin, a subprime lender that was bought by Merrill Lynch for $1.3 billion last year.

Some 4.4 percent of the Regions Morgan Keegan Short Term Bond Fund, an $80 million fund, was in investment-grade-rated home equity loans — a $2.9 million stake — and another 11.3 percent of the portfolio, or $8.8 million, consisted of investment-grade mortgage securities.

Kathy Ridley, a Morgan Keegan spokeswoman, declined to comment on the funds’ holdings, saying that it was the firm’s policy not to discuss the stakes.

Legg Mason Partners Capital and Income Fund, a $3.4 billion fund, also owns home equity loans issued by subprime lenders. Some 1.1 percent of the portfolio consists of home equity loans, with $2.25 million issued by New Century; $3.6 million issued by NovaStar; and $2.7 million issued by Fremont General, the parent company of a lender who consented to a cease-and-desist order from the Federal Deposit Insurance Corporation a week ago. That order called for the company to stop “operating with a large volume of poor quality loans” and “engaging in unsatisfactory lending practices.”

Mary Athridge, a Legg Mason spokeswoman, confirmed that its funds own some of the trusts issued by troubled lenders. But the firm is comfortable with the holdings, she said, because they are overcollateralized and very little of the loans are left outstanding.

Funds that are part of the American Skandia Trust also own mortgage securities issued by troubled lenders. The trust’s American Century Strategic Balanced portfolio held mortgage securities issued by NovaStar and Accredited Home Lenders that were rated Aaa at the time and valued at just over $500 million. Of the fund’s $175 million under management at the end of the year, 2.3 percent of it was in asset-backed securities including mortgages.

Officials at American Century could not be reached for comment last night.

Several American Skandia Trust portfolios managed by T. Rowe Price — a global bond fund and asset allocation fund — also showed stakes in New Century home equity loans at the end of 2006.

A T. Rowe Price spokesman said that managers with knowledge of these portfolios were not available last night.

A spokesman for Prudential Financial, which acquired American Skandia, was not able to confirm last night whether the funds still held the securities.

The Builders Fixed Income Fund, a mutual fund with $248 million under management that is overseen by Capital Mortgage Management in Manchester, Mo., has substantial mortgage stakes. Asset-backed securities, including those issued by mortgage lenders, made up 28.4 percent of the fund’s portfolio at year-end. It held two stakes worth $1.14 million in home equity loans underwritten by New Century.

Mike Stewart, chief compliance officer at the fund, said he was “not at liberty to say” if the New Century stake was still in the portfolio.

 

[gastronomo]

Grazie Gipa - lettura interessante

CDOs May Bring Subprime-Like Bust for LBOs, Junk Debt (Update3)
By Caroline Salas and Darrell Hassler

March 13 (Bloomberg) -- Bond investors rattled by mounting losses in subprime U.S. mortgages say trouble is brewing in collateralized debt obligations, the same securities that fueled the boom in leveraged buyouts and cut-rate finance.

Sales of CDOs, which package loans, bonds and derivatives into new securities, rose by almost half to $918 billion last year, according to data compiled by JPMorgan Chase & Co. Demand for investments to use in CDOs has helped push risk premiums lower for everything from home loans to high-yield, high-risk bonds, forcing managers to borrow ever more money to maintain returns and stand out from the competition.

``There will ultimately be a shakeout,'' said Oliver Wriedt, a partner at New York-based GoldenTree Asset Management LP, which oversees about $8 billion and manages CDOs and was founded in 2000. ``Many'' new managers ``lack the pedigree, or at a minimum the track record. Many have not managed'' in a downturn, he said.

Managers of CDOs backed by speculative-grade loans are borrowing as much as 13 times the amount they raise in equity from investors, up from nine to 10 times as recently as late 2005, according to Wriedt. Forty-one percent of the 142 CDOs backed by corporate loans and rated by Moody's Investors Service last year were set up by first-time issuers.

Potential `Excesses'

``You have a massive supply of loans and new participants,'' said Chris Ricciardi, chief executive officer of Cohen & Co. in New York, the biggest issuer of CDOs last year. ``There certainly is potential for some excesses and that could turn into some performance issues.''

Cohen has formed 36 CDOs since 2001, including 15 worth a total of $14 billion in 2006, according to Asset-Backed Alert.

CDOs are financing a record number of loans to low-rated borrowers that forgo standard investor protections, such as quarterly limits on the amount of debt relative to earnings. Some $36 billion of the loans were made this year, more than the previous 10 years combined, New York-based Morgan Stanley found.

Individuals with poor credit histories who borrowed for home loans obtained similar easy terms. Many of those subprime loans also have ended up in CDOs.

As of Dec. 31, about 10 percent of subprime loans in securities were either delinquent by at least 90 days, in foreclosure or turned into seized property, the most in at least seven years, according to securities firm Friedman, Billings, Ramsey Group Inc. in Arlington, Virginia. Subprime delinquencies overall rose to 13.33 percent last quarter, the Mortgage Bankers Association said today.

`Toxic Waste'

``When you talk about no documentation loans, you can't have any less of a standard than that,'' said Martin Fridson, chief executive officer of high-yield research firm FridsonVision LLC in New York. The lenders ``lower their standards and say `Well, we can put them into CDOs.' Like that's somehow burying that it's toxic waste.''

About $173 billion of CDOs backed mainly by U.S. subprime mortgage bonds and related derivatives were created last year, according to New York-based JPMorgan.

Yield premiums for BBB rated bonds issued by CDOs that hold some of the riskiest mortgage debt have soared to 6 percentage points over benchmark rates from 3.65 percentage points this year, JPMorgan found. Yield spreads on AAA pieces more exposed to losses than ``super-senior'' bonds have about doubled in the last three months to 1 percentage point, Morgan Stanley data show.

Investors ``need to worry a good bit'' about subprime delinquencies spilling over into the CDO market, said Mark Adelson, head of structured finance research at Nomura Securities Inc. in New York. ``The scenario where the BBBs all blow up is a reasonably possible scenario,'' Adelson said.

CDOs backed by asset-backed securities have already lost about $20 billion in value as delinquencies have increased, according to Lehman Brothers Holdings Inc. data.

Drexel Invention

CDOs were first set up in 1987 by bankers at now-defunct Drexel Burnham Lambert Inc., the home of one-time junk bond king Michael Milken. Junk, or high-yield, debt are rated below Baa3 by Moody's and BBB- by Standard & Poor's.

Bankers bundle what is often speculative-grade securities into a CDO, dividing it into pieces with credit ratings as high as AAA. The riskiest parts have no rating, and are known as the equity tranches because they are first in line for any losses. Investors in the equity portion expect to generate returns of more than 10 percent.

Fees for managers can range from 45 basis points to 75 basis points of the amount of the CDO, GoldenTree's Wriedt said. For a $500 million CDO, a manager earning a fee of 50 basis points, or half a percentage point, would pocket $2.5 million a year until maturity.

Besides Cohen, the other top five issuers of CDOs last year in the U.S. were Trust Company of the West in Los Angeles, New York-based Goldman Sachs Group Inc., Duke Funding Management LLC in Greenwich, Connecticut, and Aladdin Capital Management LLC of Stamford, Connecticut, according to Merrill Lynch & Co. in New York.

Better than GE

CDOs with loans and AAA ratings yield 23 basis points over benchmark rates, according to JPMorgan. That's 10 basis points more than top-rated regular corporate bonds sold by Fairfield, Connecticut-based General Electric Co., Merrill Lynch data show.

The Dallas Police and Fire Pension Fund invested in its first CDO about two years ago to boost returns, according to Richard Tettament, administrator of the $3.2 billion fund.

``We were beefing up our risk and we were hoping for a greater return,'' Tettament said in an interview from his Dallas office. ``We have an unfunded liability to pay off.''

Tettament said he isn't sure what type of collateral backs the CDO, though he thinks returns exceeded 20 percent last year.

Buyout firms from Kohlberg Kravis Roberts & Co. to Blackstone Group LP have been among the biggest beneficiaries of CDOs. High-yield, or leveraged, loans financed 57 percent of the record $1.55 trillion of mergers and acquisitions last year, the most in seven years, according to S&P.

`Credit Amnesia'

About $154 billion of CDOs that focus mainly on loans were created in 2006, up from $68.2 billion in 2005, according to data compiled by Morgan Stanley. The demand has allowed companies rated four or five levels below investment-grade to pay just 2.12 percentage points more than benchmark rates this month to borrow, an all-time low, S&P says.

``We think there is a kind of a credit amnesia that is going on,'' said William Chew, managing director at S&P in New York. LBO loans the last two years ``had a record number of the deals at the lower end of the credit spectrum. That's the kind of thing which tells us that these are, from a credit risk standpoint, more risky than previous rounds.''

`Trouble May Come'

The increase in new managers is especially dramatic in the market for CDOs backed by loans, said William May, managing director at Moody's in New York. When defaults increase, an inexperienced manager may have more trouble selling or limiting losses, he said.

``The question is whether they're going to be able to manage through a downturn if they don't have much experience,'' May said. ``That is where the trouble may come.''

Maxim Capital Management LLC was established last year by New York-based Maxim Group LLC to issue a $2 billion CDO of asset-backed securities, home mortgages and other CDOs, according to Fitch Ratings. The ``new CDO management team'' is cited by Fitch as a potential impediment to success.

Maxim, which plans to complete another $2 billion CDO by the end of this month, is more committed to managing CDOs than large firms because management fees are its main source of revenue, said Chief Operating Officer Armand Pastine.

``It's the emerging manager that is fully committed to this business and that is not running away from it,'' Pastine said.

Investors in CDOs have had little to worry about. February was the first time in more than nine years that no speculative- grade companies defaulted, Moody's said last week.

UNC Stays Away

Competition among CDO managers is so fierce that GoldenTree took 11 months to find enough attractive loans for a $750 million fund created two weeks ago, about double the amount of time it took to collect collateral in 2002, Wriedt said.

``In today's market there is very, very little margin for error unless you have great conviction in the quality of your loan portfolio,'' he said.

The University of North Carolina at Chapel Hill, which invested in one CDO backed by loans in 2002, isn't buying any now, said Mel Williams, vice president and co-founder of UNC Management Co., which oversees $2 billion of endowment funds for the school.

``We have historically only invested in the equity tranche and today those equity tranches are yielding between 10 and 13 percent,'' Williams said in an interview from his Chapel Hill office. ``Given the level of risk we feel we're taking in those pieces of paper we don't feel we're being compensated.''

`Disciplined Credit Approach'

BlackRock Inc., the second-largest publicly traded money manager in the U.S., is marketing a synthetic CDO called Galena CDO II. The New York-based firm promises investors it won't succumb to the temptation of buying worsening credits because they offer higher yields than similarly rated securities.

In a prospectus for the CDO obtained by Bloomberg News, the firm said it will use a ``disciplined credit approach to avoid `easy' names with high spreads pending downgrades such as LBO candidates'' like Chicago-based Tribune Co., the newspaper publisher considering a breakup or sale, and San Antonio-based radio operator Clear Channel Communications Inc., which is lobbying for a $19 billion buyout.

BlackRock also plans to issue $1.5 billion in bonds backed by other CDOs through Tourmaline CDO III Corp., a company set up to issue the debt, according to data compiled by Bloomberg. Brian Beades, spokesman for BlackRock, declined to comment.

To contact the reporter on this story: Caroline Salas in New York at [email protected] ; Darrell Hassler in Chicago at [email protected] .

 

[gipa69]

Di sicuro è un mercato molto difficile, anche se quest'ulteriore gamba in discesa un pò ci stava, dato che ha nicchiato troppo a lungo per un rimbalzo. Ora è da capire 1) dove vanno tutti i quattrini che hanno tolto dal piatto 2) se in US si ricomincia a parlare di ribasso dei tassi 3) quale può essere un quadro tecnico di medio termine con una qualche fondatezza 4) qual è la solidità a livello di sistema
Inoltre concordo con Dan: quando vedi una mattanza del genere su azioni come Generali o Capitalia la manina sul long ne è tentata...
Sperem che Gipa mi risponda...gli ho scritto qualche pagina fa.....

Se i quattrini vengono tolti dal piatto semplicemente in attesa di una situazione un pochino più chiara e per una riduzione del premio al rischio (come secondo me è accaduto nelle ultime due sedute)a llora essi vanno sul mercato moentario pronti per essere riutilizzati.

Se i quattrini vengono tolti per chiusure carry/ xchiusure posizioni a leva o chiusure posizioni debitorie essi scompaiono almeno fino alla prossima ricostruzioni di posizioni similari (come è accaduto nella fase precedente della correzione)

I tassi in USA verrano presi in considerazioni con dati sul mercato del lavoro, sul costo del lavoro orario, sulla produttività un pochino più supportivi stimolati magari anche da una riduzione del valori delle commodity agricole.

Secondo me questa è solo una correzione di medio e solo sotto 1320 di spoore potrei cambiare idea.

Il sistema ha comunque attualmente ancora dei sistemi di controllo abbastanza efficaci sebbene la crescita della confidenza nelle banche centrali e dell'utilizzo dello strumento del debito avrà prima o poi delle conseguenze sistemiche.

Quando si fa uno scommessa collettiva unidirezionale la ricopertura di tale scommessa può creare dei grossi problemi.

 

[f4f]

L'ultimo quote non esiste!

analisi lucidissima e condivisa

 

[f4f]

http://www.eurexchange.com/market/quotes/VOL/FVDX/200703_en.html

vola implicita DAX 20% environ

 

[Leo's]

si leo. stamattina magari c'avevi due penne bruciacchiate no lo gallina......e dai su....mamma mia.

ripensadoci, meglio l'ovetto di ieri

 

[gastronomo]

Non te ne sfugge una - vero, quando tutti sono dalla stessa parte e all'improvviso si affannano verso l'uscita un pò di tappo si fa... credo sia determinante il messaggio che le banche centrali debbono saper offrire, perche nell'incertezza i movimenti possono essere violenti e rovinosi. L'american way of life chiede che il consumatore consumi...quindi che ci stia dentro con mutui, posto di lavoro, lunario da sbarcare... vedrem

 

[gipa69]

very interesting....

 

[f4f]

very interesting....

grazie

 

[Andrea 53]

Buongiorno metto grafico x Argema prima che ci sfratti per inadempienza cotrattuale