Tossico o non tossico? Questo è il problema!

Cosenza (Italy), 4 Gennaio 2010

Mentre tra i non esperti di economia si è radicata velocemente la convinzione che siano non meglio precisati "titoli tossici" la principale causa della crisi finanziaria internazionale, da qualche tempo si assiste in misura lenta ma continua ad un interessante fenomeno che a prima vista avrebbe del paradossale: le banche, che durante il momento acuto della crisi sono state aiutate mediante fondi governativi statunitensi a liberarsi dei titoli tossici, adesso li stanno riacquistando.

Al riguardo, cito l'articolo odierno apparso sul Wall Street Journal 4/1 "Bank of America Pays for Soured Loans": "Bank of America Corp. began to put one of its most vexing problems behind it by paying Fannie Mae and Freddie Mac almost $3 billion to cover bad mortgages the government agencies purchased from the bank's Countrywide Financial mortgage unit. For several years, requests have been piling up for the nation's largest bank by assets to repurchase mortgages that allegedly ran afoul of its own underwriting standards. Total new mortgage repurchase claims amounted to $12.8 billion at the end of the third quarter, and about $6.8 billion of that amount was from Fannie and Freddie. The settlement on Monday, which began to thin the cloud of uncertainty over the bank, helped to allay investors' concerns that the mounting requests could overwhelm the bank. Investors pushed shares up 85 cents, or 6.4%, to close at $14.19 as the amounts paid to Fannie and Freddie were largely in line with what many had expected. But the settlement doesn't affect the roughly $6 billion in repurchase requests from insurers and private investors who purchased Countrywide and Bank of America loans. Compounding the problem of uncertainty, analysts are divided about how damaging the private requests could be. Their estimates of the bank's ultimate exposure vary wildly, ranging from $8 billion to $35 billion".

Come è possibile? Evidentemente non è per generosità o mero senso civico...

Quella che a prima vista potrebbe sembrare una follia, ha invece alle spalle una spiegazione molto più raffinata: i "titoli tossici" (se generalizzazioni sono possibili) non sono in realtà tali, ma hanno sempre avuto delle ottime possibilità di rendimento. Essi sono semplicemente diventati illiquidi nel momento in cui i tassi di interesse sono aumentati di molto nel periodo precedente alla crisi. La qual cosa ne ha praticamente fatto evaporare il mercato, buttando nel caos migliaia e migliaia di investitori privati o istituzionali in giro per il mondo, che si sono trovati improvvisamente a detenere dei titoli non più commerciabili.

Tuttavia, questo vuol dire che se ritornassero ad esserci le condizioni "giuste" di mercato, questi titoli verrebbero nuovamente scambiati come prima. Rimane a questo punto da capire quali sono le "condizioni giuste di mercato".

A mio avviso, nel momento in cui gli investitori dovessero convincersi che i tassi di interesse rimarranno a lungo bassi (e questo potrebbe essere il momento giusto! NdA), riacquistare i precedenti mutui garantiti dal Governo USA potrebbe diventare un affare d'oro. Tali titoli infatti (soprattutto se sotto forma di Mortgabe Backed Securities e di Collaterized Debt Obligations) garantiscono un rendimento certo a fronte di un rischio minimo, e comunque gestibile.

Tale ragionamento è presente anche nell'eccellente analisi di R. Chrisopher Whalen (Institutional Risk Analytics) "The Subprime Crisis: Cause, Effect and Consequences" in cui tra le altre cose si dice: "While the subprime fiasco may cause the insolvency of a large commercial bank during 2008, the survivors may be able to report extraordinary gains on these same written-down assets once the current investor hysteria passes. As and when the dealer community and their patrons in Washington make adjustments to the structured asset business model, much of the paper now viewed today as toxic waste may actually be quite valuable".

Che sia questa la tendenza cui assisteremo nel corso del 2011?

AGGIORNAMENTI

Mercoledi 5 Gennaio 2011: I miei argomenti trovano piena conferma nell'articolo CNBC 4/1 "Wall Street Preparing $4 Billion of Commercial-Mortgage Bonds": "Deutsche Bank AG, UBS AG and JPMorgan Chase & Co. are preparing the year’s first bond sales tied to commercial property loans, according to people familiar with the transactions. Deutsche Bank and UBS are teaming up to issue as much as $2.5 billion in commercial mortgage-backed securities linked to loans on office buildings, shopping malls and hotels in what would be the largest offering of its kind since the market froze in June 2008, according to a person familiar with the deal. JPMorgan plans to sell $1.5 billion in similar debt, a person familiar with that sale said. Wall Street banks are building a pipeline of property loans to package into bonds as investors seek higher yields while the Federal Reserve holds its benchmark interest rate near zero. Sales of securities backed by mortgages on commercial property may quadruple to $45 billion in 2011, according to JPMorgan. Issuance plunged to $3.4 billion in 2009 after the credit markets seized during the financial crisis. “CMBS new issue still offers attractive returns relative to other fixed-income products,” said Andrew Solomon, a managing director at Angelo Gordon & Co. in New York. “Even with new issuance picking up steam, the net supply of CMBS is still shrinking while demand is increasing. I’m pretty sure that means spreads are going to continue tightening”. Both the Deutsche Bank and UBS transaction and the JPMorgan offering are slated for next month. Yields Fall. Top-rated securities tied to commercial mortgages yield 2.25 percentage points more than the benchmark swap rate, compared with 3.95 percentage points a year ago, according to a Barclays Plc index. The spread was as high as 12.4 percentage points in March 2009 as investors fled to the safety of U.S. government debt amid uncertainty over how policy makers would resolve the financial crisis. Other banks lining up debt sales linked to commercial real estate include Morgan Stanley, Bank of America Corp., Goldman Sachs Group Inc., Royal Bank of Scotland Plc and Wells Fargo & Co., people familiar with the plans said. Sales of commercial mortgage-backed securities are a boon for property owners that have struggled to refinance maturing loans amid a dearth of new lending. About $61.3 billion in property loans packaged into bonds comes due in 2011, according to JPMorgan".

Altri articoli di interesse:  

• CNBC 4/1 "Mortgage Market Underestimating Defaults";
• Bloomberg 4/1 "US Bank closes buyout of BofA securitization unit". 

Venerdi 28 Gennaio 2011: Altro interessante articolo sul ritorno in vita del mercato dei "Residential Mortgage-Backed Securities", i titoli obbligazionari collegati a mutui ipotecari residenziali. E' di fonte structuredcreditinvestor.com del 27/1 "Euro RMBS returns to life": "The European RMBS market experienced a slow start to the week before a spike in bid-list activity today, which has generated investor interest. Meanwhile, Aire Valley paper has rallied strongly on the back of a statement from the issuer. "Monday started slowly, with not much client or Street activity happening. We've seen a ramp up today, however, so it has got busier," one RMBS trader says. This ramp up involved the arrival of five bid-lists, which although not large in size - three to four lines each - helped generate activity. The trader continues: "The bid-lists included some UK non-conforming, as well as off-the-run deals. With off-the-run deals, we have to sit back and wait to see who's interested; it's not clear-cut. A lot of non-conforming lists came out at the beginning of the month, so this week the market seems to have taken down a lot of that risk". Elsewhere in the sector, Granite triple-A paper is down by 15 cents today from yesterday. "Triple-As opened at 94.05, while triple-Bs currently stand at 59-60 as the bid-offer," the trader confirms. He adds that although the recent rally in Granite paper has provided rich levels, investor interest remains relatively low.

Meanwhile, the Aire Valley programme generated publicity this week as a notice from the issuer revealed that some of the notes in the series were overpaid. "This caused a stir in the market, with people putting bids out for paper on the back of the news. Consequently, it has rallied quite heavily and driven prices up," the trader says".

Sabato 12 Marzo 2011: FAZ 12/3 "AIG will Hypothekenanleihen zurückkaufen". Il colosso assicurativo statunitense AIG dichiara di voler riacquistare 15.7 miliardi di Dollari di crediti ipotecari dalla FED di New York. Il guadagno netto per quest'ultima sarebbe di 1.5 miliardi di Dollari....quanto invece quello di AIG?

"Der Versicherer American International Group (AIG) will ein großes Portfolio zweitklassiger Hypothekenanleihen von der New Yorker Notenbank zurückkaufen. Die regionale Notenbank hatte die Wertpapiere 2008 bei der staatlichen Rettungsaktion für den Versicherer erworben, damit AIG im Gegenzug dringend benötigte Barmittel erhielt. AIG bot der Notenbank jetzt 15,7 Milliarden Dollar für die Übernahme der hypothekenbesicherten Anleihen. Im Rahmen ihrer komplexen Vereinbarung mit AIG würde die Notenbank damit 1,5 Milliarden Dollar Gewinn machen.

Der geplante Kauf der Wertpapiere, die AIG mit Prämieneinnahmen aus dem Versicherungsgeschäft finanzieren will, ist ein weiteres Zeichen der geschäftlichen Erholung von AIG. Der in Schieflage geratene Konzern war mit mehr als 180 Milliarden Dollar staatlicher Hilfen und Garantien gestützt worden, um möglicherweise desaströse Auswirkungen auf das gesamte Finanzsystem zu vermeiden. Mit dem Verkauf und dem Börsengang verschiedener Sparten hatte AIG in den vergangenen Monaten fast 40 Milliarden Dollar der Staatshilfen zurückgezahlt. Das amerikanische Finanzministerium, das weiterhin die Mehrheit an AIG hält, will seine Aktien zudem nach und nach verkaufen".

Matteo Olivieri
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