Oi,
Não se já leste, mas aqui fica o link para o wrapup de ontem no FinancialSense:
Derivative Debate: A Practical Primer (http://www.financialsense.com/Market/wrapup.htm), por Rob Kirby
O post é dirigido a ti, por no artigo existirem variadas referências à situação perigosa da Fannnie Mae. Sei que és um interessado pelo assunto. ´
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Excerto:
Fannie and Freddie: Bust or Bent?
Fannie Mae and Freddie Mac [FRE: NYSE] have recently been in the news regarding their accounting of derivatives transactions. These transactions largely relate to interest rate swap derivatives Fannie and Freddie use to hedge or insulate their enormous rate sensitive mortgage portfolios in the event of an adverse movement in interest rates. At its core, hedging activity presupposes or assumes that two way markets [liquidity] always exist to execute hedging activity. Due to the sheer size of their mortgage portfolios, however, problems can arise when everyone is the same way around, i.e., a large majority of players decide that rates are heading up. In an event like that, as we saw when LTCM went under, the swap market ceases to be a market at all. It simply can't cope because the aggregate 'book size' that needs to be hedged has no natural counterparty. Without a bailout, a disorderly liquidation of LTCM positions might have created a stampede of "flattening or unwinding trades" through market channels not built to handle such a deluge.
In addition, consider that the bulk of reported financial misdoings or improprieties in this regard - tend to emanate from "offshore" jurisdictions, where the wealthiest corporations and individuals in society shield their riches from the prying and wanton eyes of tax minded governments. As such, practice dictates that minimal disclosure is the norm and issues of taxation [avoidance] often provide the motivation for added financial complexity. Then, to top it all off, where off balance sheet activities are concerned, there really is no mandated capital adequacy [measuring stick for accessing risk] since derivatives fall beyond the scope of regulatory oversight.
In the specific case of Fannie Mae [FNM, NYSE], pundits are currently bandying about numbers touting impingement on capital in the 7 – 10 billion range in the event Fannie is required to bring one quarter of its 1.4 Trillion Mortgaged Backed Securities [MBS] Portfolio currently off balance sheet back 'on the books.'
But as Peter Eavis, Senior Columnist at TheStreet.Com points out,
"To issue MBS, Fannie uses so-called qualified special-purpose entities [SPE], or QSPEs. But it appears that Fannie may have failed to take the necessary steps to gain QSPE status for its off-balance-sheet assets. If the entities don't qualify, Fannie would have to bring all the assets they contain onto its balance sheet."
For the uninitiated, special-purpose entities gained notoriety in the post mortem of the illustrious Enron bankruptcy. It was discovered that they [SPE's] were the vehicles of choice of Enron management and their auditors, Arthur Andersen, to hide illicit financial doings [losses] from regulators in their offshore financial ponzi-scheme shell game.
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abraço,