Essa é para meu amigo "Mico" !
Algumas informações que consegui reunir, que espero, possam elucidar algumas dúvidas sobre a alavancagem sobre os créditos imobiliarios...
olha ... seriam os pacotes de crédito conhecidos como Collateralised Debt Obligation (CDOs).
Nesses emanharados contábeis ( sim... lá também tem isso !) é criado uma empresa de "propósito específico" para adquirir vários empréstimos ou bônus e passar a emitir títulos vinculados a esses créditos.
Em 2006, foram emitidos nada mais do que US$ 489 bi em papéis de CDOs (dados do Banco para Compensações Internacionais - BIS). Existem ainda estruturas de CDOs um pouco mais complexas: * as montadas não com crédito efetivo, mas com derivativos de crédito. São os chamados CDOs sintéticos:
* Há CDOs ao quadrado - os CDOs que investem em CDOs
* Ouviu falar em CDOs ao cubo, que investem em CDOs que já investiram em CDOs?
Em 2006, foram lançados US$ 450 bi em títulos de CDOs sintéticos, segundo informa o BIS. Nesses CDOs, o crédito de maior risco é o chamado de Equity, o de risco médio, de Júnior, e o de menor risco, de Sênior. No meio do Júnior e o Equity, há o Mezzanino.
Como possuem fatias de crédito de baixo risco (pulverizados), os CDOs conseguem emitir papéis com a melhor classificação de risco de crédito: "AAA".
É claro que as hipotecas de maior risco estão na categoria Equity dos CDOs.
Foi a aquisição desses títulos Equity que levou a Bears Stearns a levar dois de seus fundos de hegde virarem água e a ter a sua nota de crédito rebaixada...
Por enquanto, acho que só essa categoria foi afetada. Mas, à medida que o tempo passa, o desemprego aumenta nos Estados Unidos, mais tomadores de empréstimos no mercado hipotecário americano ficam inadimplentes, com impactos que ainda poderão ser sentidos no futuro não muito distante.
Não é à toa que o dado sobre o desemprego americano divulgado semana passada trouxe tantas tensões ao mercado internacional.
Os juros das hipotecas são ajustados em épocas determinadas (semestral/anualmente), ampliando mais a inadimplência potencial ainda não contabilizada.Portanto, se a inadimplência crescer mais, as perdas na parcela equity dos CDOs poderão contagiar as demais, afetando todo o ciclo.
O perigo é um rebaixamento nas notas de risco de crédito dos CDOs (a Moody's parece que já cogitou) o que deveria forçar os fundos mais conservadores, que compram papéis "AAA", a também acabarem tendo de contabilizar fortes perdas.
Espero poder ter ajudado !
e em breve... cenas dos próximos capitulos...
Um abraço
Bancotario
5 comentários:
Opa!!! :-)
Maravilha de ajuda!!! Nada como saber por quem conhece o assunto a fundo!
Valeu Banco!!!
Abs ^v^
...epa...
Não conheço tão a fundo, não !!!
...é que a força do hábito bancario me fez pesquisar desde o começo do barulho, onde estava o "pulo do gato "...
De qq forma, obrigado Marcio !
Obrigado, Banco, obrigadão messsmo.
Ajudou muito.
A pergunta que me faz calar é a seguinte: será que a soma desses CDOs, dos filhos dos CDOs, de seus netos, bisnetos, etcnetos é superior às garantias reais dadas em hipotéca?
Valeu!
... Mico...
Sobre alavancagem é contigo...
...afinal, graças ao seu CONHECIMENTO do Cassinão, você é muito mais "familiarizado" ao assunto !!!
Abcs
Subsídio útil ao esclarecimento do engenharia financeira própria dos CDOs, cujo conteúdo o mico induziu pelo jeitão, chegando à conclusão que se trata de uma agiotagem disfarçada e, como tal, estigmatizada com o mesmo grau de risco da dita cuja.
fonte:
http://www.50centsdollar.com.br/archives/135
" Center of a Storm: How CDOs Work
Ir para os comentários
By DAVID REILLY
June 23, 2007; Page B1
Mortgages are among the most widespread and simplest forms of financing. So how is it that a bunch of home loans caused the crisis that has gripped Wall Street for more than a week?
Because mortgages have morphed into something quite different on Wall Street — and some say more dangerous — a trend that has accelerated sharply in recent years. The two Bear Stearns Cos. hedge funds at the heart of the crisis invested heavily in complex financial instruments known as collateralized debt obligations, or CDOs, as a bet on the mortgage market. The Wall Street firm’s wager under Bear executive Ralph Cioffi went badly wrong after particularly risky home-loan borrowers defaulted in record numbers as a result of lax lending standards and a slowing housing market.
But the funds’ problems quickly became more than an issue for just mortgage markets. Fears grew that other investors could suffer losses, causing a ripple that would crimp lending and curtail the flow of borrowed money that has fueled rallies in a variety of financial markets. On Friday, Bear unveiled a $3.2 billion bailout of the funds (see related article.)
So what exactly are CDOs, the structures at the root of so much angst? They are financial vehicles that bundle different kinds of debt — ranging from corporate bonds, to securities underpinned by mortgages, to debt backed by money owed on credit cards — and cut it into slices. These slices are sold to investors in the form of bonds. While the slices contain the same debt, they differ in terms of which pay the most interest and which are least at risk of losing money.
Slices that pay lesser amounts of interest are the last to get wiped out by losses if there are defaults in the debt pooled in the CDO. Slices that pay more feel pain more quickly. In other words, the CDO slice with the lowest yield is at the front of the line on payday, but at the back of the line when pink slips are handed out.
This is the way that some high-risk debts can be packaged to receive investment-grade credit ratings. That’s a result of the CDO structure and the diversification gained by bundling different debts. At the same time, CDOs use borrowed money to amplify returns.
Although CDOs have been around for about 20 years, their use soared in recent years. Investment banks in 2006 issued about $500 billion in CDOs, compared with about $84 billion in 2002, according to research by Morgan Stanley. The popularity of CDOs grew as low interest rates caused investors to embrace products that offered the promise of higher yields.
Fans argue that CDOs allow investors to buy into higher-yielding securities while taking on the same risk as they would with safe, lower-yielding securities. They also say that CDOs are another tool that allow financial markets to further spread risk so it isn’t concentrated in the hands of a few players.
But some investors think CDOs are an example of financial engineering gone haywire. CDOs are “more sleight of hand” than a sound way to generate diversified returns, said Brad Alford, founder of Alpha Capital Management, an Atlanta-based investment advisory firm that caters to wealthy families. “They’re a method for Wall Street to repackage securities as a way to make more money.”
Indeed, Wall Street has made millions of dollars in fees in recent years by creating CDOs, selling them, servicing them and helping investors trade them. The vehicles are generally used by institutional investors, such as pension funds or hedge funds, not individual investors.
CDOs have generated debate because they are complex, and pose a risk because they are several steps removed from the actual asset, or debt, that is being packaged. Consider a mortgage. Jane Sixpack borrows $100,000 from a bank to buy a house. The bank then pools Jane’s loan with thousands of other mortgages. It then issues securities backed by this pool and sells those to investors. Jane keeps making her payments to the bank, but her mortgage is now owned by investors.
An investment bank creates a CDO, which is really just a company. The CDO then buys some mortgage-backed securities, one of which holds Jane’s loan. The CDO then pools these with other mortgage-backed securities and maybe some corporate bonds, slicing them up based on investor preferences for yield versus risk.
The CDO manager sells portions of the package to other investors. In some cases, other CDOs are the buyers. There are even CDOs comprised of CDOs that have invested in CDOs.
The bundling of different debts, along with the fact that the CDOs are a few steps removed from the debts they include, give rise to another risk. It’s tough to get an accurate price for CDOs, which don’t trade in active markets. When markets sour, the lack of available prices can make it even more difficult to value a holding, or to get out of it without taking a big haircut.
So investors often have to estimate the value of a CDO and have a lot of leeway in how they do it. That’s a worry for investors in hedge funds, big buyers of CDOs. Hedge-fund managers make most of their money through performance fees. This gives them added incentive to use price estimates that work in their favor, even if they might not reflect the price at which they could actually trade the CDO.
Or it could mean that the managers themselves don’t know exactly what their holdings are worth, because they are so far removed from the underlying investment. In the case of Jane’s loan, that means the CDO buyer will have a tough time gauging whether she’s a good risk or not. And if she defaults, it may take a while before that affects the value of the CDO, even though market conditions overall might have already changed.
Write to David Reilly at david.reilly@wsj.com
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