Trochu jsem zalistoval ve svém elektronickém archívu, a hle, co jsem našel: již v únoru 2002 finanční svět věděl o problémech Fannie Mae a Freddie Mac. Věděl, ale zavíral oči. Mimochodem, další doklad, že hypotéza efektivních trhů je absurdita.

Tento článek pochází z The Wall Street Journal. Není podepsaný, což znamená, že vyjadřuje názor redakce. Jelikož jsem dnes po půlnoci již tuze líný a unavený, nechám ho v původním znění bez překladu.

Jen v kostce: Již začátkem roku 2002 bylo zřejmé, že obě americké vládou podporované agentury pro podporu hypotéčního trhu nejsou finančně zdravé. Jejich poměr zadlužení vůči kapitálu byl pětkrát větší, než bylo běžné u komerčních bank. Risk management měl pochybné kvality, zato obě firmy (přesněji řečeno nikoli firmy, ale polostátní agentury) vydávaly na politický lobbing více miliónů než neblahé paměti Enron.

Chybou nebylo, že Bushova vláda vyhlásila nad oběma institucemi nucenou správu. Chyba byla, že je F. D. Roosevelt vůbec založil.

Více detailů možná zítra, možná pozítří.


Fannie Mae Enron?
February 20, 2002

We were reading President Bush's budget the other day (we know, get a life), when we came across an unusual mention of our all-time favorite companies -- Fannie Mae and Freddie Mac. What we found is a tale we think taxpayers and investors should want to hear.

It seems that Fan and Fred, two "government-sponsored enterprises" that hold the majority of all home mortgages in the U.S., have been growing their debt at an annual rate of 25%. They now have about $2.6 trillion in debt outstanding, a big number in any case, but really big considering that taxpayers are on the hook for it. The budgeteers also expressed some anxiety about Fan and Fred's increasing dependence on derivatives.

Hmmm. Where have we heard this before? The more we've since looked at Fan and Fred the more they look like poorly run hedge funds: lots of leverage and snarkily hedged risk. The word Enron ring any bells?

Last year, Fan's debt/equity ratio was about 60 to 1, more than five times the average for commercial banks. Moreover, as mortgage lenders, Fannie's equity can hardly be said to be well-diversified. Risk thus becomes a critical question.

Fan and Fred face two kinds of risk: credit risk from the possibility that mortgage holders will default, and interest-rate risk from the possibility that mortgage holders will prepay, leaving Fan and Fred on the wrong side of the spread, that is, lending at low rates and borrowing at high rates. Of course, giant risk won't lead to giant problems if it's properly hedged.

But Fan and Fred's risk management looks to be rather frisky. Take insurance. Some credit risk can be reduced by buying insurance against default. But lately the siblings have been cutting back on insurance, leaving them with greater exposure to default. Self-insurance may not be a dumb strategy in good economic times, but in a sharp downturn it can look pretty stupid.

As for interest-rate risk, Fan and Fred hedge with a giant and complex program using all manner of derivatives. At the end of 2000, their combined derivative position was valued at $780 billion. Even scarier, these hedges are only as good as the counterparties' ability to pay up. But Fan and Fred don't disclose the identity of their parties, so investors have no idea how much risk comes from possible counterparty failure. (By the way, last year Fan's derivative strategy went, um, somewhat amiss and she had to write down shareholder equity by $7.4 billion.)

Fan and Fred also pool mortgages and then sell those securities -- that is, they retain the credit risk since they guarantee the soundness of the mortgages and buyers assume the interest-rate risk. But Fan and Fred have recently been buying back their own securities; each now holds 30% of all mortgage-backed securities outstanding. Simply put, they are re-assuming interest-rate risk. Not necessarily a terminal practice when interest rates are stable, but dangerous if rates turn volatile.

Shaking in your boots yet? Well, there are even more parallels with Enron. Fan and Fred's financial disclosure is terrible. They are not required to file financial statements with the SEC. The New York Stock Exchange requires that they report to shareholders, but they keep disclosure and clarity to a minimum. Their financial statements are audited, for whatever that's worth. Last year Fan paid KPMG $2 million in audit fees and $6.6 million in consulting fees. Fred's auditor is Arthur Andersen; last year, Fred paid $1.1 million for auditing and more than $8 million for consulting.

Fan and Fred do have a federal regulator. It's the Office of Federal Housing Enterprise Oversight, and in 1992 it was required by Congress to produce a risk-based capital rule for Fan and Fred. Essentially OFHEO had to figure out how much capital they needed to survive a period of financial stress. Nine years later, last September, OFHEO finally published a rule that took some 600 pages to explain and that everybody found opaque. Informed suspicion is that the proposed standard is below that of other financial institutions and less than the capital that Fan and Fred currently maintain.

Then there's the matter of political influence. During the 1999-2000 election cycle, Fan spread around $1.6 million and Fred $2.4 million, giving to both parties about equally. The total of $4 million is almost double what Enron spent. And finally, there's Wall Street. Just as stock analysts sold the stuffing out of Enron's stock without having a clue about the true condition of the company, they are madly selling Fan and Fred despite the fact they can't possibly know what's what.

We aren't trying to scare readers here, and perhaps all of these concerns will come to nothing. So far during this recession, the housing market has held up well, knock on wood. Then again, unlike Enron, where only shareholders got taken to the cleaners, in the case of Fannie and Freddie taxpayers will take any bath. Maybe this time Congress should hold hearings before things go wrong.