mREITs (Mortage REIT) : foncières de prêts hypothécaires

C’est tentant mais :
1) la dernière publication du montant des capitaux propres date de novembre déjà
2) le management est externalisé et cela créé toujours des conflits d’intérêts

ARMOUR’s management fee is 1.5% (per annum) of gross equity raised up to $1 billion and 0.75% (per annum) of gross equity raised above $1 billion.  As of September 30, 2012, ARMOUR’s effective management fee was 1.08% based on gross equity raised.

Un management fee qui est basé sur du volume et non une augmentation des capitaux propres, n’est pas le meilleur incitateur pour garantir un alignement des intérêts des dirigeants et actionnaires.

Ce qui explique les nombreuses augmentations de capital en 2012, dont une sous les capitaux propres semble-t-il.

En point positif, la décote et le dividende mensuel !

Moi je shorte :

Armour Residential - Book Value Estimate Leads To Further Downside - ARMOUR Residential REIT, Inc. (NYSE:ARR) | Seeking Alpha

L’article est pro donc seulement dispo Lundi mais en substance BV autour de 6.35, discount de 10 ou 15% raisonnable (étant donné leur historique + duration gap) -> valeur 5.40 - 5.70.

Je serai long autour de 5.50 je pense.

Donc mon approche :
- Long 3x preferreds (ARR.PRA)
- Short 1x stock

Le truc embêtant c’est quand même l’exigence en capital du short. Mais les options sont vraiment pas assez liquides.

crosby a écrit :

Je n’ai pas de version française de ces articles malheureusement (écrits en anglais directement).

Mais si vous avez des questions, je peux bien sûr y répondre en français !

Pour ceux que vous aviez short-listé:
- HTS -- agency pur, pas trop de levier, et je crois assez concentré sur les ARMs (hypothèques à taux flottant) qui n’ont pas un rendement très élevé => pas mal mais je ne vois pas l’intérêt si c’est pour prendre mois de levier et moins de risques que d’autres, pour moins de rendement
- ARR -- fort levier, concentré sur des taux fixes, bonne sélection de titres car pas trop gros, un bon titre je pense
- AGNC -- trop gros. Comment peuvent-ils sélectionner de bons titres. Ca se voit dans leurs vitesses de remboursements anticipés, plus élevées que pour d’autres mREITs comparables
- NLY -- Encore plus gros, même problème, et en plus effet de levier parmi les moindres (x6)
- IVR & TWO -- leur intérêt essentiel est la détention de non-agencies, qui contribuent un bon 40-50% des résultats. TWO je pense le mieux géré, très bonne équipe autant en agencies que non agencies, et se diversifient dans des domaines à valeur ajoutée (IOs, whole loans, residential) que je sais qu’ils maîtrisent. IVR bénéficie de l’infrastructure d’Investcorp, mais se concentrent sur des non-agencies très dé-leveragés (tranches senior de reremics), ce qui enlève beaucoup de béta par rapport au marché des non-agencies, même s’ils peuvent obtenir plus de levier.

En ce moment il y a des opportunités je pense, avec QE3 dont les effets sur les agency REITs sont assez peu analysés et compris par le gros des investisseurs perso ou petits institutionnels sur ce marché.

Ces avis étant purement illustratifs et ne constituant pas un conseil de faire quoi que ce soit.

Le 5 Novembre lors de cet avis positif de votre part l’action cotait à 7.2 $, aujourd’hui après une dépréciation de la BV de 60 cents datant d’il y a à peine un mois vous la shortez et la voyez à 5.5 $ soit 1.7 $ en moins.
Est ce à cause du management que votre analyse s’est modifié à ce point ?

Pour l’instant après une cloture à 6.27 hier et avoir touché les 6.15 cet aprèm elle est remontée à 6.37 à cet instant. On navigue autour de votre BV estimée …

PS: Hâte de lire votre article lundi

crosby a écrit :

Dans tous les cas, ce sont de grossières erreurs de gestion, qui justifient une décote par rapport à la BV (qui devrait encore baisser un peu selon moi).

Sincèrement, dès lors que le management est externalisé, il y a presque toujours ce type de mauvaise gestion.

Une des foncière américaine qui décote le plus actuellement est CommonWealth REIT, dont le management est, comme de par hasard, externalisé à REIT Management & Research…

Ils sont très chargés en REITs, ce qui est intéressant pour un fonds qui se veut macro. Je me demande s’ils ont des positions de couvertures sur les taux / options.

Encore une nouvelle IPO d’une mortgage REIT :

Ellington Residential Mortgage REIT, a mortgage REIT that invests in Agency RMBS and non-Agency RMBS, filed on Monday with the SEC to raise up to $100 million in an initial public offering. The company was formed through a strategic venture between affiliates of 2010 IPO Ellington Financial ( EFC ) and a group of funds managed by an affiliate of Blackstone.

The Old Greenwich, CT-based company, which was founded in 2012 and commenced operations on September 25, 2012, plans to list on the NYSE under the symbol EARN. Credit Suisse, Deutsche Bank, Citi and UBS are the joint bookrunners on the deal. No pricing terms were disclosed.

Read more: Mortgage REIT Ellington Residential files for a $100 million IPO - NASDAQ.com

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Parrainage BoursoBank | Parrainage Fortuneo | Portefeuille IH temps réel sur Google Sheet

Marcopolo -- j’étais short TWO au moment où ils ont fait ces différents paiements d’actions etc, c’était intéressant de se retrouver avec de positions short de SBY!

American Capital Agency se fait massacrer en pré-ouverture après la publication de son T1-2013 : ses capitaux propres ont fondu de 8,6% !

Le pire, c’est que c’était partiellement prévisible : AGNC avait en majorité des RMBS à 30 ans et nous avions pu lire dans le transcript de CYS que ceux-ci avaient tant baissé que CYS s’était positionné dessus (alors que d’habitude ils préféraient le RMBS à 15 ans moins sensible aux taux d’intérêt).

AGNC  était la favorite des Mortgage REIT sur Seeking Alpha, notamment, parce que son rendement était le plus élevé parmi les Agency Mortgage REIT…

Si on trouve de bonnes analyses sur SA, c’est aussi un bon indicateur contrariant, il n’y a qu’à voir les récents articles plutôt bullish sur Kellogg…

AGNC a voulu se faire plus grosse que le boeuf avec des augmentations de capital énormes en 2011-2012, typique d’un management externalisé.

Re bonne chute aujourd’hui des mREITs avec le pompon pour CMO qui approche les -3%
Quelqu’un aurait il une explication ?

C’est le président de la FED de Philadelphie, Charles Plosser, qui a suggéré que le QE devait ralentir d’ici la fin de l’année.

C’est exactement ce qui est anticipé par Kevin Grant de CYS, si vous relisez le dernier transcript.

Si cela se produit effectivement, les RMBS devraient [légèrement] baisser ce qui affectera négativement les book-values des agency REIT comme Capstead ou CYS.

En contre-partie, les rendements devraient remonter, ce qui affectera positivement :
- leur Return On Equity et donc ispo-facto, leur dividende
- le multiple de book-value qui pourrait aller vers 1,05
- diminuera les pré-paiements ce qui affectera positivement la book-value future

L’impact sur la valorisation est donc difficile à quantifier.

Voici 2 articles didacticiels qui discutent des risques que portent les mortage REIT. Un est centré sur les risques, l’autre plus sur la "bulle" de ce secteur.
De bons petits mots comme Everybody’s trying to diversify and make sure their necks aren’t on the line when and if these rates start to creep up… je vous laisse lire .

Finalement (ma compréhension est que) les 2 se rejoignent sur le fait qu’on fait aujourd’hui un pari en investissant sur ces supports (je n’ose pas dire sur ces actions), étant entendu qu’à plus de 10% de rendement on fait forcément un pari qui comporte une part significative de risque.

Ma principale crainte est que tout le business repose sur l’acceptation de l’existence de ce business par les politiques et décideurs US.

Pour info je suis personnellement investi sur ces supports dans environ dans les mêmes proportions qu’IH.
Je reste en position car :
1. Les Mortage Reit ont un rôle dans la société américaine (les pensions) qu’il ne faut pas négliger
2. Les GSE ont pour mission de se désengager des mortage bonds
3. Crosby est convaincant et IH se trompe peu
4. Je ne dois jamais vendre :(((

Mortgage REITs Attracting Investors in Record Numbers--and Concern

   By Telis Demos

With warnings of risks posed by mortgage real-estate investment trusts, regulators are casting a skeptical eye on a fast-growing corner of Wall Street.

Mortgage REITs, which use borrowed money to invest in real-estate backed debt, have been selling shares to the public at a rapid clip over the last three years. After averaging annual equity issuance for $4.9 billion from 2005 to 2010, they raised a record $16.5 billion in 2011 and $13.4 billion last year, according to Dealogic. The sector is on track to break the record this year, with $7.8 billion already raised.

Meanwhile, assets held by mortgage REITs have exploded in the recent years, growing from $159 billion in 2009 to $450 billion as of the end of last year, according to Capital IQ.

However, they still represent only a sliver of the overall market for mortgage bonds, especially for securities backed by Fannie Mae and Freddie Mac, which are known as "agency-backed." The total market for agency mortgage-backed securities was $7.5 trillion at the end of the last quarter, according to the Federal Reserve’s flow of funds data. Mortgage REITs hold less than 5% of that, according to the Fed. The largest holders are U.S. deposit-taking banks, who own $1.7 trillion worth, followed by foreign governments, who own $1.1 trillion.

The largest mortgage REIT is Annaly Capital Management Inc. (NLY), which owned $124 billion worth of agency MBS at the end of last year, according to analysts at RBC Capital Markets.

"Unless we have an early 1980s spike up in rates due to inflation, I don’t feel this model is at risk," said Jason Arnold, an analyst at RBC. "As long as the yield curve is somewhat steep, these companies are at least able to make a little bit of money. If rates go up slowly over time, I think these entities can manage around that."

Mr. Arnold said that mortgage security investors who ran into trouble during the financial crisis, such as Thornburg Mortgage, typically invested with much higher leverage ratio--owning securities worth around 20 times its equity capital--and took on credit risk, because they were buying private securities, and not government-guaranteed bonds.

The Federal Reserve and the Financial Stability Oversight Council are said to be concerned about the sector because they use leverage to enhance their returns, which could expose them to greater risk from rising interest rates or a major disruption in financial markets. Highly leveraged banks were a major source of instability during the 2008 financial crisis.

Mortgage REITs purchase some of their securities with equity capital raised from investors, but they also raise money by lending out their portfolios in the short-term repurchase agreement, or "repo," market, in exchange for cash.

Leverage among mortgage REITs remains well below where it was pre-crisis, but it has been ticking higher in recent quarters. Before 2008, such REITs were typically leveraged at ratios well above 8 times. That sunk all the way down to around 5 times in 2009, but as of the third quarter of 2012, the industry average was 6.3 times, according to figures by analysts at Credit Suisse Group AG.

REITs that invest primary in government-guaranteed, or "agency," loans command higher levels of leverage, since those securities fetch the highest price in the repo market. The average agency mortgage REIT had assets that were 7.4 times their equity capital base at the end of last year, according to Credit Suisse.

Some mortgage REITs that invest in different types of bonds carry less leverage. Investments in sub-prime loans, which are not guaranteed by the government, are typically leveraged at less than 2 times their capital, analysts said. But the trade-off is higher risk that the mortgage borrowers underlying the bonds will not pay their bills.

To combat that risk, REITs are doing a variety of things, including making longer-term financing arrangements and using complex hedges known as "swaptions," which are derivatives that can pay out if interest rates begin to rise. The up-front costs of these hedges can cut into returns, but REITs are still adding more hedges as the risk of rising rates increases.

"Everybody’s trying to diversify and make sure their necks aren’t on the line when and if these rates start to creep up," said Calvin Hotrum, analyst at Sterne Agee Group Inc.

Mr. Hotrum said that the average mortgage REIT previously hedged 40% to 50% of their portfolio, but that now it was closer to 55% to 60%.

However, it is difficult to hedge against the risk that mortgage securities fall sharply in price, which could be the case if the Federal Reserve ends not only buying bonds, but begins to raise interest rates as well.

One of the biggest risk factors for mortgage REIT stocks is Federal Reserve monetary policy. Last year, shares of REITs fell sharply when the Fed announced it was beginning a third round of quantitative easing, this time focusing on buying mortgage-backed securities.

As a result, the prices of mortgage bonds shot up. This boosted the value of the holdings by REITs--but put pressure on the income that they generated, because the bonds were yielding less. So every purchase of a new bond by a REIT generated a smaller potential dividend. The average yield income received across mortgage REITs in excess of base Treasury rates was 2% in the middle of last year, down from over 3% at the beginning of 2010, according to Credit Suisse.

"If and when the Fed comes out and ends QE, if mortgage spreads then widen significantly, the risk is to book values, which is difficult to hedge. When you’re long mortgages, it’s hard to hedge that," said Douglas Harter, analyst at Credit Suisse.

Write to Telis Demos at [email protected]

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Barron’s Blog: Regulators Fear A Bubble In Mortgage REITs, Eye Stricter Oversight

(This story has been posted on Barron’s Online’s Income Investing blog at http://blogs.barrons.com/incomeinvesting/.)

By Michael Aneiro

The Wall Street Journal’s Deborah Solomon reports today that financial regulators are eyeing mortgage real-estate investment trusts as a possible risk to the U.S. financial system, calling it "the latest example of Washington’s growing concern with market bubbles." From the Journal:

Next week, the Financial Stability Oversight Council, a panel comprising the top U.S. financial regulators, is expected to cite mortgage REITs as a source of market vulnerability in its annual report, according to people familiar with the matter, a distinction that could set the stage for stricter oversight of the industry.

Eager to avoid the mistakes of the past, regulators are attempting to identify overly frothy activity before it poses problems. Even though the economy continues to recover only slowly, regulators see potential bubbles forming in a range of financial markets, in part because of the Federal Reserve’s easy-money policies, which have driven interest rates to near-record lows and prompted investors to seek higher returns elsewhere.

Mortgage REITs, which are publicly traded financial companies that borrow funds to invest in real-estate debt, have seen their assets quadruple to more than $400 billion since 2009. They differ from traditional REITs in that they invest in mortgage debt, rather than actual real-estate like office buildings or shopping malls. The firms take advantage of inexpensive, short-term borrowing to buy mortgage securities backed by Fannie Mae ( FNMA) and Freddie Mac ( FMCC) and offer returns to investors of as much as 15%.

They join leveraged loans and money-market mutual funds as areas of risk cited by officials. Three Federal Reserve officials have singled out mortgage REITs in recent weeks, saying the industry merits watching.

Taking advantage of low borrowing rates, mortgage REITs buy longer-term mortgage-backed debt and use leverage to boost returns. The story ties the heightened scrutiny to the rapid growth of companies like Annaly Capital Management Inc. ( NLY) and American Capital Agency Corp. ( AGNC), whose assets have ballooned to more than $100 billion apiece over the past three years, while the industry’s market capitalization has grown from $22.1 billion to $59 billion during that time. Defender of mortgage REITs say they have grown by virtue of an expanding capital base. As for what could happen to mREITs:

The FSOC’s labeling of mortgage REITs as a source of risk doesn’t mandate changes but could set the stage for stricter oversight of the firms, which aren’t subject to the capital standards or leverage limits that large banks face. The Securities and Exchange Commission, whose chairman is an FSOC member, could opt to regulate mortgage REITs under the Investment Company Act, or the FSOC could designate an individual firm as a "systemically important financial institution," subjecting it to heightened capital standards and Fed oversight.

PS : Je copie car le n’ai pas les liens, mais je laisse les sources et les auteurs.
PPS : J’essaye de respecter le français, contrairement aux auteurs des analyses copiées ici ;)

Oui mais les highers coupons ne vont-ils pas avoir une sensibilité exacerbée au risque de pré-payement ?

Pour les IO, je n’ai jamais vu une mREIT en discloser. Peut-être que le statut de REIT (revenus devant provenir à xx% d’immobilier ou prêts immobiliers) les empêche d’en avoir.