详解对冲基金著名做空报告—— Is MBIA Tripple A（一）
原创 Dorian君 灰岩金融科技 2019-01-26 00:01
著名传奇对冲基金经理，激进投资者，Bill Ackman做空MBIA保险集团的做空报告，展现了精湛的财务分析技巧，作为激进投资者的代表，他有着和Jim Chanos初生牛犊不怕虎的气势，看空安然（Enron Energy Corp），看空MBIA，虽然这笔交易足足等了好几年才开始获利，这篇著名的对冲报告，还是值得硬核金融爱好者，投资者研究学习的。
比尔·阿克曼（Bill Ackman）是最为知名的对冲基金活跃管理人之一。作为潘兴广场（Pershing Square）管理基金的创始人及CEO，曾荣登2014年全球百家大型对冲基金年度排行榜榜首。
他于1966年5月出生于纽约州的match查巴克，他的父亲是纽约一家房地产融资公司Ackman-Ziff Real Estate Group的主席。1988年阿克曼获得哈佛大学艺术学学士学位，1992年获得哈佛商学院MBA学位。
1992年，阿克曼与另一名哈佛毕业生创立Gotham Partners，对上市公司进行小额投资。1995年，与保险和房地产公司莱卡迪亚全国控股合作，投标收购洛克菲勒中心，令阿克曼声名鹊起，尽管他最终未赢得这桩交易。2002年，Gotham Partners卷入多起法律诉讼，阿克曼最终关闭了该公司。
在此之后，阿克曼的投资之路仍是坎坎坷坷，联合Valeant制药对另一家制药商艾尔建发起的收购战陷入僵持，钦定的JC Penny首席执行官一败涂地，做空康宝莱的行为也让阿克曼被资深的活跃投资人卡尔·伊坎冠以“说谎者”的名号。
不过比尔·阿克曼顶住各界的质疑和持股人带来的压力，依旧活跃在市场中，其管理的Pershing Square公司的市值也一度升至200亿美元。
MBIA Inc.是一家为美国和国际公共金融市场提供财务担保保险服务的公司，分为3个部门来运作:
美国公共财政保险（U.S. Public Finance Insurance）、国际和结构性金融保险（International and Structured Finance Insurance，通过MBIA Insurance Corp.及其附属公司经营）、公司（Corporate）
MBIA公司为市政债券（包括免税和应税负债）以及公用事业、机场、医疗保健机构、高等教育设施、学生贷款、住房管理局和私营实体发行的其他类似机构发放财务担保。
MBIA公司还担保非美国公共财政和全球结构融资，包括资产支持义务；担保主权相关和次主权债券，公用事业和私人发行的债券，用于为包括公用事业，收费公路，桥梁，机场，公共交通设施和其他类型的基础设施项目的项目融资，以及提供第三方 再保险服务。
MBIA Inc.(MBI)历史百科：
1973年，Aetna、Fireman's Fund、Travelers、Cigna和Continental组成的财团成立Municipal Bond Insurance Association，以使其在市政债券中的持有多元化；
1987年，公司IPO；
2009年，Mead Johnson Nutrition Co.取代MBIA Inc.成为S&P 500成分股。
2017年1月，MBIA UK被Assured Guaranty Ltd及其子公司Assured Guaranty Corp.收购。
MBIA is an insurer whose primary business is to provide guarantees on financial obligations in exchange for upfront or installment premiums. Management describes the company as a “long-term buyer and holder of risk,” which underwrites to a “no-loss” standard. MBIA operates its insurance business through its AAA rated insurance subsidiary, MBIA Insurance Corp. The insurance company’s AAA rating is critical to the success of the entire enterprise. Were the insurance company downgraded by even one notch (from AAA to AA+), even the company acknowledges its business could be materially impaired. In light of MBIA’s enormous leverage, the company’s credit quality, underwriting, transparency, accounting, and track record must be beyond reproach. In addition, and as importantly, the company must have minimal liquidity risk. Based on our research, we conclude that MBIA fails to meet these standards.
MBIA是一家保险公司，其主要业务是提供财务义务担保以换取预付或分期付款。
管理层将该公司描述为“长期买家和风险承担者”，其承保为“无损”标准。 MBIA通过其AAA级保险子公司MBIA Insurance Corp.运营其保险业务。保险公司的AAA评级对整个企业的成功至关重要。 如果保险公司降级甚至一级（从AAA到AA +），即使该公司承认其业务可能受到重大损害。 鉴于MBIA的巨大影响力，公司的信用质量，承保，透明度，会计和业绩记录必须无可非议。 此外，同样重要的是，公司必须具有最小的流动性风险。 根据我们的研究，我们得出结论，MBIA不符合这些标准。
It appears to us that an actual or perceived downgrade of MBIA would have fairly draconian consequences to the company and create substantial drains on the company’s liquidity. The self-reinforcing and circular nature of the company’s exposures make it a poor candidate for a AAA rating.
在我们看来，实际或感知到的MBIA降级将对公司产生相当严重的后果，并对公司的流动性造成大量损失。 公司风险敞口的自我强化和循环性使其成为AAA评级的不良候选人。
· High Leverage. Compared with other AAA rated companies, MBIA is unusual for its high degree of leverage. At September 30, 2002, MBIA’s $5.5 billion of shareholders’ equity supported $764 billion of outstanding guarantee liabilities (net par and interest), a ratio of liabilities to equity of 139 to 1. Even when compared with the company’s $483 billion of net par insured, MBIA is leveraged nearly 88 to 1. MBIA has been able to achieve a AAA rating despite its enormous leverage because of the perceived high quality of its guarantee portfolio, its long track record of minimal reported losses, its modest on-balance sheet leverage, and the fact that the rating agencies believe that MBIA is not exposed to accelerating guarantees and has no short-term debt.
·高杠杆率。
与其他AAA评级公司相比，MBIA的高杠杆率是不寻常的。 2002年9月30日，MBIA的55亿美元股东权益支持了7,640亿美元的未偿还担保负债（净面值和利息），负债与权益的比率为139比1.即使与公司的4830亿美元净保额相比也是如此 MBIA的杠杆率接近88比1.由于其保证组合的高质量，其最小报告损失的长期记录，其适度的资产负债表杠杆率，MBIA尽管具有巨大的杠杆率已经能够达到AAA评级。 而且评级机构认为MBIA不会受到加速担保，也没有短期债务。
· MBIA’s AAA Rating Can Withstand Only $900 million to $1.7 billion of Losses. According to MBIA’s CFO, the company would be at risk of a downgrade in the event it were to incur losses of $900 million to $1.7 billion, a mere 20 to 35 basis points loss on its $483 billion net par guarantee portfolio.
·MBIA的AAA评级只能承受9亿至17亿美元的损失。 根据MBIA的首席财务官的说法，该公司将面临降级9亿美元至17亿美元的损失的风险，其4830亿美元的净票面保证组合仅损失20至35个基点。
· Municipal Finance Versus Structured Finance.
In MBIA’s traditional business of guaranteeing municipal debt, the company had an informational advantage compared to Wall Street that enabled it to profit from the sale of insurance to municipalities which could not easily access capital without its guarantee. MBIA’s recent growth has been driven by the corporate and structured finance markets in which there are alternatives to financial guarantees. We do not believe that MBIA has a competitive advantage in these markets.
·市政财政与结构性融资。
在MBIA保证市政债务的传统业务中，与华尔街相比，该公司具有信息优势，使其能够从向市政当局出售保险中获利，而这些市场在没有担保的情况下无法轻易获得资金。 MBIA最近的增长是由企业和结构性融资市场推动的，其中有金融担保的替代品。 我们不相信MBIA在这些市场中具有竞争优势。
· Reserving.
MBIA’s reserves are consistent with its perceived high quality guarantee portfolio, i.e., its reserves are extraordinarily low compared to those of other financial institutions. Excluding reserves for known losses, the company has approximately 4 basis points of reserves against potential losses in its guarantee portfolio.
·储备金
MBIA的储备与其认可的高质量担保组合一致，即其储备与其他金融机构相比极低。 剔除已知损失的准备金，公司对其担保组合中的潜在损失约有4个基准的准备金。
· Transparency.
MBIA prides itself on the quality and transparency of its public disclosure. This high degree of transparency is critical for rating agencies, regulators, and shareholders because of the company’s high leverage and low reserves.
· 透明度
MBIA以其公开披露的质量和透明度而自豪。 由于公司的高杠杆率和低储备，这种高度透明度对评级机构，监管机构和股东而言至关重要。
· Special Purpose Vehicles (SPVs).
MBIA has approximately $8.6 billion of assets and liabilities in five off-balance sheet Special Purpose Vehicles (SPVs), supported by a total of $125,000 (one hundred twenty-five thousand dollars) of third-party equity. These SPVs were disclosed for the first time in MBIA’s 2001 Annual Report, although they have been part of MBIA since early 1998. While the company states that all SPV assets at the time of purchase were investment grade, MBIA itself may determine whether an asset qualifies as investment grade. In addition, there is apparently no requirement that the ratings of assets in the SPV be updated. MBIA claims that it cannot reveal the contents of the SPVs because of confidentiality agreements it has signed.
·专用车辆（SPV）。
MBIA在五个资产负债表外的特殊用途车辆（SPV）中拥有大约86亿美元的资产和负债，并得到总计125,000美元（一万二千五百美元）的第三方股权支持。 这些SPV首次在MBIA的2001年年度报告中披露，尽管它们自1998年初以来一直是MBIA的一部分。虽然公司表示购买时所有SPV资产都是投资级别，但MBIA本身可能会确定资产是否合格 作为投资等级。 此外，显然没有要求更新SPV中的资产评级。 MBIA声称，由于签署了保密协议，它无法透露特殊目的公司的内容。
· We Reveal $4 Billion of the SPVs Assets.
In this report, we provide information on all of the assets that we have been able to identify in the SPVs. These identified assets total more than $4 billion or nearly half of the SPV assets. Many of the SPV assets are warehouse lines of credit to poorly capitalized and/or financially distressed sellerservicers of auto loans, defaulted credit card receivables, home equity mortgages, and healthcare receivables. We believe that if investors were to become aware of the quality of the assets in the SPVs, they might not be willing to purchase commercial paper or medium-term notes backed by these assets.
·我们公布了40亿美元的SPV资产。
在本报告中，我们提供了有关我们能够在SPV中识别的所有资产的信息。 这些已确定的资产总额超过40亿美元，占SPV资产的近一半。 许多特殊目的公司资产是对资本不足和/或财务困难的汽车贷款，违约信用卡应收账款，房屋抵押贷款和医疗保健应收账款的卖方服务的仓储信贷额度。 我们认为，如果投资者了解SPV中的资产质量，他们可能不愿意购买由这些资产支持的商业票据或中期票据。
· $3 Billion of the SPV Debt is Commercial Paper.
Slightly more than $3 billion of the $8.6 billion of SPV debt at September 30, 2002 was in the form of commercial paper (CP). MBIA should, in our view, be considered the de facto issuer of the outstanding commercial paper because MBIA guarantees the CP and the liquidity facilities that backup the CP. The rating agencies, however, do not consider the CP to be debt of MBIA or, alternatively, are unaware that MBIA, through an SPV, has this short-term debt outstanding.
·30亿美元的SPV债务是商业票据。
在2002年9月30日的86亿美元的SPV债务中，略微超过30亿美元是以商业票据（CP）的形式出现的。 我们认为，MBIA应被视为优秀商业票据的事实上的发行人，因为MBIA保证CP和支持CP的流动性设施。 然而，评级机构并不认为CP是MBIA的债务，或者不知道MBIA通过特殊目的公司的短期债务未偿还。
· Triple-A One Funding Corp.’s CP Creates Substantial Liquidity Risk for MBIA.We believe that Triple-A One Funding Corp.’s (one of the SPVs) $3 billion of commercial paper creates significant liquidity risk for MBIA because, in the event of a decline in MBIA’s actual or perceived credit rating, these CP buyers may withdraw their support, requiring the SPV to draw upon its outstanding bank liquidity lines. MBIA provides no disclosure about this SPV’s Gotham Partners Management Co., LLC Page 2 liquidity facilities; however, CP conduit liquidity facilities typically contain two “outs” which allow banks not to fund. These outs include bankruptcy of the issuer and/or insufficient asset values to cover the outstanding commercial paper.
·Triple-A One Funding Corp.的CP为MBIA创造了巨大的流动性风险。
我们认为，Triple-A One Funding Corp.（30万SPV）30亿美元的商业票据为MBIA带来了巨大的流动性风险，因为如果MBIA的实际或感知信用评级下降，这些CP买家可能会退出 他们的支持，要求SPV利用其未偿还的银行流动性线。 MBIA没有披露该SPV的Gotham Partners Management Co.，LLC流动性设施; 然而，CP管道流动性设施通常包含两个“出口”，允许银行不提供资金。 这些出局包括发行人的破产和/或资产价值不足以涵盖未偿还的商业票据。
· A Reduction in MBIA’s Rating Will Likely Cause the SPVs’ Assets to Be Less Than Their Liabilities.
Since the assets of MBIA’s SPVs are AAA rated only because of MBIA’s guarantee, a decline in MBIA’s actual or perceived credit rating may substantially reduce the value and marketability of the SPV assets. In light of the nominal equity in this SPV, we believe it is highly probable that the market value of Triple A One’s assets will not exceed its outstanding commercial paper in the event of an actual or perceived downgrade of MBIA, increasing the risk of a liquidity facility covenant violation.
·降低MBIA的评级可能会导致特殊目的公司的资产低于其负债。
由于MBIA的SPV资产仅因MBIA的担保而获得AAA评级，因此MBIA实际或感知信用评级的下降可能会大幅降低SPV资产的价值和适销性。 鉴于该SPV的名义股权，我们认为，如果实际或感知到MBIA降级，Triple A One的资产的市场价值很可能不会超过其优秀商业票据，从而增加流动性的风险 设施契约违规。
· Accounting Treatment of SPVs.
We do not believe that MBIA’s SPVs qualify for offbalance sheet treatment under current or proposed accounting rules. MBIA’s five offbalance sheet SPVs, with $8.6 billion of debt guaranteed by MBIA have a total of $125,000 of third-party equity which equates to 0.0014% of total SPV assets or $14 for each $1,000,000 of debt, well below the minimum 3% threshold required under GAAP for non-consolidation of SPVs. We believe MBIA’s SPVs fail the requirements for nonconsolidation for the following reasons:
(1) no third party has made a substantive equity investment;
(2) the SPVs are effectively controlled by MBIA;
(3) as guarantor of the SPVs assets and liabilities, MBIA is at risk of loss; and
(4) MBIA apparently receives nearly all of the SPV profits in the form of advisory and administrative fees.
·SPV的会计处理。
我们认为MBIA的SPV不符合现行或拟议会计规则下的资产负债表处理。 MBIA的五个失衡表SPV，由MBIA担保的86亿美元债务共有125,000美元的第三方股权，相当于SPV总资产的0.0014％或每1,000,000美元债务14美元，远低于最低3％的阈值要求。 GAAP用于非合并SPV。 我们认为MBIA的SPV不符合非合并要求，原因如下：
（1）没有第三方进行实质性股权投资;
（2）SPIA由MBIA有效控制;
（3）作为特殊目的公司资产和负债的担保人，MBIA面临亏损风险; 和
（4）MBIA显然以咨询和行政费用的形式获得了几乎所有的SPV利润。
· MBIA Will Likely Be Forced to Consolidate the SPVs at Its Insurance Subsidiary.
We understand that MBIA is now telling investors and analysts that it intends to consolidate the SPV debt at the holding company, MBIA Inc., rather than at the AAA insurance subsidiary, MBIA Insurance Corp., which is the guarantor of the SPV obligations. We believe MBIA will have substantial difficulty consolidating the SPVs at the holding company under the newly proposed SPV consolidation rules because the rules require the SPVs to be consolidated with their “primary beneficiary” if the SPVs do not effectively disperse risks among the parties involved.
·MBIA可能会被迫加强其保险子公司的特殊目的公司。
据我们了解，MBIA现在告诉投资者和分析师，它打算在控股公司MBIA Inc.而非AAA保险子公司MBIA保险公司合并SPV债务，MBIA保险公司是SPV义务的担保人。 我们认为，根据新提出的SPV合并规则，MBIA将难以在控股公司合并特殊目的公司，因为如果特殊目的公司没有有效地分散相关各方的风险，规则要求SPV与其“主要受益人”合并。
· MBIA Says That Rating Agencies Will Ignore the SPVs If Consolidated.
MBIA explains that the rating agencies have indicated that they will ignore the consolidation of the SPV indebtedness when these entities are brought on balance sheet because the debt will be offset by an approximately equal amount of AAA rated assets. The SPVs have 99.9996% leverage held against their assets – $8.6 billion of assets supporting $8.6 billion of liabilities. As such, we believe that only if the SPVs’ assets were liquid and AAA on a stand-alone basis should the rating agencies consider offsetting the impact of this additional debt on MBIA’s balance sheet in determining the company’s leverage and rating. In light of the apparently low and deteriorating quality of the assets in the SPVs, we believe that their consolidation will require MBIA to write down these carrying values significantly.
·MBIA表示如果合并，评级机构将忽略SPV。
MBIA解释说，评级机构表示，当这些实体被纳入资产负债表时，他们将忽略SPV债务的合并，因为债务将被大约相等数量的AAA评级资产抵消。 SPV对其资产拥有99.9996％的杠杆率 - 86亿美元的资产支持86亿美元的负债。 因此，我们认为，只有当SPV的资产是流动性且AAA独立时，评级机构才会考虑抵消这笔额外债务对MBIA资产负债表的影响，以确定公司的杠杆率和评级。 鉴于特殊目的公司资产质量明显偏低且质量不断下降，我们认为其合并将要求MBIA大幅减记这些资产价值。
· SPV Assets and Liabilities Have Grown Significantly.
Since December 31, 2001, the SPVs liabilities have increased from $7.8 billion to approximately $8.6 billion at September 30, 2002. The company is currently on a road show to sell $500 million of additional debt for Meridian Funding, MBIA’s largest SPV. We find the substantial size and growth of MBIA’s “black box” SPVs troubling, particularly in light of the company’s statements about its transparency.
·SPV资产和负债显着增长。
自2001年12月31日以来，特殊目的公司的负债从2002年9月30日的78亿美元增加到约86亿美元。该公司目前正在路演，为MBIA最大的特殊目的公司Meridian Funding出售5亿美元的额外债务。 我们发现MBIA的“黑匣子”SPV的规模和增长都令人不安，特别是考虑到该公司关于其透明度的声明。
· CDOs and Credit-Default Swaps.
CDOs and credit-default swaps (CDS) comprised 13.6% of MBIA’s total par insured at Q3 2002. At August 31, MBIA had gross CDO exposure of $75.6 billion with net par of $65.9 billion. While the company’s recent CDO guarantees have focused on AAA tranches, the company’s earlier guarantees include BBB tranches of CDOs.
·CDO和信用违约互换。
CDO和信用违约互换（CDS）占2002年第三季度MBIA投保总额的13.6％。在8月31日，MBIA的CDO总投资额为756亿美元，净值为659亿美元。 虽然该公司最近的CDO担保主要集中在AAA部分，但该公司早期的担保包括BBB部分的CDO。
· MBIA Has a Multi-Billion Dollar Loss In Its CDO Portfolio According to Dealers.
We asked a number of Wall Street dealers to estimate the mark-to-market values of MBIA’s CDOs. Based on mid-market prices for the CDO exposures disclosed by MBIA as of August 31, 2002, we estimate that MBIA has a $5.3 billion to $7.7 billion mark-tomarket loss in its portfolio. We find it surprising that the company’s reports only $35.5 million of unrealized derivative losses at September 30, 2002. The company appears to be marking its portfolio to its internal models rather than dealer quotes. When we compare any of these numbers against MBIA’s $5.5 billion of equity capital or against its $900 million to $1.7 billion cushion against a rating downgrade, one begins to suspect that the risk of substantial loss and downgrade is much greater than is suggested by its AAA rating.
·根据经销商的说法，MBIA的CDO产品组合损失数十亿美元。
我们要求一些华尔街经销商估算MBIA CDO的按市值计价。 根据MBIA截至2002年8月31日披露的CDO风险敞口的中间市场价格，我们估计MBIA的投资组合中有53亿至77亿美元的市场价格损失。 我们发现令人惊讶的是，该公司在2002年9月30日仅报告了3550万美元的未实现衍生品亏损。该公司似乎将其投资组合标记为内部模型而非经销商报价。 当我们将这些数字中的任何一个与MBIA的55亿美元股权资本或其9亿美元至17亿美元的评级降级缓冲进行比较时，人们开始怀疑实质性损失和降级的风险远高于其AAA评级所表明的风险。。
· MBIA’s Synthetic CDO Portfolio Exposes the Company to the Risks of Writing Single-Name Credit Default Swaps. According to dealers, approximately 80% of the notional amount of synthetic CDOs are represented by the same 200 to 250 credits. MBIA had $44 billion of synthetic CDOs at August 31, 2002. If the overcollateralization in these CDOs burns off through a sufficient number of defaults, each subsequent default will lead to the same loss for each credit as if MBIA had entered into 200 to 250 separate single-name transactions with $140 to $180 million of exposure to each credit. The unprecedented level of investment-grade defaults in the last three years substantially exceeds levels predicted by MBIA’s models when it originally entered into most of these transactions.
·根据经销商的说法，MBIA的CDO产品组合损失数十亿美元。
·MBIA的综合CDO投资组合使公司面临编写单一名称信用违约掉期的风险。 根据经销商的说法，大约80％的合成CDO名义数量由相同的200至250个信用额表示。 MBIA在2002年8月31日拥有440亿美元的合成CDO。如果这些CDO中的超额抵押通过足够数量的违约而烧毁，则每个后续违约将导致每个信用损失相同，就好像MBIA已经进入200到250个单独的 单项交易，每笔信贷的风险敞口为1.4亿至1.8亿美元。 过去三年中前所未有的投资级违约水平大大超过了MBIA模型在最初进入大部分交易时所预测的水平。
· MBIA Structures Its CDS Transactions to Avoid New York State Insurance Department Regulations Against Using Insurance Company Capital to Guarantee Derivatives. MBIA guarantees credit-default swaps indirectly through LaCrosse Financial Products, LLC, an "orphaned subsidiary" or “SPV transformer,” which enters into credit-default swaps directly and whose bligations are in turn guaranteed by MBIA Insurance Corp.
·MBIA结构其CDS交易避免纽约州保险部门规定不使用保险公司资本保证衍生产品。 MBIA通过LaCrosse Financial Products，LLC（一家“孤立子公司”或“SPV变压器”）间接保证信用违约互换，后者直接进行信用违约互换，其风险由MBIA Insurance Corp.保证。
LaCrosse is a minimally capitalized SPV, the equity of which is owned by a nominee. MBIA Insurance Corp’s statutory filings with the NY State Insurance Department state that the company “has not entered into any transactions classified as derivative instruments.” Because LaCrosse does not have sufficient wherewithal to meet its CDS obligations without full credit support from MBIA, we believe this structure obscures the company’s true credit derivative exposure. · MBIA’s Models Have Failed to Predict the High Level of Credit Defaults. We believe that the apparent failure of MBIA’s models to predict CDO and CDS defaults is due to several factors which include:
(1) the adverse selection of credits in CDO transactions,
(2) the fact that rating agency data do not include restructuring as a credit event, (3) inadequate consideration of correlation risk, and
(4) problems with modeling low-probability events.
LaCrosse是一家资本化程度最低的特殊目的公司，其股权由被提名人拥有。
MBIA保险公司向纽约州保险部提交的法定文件称该公司“尚未进行任何归类为衍生工具的交易。”由于没有MBIA的全面信贷支持，LaCrosse没有足够的资金来履行其CDS义务，我们相信这一点 结构模糊了公司真正的信用衍生品风险。 ·MBIA的模型未能预测高水平的信用违约。 我们认为，MBIA模型预测CDO和CDS默认值的明显失败是由于以下几个因素：
（1）CDO交易中信用的逆向选择，
（2）评级机构数据不包括重组作为信用事件，
（3）对相关风险的考虑不充分，以及
（4）建模低概率事件的问题。
· MBIA Has Sold Credit Protection On Itself.
We have learned that MBIA has sold default protection on itself through the purchase of credit-linked notes for its insurance investment portfolio or alternatively through the sale of fully collateralized credit-default swaps. We believe these transactions are not a good use of MBIA’s insurance capital. By purchasing MBIA CLNs, the company is leveraging itself up in an undisclosed fashion while reducing trading spreads of the company’s CDS. Ironically, because MBIA is AAA rated, the purchase of credit-linked notes improves the portfolio’s average credit rating, while simultaneously weakening the company’s liquidity to the extent of the new investment.
·MBIA已自行销售信用保障。
我们了解到，MBIA通过为其保险投资组合购买信用挂钩票据或者通过出售全额抵押信用违约掉期来出售违约保护。 我们认为这些交易并不能很好地利用MBIA的保险资金。 通过购买MBIA CLN，该公司正在以不公开的方式利用自己，同时降低公司CDS的交易差价。 具有讽刺意味的是，由于MBIA是AAA评级，购买信用挂钩票据可以提高投资组合的平均信用评级，同时削弱公司的流动性，达到新投资的程度。
· MBIA Has Not Disclosed the Large Number of Restructurings It Has Performed.MBIA has done approximately 130 to 195 restructurings of transactions over the last 13 years according to the CEO. In its public statements, management often refers to how much money has been “saved” by its “surveillance” activities, estimated by management to be $700 million to $1 billion. We believe these savings are more likely to represent deferred losses. When MBIA restructures a problem deal, it often refinances a neardefaulting obligation with a larger guaranteed loan. Contrary to other financial institutions, MBIA provides no disclosure in its public filings as to what percentage or dollar amount of its guaranteed portfolio has been restructured.
·MBIA尚未披露其已执行的大量重组。
据首席执行官称，MBIA在过去13年中已完成约130至195次交易重组。 在其公开声明中，管理层通常指的是其“监督”活动“节省了多少钱”，管理层估计这笔资金为7亿美元至10亿美元。 我们认为这些储蓄更有可能代表递延亏损。 当MBIA重组问题协议时，它通常会通过更大的担保贷款为近乎贬值的义务再融资。 与其他金融机构相反，MBIA在其公开文件中没有披露其担保投资组合的重组百分比或金额。
· The Number of MBIA’s Problem Guarantees Is Increasing at a High Rate.
The company does not disclose the dollar amount of its guaranteed assets in default; instead MBIA periodically discloses only the number of problem issues. The number of problem issues increased by 92% over the last three years, from 25 to 48 (as of 12/31/01) and has continued to grow at a 27% annual rate to 54 issues for the six months ended June 30, 2002.
·MBIA的问题保证数量正以高速增长。
公司未披露其担保资产的美元金额违约; 相反，MBIA定期仅披露问题数量。 问题数量在过去三年中增加了92％，从25个增加到48个（截至12/31/01），并且在截至6月30日的六个月中，问题数量每年以27％的速度增长至54个问题，2002年。
· MBIA Has Changed Its Reserving Methodology Twice Within the Last Three Years. From its inception until 1999, MBIA had reserved two basis points of the par value of its outstanding guarantees for unidentified potential losses in its portfolio. In 1999, after the bankruptcy of AHERF (Allegheny Health Education and Research Foundation) and losses of nearly $320 million, MBIA retroactively increased its reserves from two basis points to four basis points of its guarantee portfolio and made a one-time addition of $153 million to “bolster reserves.” Beginning in January 2002, MBIA has again changed its reserving methodology, this time to 12% of earned premium, which effectively guarantees the company an 88% gross margin on its new guarantees.
·MBIA在过去三年内两次改变其保留方法。 自成立至1999年，MBIA已为其投资组合中未识别的潜在损失预留了其未偿还担保面值的两个基点。 1999年，在AHERF（Allegheny健康教育和研究基金会）破产并损失近3.2亿美元后，MBIA追溯性地将其储备金从两个基点增加到其担保组合的四个基点，并一次性增加了1.53亿美元 从2002年1月开始，MBIA再次改变了其保留方法，这次是保费收入的12％，这有效地保证了公司新担保的毛利率为88％。
· MBIA Has Substantial Exposure to High Risk Asset Classes.
MBIA has substantial exposure to high risk asset classes which are currently experiencing financial stress including: healthcare, sub-prime home-equity and manufactured home loans, secured and unsecured debt of investor-owned utilities, vocational student loans, airline equipment trust certificates, airport and other travel-based exposures, sub-prime credit cards, and CDOs.
·MBIA大量接触高风险资产类别。
MBIA对高风险资产类别有很大的影响，目前正面临财务压力，包括：医疗保健，次级房屋净值和制造房屋贷款，投资者拥有的公用事业的担保和无担保债务，职业学生贷款，航空设备信托证书，机场 和其他基于旅行的风险敞口，次级信用卡和CDO。
· Reinsurance.
MBIA reinsured $106 billion of its $589 billion of gross par at September 30, 2002. The credit quality of MBIA’s reinsurers is critical to the company’s long-term capital requirements. This is due to the fact that the rating agencies “haircut” reinsurance provided by non-AAA reinsurers. However, 65% of MBIA’s reinsurance comes from reinsurers whose business is directly correlated with the company’s. MBIA’s reinsurance program is another form of off-balance sheet leverage that can functionally accelerate. In the event of a downgrade of a reinsurer, MBIA is considered by the rating agencies to have received the ceded risks back on its books. In effect, MBIA is confronted with a capital call when its reinsurers are downgraded. A number of MBIA’s principal reinsurers have been downgraded recently, and others are at risk of being downgraded.
·再保险。
2002年9月30日，MBIA在其5890亿美元的总票面中重新投入了1060亿美元.MBIA再保险公司的信用质量对公司的长期资本要求至关重要。 这是因为评级机构“理发”再保险由非AAA再保险公司提供。 然而，MBIA 65％的再保险来自再保险公司，其业务与公司的业务直接相关。 MBIA的再保险计划是另一种可以在功能上加速的资产负债表外杠杆形式。 如果再保险公司降级，评级机构会认为MBIA已经收到了账面上的已放弃风险。 实际上，当其再保险公司降级时，MBIA面临资本要求。 最近，一些MBIA的主要再保险公司被降级，其他人则面临被降级的风险。
· Accounting Issues.
In recent years, MBIA has structured a substantial portion of its guarantee fees as advisory and other fees that the company books immediately as income at the closing of a transaction. We believe that a combination of accelerated revenue recognition of guarantee and advisory fees, the company’s immaterial levels of reserves, and its deferral of a substantial portion of the company’s operating expenses cause MBIA’s GAAP earnings to overstate significantly the company’s true economic earnings.
·会计问题。
近年来，MBIA已将其担保费的很大一部分作为咨询费和其他费用，公司在交易结束时立即将其作为收入。 我们认为，保证和咨询费用的加速收入确认，公司无形的储备水平以及公司运营支出的大部分延期的结合导致MBIA的GAAP收益大大夸大了公司的真实经济收益。
· Substantial Growth in Below-Investment-Grade (BIG) Assets.
MBIA had $6.8 billion of net par of BIG assets at September 30, 2002 versus $4.8 billion at June 30, 2002. The $2 billion growth represents a 42% increase for the quarter. BIG assets are now 25% more than MBIA’s total equity of $5.5 billion. The absolute size of these numbers and their enormous growth in the last quarter should raise red flags for investors and rating agencies and are inconsistent with a no-loss underwriting strategy.
·低于投资级（BIG）的资产大幅增长。
2002年9月30日，MBIA的BIG资产净值为68亿美元，而2002年6月30日为48亿美元.20亿美元的增长率为本季度增长42％。 BIG资产现在比MBIA的55亿美元总股本高出25％。 这些数字的绝对规模及其在上一季度的巨大增长应该会给投资者和评级机构带来危险，并且与无损承保策略不一致。
· Investment Portfolio.
While MBIA’s portfolio averages AA, the large amount of wrapped AAA credits in the portfolio (approximately 50% of the portfolio), about 50% of which is guaranteed by MBIA itself, serves to artificially boost the portfolio’s stated credit quality. The large amount of wrapped paper allows MBIA to generate wider spreads for its AA average-rated portfolio in two ways: first, wrapped AAA paper generally trades at wider spreads than “natural” AAA credits; and second, the company is able to add larger amounts of higher yielding A and BBB credits while still maintaining a AA average. In addition, the investment portfolio’s credit quality will be reduced by the addition of the SPV assets to MBIA’s balance sheet because of their lower quality and reduced liquidity.
· 投资组合。
虽然MBIA的投资组合平均为AA，但投资组合中大量的AAA信用额度（约占投资组合的50％），其中约50％由MBIA本身保证，有助于人为地提升投资组合的既定信用质量。 大量的包装纸允许MBIA以两种方式为其AA平均评级组合产生更广泛的价差：首先，包装的AAA纸通常以比“自然”AAA信用更广泛的价差进行交易; 第二，该公司能够增加更大的高收益A和BBB信用额度，同时仍保持AA平均值。 此外，投资组合的信用质量将通过将SPV资产添加到MBIA的资产负债表而降低，因为它们的质量较低且流动性降低。
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