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主题:【讨论】次贷又出新闻了,这回是MBIA -- 心文连博

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  • 家园 【讨论】次贷又出新闻了,这回是MBIA

    Over the weeks since, there has been considerable web traffic from people looking for more information on how structured credit (like sub-prime mortgages and CDOs), financial guarantors (like ACA, MBIA, Ambac and FGIC) and the rating agencies (like S&P, Moody's and Fitch) interact. Then, in the last day, traffic about this subject has dramatically spiked with news about ACA's downgrade by S&P and MBIA's very belated disclosure about its "small" CDO^2 insurance portfolio.

    As this Marketwatch article explains, MBIA disclosed on Thursday, December 20th 2007 that it has $8.14 billion of exposure to complex credit products known as CDO squareds (also known as CDO^2). Such CDO transactions are generally even more leveraged in their exposure to the credit risk that underlies each of the CDO transactions that since May have been causing such massive losses to many financial institutions. One might think that such a large exposure just might be relevant to investors in its common stock and bonds that include MBIA guarantees!!

    For those who are not familiar with the details of structured finance, CDO^2s use as collateral tranches from other CDOs and then the CDO^2 collateral is further tranched into various classes that have differing exposure to credit losses. Generally, the underlying CDO tranches in a CDO^2 deal were those that an underwriter had the most difficulty in selling outright. As a result, many CDO^2 collateral tranches are what are referred to as mezzanine CDO tranches which originally were rated close to the very bottom end of the investment grade spectrum. The assumption behind tranching a CDO and CDO^2 is that the collateral is not highly correlated. In fact, the market has come to understand that almost all sub-prime mortgage collateral is both correlated with other issues from the same year and that the level of both defaults and expected losses are higher than the rating agencies originally projected when rating these structured finance transactions. The net effect of both increasing the expected loss percentages and increasing the correlation between the various collateral tranches is that CDO^2 transactions generally will have higher losses than CDO transactions with similar underlying "raw" collateral.

    Why this exposure was not disclosed earlier is almost criminal. As Ken Zerbe, an analyst at Morgan Stanley, wrote in a note to clients, "We are shocked that management withheld this information for as long as it did. MBIA simply did not disclose arguably the riskiest parts of its CDO portfolio to investors." The MBIA stock promptly tanked more than 26% to close at $19.95 for the day. Clearly investors have expressed what they thought of this very belated disclosure and it clearly had a dramatic impact on MBIA's valuation.

    • 家园 这次是债券保险公司

      ACA MBIA 等公司,是为各种债券做保险的公司,他们自己作为保险提供者的信用评级(正常时大多是AAA),决定了被他们保险的债券的评级,有了这样的评级,很多债券包括企业债,资产抵押甚至地方政府债券,才可能被注重质量的投资者购买。

      现在信用评级机构认为他们的资本充足率不足以支持这样高的评级,威胁降低评级,这样的话,大批他们保险的债券将涌向市场,为已经疲软的市场再加上一捆稻草。

      风暴的另一边,也许是发现交通违章罚款高达2000美金,或者垃圾清运费增长100%的普通美国民众,没有人能够躲开这场风暴。。。

      另外,大洋彼岸的英国,情况也一样,用来为NORTHEN ROCK银行作储蓄担保的财政资金,平均到每个英国人头上已经达到2000英镑了。想象一下,要么明年每人多交2000镑的税,或者发生一次价值2000镑的通货膨胀,无论如何,都是不储蓄的国民买单。

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