brhccb 07 u 2u 3u - Sociedad Hipotecaria Federal

Transcription

HSBC México S.A., Institución de Banca Múltiple, Grupo Financiero HSBC,
División Fiduciaria, Fideicomiso 234036
Reporte anual que se presenta de acuerdo con las disposiciones de carácter general
aplicables a las emisoras de valores y a otros participantes del mercado por el periodo
comprendido del 1° de enero al 31 de diciembre de 2012.
Plazo y fecha de vencimiento.
Fecha de Emisión: 25 de Octubre de 2007.
Fecha de Vencimiento: 25 de Enero de 2034.
Plazo de Vigencia: 9589 días contados a partir de la Fecha de la Emisión.
Número de series en que se divide la emisión.
Serie A1
Serie A2
Serie B
BRHCCB
BRHCCB
BRHCCB
07U
07-2U
07-3U
En su caso, número de emisión correspondiente.
Primera Emisión del Programa de Certificados Bursátiles por 10,000,000.00 (Diez Mil
Millones de pesos o su equivalente en UDIS)
Número de fideicomiso y datos relativos al contrato de fideicomiso.
Contrato de Fideicomiso Irrevocable No. F/234036 de fecha 23 de Octubre de 2007, que
celebraron por una parte Hipotecaria Su Casita, S.A. DE C.V. Sociedad Financiera de
Objeto Múltiple E.N.R. como Fideicomitente y Fideicomisario en cuarto lugar. HSBC
México, S.A. Institución de Banca Múltiple.Grupo Financiero HSBC, División Fiduciaria.
MBIA México, S.A. DE C.V. como Fideicomisario en segundo lugar., con la comparecencia
de Banco Invex S.A. institución de Banca Múltiple, Invex Grupo Financiero, Fiduciario como
Representante Común de los tenedores de los Certificados Bursátiles Fiduciario en primer
y tercer lugar.
Nombre del Fiduciario.
HSBC México S.A., Institución de Banca Múltiple, Grupo Financiero HSBC, División
Fiduciaria.
Fideicomitente.
Hipotecaria Su Casita, S.A. DE C.V., Sociedad Financiera de Objeto Múltiple E.N.R.
Fideicomisarios.
Fideicomisarios en Primer Lugar:
Fideicomisarios en Segundo Lugar:
Fideicomisarios en Tercer Lugar:
Fideicomisario en Cuarto Lugar:
Los Tenedores de los Certificados Bursátiles
Fiduciarios Serie A.
MBIA México, S.A. DE C.V.
Los Tenedores de los Certificados Bursátiles
Fiduciarios Serie B.
Hipotecaria Su Casita S.A. DE C.V. Sociedad
Financiera de Objeto Múltiple E.N.R.
Resumen de las características más relevantes de los activos
Créditos Hipotecarios otorgados por Hipotecaria Su Casita, S.A. de C. V. Sociedad Financiera de Objeto
Múltiple E.N.R. destinados a casa habitación fondeados con recursos de Hipotecaria Su Casita, de IFC, de
FMO y de la Sociedad Hipotecaria Federal, S.N.C., y que fueron prepagados por Hipotecaria Su Casita, S.A.
de C.V. SOFOM E.N.R. a través del fideicomiso de Garantía IFC y del Fideicomiso de Garantía FMO.
La información estadística que se incluye en este Reporte Anual relativa al conjunto de Créditos Hipotecarios
que integran el Patrimonio del Fideicomiso se basa en la información disponible al 31 de diciembre de 2012.
Esta sección describe las características de los Créditos Hipotecarios y a menos que se indique lo contrario, la
información sobre porcentajes se determinó con base en el saldo insoluto de la totalidad de los Créditos al 31
de diciembre de 2012. Los Créditos Hipotecarios causan intereses a una tasa de interés fija.
Los Créditos Hipotecarios que forman parte del Patrimonio del Fideicomiso son en esencia, contratos de
apertura de crédito con garantía hipotecaria en primer lugar sobre un inmueble adquirido con las cantidades
dispuestas bajo dichos créditos, a una tasa de interés fija.
Los inmuebles adquiridos a través de los Créditos son Inmuebles unifamiliares que en general se ubican en
conjuntos urbanos en distintas localidades del país.
Los Créditos Hipotecarios se encuentran denominados en UDIs, pagan intereses y principal en forma
mensual. El Fideicomiso es el único beneficiario de estos pagos.
En las tablas a continuación se muestran las características de los Créditos que forman parte del Fideicomiso.
Saldo Insoluto (UDIS)
Número de Créditos activos
Saldo Promedio Remanente (UDIS)
Tasa de Interés (Promedio Ponderado)
LTV Actual (Promedio Ponderado)
554,236,884
7,824
70,838
9.58%
76.83%
Plazo Actual (Promedio Ponderado)
64.83
Estados con mayor concentración
Quintana Roo
Estado de México
Baja California
Saldos al 31 de Diciembre de 2012
24.94%
19.94%
11.92%
Derechos que confieren los títulos.
Cada Certificado Bursátil y la Constancia representa para su titular el derecho al cobro del
principal e intereses, según corresponda, adeudados por el Fiduciario como Fiduciario de
los mismos, en los términos descritos en el Fideicomiso y en el Título respectivo, desde la
fecha de su emisión hasta la fecha del reembolso total de su valor nominal. Los
Certificados Bursátiles Fiduciarios se pagarán únicamente con los recursos existentes en el
Patrimonio del Fideicomiso
Rendimiento y procedimiento de cálculo.
A partir de la Fecha de Emisión y en tanto no sean amortizados, los Certificados Bursátiles
Fiduciarios devengarán un interés bruto anual sobre su Saldo Insoluto, que el
Representante Común determinará mensualmente dos días hábiles anteriores al inicio de
cada periodo mensual, computado a partir de la fecha de emisión que regirá durante ese
periodo mensual, con base en una tasa de rendimiento bruto anual (la “Tasa de
Rendimiento Bruto Anual”) de 4.19% (cuatro punto diecinueve por ciento) para los
Certificados Bursátiles Fiduciarios Serie A1, 4.35% (cuatro punto treinta y cinco por ciento)
para los Certificados Bursátiles Fiduciarios Serie A2 y 6.99% (seis punto noventa y nueve
por ciento) para los Certificados Bursátiles Fiduciarios Serie B, la cual se mantendrá fija
durante la vigencia de la Emisión.
El interés que devengarán los Certificados Bursátiles Fiduciarios, en sus respectivas series,
se computará a partir de su Fecha de Emisión y los cálculos para determinar las tasas y los
intereses a pagar deberán comprender los días naturales de que efectivamente consten los
periodos respectivos. Los cálculos se efectuarán cerrándose a centésimas.Los intereses
que devenguen los Certificados Bursátiles Fiduciarios se liquidarán en la forma indicada en
esta sección. Para determinar el monto de intereses a pagar en cada Fecha de Pago, el
Representante Común utilizará la siguiente fórmula:
é TB
ù
IDi = SIP ê
* Ni ú
360
ë
û
En donde:
IDi= Monto de Pago de Interés que corresponda a esa Fecha de Pago
SIP= Saldo Insoluto de Principal de los Certificados Bursátiles Fiduciarios, en sus
respectivas series, al inicio del Período de Intereses respectivo
TB= Tasa de Interés correspondiente a cada serie de Certificados Bursátiles Fiduciarios
Ni= Número de días efectivamente transcurridos durante el Periodo de Intereses
respectivo.
Para determinar el importe de los pagos correspondientes en Moneda Nacional, el Representante
Común utiliza el valor de la UDI correspondiente al día 25 de cada mes, independientemente de que
dicha fecha no sea un Día Hábil. El pago y amortización de todas las cantidades adeudadas bajo los
Certificados Bursátiles Fiduciarios en una Fecha de Pago se realiza en Pesos y para tal efecto el
Representante Común utiliza la siguiente fórmula:
$ = MAU * VUDI
En donde:
$ = Pesos
MAU = Monto adeudado bajo los Certificados Bursátiles Fiduciarios de la serie correspondiente en
UDIS en una Fecha de Pago
VUDI = Valor de la UDI en Pesos correspondiente a dicha Fecha de Pago según lo publique Banco
de México en el Diario Oficial de la Federación
El Representante Común, 1 (un) Día Hábil antes de la Fecha de Pago, da a conocer a la BMV, a
través del SEDI (o cualesquiera otros medios que ésta determine), así como a la CNBV y al Indeval,
2 (dos) Días Hábiles antes de la Fecha de Pago, el Monto de Pago de Interés de la correspondiente
serie de Certificados Bursátiles Fiduciarios que debe pagarse en esa Fecha de Pago, la tasa de
interés aplicable al siguiente periodo, así como el saldo insoluto por título en caso de amortizaciones
parciales de principal.
Los intereses que devenguen los Certificados Bursátiles Fiduciarios se liquida los días 25 de cada
mes durante la vigencia de la Emisión o en su caso el día hábil siguiente, si alguno de ellos no lo
fuere, contra la entrega de la constancia correspondiente que para tales efectos expida la S.D.
Indeval Institución para el Depósito de Valores, S.A. de C.V.
Iniciado cada periodo mensual, la Tasa de Rendimiento Bruto Anual determinada no sufre cambios
durante el mismo.
El Representante Común utiliza la siguiente fórmula para calcular el nuevo Saldo Insoluto de
Certificados Bursátiles Fiduciarios en circulación:
SIPi=SIPi-1-AM
En donde:
SIPi = Saldo Insoluto de Principal de todos los Certificados Bursátiles de la Serie correspondiente
en circulación.
SIPi-1= Saldo Insoluto de Principal de todos los Certificados Bursátiles Fiduciarios de la Serie
correspondiente en la Fecha de Pago inmediata anterior.
AM = Monto de la Amortización de Principal.
Para determinar el Saldo Insoluto por Título en Circulación, el Representante Común utilizará la
siguiente fórmula:
SIPi= SIP / número de títulos en circulación de la serie correpondiente
En donde:
SIPi = Saldo Insoluto de Principal de cada Certificado Bursátil de la Serie correspondiente
SIT= Saldo Insoluto de Principal de todos los Certificados Bursátiles de la Serie correspondiente..
Los Certificados Bursátiles Fiduciarios dejan de causar intereses a partir de la fecha señalada para
su pago, siempre que el Fiduciario Emisor hubiere constituido el depósito del importe de la
amortización y, en su caso, de los intereses correspondientes, en las oficinas de Indeval a más tardar
a las 11:00 A.M. de dicha fecha.
La falta de pago de los Certificados Bursátiles Fiduciarios no dan lugar al pago de interés moratorio
alguno.
De conformidad con el Título que documenta la presente misión, el Título no tienen cupones
adheridos.
Amortización Anticipada de Principal
En cada Fecha de Pago, el Fiduciario podrá efectuar amortizaciones parciales anticipadas
del monto de principal de los Certificados Bursátiles Fiduciarios, por una cantidad igual al
monto que se determine para tal propósito de conformidad con la Cláusula Décimo
Segunda del Fideicomiso. Si el Fiduciario no efectúa amortizaciones parciales anticipadas
del monto principal de los Certificados Bursátiles Fiduciarios, dicha circunstancia en ningún
caso se considerará como una Causa de Vencimiento Anticipado.
Cada amortización anticipada de principal será aplicada a prorrata entre la totalidad de los
Certificados Bursátiles Fiduciarios emitidos y en circulación en sus distintas series. En el
caso de una amortización anticipada de principal no habrá obligación de pagar prima por
amortización anticipada alguna.
Subordinación de los títulos, en su caso
El Pago de los Certificados Bursátiles Fiduciarios Serie B se encuentra subordinado (a) al pago del
saldo insoluto de principal de los Certificados Bursátiles Fiduciarios Serie A, (i) en cuanto a pago de
intereses, y (ii) al pago de principal en la Fecha de Vencimiento, y (b) al pago de cualquier cantidad
que, en su caso, se adeude a MBIA, en cuanto al derecho y prioridad para recibir pago de principal e
intereses del Fideicomiso.
Subordinación de los Certificados Serie B y Constancia
Toda vez que los Certificados Bursátiles Fiduciarios Serie B y la Constancia a ser emitidos por el
Fiduciario de conformidad con el Programa tienen por objeto el obtener los recursos que constituyen
el aforo de la emisión para beneficio de los tenedores de los Certificados Bursátiles Fiduciarios Serie
A, los Certificados Bursátiles Fiduciarios Serie B y la Constancia tienen menores derechos que los
Certificados Bursátiles Fiduciarios Serie A y están estrictamente subordinados a los Certificados
Bursátiles Fiduciarios Serie A y cualquier cantidad que en su caso el Fiduciario le adeude a MBIA en
términos del Contrato de Seguro de Garantía Financiera. Ello resulta de, entre otras cosas, el hecho
que el principal e intereses de los Certificados Bursátiles Fiduciarios Serie B y la Constancia son
pagados después de haberse hecho los pagos que en términos del Fideicomiso corresponda a los
Certificados Bursátiles Fiduciarios Serie A y a MBIA, en la medida en que el Fiduciario cuente con
recursos disponibles para realizar pagos a los Tenedores de los Certificados Bursátiles Fiduciarios
Serie B y la Constancia. Por virtud de lo anterior, los Certificados Bursátiles Fiduciarios Serie B tienen
una menor calificación crediticia y en el caso de la Constancia, ésta no puede considerarse como
instrumento con grado de inversión. En consecuencia, existe el riesgo a que los tenedores de los
Certificados Bursátiles Fiduciarios Serie B y la Constancia no reciban las cantidades de principal y en
su caso interés, que se les adeuden bajo dichos instrumentos.
Fecha de Pago.
Significa, el día 25 de cada mes calendario de cada año en que el Fideicomiso esté
vigente, y en caso de que cualquiera de dichas fechas no sea un Día Hábil, el Día Hábil
inmediato posterior, en el entendido que la primera Fecha de Pago será el 26 de noviembre
de 2007.
Lugar y forma de pago de rendimientos y de amortización, en su caso.
Toda vez que el Indeval, en términos del artículo doscientos ochenta y dos de la Ley del
Mercado de Valores, tendrá la custodia y la administración de los Títulos que amparan la
presente Emisión de Certificados Bursátiles Fiduciarios, tanto el reembolso del saldo
insoluto como el pago de intereses se efectuará en esta Ciudad de México, Distrito
Federal, en Paseo de la Reforma No. 255, 3er. Piso, Col. Cuauhtémoc, C.P. 06500. El
Fiduciario entregará al Representante Común vía electrónica, el día hábil anterior al que
deba efectuar dichos pagos a más tardar a las 11:00 horas el importe a pagar
correspondiente a los Certificados Bursátiles Fiduciarios en circulación.
Denominación del Representante Común de los tenedores de los títulos.
Banco Invex, S.A., Institución de Banca Múltiple, Invex Grupo Financiero, Fiduciario.
Depositario
S.D. Indeval Institución para el Depósito de Valores, S.A. de C.V. (“Indeval”).
Régimen Fiscal
La tasa de retención aplicable respecto a los intereses pagados conforme a los Certificados
Bursátiles Fiduciarios, se encuentra sujeta (i) para las personas físicas y morales
residentes en México para efectos fiscales, a lo previsto en el artículo 179, 160, 58 y
demás aplicables de la Ley del Impuesto Sobre la Renta vigente, y (ii) para las personas
físicas y morales residentes en el extranjero para efectos fiscales, a lo previsto en el
artículo 195 y demás aplicables de la Ley del Impuesto Sobre la Renta vigente. El régimen
fiscal vigente podrá modificarse a lo largo de la vigencia de cada una de las Emisiones. Los
posibles adquirentes de los Certificados Bursátiles Fiduciarios deberán consultar con sus
asesores, las consecuencias fiscales resultantes de la compra, el mantenimiento o la venta
de los Certificados Bursátiles Fiduciarios, incluyendo la aplicación de reglas específicas
respecto de su situación particular.
Especificación de las características de los títulos en circulación
Certificados Bursátiles fiduciarios. BRHCCB07U SERIE A1, BRHCCB07-2U SERIE A2 Y
BRHCCB07-3U SERIE B, los cuales se encuentran registrados en la Bolsa Mexicana de
Valores, S.A. B. de C.V.
Los Certificados Bursátiles Fiduciarios objeto de la presente oferta pública forman parte de un
programa autorizado por la Comisión Nacional Bancaria y de Valores y se encuentran inscritos bajo
el No. 0173-4.15-2007-005-01 en el Registro Nacional de Valores y son aptos para ser inscritos en
el listado correspondiente de la Bolsa Mexicana de Valores, S.A.B. de C.V.
La referida inscripción no implica certificación sobre la bondad de los valores, solvencia de
la emisora o sobre la exactitud o veracidad de la información contenida en el prospecto, ni
convalida los actos que, en su caso, hubieren sido realizados en contravención de las
leyes.
INDICE
1) INFORMACION GENERAL
a) Glosario de términos y definiciones
b) Resumen ejecutivo
c) Documentos de carácter público
d) Otros valores emitidos por el fideicomiso
2) LA OPERACION DE BURSATILIZACION
a) Patrimonio del Fideicomiso
i) Evolución de los activos fideicomitidos, incluyendo sus ingresos
ii) Desempeño de los valores emitidos
b) Información relevante del periodo
c) Otros terceros obligados con el fideicomiso o los tenedores de los valores, en su caso
3) INFORMACION FINANCIERA
a) Información financiera seleccionada del fideicomiso
4) ADMINISTRACION
a) Auditores externos
b) Operaciones con personas relacionadas y conflictos de interés
c) Asambleas de tenedores, en su caso
5) PERSONAS RESPONSABLES
6) ANEXOS
Anexo A –Estados Financieros MBIA
Anexo B- Balance y Resultados del Fideicomiso (Notas incluidas)
Anexo C - Estado de Cambios en la Situación Financiera
Anexo D – Dictamen Estados Financieros del Fideicomiso
Anexo E – Copia de los reportes generados durante el periodo reportado
1) INFORMACION GENERAL
a) Glosario de términos y definiciones.
Administrador
Significa, HSC en su carácter de administrador de los Créditos
Hipotecarios, o cualquier Administrador Substituto de conformidad con
los términos del Contrato de Administración.
Administrador
Substituto
significa, cualquier tercero que substituya al Administrador conforme a lo
previsto en el Contrato de Administración
Aforo Inicial
Significa, un Porcentaje de Aforo de 1% (uno por ciento).
Aforo Objetivo
Significa, un Porcentaje de Aforo de 2.8% (dos punto ocho por ciento),
que deberá ser alcanzado cuando se llegue al Porcentaje Objetivo Serie
A y al Porcentaje Objetivo Serie B.
Agencias Calificadoras
Significa, en forma conjunta, las sociedades denominadas Standard &
Poor’s, S.A. de C.V., Moody’s de México, S.A. de C.V. y Fitch México,
S.A. de C.V., o cualquier otra agencia calificadora que substituya a
cualquiera de ellas (con el consentimiento previo y por escrito de MBIA,
siempre y cuando sea el Fideicomisario Controlador, y si ese no es el
caso, entonces con el consentimiento previo y por escrito del
Representante Común), quienes determinarán la Calificación de los
Certificados Bursátiles Fiduciarios.
Anexos
Significa el conjunto de Anexos del Contrato de Fideicomiso que se
incluyen al presente y que forman parte integral del mismo.
Anticipos de MBIA
“Anticipos de MBIA” significa, las cantidades que MBIA tiene derecho
(mas no la obligación) a su absoluta discreción de entregar al Fiduciario,
mediante depósito en la Cuenta de Cobranza exclusivamente para el
pago de la Comisión de Intercambio (según dicho término se define en la
Cobertura SHF), a la SHF. Los reembolsos de Anticipos de MBIA
deberán ser pagados por el Fiduciario a MBIA, incluyendo intereses
generados a una tasa equivalente a la TIIE más una tasa adicional de
2% (dos por ciento), de conformidad con lo previsto en la Cláusula
Décimo Segunda del Contrato de Fideicomiso.
Aseguradora
Significa, la institución de seguros que se haya contratado para suscribir
las pólizas de los Seguros que corresponden a los Créditos Hipotecarios;
y en el caso que el Administrador decida en momento determinado el
cambio de Aseguradora en el futuro, dicha institución de seguros que
contrate el Administrador para suscribir las pólizas de los Seguros
deberá ser alguna de las ya aprobadas por las partes del Contrato de
Fideicomiso, las cuales se encuentran listadas en el Anexo “A” del
Contrato de Fideicomiso.
Aviso de Venta
Significa, el aviso que MBIA podrá dar de conformidad con el inciso 3 (c)
de la cláusula Décima Octava del Contrato de Fideicomiso.
Banco de México
Significa, el banco central de México que fue establecido por la Ley del
Banco de México publicada en el Diario Oficial de la Federación el 23 de
diciembre de 1993.
BMV
Significa, la Bolsa Mexicana de Valores, S.A. de C.V.
Calificación de los
Certificados Bursátiles
Fiduciarios
Significa, la calificación otorgada a los Certificados Bursátiles Fiduciarios
por las Agencias Calificadoras
Cantidad Faltante
Tendrá el significado que se le atribuye al término “Deficiency Amount”
en la Póliza.
Significa, (a) cualquier cantidad devengada (sin importar cuando ésta
sea efectivamente cobrada por el Administrador) con respecto a los
Créditos Hipotecarios con anterioridad a (e incluyendo) la Fecha de
Corte, incluyendo, sin limitación, (i) cualquier pago de principal
devengado hasta (e incluyendo) la Fecha de Corte, (ii) cualquier
indemnización devengada en relación con los Seguros antes de (e
incluyendo) la Fecha de Corte, y (iii) el producto de la venta o cesión de
cualquier Crédito Hipotecario o parte del mismo devengada antes de (e
incluyendo) la Fecha de Corte y (b) intereses ordinarios y moratorios y
comisiones pagados (sin importar cuando se hayan devengado) antes
de (e incluyendo) la Fecha de Cierre.
Cantidades Excluidas
Cantidades Incluidas
Significa, (a) cualquier cantidad devengada (sin importar cuando ésta
sea efectivamente cobrada por el Administrador) con respecto a los
Créditos Hipotecarios en o en cualquier momento después de (y sin
incluir) la Fecha de Corte, incluyendo, sin limitación, (i) cualquier pago de
principal devengado a partir de (sin incluir) la Fecha de Corte, (ii)
cualquier indemnización devengada en relación con los Seguros a partir
de (sin incluir) la Fecha de Corte, y (iii) el producto de la venta o cesión
de cualquier Crédito Hipotecario o parte del mismo devengada después
de la Fecha de Corte y (b) intereses ordinarios y moratorios y comisiones
pagados (sin importar cuando se hayan devengado) a partir de (sin
incluir) la Fecha de Cierre.
Carta de Prima
Significa, la carta compromiso fechada en la Fecha de Cierre en la cual
se especifica el monto de la prima pagadera a MBIA por la emisión de la
Póliza.
Se considerará que ha ocurrido una Causa de Incumplimiento (sea cual
sea la razón para dicha Causa de Incumplimiento y ya sea que se
efectúe voluntaria o involuntariamente o por efecto de ley o en relación
con cualquier juicio, decreto u orden de cualquier juzgado o con
cualquier orden, regla o regulación de cualquier organismo o
dependencia administrativa o gubernamental):
Causa de
Incumplimiento
(i)
que en una Fecha de Pago no se pague íntegramente el Monto de
Pago de Interés de la Serie A o el Monto de Pago de Interés de la
Serie B, o que en la Fecha de Vencimiento no se pague
íntegramente el Saldo Insoluto de Principal más los intereses
devengados a esa fecha respecto de los Certificados Bursátiles
Fiduciarios, o el Fiduciario incumpla en el pago de cualquier otra
cantidad adeudada bajo el Contrato de Fideicomiso en la fecha en
que dicho pago requiera ser pagado conforme a dicho Contrato; o
(ii)
que el Fiduciario proporcione información falsa o errónea a los
Tenedores o a MBIA de cualquier asunto importante relacionado
con la emisión de los Certificados Bursátiles Fiduciarios, la Póliza o
el cumplimiento de las obligaciones del Fiduciario bajo cualquier
Documento de la Operación, y dicha información no sea corregida
dentro de los 30 días naturales contados desde la fecha en que el
Fiduciario conozca que dicha información es falsa o errónea; o
(iii)
que el Fiduciario esté en incumplimiento de cualesquiera otros
términos, obligaciones o condiciones del Contrato de Fideicomiso
o los demás Documentos de la Operación por (a) quince días
naturales (o cualquier otro periodo de gracia mayor o menor
establecido en el contrato respectivo), después de notificar al
Fiduciario, en el caso de cualquier incumplimiento que pueda ser
subsanado mediante el pago de una cantidad en dinero; o (b) por
30 días naturales después de notificar al Fiduciario en caso de
cualquier otro incumplimiento; en el entendido, sin embargo, que si
algún incumplimiento no monetario no pudiera ser remediado
razonablemente dentro de dicho periodo original de 30 días
naturales, y el Fiduciario ha comenzado a remediar el mismo
dentro de dicho periodo de 30 días naturales y a partir de entonces
proceda diligentemente y de manera expedita a remediar el
mismo, dicho plazo de 30 días naturales se extenderá por un
periodo adicional de 30 días naturales; o
(iv) que el Fiduciario rechace o impugne la validez u obligatoriedad de
los Certificados Bursátiles Fiduciarios o de los demás Documentos
de la Operación; o
(v)
que ocurra y continúe durante un periodo de más de 30 días
naturales, un incumplimiento de HSC a los Documentos de la
Operación (con excepción del Contrato de Administración) que
tenga un efecto adverso importante en los Certificados Bursátiles
Fiduciarios o en MBIA; o
(vi) que el Fiduciario transfiera o afecte cualesquiera de los bienes o
derechos que integran el Patrimonio del Fideicomiso de una
manera distinta a lo expresamente permitido bajo el Contrato de
Fideicomiso o los demás Documentos de la Operación; o
(vii) que cualquier declaración realizada por el Fiduciario en cualquiera
de los Documentos de la Operación, certificado, reporte, estado
financiero o cualquier otro documento sea falsa o errónea en
cualquier aspecto importante a la fecha en que dicha declaración
fue realizada, en el entendido, sin embargo, que si las
circunstancias que provocaron dicho incumplimiento en las
declaraciones bajo los Documentos de la Operación, certificado o
reporte entregado conforme a cualquiera de los Documentos de la
Operación sea remediado, dentro del periodo especificado en el
contrato correspondiente como periodo para remediarlo, dicho
incumplimiento de las declaraciones en sí mismo no deberá
constituir una Causa de Incumplimiento del Contrato de
Fideicomiso; o
(viii) que el Fiduciario inicie, en relación con el presente Fideicomiso,
cualquier procedimiento relacionado con un concurso mercantil,
quiebra, insolvencia o reestructuración de pasivo; o que sea
designado un interventor, conciliador, síndico, liquidador o
fiduciario en relación con el presente Fideicomiso, o si el Fiduciario
es declarado en concurso mercantil, quiebra o insolvencia, o si
cualquier solicitud o demanda de concurso mercantil o
reestructuración de pasivos es presentada respecto del presente
Fideicomiso de conformidad con la Ley de Concursos Mercantiles,
o cualquier ley federal o estatal similar, o que dicha declaración,
solicitud o procedimiento fueren involuntarias o no consentidas por
el Fiduciario, y subsistan sin cancelarse o desecharse por un
período de 60 (sesenta) días naturales; o
(ix) que se vuelva ilegal para el Fiduciario actuar en dicho carácter y
no se nombre un fiduciario sustituto de conformidad con lo
establecido para tal efecto en el Contrato de Fideicomiso, dentro
de los 60 (sesenta) días siguientes a la fecha en que ocurra dicha
circunstancia; en el entendido de que si el fiduciario sustituto ha
sido designado, MBIA, siempre y cuando sea el Fideicomisario
Controlador, y si ese no es el caso, entonces por el Representante
Común, deberá aprobar dicha designación y las Agencias
Calificadoras deberán haber confirmado por escrito que dicha
designación no resultará en la disminución o remoción de la
Calificación de los Certificados Bursátiles Fiduciarios (sin
considerar la Póliza); o
(x)
que haya ocurrido y continúe una Causa de Sustitución del
Administrador o que el Contrato de Administración sea terminado
por el Administrador y un Administrador Sustituto no haya sido
designado de conformidad con los términos y condiciones
previstos en el Contrato de Administración dentro de un plazo de
60 (sesenta) días naturales contado a partir de que ocurra la
Causa de Sustitución o la terminación del Contrato de
Administración.
(xi) que el Fiduciario por cualquier motivo deje de ser el legítimo
propietario de los Créditos Hipotecarios o del Patrimonio del
Fideicomiso; o
(xii) que se realice cualquier reclamación válida bajo la Póliza.
Fiduciarios
Significan en forma conjunta los Certificados Bursátiles Fiduciarios Serie
A y los Certificados Bursátiles Fiduciarios Serie B emitidos por el
Fiduciario con cargo al Patrimonio del Fideicomiso de conformidad con
los artículos 61, 62, 63 y 64 de la LMV.
Fiduciarios Serie A
Significan, conjuntamente los Certificados Bursátiles Serie A1 y los
Certificados Bursátiles Fiduciarios Serie A2.
Fiduciarios Serie A1
Significan, los títulos de crédito que sean colocados entre el gran público
inversionista por el Fiduciario, con un valor nominal cada uno de 100.00
(Cien) UDIS, emitidos por el Fiduciario con cargo al Patrimonio del
Fideicomiso, de conformidad con los artículos 61, 62, 63 y 64 de la LMV.
Fiduciarios Serie A2
Fideicomiso, de conformidad con los artículos 61, 62, 63 y 64 de la LMV.
Fiduciarios Serie B
Fideicomiso, de conformidad con los artículos 61, 62, 63 y 64 de la LMV,
los cuales se encuentran subordinados a los Certificados Bursátiles
Fiduciarios Serie A y a cualquier cantidad que, en su caso, se adeude a
MBIA, en cuanto al derecho y prioridad para recibir pago de principal e
intereses del Fideicomiso.
CNBV
Significa, la Comisión Nacional Bancaria y de Valores.
Cobertura de Pagos en
SMGV
Significa, con respecto a los Créditos Hipotecarios, el convenio por
medio del cual HSC acordó con el Deudor Hipotecario respectivo,
acreditar en forma mensual contra el saldo de dicho crédito un monto en
UDIS igual a la diferencia que pueda existir entre el monto del pago
efectuado por el Deudor Hipotecario respectivo (indexado al aumento del
Salario Mínimo) y el pago programado bajo dicho crédito (denominado
en UDIS) y el Deudor Hipotecario se comprometió a pagar una
contraprestación por el monto que se especifica en dicho convenio.
Cobertura SHF
Significa, respecto de los Créditos Hipotecarios, el contrato de
intercambio de flujos en la forma del Anexo “I” del Contrato de Cesión,
celebrado entre la Sociedad Hipotecaria Federal y el Fiduciario en la
Fecha de Cierre.
Cobranza
significa, con respecto a los Créditos Hipotecarios el monto total de las
Cantidades Incluidas que sean efectivamente cobradas por o a cuenta
del Administrador en un Período de Cobranza menos (i) el monto de la
Comisión por Administración que le corresponda al Administrador
durante dicho periodo y (ii) las cantidades que de conformidad con el
Contrato de Administración, no deban de ser depositadas en la Cuenta
General, incluyendo sin limitación, los Gastos de Cobranza y las primas
de Seguros, así como las cantidades que se identifiquen como Montos
Recibidos Por Aplicar.
Comisión por
Administración
Significa, la contraprestación que el Administrador tiene derecho a
percibir en términos del Contrato de Administración.
Constancia
Significa, las constancias que acreditan a sus tenedores como titulares
de los derechos de Fideicomisario en Cuarto Lugar, conforme al
Contrato de Fideicomiso, incluyendo el derecho a recibir el porcentaje de
las Distribuciones que se efectúen de conformidad con la cláusula
Décima Segunda del Contrato de Fideicomiso, y en general, la
proporción que corresponda del Remanente que pueda haber en el
Patrimonio del Fideicomiso después del pago total de los Certificados
Bursátiles Fiduciarios, las cantidades adeudadas a MBIA conforme al
Contrato de Seguro de Garantía Financiera, las cantidades adeudadas
bajo el Contrato de Fideicomiso y los demás Documentos de la
Operación, suscritas por el Fiduciario en los términos de la cláusula
Quinta del Contrato de Fideicomiso y sustancialmente en la forma del
Anexo “B” de dicho contrato.
Contrato de
Administración
Significa, el contrato de administración y cobranza que celebrará el
Fiduciario y el Administrador, para que éste como Administrador lleve a
cabo la administración y cobranza de los Créditos Hipotecarios, sus
accesorios y los Seguros, mediante una comisión mercantil con
responsabilidad del Fiduciario en términos del original firmado que se
anexa al Contrato de Fideicomiso como Anexo “C”.
Contrato de Cesión
Significa, el contrato de cesión irrevocable, en términos del Anexo “D”,
celebrado en escritura pública entre HSC como cedente, y el Fiduciario,
como cesionario, por medio del cual HSC cede a favor del Fiduciario,
para beneficio del Patrimonio del Fideicomiso Créditos Hipotecarios, y
sus accesorios, incluyendo la Hipoteca, los Seguros, la Cobertura de
Pagos en SMGV y los derechos derivados del Convenio de Colaboración
respecto de los Créditos Hipotecarios Cofinanciados.
Contrato de Cesiones
Adicionales
Significa, el contrato de cesión en escritura pública por medio del cual
HSC substituya un Crédito Hipotecario con otro crédito hipotecario junto
con el beneficio de sus accesorios, incluyendo la Hipoteca, los Seguros,
la Cobertura de Pagos en SMGV y los derechos derivados del Convenio
de Colaboración respecto de los Créditos Hipotecarios Cofinanciados, en
su caso, conforme a lo establecido en el Contrato de Cesión.
Contrato de Depósito
Significa, el Contrato de Depósito y Administración de Archivos de fecha
10 de octubre de 2003, celebrado entre el Custodio y el Administrador,
mismo que fue reformado el 15 de noviembre de 2003 y el 27 de
septiembre de 2004.
Contrato de
Fideicomiso
Significa el contrato de fideicomiso irrevocable número F/234036
celebrado por HSC en su carácter de fideicomitente, con el Fiduciario, en
su carácter de fiduciario, el Representante Común, en su carácter de
representante común de los Tenedores de los Certificados Bursátiles
Fiduciarios y MBIA, de fecha 23 de octubre de 2007, constituido con la
finalidad de afectar al Fideicomiso por parte de HSC, los derechos
respecto a los Créditos Hipotecarios, las Hipotecas, el derecho a
efectuar reclamaciones bajo los Seguros y la Cobertura de Pagos en
SMGV, con el fin principal de emitir los Certificados Bursátiles
Fiduciarios y colocarlos entre el gran público inversionista.
Contrato de Seguro de
Garantía Financiera
Tendrá el significado que se le atribuye en la Declaración I (g) del
Contrato de Fideicomiso
Convenio de
Colaboración
Significa, el Convenio de Colaboración de fecha 9 de junio de 2004,
celebrado entre el Fideicomitente y el Infonavit, para establecer las
bases, condiciones y procedimientos para el otorgamiento de Créditos
Hipotecarios Cofinanciados.
Convenio de
Reconocimiento de
Adeudo y Pago de SHF
significa conjuntamente, (i) el convenio de reconocimiento de adeudo y
pago a ser celebrado entre el Fideicomitente y SHF y/o FOVI en la
Fecha de Cierre o en la fecha de celebración del Contrato de Cesión
Adicional aplicable, según sea el caso, que establece el pago de las
cantidades adeudadas por el Fideicomitente a SHF y/o FOVI y la
liberación de las hipotecas en primer lugar y grado a favor de SHF y/o
FOVI sobre los Inmuebles respectivos respecto de los Créditos
Hipotecarios, y (ii) el poder especial irrevocable a ser otorgado por SHF
y/o FOVI a favor del Fiduciario en la Fecha de Cierre o en la Fecha de
Cesión Adicional aplicable, según sea el caso, a efecto de cancelar las
hipotecas en primer lugar y grado constituidas sobre los Inmuebles a
favor de SHF y/o FOVI.
Crédito Hipotecario
Reestructurado
Significa, un Crédito Hipotecario respecto del cual el Deudor Hipotecario
y el Cedente han acordado por escrito, la modificación de las
condiciones del Crédito Hipotecario en relación con cualesquiera de los
siguientes temas (i) disminución de la tasa de interés, o (ii) cambios de la
denominación de un crédito en UDIS a Pesos.
Vencido
Significa, un Crédito Hipotecario con respecto del cual más del
equivalente de tres (3) pagos mensuales previstos en el contrato de
crédito respectivo se encuentra pendiente de pago más allá de la fecha
debida conforme al mismo (incluyendo, sin limitación, todas las
cantidades que por concepto de principal, intereses ordinarios,
comisiones, primas de Seguros y primas por la Cobertura SHF o por
cualquier otra cobertura, en su caso).
Vigente
Significa, un Crédito Hipotecario con respecto del cual no haya más del
equivalente a tres (3) pagos mensuales previstos en el contrato de
crédito respectivo se encuentra pendiente de pago más allá de la fecha
debida conforme al mismo (incluyendo, sin limitación, todas las
cantidades que por concepto de principal, intereses ordinarios,
comisiones, primas de Seguros y primas por la Cobertura SHF o por
cualquier otra cobertura, en su caso).
Crédito no Elegible
Significa, (a) un Crédito Hipotecario con respecto del cual una o más de
las declaraciones hechas por HSC, en términos de la cláusula Quinta del
Contrato de Cesión respecto a dicho crédito, es total o parcialmente
incorrecta y, por lo tanto, (i) se afecte la validez o exigibilidad de los
derechos del Fiduciario con respecto de dicho Crédito Hipotecario
(incluyendo, sin limitación, que el Deudor Hipotecario respectivo tenga,
por la circunstancia que hace que la o las declaraciones no sean
correctas, defensas legales que afecten la exigibilidad de los contratos
que documentan dicho crédito); o (ii) se generen condiciones que no
permitan el cumplimiento pleno por parte del Deudor Hipotecario
respectivo de sus obligaciones de pago bajo dicho crédito en la forma y
tiempo que correspondería si esa o esas declaraciones hubieran sido
correctas; o (iii) los derechos de MBIA se vean sustancial y
adversamente afectados, y (b) tratándose de Créditos Hipotecarios en
Jurisdicción Especial, si el Administrador no entrega al Fiduciario (con
copia a MBIA, siempre y cuando sea Fideicomisario Controlador, y si
este no es el caso, entonces al Representante Común), dentro de los 6
(seis) meses siguientes a la fecha en que dicho Crédito Hipotecario en
Jurisdicción Especial fue cedido al Fiduciario, un documento en donde el
Cedente certifique que la cesión respectiva fue debidamente inscrita en
el registro público de la propiedad correspondiente y el Deudor
Hipotecario respectivo ha sido debidamente notificado de la misma, en
ambos casos, en términos de la legislación aplicable.
Créditos Hipotecarios
Significa, los créditos con garantía hipotecaria y sus accesorios,
incluyendo los Seguros y Cobertura de Pagos en SMGV
correspondientes a cada uno de dichos créditos, incluyendo los Créditos
Hipotecarios Cofinanciados y sus accesorios, originados y administrados
por HSC, que se listan en el Anexo “E” del Contrato de Fideicomiso y
que forman parte del Patrimonio del Fideicomiso.
Cofinanciados
Significa, conjuntamente, los créditos con garantía hipotecaria otorgados
de manera simultánea por el Fideicomitente y el Infonavit, los cuales se
encuentran garantizados mediante hipoteca constituida sobre el
inmueble adquirido con el producto del Crédito Hipotecario Cofinanciado
respectivo con la siguiente prelación y orden: (i) en primer lugar y orden
a favor de la SHF y de Infonavit para garantizar las obligaciones a su
favor en forma proporcional al saldo insoluto que hubiere del respectivo
crédito otorgado por SHF al Fideicomitente o el Infonavit al Deudor
Hipotecario al momento del incumplimiento de las obligaciones de pago
que diere lugar a la ejecución de la correspondiente garantía hipotecaria
y (ii) en segundo lugar y orden a favor del Fideicomitente para garantizar
el pago del crédito otorgado por el Fideicomitente al Deudor Hipotecario
respectivo.
en Jurisdicción
Especial
Significa, un Crédito Hipotecario respecto del cual el Inmueble respectivo
se encuentra ubicado en una entidad federativa de México en la que la
cesión de la Hipoteca requiere de inscripción en el registro público de la
propiedad y/o notificación al Deudor Hipotecario.
Cuenta de Cobranza
Significa, la cuenta a nombre del Fiduciario, en la que HSC, como
Administrador, deberá depositar todas las cantidades en efectivo
derivadas de la Cobranza y los Anticipos de MBIA, conforme a lo
establecido en el Contrato de Administración y en el Contrato de
Fideicomiso.
Cuenta de Inversión
Significa, la cuenta que el Fiduciario abra para los efectos descritos en la
cláusula Octava inciso (c) del Contrato de Fideicomiso.
Cuenta de Reserva
Significa, la cuenta a nombre del Fideicomiso, en la que HSC depositará
una cantidad en efectivo correspondiente al monto estimado,
correspondiente a la primera Fecha de Pago, de las cantidades
correspondientes a los numerales (1), (3) y (7) del inciso (b) de la
Cláusula Décimo Segunda del Contrato de Fideicomiso.
Cuenta General
Significa, la cuenta a nombre del Fiduciario y manejada por éste que
operará según se establece en el Contrato de Fideicomiso.
Custodio
Significa, Fipros, S.A. de C.V.
Deudor Hipotecario
Significa la persona física que con carácter de acreditada es parte de un
Crédito Hipotecario, conjuntamente con cualquier otra persona que se
encuentre obligada en relación con dicho Crédito Hipotecario como
fiadora, avalista, obligada solidaria o de cualquier otra forma.
Día Hábil
Significa, todos los días, excepto sábados y domingos, en los que las
instituciones de crédito están obligadas a abrir sus oficinas y sucursales
de conformidad con el calendario que anualmente publica la CNBV.
Distribuciones
Significa, los pagos que el Fiduciario, con cargo al Patrimonio del
Fideicomiso, deba de efectuar en una Fecha de Pago de conformidad
con la cláusula Décima Segunda del Contrato de Fideicomiso.
Documentos
Adicionales
Significa, cualquier documento, título, o instrumento distinto de los que
deben integrar un Expediente de Crédito, que corresponda a un Crédito
Hipotecario y que se encuentre en posesión del Fideicomitente, por
ejemplo, (i) la solicitud de Crédito Hipotecario; (ii) la carátula de
resolución; (iii) la autorización para investigación y monitoreo en materia
de crédito por una sociedad de información crediticia; (iv) todos los
avalúos disponibles con respecto al Inmueble sobre el cual se constituyó
la Hipoteca; (v) el acta de nacimiento y fotocopia de identificación del
Deudor Hipotecario; (vi) la carta de comprobación de ingresos del
Deudor Hipotecario; (vii) la carta de constancia de empleo otorgada por
el patrón del Deudor Hipotecario; (viii) en su caso, certificado de
zonificación para uso de suelo relativo al Inmueble objeto de la Hipoteca;
(ix) la tabla de amortización del Crédito Hipotecario; (x) el documento
emitido por la Asociación Mexicana de Sofoles en el que se explica a los
acreditados las características generales de los crédito con garantía
hipotecaria; (xi) oficio de subsidio al impuesto sobre adquisición de
inmuebles, en su caso; y (xii) los contratos celebrados con la Sociedad
Hipotecaria Federal en relación con los Créditos Hipotecarios.
Documentos de la
Operación
Significa, la referencia conjunta al Contrato de Fideicomiso, al Contrato
de Cesión, a cada Contrato de Cesión Adicional, al Contrato de
Administración, a los Certificados Bursátiles Fiduciarios, a la Cobertura
SHF, a la Cobertura de Pagos en SMGV, al Contrato de Seguro de
Garantía Financiera, a la Póliza, al Convenio de Colaboración, al
Contrato de Depósito y al Convenio de Reconocimiento de Adeudo y
Pago de SHF.
Emisión
Significa, la emisión de los Certificados Bursátiles Fiduciarios.
Expedientes de Crédito Significa, con respecto a cada Crédito Hipotecario, el expediente que
contiene, como mínimo, (i) el testimonio de la escritura pública en la que
consta el Crédito Hipotecario y la Hipoteca, con la evidencia de su
registro en el Registro Público de la Propiedad correspondiente o en su
defecto copia de la boleta de entrada en el Registro Público de la
Propiedad o una certificación del notario público ante el que se otorgó la
escritura pública por virtud de la cual certifique que el testimonio se
encuentra en trámite de inscripción ante el Registro Público de la
Propiedad correspondiente; y (ii) en aquellos casos en que la Cobertura
de Pagos en SMGV esté documentada en forma independiente, un
ejemplar firmado de dicho contrato.
Fecha de Cierre
Significa, el día en el que se lleve a cabo la liquidación de la colocación
de los Certificados Bursátiles Fiduciarios en la BMV.
Fecha de Corte
Significa, el 1 de octubre de 2007.
Fecha de
Determinación
Significa, en relación a cada Fecha de Pago, el segundo Día Hábil
siguiente a la Fecha de Transferencia que corresponda a dicha Fecha de
Pago.
Fecha de
Determinación TIIE
Significa, respecto al primer Periodo de Cobranza, 2 Días Hábiles
previos a la Fecha de Cierre, y respecto a los demás Periodos de
Cobranza, 2 (dos) Días Hábiles previos a cada Fecha de Pago.
Fecha de Pago
Significa, el día 25 de cada mes calendario de cada año en que el
Fideicomiso esté vigente, y en caso de que cualquiera de dichas fechas
no sea un Día Hábil, el Día Hábil inmediato posterior, en el entendido
que la primera Fecha de Pago será el 26 de noviembre de 2007.
Fecha de Transferencia Significa, en relación a una Fecha de Pago, el día que ocurra 10 (diez)
Días Hábiles después del último día calendario del Periodo de Cobranza
que corresponda al mes calendario inmediato anterior a esa Fecha de
Pago.
Fecha de Vencimiento
Significa, el 25 de enero de 2034.
Fideicomiso
Significa, el Fideicomiso Irrevocable número F/234036 junto con las
modificaciones que sean acordadas en el futuro de acuerdo a la cláusula
Vigésima Octava del mismo.
Fideicomiso de
Garantía FMO
Significa, el Contrato de Fideicomiso Irrevocable de Administración y
Garantía No. F/00241 de fecha 23 de diciembre de 2005 celebrado entre
Banco J.P. Morgan, S.A., Institución de Banca Múltiple, J.P. Morgan
Grupo Financiero, División Fiduciaria y HSC.
Fideicomiso de
Garantía IFC
Significa, el Contrato de Fideicomiso Irrevocable de Administración y
Garantía No. F/0388 de fecha 2 de diciembre de 2005 celebrado entre
Banco J.P. Morgan, S.A., Institución de Banca Múltiple, J.P. Morgan
Grupo Financiero y HSC.
Fideicomitente
Significa, HSC.
Fideicomisario
Controlador
Significa (i) MBIA, en todo caso excepto en el caso de que hubiere
ocurrido y continuara un incumplimiento por parte de MBIA en sus
obligaciones de pago bajo la Póliza; o (ii) el Representante Común,
únicamente en caso de que hubiere ocurrido y continuara un
incumplimiento por parte de MBIA en sus obligaciones de pago bajo la
Póliza.
Fideicomisario en
Primer Lugar
Significa, los Tenedores Serie A.
Fideicomisario en
Segundo Lugar
Significa, MBIA.
Fideicomisario en
Tercer Lugar
Significa, los Tenedores Serie B.
Fideicomisarios en
Cuarto Lugar
Significan, los tenedores de las Constancias.
Fiduciario
Significa, HSBC México, S.A., Institución de Banca Múltiple, Grupo
Financiero HSBC, División Fiduciaria o la institución que lo sustituya de
conformidad con el Fideicomiso.
Fiduciario del
Fideicomiso de
Garantía FMO
Significa, Banco J.P. Morgan, S.A., Institución de Banca Múltiple, J.P.
Morgan Grupo Financiero, División Fiduciaria, en su carácter de
fiduciario del Fideicomiso de Garantía FMO.
Fiduciario del
Fideicomiso de
Garantía IFC
Significa, Banco J.P. Morgan, S.A., Institución de Banca Múltiple, J.P.
Morgan Grupo Financiero, División Fiduciaria, en su carácter de
fiduciario del Fideicomiso de Garantía IFC.
Fiduciarios de Garantía Significa, el Fiduciario del Fideicomiso de Garantía FMO y el Fiduciario
del Fideicomiso de Garantía IFC.
FMO
Significa, The Netherlands Development Finance Company.
Gastos de Cobranza
Tienen el significado que se le atribuye en el Contrato de Administración.
Gastos Mensuales
Significa, los gastos correspondientes a un Periodo de Cobranza,
pagaderos con cargo al Patrimonio del Fideicomiso, a prorrata en el
orden que se indica en función de las cantidades disponibles en la
Cuenta General:
(i) los honorarios del Fiduciario,
(ii) los honorarios del Representante Común,
(iii) los gastos directos, indispensables y necesarios para cumplir con las
disposiciones legales aplicables, para mantener el registro de los
Certificados Bursátiles Fiduciarios en el RNV y su listado en la BMV,
y aquellos derivados de cualquier publicación,
(iv) los gastos derivados de los honorarios del auditor independiente que
elabore el dictamen anual sobre el Patrimonio del Fideicomiso en el
mes que corresponda,
(v) los honorarios de las Agencias Calificadoras (salvo en el caso de que
no existan en una Fecha de Pago fondos suficientes en las cuentas
del Fideicomiso para el pago íntegro en esa Fecha de Pago de las
Distribuciones descritas en el inciso (1) de la cláusula Décima
Segunda inciso (b) del presente, en cuyo caso el monto de dichos
honorarios no se considerará un Gasto Mensual).
Hipoteca
Significa, cada uno de los contratos de hipoteca por medio del cual cada
Deudor Hipotecario ha constituido un gravamen en primer lugar y grado
de prelación sobre un Inmueble con el fin de garantizar el cumplimiento
completo y puntual de las obligaciones a cargo de dicho Deudor
Hipotecario derivadas de su Crédito Hipotecario. Lo anterior, en el
entendido que (1) en aquellos Créditos Hipotecarios originados por el
Fideicomitente con financiamiento por parte de la SHF, las Hipotecas
respectivas se constituyen en primer lugar y grado de prelación a favor
de la SHF y, en segundo lugar y grado de prelación a favor del
Fideicomitente y, en el entendido, asimismo que, una vez liquidados los
financiamientos otorgados por SHF en los términos contemplados en el
Contrato de Fideicomiso, la Hipoteca otorgada a favor del Fideicomitente
constituirá un gravamen en primer lugar y grado de prelación sobre el
inmueble respectivo a favor del Fideicomitente y (2) en aquellos Créditos
Hipotecarios Cofinanciados, las Hipotecas respectivas se constituyen en
primer lugar y grado de prelación a favor de la SHF, así como a favor del
Infonavit y, en segundo lugar y grado de prelación a favor del
Fideicomitente, en el entendido que una vez liquidados los
financiamientos otorgados por la SHF en los términos contemplados en
el Contrato de Fideicomiso, la hipoteca se encontrará constituida en
primer lugar y grado de prelación a favor del Infonavit y, en segundo
lugar y grado de prelación a favor del Fideicomitente.
HSC ó Su Casita
Significa Hipotecaria Su Casita, S.A. de C.V., Sociedad Financiera de
Objeto Limitado. (Ahora Hipotecaria Su Casita S.A. de C.V. Sociedad
Financiera de Objeto Múltiple. E.N.R.
IFC
Significa International Finance Corporation.
Infonavit
Significa el Instituto del Fondo Nacional de la Vivienda para los
Trabajadores.
Indeval
Significa, la S.D. Indeval Institución para el Depósito de Valores, S.A. de
C.V.
Inmueble
Significa, cada bien inmueble sobre el cual un Deudor Hipotecario ha
constituido una Hipoteca para garantizar el cumplimiento de las
obligaciones a su cargo, derivadas de un Crédito Hipotecario.
Inmueble Adjudicado
Significa, cualquier Inmueble que llegue a ser propiedad del Fiduciario
por cuenta del Fideicomiso por adjudicación judicial o por acuerdo entre
el Administrador y el Deudor Hipotecario respectivo.
INPC
Significa, el Índice Nacional de Precios al Consumidor anunciado de
tiempo en tiempo por Banco de México o, en caso de que el mismo no
sea anunciado, el índice equivalente que el Banco de México anuncie
como su substituto.
Intermediario
Colocador
Significa, conjuntamente ING (México), S.A. de C.V., Casa de Bolsa,
ING Grupo Financiero y Casa de Bolsa BBVA Bancomer, S.A. de C.V.,
Grupo Financiero BBVA Bancomer.
Inversiones Permitidas
Significa la inversión a un día (overnight) en: (i) valores gubernamentales
denominados en Pesos o UDIs, emitidos o garantizados por el Gobierno
Federal de México; (ii) reportos sobre dichos valores gubernamentales;
(iii) depósitos a la vista con instituciones de banca múltiple con
calificación crediticia de "mxA-1+" o mejor (en la Escala Nacional CaVal
de Calificaciones de Corto Plazo de Standard & Poor’s o su equivalente),
o "MX-1" o mejor (en la Escala Nacional de Calificaciones de Corto
Plazo de Moody's o su equivalente); o (iv) certificados de depósito en
Pesos con instituciones de banca múltiple con calificación crediticia de
"mxA-1+" o mejor (en la Escala Nacional CaVal de Calificaciones de
Corto Plazo de Standard & Poor’s o su equivalente), o "MX-1" o mejor
(en la Escala Nacional de Calificaciones de Corto Plazo de Moody's o su
equivalente).
LGTOC
Significa, la Ley General de Títulos y Operaciones de Crédito.
LIC
Significa, la Ley de Instituciones de Crédito.
LMV
Significa, la Ley del Mercado de Valores.
MBIA
Significa, MBIA México, S.A. de C.V.
México
Significa, los Estados Unidos Mexicanos.
Modificación
Sustancial
Significa la modificación o variación en (i) la tasa de interés de los
Certificados Bursátiles Fiduciarios, (ii) el saldo principal insoluto de los
Certificados Bursátiles Fiduciarios, (iii) las Fechas de Pago; (iv) la Fecha
de Vencimiento; (v) la prioridad de pagos prevista en la cláusula Décimo
Segunda del Contrato de Fideicomiso; en el entendido de que en este
último caso, no se considerará una “Modificación Sustancial”, si la
modificación de que se trate se refiere al pago a los tenedores del
Residual; (vi) el inciso (b) de la cláusula Décima Novena del Contrato de
Fideicomiso; (vii) la cláusula Tercera del Contrato de Fideicomiso en
cuanto a la prelación de los Tenedores de los Certificados Bursátiles
Fiduciarios como fideicomisarios en primer lugar y tercer lugar, según
sea el caso; o (viii) esta definición; en la inteligencia de que nada de lo
anterior será considerado como una “Modificación Sustancial” si los
Certificados Bursátiles Fiduciarios han sido liquidados en su totalidad.
Monto de Amortización
Anticipada de Principal
para la Serie A
Significa, para una Fecha de Pago, la cantidad que sea necesaria para
alcanzar el Porcentaje Objetivo Serie A, después que dicho monto sea
aplicado a la amortización de principal de los Certificados Bursátiles
Fiduciarios Serie A en dicha Fecha de Pago conforme la Cláusula
Décima Segunda.
para la Serie A1
Significa, para una Fecha de Pago, el Monto de Amortización Anticipada
de Principal para la Serie A hasta que los Certificados Bursátiles
Fiduciarios Serie A1 hayan amortizados en su totalidad.
para la Serie A2
Significa, para una Fecha de Pago, el Monto de Amortización Anticipada
de Principal para la Serie A menos el Monto de Amortización Anticipada
de Principal para la Serie A1.
para la Serie B
Significa, para una Fecha de Pago, la cantidad que sea necesaria para
alcanzar el Porcentaje Objetivo Serie B, después que dicho monto sea
aplicado a la amortización de principal de los Certificados Bursátiles
Fiduciarios Serie B en dicha Fecha de Pago conforme la Cláusula
Décima Segunda.
Monto de Pago de
Interés de la Serie A
Significa, conjuntamente, el Monto de Pago de Interés de la Serie A1 y el
Monto de Pago de Interés de la Serie A2.
Monto de Pago de
Interés de la Serie A1
significa, el monto en Pesos que corresponda a los intereses pagaderos
con respecto a los Certificados Bursátiles Fiduciarios Serie A1 en una
Fecha de Pago que se determinará de conformidad con los términos y
condiciones establecidos en el título que documente dichos Certificados
Bursátiles Fiduciarios Serie A1.
Monto de Pago de
Interés de la Serie A2
Significa, el monto en Pesos que corresponda a los intereses pagaderos
con respecto a los Certificados Bursátiles Fiduciarios Serie A2 en una
Bursátiles Fiduciarios Serie A2.
Monto de Pago de
Interés de la Serie B
Significa, el monto en Pesos que corresponda a los intereses pagaderos
con respecto a los Certificados Bursátiles Fiduciarios Serie B en una
Bursátiles Fiduciarios Serie B.
Montos de Reembolso
Significa, todos los montos dispuestos por el Fiduciario de conformidad
con la Póliza y los demás montos vencidos y adeudados a MBIA de
conformidad con el Contrato de Seguro de Garantía Financiera y el
Contrato de Fideicomiso, que no hayan sido reembolsados por el
Fiduciario a MBIA, de conformidad con la Cláusula Décima Segunda del
Contrato de Fideicomiso. Todos los Montos de Reembolso devengarán
intereses a una tasa equivalente a la TIIE más 2% (dos por ciento).
Montos Recibidos
Aplicados
Significa, del Saldo de los Montos Recibidos por Aplicar al cierre del
Periodo de Cobranza anterior, una vez devengada la siguiente
mensualidad que se hará exigible al vencimiento de ésta, esto es, al
corte de cada uno de los Créditos Hipotecarios y mediante la instrucción
expresa por parte del Deudor Hipotecario se aplicara las cantidades que
este último especifique como adelanto de mensualidad o como prepago
de principal.
Montos Recibidos Por
Aplicar
Significan, aquellos pagos recibidos de los Deudores Hipotecarios que
exceden de su obligación exigible y que no hay una instrucción expresa
por parte de dichos Deudores Hipotecarios para que sean aplicados ya
sea como adelanto a mensualidades o prepago de principal, por lo que
permanecerán en éste rubro hasta que se pueda aplicar a alguno de
estos conceptos.
Notificación al Infonavit Tendrá el significado que se le atribuye a dicho término en la cláusula
Segunda del Contrato de Cesión.
Notificación de
Tiene el significado que se indica en el inciso (b) de la cláusula Décima
Requerimiento de Pago Primera.
Notificación de
Vencimiento
Anticipado
Significa la notificación en la forma del Anexo “O” del Contrato de
Fideicomiso, que MBIA podrá (pero no estará obligado a) presentar al
Fiduciario en caso de que ocurra una Causa de Incumplimiento.
Pagos de Principal
Tiene el significado que se le atribuye en el inciso (a) de la cláusula
Décima Segunda del Contrato de Fideicomiso.
Pagos por Intereses
Tiene el significado que se le atribuye en el inciso (a) de la cláusula
Décima Segunda del Contrato de Fideicomiso.
Patrimonio del
Fideicomiso
Significa, los bienes y derechos que han sido o sean cedidos o de
cualquier otra forma transmitidos al Fiduciario en beneficio del
Fideicomiso durante la vigencia del Contrato de Fideicomiso junto con
todos sus frutos, productos y accesorios.
Periodo de Cobranza
Significa, con respecto a la primera Fecha de Pago y el primer Periodo
de Cobranza, respecto a Cobranza recibida por concepto de principal, el
periodo de tiempo que inicia (sin incluir) la Fecha de Corte y que termina
en (e incluye) el primer día del mes en que ocurra la primera Fecha de
Pago. En el primer Periodo de Cobranza no habrá Cobranza por
concepto de intereses. Respecto a cualquier otra Fecha de Pago
subsiguiente, Periodo de Cobranza significa el periodo de tiempo que
inicia (e incluye) el segundo día de cada mes calendario inmediato
anterior al que dicha Fecha de Pago ocurra y que termina (e incluye) el
primer día del mes calendario inmediato siguiente a dicha Fecha de
Pago.
Pesos
Significa, la moneda de curso legal de los Estados Unidos Mexicanos.
Porcentaje de Aforo
Significa, el porcentaje que resulte de la siguiente fórmula:
100-[SIP/CHV]*100
En donde:
SIP = Monto de Principal de los Certificados Bursátiles Fiduciarios Serie
A y los Certificados Bursátiles Fiduciarios Serie B en la Fecha de Pago
para la que se haga el cálculo después de efectuar las Distribuciones
que correspondan a dicha Fecha de Pago.
CHV = monto total de principal de todos los Créditos Hipotecarios
Vigentes al último día del Periodo de Cobranza.
Póliza
Significa, la póliza de seguro de garantía financiera para beneficio de los
tenedores Serie A que emitirá MBIA, sujeto a los términos y condiciones
previstas en el Contrato de Seguro de Garantía Financiera.
Porcentaje Objetivo
Serie A
Significa que el saldo insoluto de Certificados Bursátiles Fiduciarios
Serie A que represente el 88.9% (ochenta y ocho punto nueve por
ciento) del saldo insoluto de todos los Créditos Hipotecarios Vigentes.
Porcentaje Objetivo
Serie B
Significa, el saldo insoluto de Certificados Bursátiles Fiduciarios Serie B
que represente el 8.3% (ocho punto tres por ciento) del saldo insoluto de
todos los Créditos Hipotecarios Vigentes.
Producto de
Liquidación
Significa, el monto total de las cantidades recibidas por la liquidación de
un Crédito Hipotecario Vencido o la enajenación de un Inmueble
Adjudicado, ya sea que ésta se obtenga a través de la enajenación
extrajudicial, judicial, indemnizaciones de Seguros, u otro tipo de
indemnizaciones, incluyendo sin limitación aquellas derivadas de
expropiación o cualquier otro acto o procedimiento administrativo similar.
Producto Neto de
Liquidación
Significa, el monto total del Producto de Liquidación cobrado por el
Administrador después de descontar los Gastos de Cobranza
correspondientes al proceso de cobranza del Crédito Hipotecario
respectivo de conformidad con el Contrato de Administración.
Remanente
Tendrá el significado que se le atribuye en la cláusula Quinta del
Contrato de Fideicomiso.
Reporte de Cobranza
Significa, el reporte en la forma del Anexo “F” del Contrato de
Fideicomiso, que el Administrador deberá preparar y entregar al
Fiduciario en términos del Contrato de Fideicomiso, en el cual se
detallará la Cobranza y los Montos Recibidos por Aplicar obtenidos
durante un Periodo de Cobranza. El Reporte de Cobranza detallará
asimismo cualquier Crédito Hipotecario que hubiera sido substituido
durante el Periodo de Cobranza.
Reporte de
Distribuciones
Significa, el reporte en la forma del Anexo “G” del Contrato de
Fideicomiso, que el Representante Común deberá entregar al Fiduciario,
a MBIA y a los tenedores de las Constancias de conformidad con la
cláusula Décima Primera del presente.
Representante Común
significa, Banco Invex, S.A., Institución de Banca Múltiple, Invex Grupo
Financiero, Fiduciario en su carácter de representante común de los
Tenedores de conformidad con el título que ampare los Certificados
Bursátiles Fiduciarios o quien lo substituya en su caso, de acuerdo a lo
dispuesto en dichos títulos.
RNV
Significa, el Registro Nacional de Valores.
Saldo de los Montos
Recibidos por Aplicar
Significa, del Saldo de Montos Recibidos por Aplicar al cierre del periodo
anterior, menos los Montos recibidos Aplicados, más los pagos recibidos
durante el periodo del reporte que se clasifiquen según lo establecido en
la definición de Montos recibidos Por Aplicar, dará como resultado el
Saldo de los Montos Recibidos por Aplicar al final del periodo.
Saldo Insoluto de
Principal
Significa, la suma del Saldo Insoluto de Principal de cada Serie.
Saldo Insoluto de
Principal de cada Serie
Significa, en relación con los Certificados Bursátiles Fiduciarios de dicha
Serie, para el periodo entre la Fecha de Emisión y la primera Fecha de
Pago un monto en Pesos igual al valor nominal de los Certificados
Bursátiles Fiduciarios de dicha Serie y a partir de la primera Fecha de
Pago y hasta la fecha de su liquidación total, para la fecha en que se
haga la determinación, el monto en Pesos que resulte de la siguiente
fórmula:
SIP = SIPI-1 - AM
En donde:
SIP =
Saldo Insoluto de Principal de todos los Certificados
Bursátiles Fiduciarios de dicha Serie.
SIPI-1 =
Bursátiles Fiduciarios de dicha Serie en la Fecha de
Pago inmediata anterior (antes de aplicar las
amortizaciones de principal correspondientes a dicha
Fecha de Pago).
AM =
Monto en Pesos igual al monto de la amortización de
principal que se haya efectuado con respecto a los
Certificados Bursátiles Fiduciarios de dicha Serie en la
Fecha de Pago inmediata anterior.
El Saldo Insoluto de Principal de cada Certificado
Bursátil de dicha Serie se calculará en base a la
siguiente fórmula:
SIPI =
SIP / número de títulos en circulación de dicha Serie.
En donde:
Saldo Insoluto de la
Cuenta de Reserva
SIPI =
Saldo Insoluto de Principal de cada Certificado Bursátil
de dicha Serie.
SIP =
Bursátiles Fiduciarios.
Significa, para el periodo entre la Fecha de Emisión y la primera Fecha
de Pago un monto igual al equivalente en pesos de los numerales (1),
(3) y (7) del inciso (b) de la cláusula Décima Segunda del Contrato de
Fideicomiso, y a partir de la primera Fecha de Pago y hasta que la
Cuenta de Reserva haya sido reconstituida en su totalidad, el monto en
pesos que resulte de la siguiente fórmula:
SICR = SICR-1 - RCR
En donde:
SICR = Saldo Insoluto de la Cuenta de Reserva
SICR-1 = Saldo Insoluto de la Cuenta de Reserva en la Fecha de Pago
inmediata anterior (antes de aplicar la Reconstitución de Principal
correspondiente a dicha Fecha de Pago)
RCR = Reconstitución de Principal de la Cuenta de Reserva, monto en
Pesos correspondiente a la cantidad aplicada para reconstituir el Saldo
Insoluto de la Cuenta de Reserva, conforme a la prelación de pagos
indicada en la cláusula Décima Segunda del Contrato de Fideicomiso.
Seguros
Significa, en forma conjunta los Seguros de Daños y los Seguros de Vida
e Incapacidad.
Seguro de Daños
Significa, con respecto de cada Inmueble, el seguro contra daños
contratados para cubrir cualquier daño o menoscabo que pueda sufrir
dicho Inmueble (incluyendo daños derivados de incendio, terremoto,
inundación y explosión) de conformidad con los requisitos establecidos
en el Contrato de Administración y en los Créditos Hipotecarios.
Seguro de Vida e
Incapacidad
Significa, con respecto de cada Deudor Hipotecario, el seguro que cubre
el riesgo de muerte e incapacidad total y permanente de dicho deudor de
conformidad con los requisitos establecidos en el Contrato de
Administración y en los Créditos Hipotecarios.
Sociedad Hipotecaria
Federal o SHF
Significa, la Sociedad Hipotecaria Federal, S.N.C., Institución de Banca
de Desarrollo.
Tenedores
Significa, los tenedores de los Certificados Bursátiles Fiduciarios,
quienes en todo momento estarán representados por el Representante
Común.
Tenedores Serie A
Significa, conjuntamente los Tenedores Serie A1 y los Tenedores Serie
A2.
Tenedores Serie A1
Significa, los Tenedores de los Certificados Bursátiles Fiduciarios Serie
A1.
Tenedores Serie A2
A2.
Tenedores Serie B
B.
UDI
Significa, la unidad de cuenta denominada Unidad de Inversión cuyo
valor en Pesos publica periódicamente el Banco de México en el Diario
Oficial de la Federación, a la que se refiere el Decreto por el que se
establecen las obligaciones que podrán denominarse en Unidades de
Inversión y reforma y adiciona diversas disposiciones del Código Fiscal
de la Federación y de la Ley del Impuesto sobre la Renta, publicado en
el Diario Oficial de la Federación los días 1° y 4 de abril de 1995. En el
caso de que Banco de México deje de publicar el valor de la UDI por
cualquier motivo, se utilizará la unidad que Banco de México publique en
sustitución de las UDIS. En el caso de que Banco de México no publique
una nueva unidad en sustitución de las UDIS, el Administrador calculará
quincenalmente una unidad substituta y se la comunicará por escrito al
Fiduciario, al Representante Común y a MBIA, siempre y cuando sea el
Fideicomisario Controlador. Con dicho propósito, la variación porcentual
del valor de dicha unidad substituta del día once (11) al día veinticinco
(25) de cada mes será igual a la variación porcentual del INPC, en la
segunda quincena del mes inmediato anterior. La variación porcentual
del valor de la unidad substituta del día veintiséis (26) de un mes al día
diez (10) del mes inmediato siguiente será igual a la variación porcentual
del INPC, en la primera quincena del mes referido en primer término.
Para determinar las variaciones del valor de la unidad substituta
correspondientes a los demás días calendario del período de cálculo, la
variación porcentual quincenal del INPC, inmediato anterior a cada uno
de esos períodos de cálculo se distribuirá entre el número de días
calendario comprendido en el período de cálculo de que se trate de
manera que la variación porcentual del valor de la unidad substituta en
cada uno de esos días sea uniforme.
b) Resumen ejecutivo
El siguiente resumen ejecutivo se complementa con información más detallada que se incluye en el
Prospecto. Adicionalmente, se completa con la información presentada en la sección "Factores de
Riesgo" del prospecto, misma que debe ser leída de manera minuciosa por los futuros inversionistas
con el fin de tomar conciencia de los posibles eventos, que pudieran afectar al Patrimonio del
Fideicomiso Emisor correspondiente, los Certificados Bursátiles Fiduciarios descritos en cada
Suplemento, el desempeño de cada Administrador, y los demás riesgos de cada Emisión.
El Programa
El propósito del Programa es establecer el marco para una serie de bursatilizaciones de Créditos
Hipotecarios aportados por Su Casita, o en su caso en conjunto con otros Fideicomitentes, o por Su
Casita con cofinanciamiento, a distintos Fideicomisos Emisores. Con respecto a cada Fideicomiso
Emisor se efectúan ofertas públicas de Certificados Bursátiles Fiduciarios, cada uno de los cuales se
celebra a efecto de realizar las distintas Emisiones al amparo del Programa.
Por la cesión de Créditos Hipotecarios, los Fideicomitentes, reciben una contraprestación que el
Fiduciario de cada Fideicomiso realiza con los recursos que se obtienen del público inversionista por
la oferta y colocación de los Certificados Bursátiles Fiduciarios de cada Emisión.
Una vez que el Fideicomitente haya llevado a cabo la cesión de los Créditos Hipotecarios el
Fiduciario de cada Fideicomiso emite una o más Constancias a favor del Fideicomitente o de la
persona que el Fideicomitente designe, con cargo al Patrimonio del Fideicomiso respectivo,
entonces, el Fiduciario lleva a cabo la emisión y colocación de los Certificados Bursátiles Fiduciarios.
Los recursos obtenidos de la colocación de los Certificados Bursátiles Fiduciarios sirven para cubrir
el importe derivado de la cesión onerosa de los Créditos Hipotecarios realizada por Su Casita en
favor del Fiduciario perfeccionada a través del Contrato de Cesión. Una vez realizado lo anterior, el
Patrimonio del Fideicomiso Emisor correspondiente consiste principalmente de Créditos Hipotecarios
y de la Cobranza derivada de los mismos.
Los Créditos Hipotecarios aportados a cada Fideicomiso reúnen ciertos criterios de elegibilidad que
cada Contrato de Cesión establece y se describen en el Suplemento correspondiente. Para el caso
de que alguno de los Créditos Hipotecarios no reúna dichos criterios, Su Casita esta obligado a
substituirlo por otro Crédito Hipotecario que cumpla con los criterios de elegibilidad establecidos en
dicho Contrato de Cesión o en su caso por efectivo.
Las Constancias que emite el Fiduciario de cada Fideicomiso otorgan a su titular el derecho a (i)
ciertas distribuciones de conformidad con el Contrato de Fideicomiso bajo el cual se emiten y (ii) en
general, del remanente que pueda haber del Patrimonio del Fideicomiso Emisor correspondiente
después del pago total de los Certificados Bursátiles Fiduciarios, las cantidades adeudadas bajo los
términos del Contrato de Fideicomiso y los contratos celebrados de conformidad con el Contrato de
Fideicomiso respectivo de conformidad con lo que se establezca en el Contrato de Fideicomiso y en
el Suplemento de cada Emisión.
En ningún caso el Fiduciario de cada Fideicomiso Emisor puede, con cargo al Patrimonio del
Fideicomiso, otorgarle crédito a Su Casita ni entregarles recursos del Patrimonio del Fideicomiso, con
la excepción de lo que se encuentre descrito en cada Fideicomiso Emisor.
Los Deudores Hipotecarios bajo los Créditos Hipotecarios a través del Administrador, pagan a cada
Fideicomiso el principal e intereses que adeuden bajo dichos Créditos Hipotecarios, de la forma en
que el Administrador les indique, quien a su vez deposita los recursos provenientes de la Cobranza
en la Cuenta de Cobranza de cada Fideicomiso Emisor.
Cada Emisión que se haga al amparo del Programa tiene un patrimonio independiente compuesto de
Créditos Hipotecarios y puede incluir apoyos crediticios o garantías de conformidad con lo que se
señala en el Suplemento correspondiente, los cuales garantizan el pago de una determinada serie de
Certificados Bursátiles Fiduciarios.
Asimismo, el Fiduciario de cada Fideicomiso puede, en su caso, celebrar con la Sociedad Hipotecaria
Federal la Cobertura SHF mediante la cual la Sociedad Hipotecaria Federal se obliga a pagar en
forma mensual al Fiduciario de cada Fideicomiso la diferencia entre el incremento en el salario
mínimo general vigente en el Distrito Federal que, de tiempo en tiempo, determine la Comisión
Nacional de Salarios Mínimos, y el valor de la UDI con respecto a los pagos efectuados por los
Deudores Hipotecarios bajo los Créditos Hipotecarios.
Los Certificados Bursátiles Fiduciarios
Cada Emisión de Certificados Bursátiles Fiduciarios vencen, para todos los efectos legales, en la
fecha en que se indique en el título y en el Suplemento respectivo, en la cual los Certificados
Bursátiles Fiduciarios respectivos deben haber sido amortizados en su totalidad. Si en esa fecha aún
queda pendiente cualquier monto de principal y/o intereses bajo dichos Certificados Bursátiles
Fiduciarios, los Tenedores tienen el derecho de exigir su pago de conformidad con lo descrito en
cada uno de los Suplementos correspondiente a cada Emisión. Los Certificados Bursátiles
Fiduciarios pueden vencer antes de esa fecha en el caso de que ocurra una causa de
incumplimiento, según se determine en el Suplemento correspondiente de cada Emisión.
A partir de su Fecha de Emisión y en tanto no sean amortizados en su totalidad, los Certificados
Bursátiles Fiduciarios causan intereses ordinarios sobre el saldo insoluto de principal a la tasa de
interés que se fije, y en la forma que se establezca, en el Suplemento correspondiente. Los
Certificados Bursátiles Fiduciarios pueden ser amortizados anticipadamente por el Fideicomitente de
conformidad con lo establecido en el suplemento informativo relativo a cada emisión bajo el
Programa.
La forma en que se paguen los Certificados Bursátiles Fiduciarios se encuentra directamente
relacionada con el pago de los Créditos Hipotecarios por parte de los Deudores Hipotecarios, al
evaluar la posible adquisición de los Certificados Bursátiles Fiduciarios los posibles adquirentes
deberán considerar las características generales de los Créditos hipotecarios.
Garantías o Apoyos Crediticios
Las emisiones de Certificados Bursátiles Fiduciarios al amparo del Programa pueden contar con las
Garantías ó apoyos crediticios de alguna institución nacional ó extranjera de acuerdo a lo que se
indique en el Suplemento respectivo
Bonos Respaldados por Hipotecas (BORHI’s)
Los Certificados Bursátiles Fiduciarios son consideradas como BORHI’s, al cumplir las siguientes
características:
a)
Serán bonos emitidos en oferta pública con base en la afectación en fideicomiso de créditos con
garantía hipotecaria o fiduciaria, destinados a la adquisición de vivienda;
b)
Cada emisión al amparo del programa cuenta con al menos dos dictámenes sobre calidad crediticia
expedidos por cualesquiera de las instituciones calificadoras de valores, en las cuales se le asigna
una calificación equivalente al grado de inversión más alto en la escala nacional;
c)
Los pagos de interés y principal de los Créditos Hipotecarios deben ser transferidos bajo el mismo
concepto y de forma directa a los BORHI’s respaldados por tales créditos, siempre y cuando se
respete la prelación de pagos que al efecto se señale en cada uno de los suplementos informativos
correspondientes a cada una de las emisiones que se lleven a cabo al amparo del Programa;
d)
Previo a la emisión de los BORHI’s se ha designado a la Depositaria como custodio de la
documentación relativa a los créditos que los respaldan. Asimismo, ni el Administrador ni el
Fideicomitente fungen como custodio de la misma; y
e)
En el Contrato de Administración correspondiente a cada emisión, se establece una mecánica para
designar a un Administrador Sustituto en los supuestos ahí previstos.
c) Documentos de carácter público
En caso de requerir copias del presente reporte, favor de comunicarse a los siguientes
datos de contacto
HSBC México, S.A., Institución de Banca Múltiple,
Grupo Financiero HSBC, División Fiduciaria
Paseo de la Reforma 347 P-3
Col. Cuauhtémoc, C.P. 06500
María Teresa Caso
55 57212192
Arturo Ortiz Radilla
55 57216358
d) Otros valores emitidos por el fideicomiso
Al momento de la presentación de este Reporte Anual el Fideicomiso F/234036 no tiene
otros valores emitidos
2) LA OPERACION DE BURSATILIZACION
a) Patrimonio del Fideicomiso
i) Evolución de los activos fideicomitidos, incluyendo sus ingresos
A continuación se presenta la evolución que ha tenido el saldo de la cartera de crédito fideicomitida
desde el inicio de la emisión, dividida en cartera vigente y cartera vencida. Considerando cartera
vigente de 0 a 3 meses de atraso y cartera vencida más de 3 meses de atraso.
UDIS
800,000.00
700,000.00
600,000.00
500,000.00
400,000.00
300,000.00
200,000.00
100,000.00
Cartera Vigente
Monto en UDIS
Cartera Vencida
dic-12
sep-12
jun-12
mar-12
dic-11
sep-11
jun-11
mar-11
dic-10
sep-10
jun-10
mar-10
dic-09
sep-09
jun-09
mar-09
dic-08
sep-08
jun-08
mar-08
dic-07
-
EVOLUCIÓN DEL PORCENTAJE DE CARTERA VENCIDA
60%
50%
40%
30%
20%
10%
% CV (+3)
dic-12
oct-12
jun-12
ago-12
abr-12
dic-11
feb-12
oct-11
jun-11
ago-11
abr-11
dic-10
feb-11
oct-10
ago-10
jun-10
abr-10
dic-09
feb-10
oct-09
jun-09
ago-09
abr-09
dic-08
feb-09
oct-08
jun-08
ago-08
abr-08
dic-07
feb-08
oct-07
0%
% CV (+6)
Al cierre de 2012 (quinto año de vida de la emisión) la cartera vencida a más de 3 meses alcanzó el
55.20%, mientras que la cartera vencida de más de 6 meses de atraso alcanzó 52.04%. La lenta
recuperación de la economía, la tasa de desempleo así como el bajo poder de compra del salario
han repercutido de forma directa el ingreso de los acreditados, lo cual provocó un desperfilamiento
del acreditado con respecto a las condiciones iniciales que tenía al momento de contratar el crédito,
ocasionando una tendencia creciente en la cartera vencida.
AFORO
El aforo de esta emisión se calcula de acuerdo a la siguiente fórmula:
100-[SIP/CHV]*100
En donde:
SIP = Monto de Principal de los Certificados Bursátiles Fiduciarios Serie A1, los Certificados
Bursátiles Fiduciarios Serie A2 y los Certificados Bursátiles Fiduciarios Serie B en la Fecha de Pago
para la que se haga el cálculo después de efectuar las Distribuciones que correspondan a dicha
Fecha de Pago.
CHV = monto total de principal de todos los Créditos Hipotecarios Vigentes al último día del Periodo
de Cobranza.
-30.00%
-50.00%
-70.00%
-90.00%
-110.00%
-130.00%
Af oro
Af oro Objetivo
oct-12
jul-12
abr-12
ene-12
oct-11
jul-11
abr-11
ene-11
oct-10
jul-10
abr-10
ene-10
oct-09
jul-09
abr-09
ene-09
oct-08
jul-08
abr-08
ene-08
-10.00%
oct-07
10.00%
El aforo objetivo de la emisión es del 2.8%. Debido a la tendencia a la alza en la cartera vencida de
esta emisión, la tendencia del aforo ha sido decreciente. El considerable incremento en cartera
vencida ocurrido en Octubre de 2008, provocó que el aforo se hiciera negativo y a partir de ese
momento ha continuado en negativo. Al 31 de diciembre de 2012 el aforo de es de -123.32%.
La información presentada en la gráfica se obtuvo del reporte de distribución (de cada mes) y no es un dato
calculado por el administrador.
i.i) Desempeño de los activos.PREPAGO DE PRINCIPAL VS. PRINCIPAL PROGRAMADO
La siguiente gráfica muestra la evolución que ha tenido el flujo de entrada de principal al
fideicomiso durante el periodo de Enero a Diciembre de 2012.
*Monto en UDIS
El monto de pago de principal programado no tuvo una variación significante mes a mes a
excepción de mayo, mes en que los prepagos programados incrementaron notablemente pues la
variación fue casi 5 veces el promedio de variación mensual. Debido a que los ingresos por
prepagos de capital se ven influenciados por diversos factores económicos y estacionarios, los
niveles mensuales presentan mayor variación. Junio fue el mes con un mayor flujo de capital no
programado tanto en nivel absoluto como relativo al capital programado
FLUJO DE PRINCIPAL E INTERESES
Durante los meses de mayo a julio de 2012 los ingresos por intereses y los flujos de capital
presentaron comportamientos contrarios. Para el resto de los meses de 2012 la tendencia de
ambos flujos fue el mismo, sin embargo, el cambio mensual promedio de los intereses es menor
que el de los flujos de capital.
UDIS
4,000,000
3,500,000
3,000,000
2,500,000
2,000,000
1,500,000
1,000,000
500,000
Monto total de pago de principal (flujo efectivo)
dic-12
nov-12
oct-12
sep-12
ago-12
jul-12
jun-12
may-12
abr-12
mar-12
feb-12
ene-12
-
Intereses
PRINCIPALES INGRESOS DEL FIDEICOMISO
La siguiente gráfica muestra los principales componentes de los ingresos del fideicomiso.
*Monto en UDIS
Como se puede observar, el principal componente de los ingresos son los intereses, los cuales
representan el 55% de los ingresos totales en el periodo reportado. El principal efectivamente
cobrado en el periodo representó el 44% de los ingresos totales mientras que la comisión por
administración representó el 4% del total.
i.ii) Composición de la totalidad de los activos al cierre del periodo.-
Los Créditos Hipotecarios que forman parte del Patrimonio del Fideicomiso son en esencia,
contratos de apertura de crédito con garantía hipotecaria en primer lugar sobre un inmueble
adquirido con las cantidades dispuestas bajo dichos créditos, a una tasa de interés fija. Los
inmuebles adquiridos a través de los Créditos son Inmuebles unifamiliares que en general se ubican
en conjuntos urbanos nuevos en distintas localidades del país. Los Créditos Hipotecarios causan
intereses a una tasa de interés fija.
Los Créditos Hipotecarios se encuentran denominados en UDIs, pagan intereses y principal en
forma mensual. El Fideicomiso es el único beneficiario de estos pagos.
En las tablas que se presentan muestran las características de los Créditos que formaran parte del
Fideicomiso al 31 de diciembre de 2012.
Por saldo insoluto:
Saldo Actual
Menor a 10,000
10,000 a 20,000
20,000 a 30,000
30,000 a 40,000
40,000 a 50,000
50,000 a 60,000
60,000 a 70,000
70,000 a 80,000
80,000 a 90,000
90,000 a 100,000
100,000 a 110,000
110,000 a 120,000
120,000 a 130,000
130,000 a 140,000
140,000 a 150,000
150,000 a 160,000
160,000 a 170,000
170,000 a 180,000
180,000 a 190,000
190,000 a 200,000
200,000 a 210,000
210,000 a 220,000
220,000 a 230,000
230,000 a 240,000
240,000 a 250,000
250,000 a 260,000
260,000 a 270,000
270,000 a 280,000
280,000 a 290,000
290,000 a 300,000
Mayor a 300,000
Total:
Número de
Créditos
72
304
604
748
862
1025
871
822
574
336
268
135
122
121
145
101
61
66
40
41
18
32
16
16
4
3
6
1
2
0
1
7417
Porcentaje de
Número de
Créditos
0.97%
4.10%
8.14%
10.08%
11.62%
13.82%
11.74%
11.08%
7.74%
4.53%
3.61%
1.82%
1.64%
1.63%
1.95%
1.36%
0.82%
0.89%
0.54%
0.55%
0.24%
0.43%
0.22%
0.22%
0.05%
0.04%
0.08%
0.01%
0.03%
0.00%
0.01%
100.00%
Saldo al 31 de
Diciembre de 2012
(UDIS)
334,114.42
4,722,207.14
15,271,788.05
26,153,738.47
38,973,939.14
56,565,619.18
56,440,989.34
61,570,521.35
48,654,560.55
31,808,675.79
27,956,456.50
15,514,422.02
15,276,183.38
16,356,274.32
21,005,492.90
15,629,171.95
9,997,796.80
11,560,551.71
7,391,761.06
8,001,522.68
3,681,739.48
6,897,316.58
3,599,479.38
3,752,032.79
980,165.13
754,582.55
1,589,472.64
274,506.18
570,316.89
307,023.69
511,592,422.06
Porcentaje de
Saldo Insoluto
de Principal
0.07%
0.92%
2.99%
5.11%
7.62%
11.06%
11.03%
12.04%
9.51%
6.22%
5.46%
3.03%
2.99%
3.20%
4.11%
3.06%
1.95%
2.26%
1.44%
1.56%
0.72%
1.35%
0.70%
0.73%
0.19%
0.15%
0.31%
0.05%
0.11%
0.00%
0.06%
100.00%
Por estado:
Estado
QUINTANA ROO
ESTADO DE MEXICO
BAJA CALIFORNIA
NUEVO LEON
JALISCO
VERACRUZ
SONORA
PUEBLA
TAMAULIPAS
COAHUILA
QUERETARO
GUANAJUATO
DISTRITO FEDERAL
MICHOACAN
CHIHUAHUA
NAYARIT
SINALOA
MORELOS
OAXACA
BAJA CALIFORNIA SUR
AGUASCALIENTES
GUERRERO
DURANGO
SAN LUIS POTOSI
YUCATAN
CHIAPAS
HIDALGO
TABASCO
TLAXCALA
Total:
Número de
Créditos
1903
1498
866
499
478
250
174
171
170
154
138
136
135
129
121
109
89
88
79
55
50
46
35
12
10
9
9
3
1
7417
Porcentaje de
Número de
Créditos
25.66%
20.20%
11.68%
6.73%
6.44%
3.37%
2.35%
2.31%
2.29%
2.08%
1.86%
1.83%
1.82%
1.74%
1.63%
1.47%
1.20%
1.19%
1.07%
0.74%
0.67%
0.62%
0.47%
0.16%
0.13%
0.12%
0.12%
0.04%
0.01%
100.00%
Saldo al 31 de
Diciembre de 2012
(UDIS)
96,938,233.04
93,487,313.49
77,205,640.63
35,509,152.36
52,600,543.46
11,277,248.14
13,524,889.41
9,538,148.71
11,210,829.48
9,537,941.70
14,223,471.27
8,821,071.07
10,717,482.93
11,520,721.49
11,046,852.06
5,195,744.75
8,091,009.46
6,796,185.38
6,587,999.33
4,669,744.15
3,636,766.21
3,292,026.33
2,449,421.77
1,283,714.67
789,843.15
662,396.14
673,184.25
211,708.42
93,138.81
511,592,422.06
Porcentaje de
Saldo Insoluto
de Principal
18.95%
18.27%
15.09%
6.94%
10.28%
2.20%
2.64%
1.86%
2.19%
1.86%
2.78%
1.72%
2.09%
2.25%
2.16%
1.02%
1.58%
1.33%
1.29%
0.91%
0.71%
0.64%
0.48%
0.25%
0.15%
0.13%
0.13%
0.04%
0.02%
100.00%
Porcentaje de
Número de
Créditos
0.30%
0.00%
2.25%
7.04%
15.73%
74.68%
100.00%
Saldo al 31 de
Porcentaje de
Diciembre de 2012 Saldo Insoluto
(UDIS)
de Principal
63,825.78
0.01%
0.00
0.00%
5,516,473.12
1.08%
30,737,964.28
6.01%
79,686,801.78
15.58%
395,587,357.10
77.32%
511,592,422.06
100.00%
Por Plazo original:
Plazo Original
Menor a 60
60 a 110
110 a 160
160 a 210
210 a 260
260 a 310
Total:
Número de
Créditos
22
0
167
522
1167
5539
7417
Por Plazo remanente:
Plazo Remanente
Menor a 10
10 a 20
20 a 30
30 a 40
40 a 50
50 a 60
60 a 70
70 a 80
80 a 90
90 a 100
100 a 110
110 a 120
120 a 130
130 a 140
140 a 150
150 a 160
160 a 170
170 a 180
180 a 190
190 a 200
200 a 210
210 a 220
220 a 230
230 a 240
240 a 250
Total:
Número de
Créditos
31
0
1
89
68
9
0
0
3
246
244
28
0
0
6
511
601
49
0
23
42
2345
2789
332
0
7417
Porcentaje de
Número de
Créditos
0.42%
0.00%
0.01%
1.20%
0.92%
0.12%
0.00%
0.00%
0.04%
3.32%
3.29%
0.38%
0.00%
0.00%
0.08%
6.89%
8.10%
0.66%
0.00%
0.31%
0.57%
31.62%
37.60%
4.48%
0.00%
100.00%
Saldo al 31 de
Diciembre de 2012
(UDIS)
110,404.36
35,741.37
2,326,739.24
2,730,202.11
423,790.40
107,082.72
12,216,805.31
16,090,044.52
2,323,992.05
298,897.31
31,950,398.31
43,156,565.09
4,280,941.07
2,469,969.55
3,142,063.00
147,384,222.25
208,350,777.45
34,193,785.95
511,592,422.06
Porcentaje de
Saldo Insoluto
de Principal
0.02%
0.00%
0.01%
0.45%
0.53%
0.08%
0.00%
0.00%
0.02%
2.39%
3.15%
0.45%
0.00%
0.00%
0.06%
6.25%
8.44%
0.84%
0.00%
0.48%
0.61%
28.81%
40.73%
6.68%
0.00%
100.00%
Porcentaje de
Número de
Créditos
0.88%
0.98%
0.18%
6.11%
38.28%
28.06%
25.28%
0.24%
100.00%
Saldo al 31 de
Porcentaje de
Diciembre de 2012 Saldo Insoluto
(UDIS)
de Principal
6,970,011.15
1.36%
7074990.53
1.38%
969,256.10
0.19%
45,917,723.13
8.98%
259,436,054.82
50.71%
88,111,640.47
17.22%
100,913,110.62
19.73%
2,199,635.24
0.43%
511,592,422.06
100.00%
Por tasa de interés:
Tasa de Interés
7.0 a 7.5
7.5 a 8.0
8.0 a 8.5
8.5 a 9.0
9.0 a 9.5
9.5 a 10.0
10.0 a 10.5
10.5 a 11.0
Total:
Número de
Créditos
65
73
13
453
2839
2081
1875
18
7417
i.iii) Variación en saldo y en número de activos.DESEMPEÑO DEL SALDO DE LA CARTERA Y NÚMERO DE CRÉDITOS
La siguiente gráfica muestra la evolución de la cartera fideicomitida (en número de créditos y saldo)
durante el periodo de Enero a Diciembre de 2012.
*Monto en UDIS
Al cierre de 2012 la cartera total fue de 511,592,422.06UDIS y 7,417 créditos.
NÚMERO DE CRÉDITOS VS CRÉDITOS PREPAGADOS
A continuación se puede observar el comportamiento del número de créditos en el fideicomiso, así
como del número de créditos prepagados, a lo largo del periodo.
*Monto en UDIS
Durante el periodo de Enero a Diciembre de 2012 se prepagaron 556 créditos lo cual representa el
7% del total de los créditos en el fideicomiso al inicio del año. En promedio se liquidaron 46
créditos al mes
DACIONES Y ADJUDICADIONES
(Número de Créditos)
Los créditos dados de baja por concepto de dación o adjudicación representan un 5.9% del total de
créditos liquidados en el periodo (liquidaciones, daciones y adjudicaciones), tal como se puede
observar en la siguiente gráfica.
Es importante mencionar que cuando ocurre una dación en pago o una adjudicación, el saldo de la
cartera fideicomitida se ve disminuida pero el fideicomiso no percibe ese ingreso hasta que el
inmueble ha sido vendido.
i.iv) Estado de los activos por grado o nivel de cumplimiento.-
Contrato de Seguro de Garantía Financiera
MBIA ha otorgado una póliza de seguro de garantía financiera al Fiduciario, a través de un agente
de seguros, para beneficio de los Tenedores Serie A, que cubre el 100% (cien por ciento) las
cantidades faltantes en el Patrimonio del Fideicomiso para pagar a los Tenedores Serie A los
intereses y principal bajo los Certificados Bursátiles Fiduciarios Serie A, conforme a las condiciones
establecidas en la Póliza, según se describe en el Contrato de Seguro de Garantía Financiera y de la
Póliza.
Cobertura SHF
El Fiduciario celebró con la Sociedad Hipotecaria Federal la Cobertura SHF mediante la cual la
Sociedad Hipotecaria Federal se obligó a pagar en forma mensual al Fiduciario la diferencia entre el
incremento en el Salario Mínimo General Vigente en el Distrito Federal, según el mismo sea
determinado de tiempo en tiempo por la Comisión Nacional de Salarios Mínimos, y el valor de la
UDI con respecto a los pagos efectuados por los Deudores Hipotecarios bajo los Créditos
Hipotecarios.
i.vi) Emisiones de valores.Durante el periodo reportado no se realizó ninguna emisión de valores respaldados por los mismos
bienes.
ii) Desempeño de los valores emitidos
Desde la Fecha de emisión y hasta el 31 de diciembre de 2012 se realizaron los pagos de
Amortización e Intereses de acuerdo a lo siguiente:
Fecha
25-ene-12
27-feb-12
26-mar-12
25-abr-12
25-may-12
25-jun-12
25-jul-12
27-ago-12
25-sep-12
25-oct-12
26-nov-12
26-dic-12
Monto de intereses UDIS (Devengados)
Monto de intereses UDIS (Pagado)
Serie A-1
Serie A-2
Serie B
Serie A-1
Serie A-2
Serie B
201,163.72
203,940.34
163,720.89
165,415.68
157,480.91
145,009.93
125,207.71
124,870.60
102,839.95
101,045.13
100,727.12
87,641.25
1,541,365.23
1,695,501.75
1,438,607.54
1,541,365.23
1,541,365.23
1,592,744.07
1,541,365.23
1,695,501.75
1,489,986.38
1,541,365.23
1,644,122.91
1,541,365.23
377,757.08
415,532.78
352,573.27
377,757.08
377,757.08
390,348.98
377,757.08
415,532.78
365,165.17
377,757.08
402,940.88
377,757.08
201,163.72
203,940.34
163,720.89
165,415.68
157,480.91
145,009.93
125,207.71
124,870.60
102,839.95
101,045.13
100,727.12
87,641.25
1,541,365.23
1,695,501.75
1,438,607.54
1,541,365.23
1,541,365.23
1,592,744.07
1,541,365.23
1,695,501.75
1,489,986.38
1,541,365.23
1,644,122.91
1,541,365.23
377,757.08
415,532.78
352,573.27
110,340.15
377,757.08
390,348.98
0.00
369,758.40
153,723.29
0.00
0.00
0.00
Pago de Intereses
Vencidos Serie B
(UDIS)*
0.00
0.00
0.00
0.00
267,416.93
0.00
0.00
377,757.08
45,774.38
145,628.19
0.00
429,466.71
Monto pago de principal UDIS
Serie A-1
4,514,578.47
2,859,685.65
2,863,838.05
2,272,487.64
4,911,327.68
4,331,592.47
3,347,680.26
2,042,740.35
1,529,650.23
1,894,066.65
1,944,752.72
1,361,504.75
Serie A-2
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Serie B
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Monto de intereses PESOS (Devengados)
Fecha
Serie A-1
25-ene-12
27-feb-12
26-mar-12
25-abr-12
25-may-12
25-jun-12
25-jul-12
27-ago-12
25-sep-12
25-oct-12
26-nov-12
26-dic-12
951,083.76
970,324.07
779,136.26
788,098.36
748,221.09
686,947.86
596,077.22
597,322.14
493,778.92
487,071.38
487,561.97
426,779.85
Serie A-2
7,287,434.54
8,066,997.26
6,846,232.58
7,343,604.97
7,323,312.90
7,545,222.07
7,337,988.24
8,110,481.79
7,154,066.79
7,429,896.77
7,958,251.99
7,505,867.58
Serie B
1,786,001.10
1,977,055.93
1,677,871.51
1,799,767.32
1,794,794.15
1,849,179.53
1,798,390.78
1,987,713.10
1,753,315.37
1,820,915.67
1,950,404.71
1,839,534.57
Monto de intereses PESOS (Pagado)
Serie A-1
951,083.76
970,324.07
779,136.26
788,098.36
748,221.09
686,947.86
596,077.22
597,322.14
493,778.92
487,071.38
487,561.97
426,779.85
Serie A-2
Serie B
7,287,434.54
8,066,997.26
6,846,232.58
7,343,604.97
7,323,312.90
7,545,222.07
7,337,988.24
8,110,481.79
7,154,066.79
7,429,896.77
7,958,251.99
7,505,867.58
1,786,001.10
1,977,055.93
1,677,871.51
525,699.20
1,794,794.15
1,849,179.53
0.00
1,768,750.03
738,091.77
0.00
0.00
0.00
Pago de Intereses
Vencidos Serie B
(PESOS)*
1,270,547.57
1,807,011.95
219,782.53
701,976.66
2,091,340.97
Monto pago de principal PESOS
Serie A-1
21,344,516.18
13,606,046.88
13,628,804.81
10,826,928.76
23,334,631.31
20,519,823.43
15,937,324.85
9,771,507.70
7,344,510.03
9,130,035.77
9,413,427.74
6,630,014.85
Serie A-2
Serie B
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
(*) Al 31 de Marzo de 2013 la cantidad faltante para cubrir el Monto de Interés de la Serie B
Vencido y no pagado asciende a 1,174,318.33 UDIS.
b) Información relevante del periodo
Factores que pueden afectar significativamente el desempeño de los activos que respaldan la
emisión y la fuente de pago de los instrumentos
Ver “Procedimientos Legales..” del presente reporte
Términos y condiciones del contrato de fideicomiso o cualquier otro contrato relevante para la
operación, tales como el de administración u operación, cesión, entre otros.
Durante el periodo revisado no hubo modificación a los contratos que operan en el fideicomiso
Cualquier incumplimiento relevante con lo establecido en los contratos a que se refiere el párrafo
anterior; en este sentido, en caso de que no exista ningún incumplimiento relevante, se deberá
hacer una mención al respecto.
El Administrador, el Representante Común y el Fiduciario no tienen conocimiento de ningún
incumplimiento en los contratos.
Procedimientos legales pendientes en contra del originador, administrador u operador de los
activos, fiduciario, así como cualquier otro tercero que sea relevante para los tenedores de los
valores o procedimientos que puedan ser ejecutados por autoridades gubernamentales.
A principios del cuarto trimestre de 2012, se recibió una notificación por parte de HSC en el cual se detallan
ciertos montos retenidos en las cuentas embargadas a nombre de Hipotecaria Su Casita que correspondían,
de acuerdo a dichos reportes, a cobranza correspondiente a la cartera cedida al Fideicomiso. Con el propósito
de recuperar dichos recursos, se contrató a un despacho externo para que realizara los actos necesarios a fin
de recuperar dichos recursos. Al respecto, se promovieron ciertos juicios de amparo en contra de los
embargos trabados a las cuentas a nombre de Hipotecaria Su Casita.
El 31 de diciembre de 2012 la Juez Octava de Distrito en Materia Civil del Distrito Federal declaró como
procedente decretar la quiebra de Hipotecaria Su Casita, Sociedad Anónima de Capital Variable., Sociedad
Financiera de Objeto Múltiple Entidad No Regulada (antes Hipotecaria Su Casita, Sociedad Anónima de
Capital Variable, Sociedad Financiera de Objeto Limitado) solicitado por la propia empresa por lo que no
entraría al periodo de conciliación.
En base a la operación normal del fideicomiso, existen ciertos juicios o procedimientos legales respecto de
algunos inmuebles correspondientes a los derechos de cobro cedidos al patrimonio del Fideicomiso, la
información correspondiente se encuentra integrada en los reportes mensuales del Administrador.
Procesos legales que hubieren terminado durante el periodo cubierto por el reporte, revelando la
fecha de terminación y una descripción del resultado final. Lo anterior en el entendido de que un
proceso legal sólo requiere ser revelado en los reportes correspondientes al periodo en el que se
haya convertido en relevante y en reportes posteriores únicamente si han existido cambios
significativos.
Desviaciones relevantes entre las estimaciones que en su caso, se incluyeron en el prospecto de
colocación y las cifras observadas realmente durante el periodo que se reporta, explicando las
causas de dichas desviaciones.
Debido a los fuertes incrementos en la cartera vencida, la situación actual de la emisión ya no está dentro de
aquella contemplada en los escenarios creados al momento de la emisión y que se presentan en el
Suplemento de la misma. Ver punto 2) LA OPERACION DE BURSATILIZACION, a) Patrimonio del
Fideicomiso para mayor referencia
Información de deudores relevantes para evaluar su riesgo de crédito, cuando el cumplimiento de
las obligaciones del fideicomiso, dependa total o parcialmente un solo deudor o deudores.
Debido a la pulverización de la emisión no hay deudores
Nombre del administrador u operador de los bienes, derechos o valores fideicomitidos y su forma
de organización.
Patrimonio S.A. de C.V, Sociedad Financiera de Objeto Múltiple, Entidad No Regulada
Información sobre el administrador u operador de los activos tal como la siguiente: su experiencia
como administrador y los procedimientos que utiliza al realizar las funciones de administración para
el tipo de bienes, derechos o valores fideicomitidos, tales como sistemas de cobranza, distribución
de flujos provenientes de los activos, subcontratación de servicios, sistemas para generación de
reportes, entre otros; tamaño, composición y crecimiento de todos los bienes, derechos o valores
que administre u opere y que sean similares a los que integran el patrimonio del fideicomiso;
cambios relevantes en los últimos tres ejercicios a sus políticas o procedimientos aplicables a las
actividades de administración u operación que realizará para el tipo de bienes, derechos o valores
fideicomitidos.
Patrimonio, S.A. de C.V., S.F.O.M., E.N.R., como administradora de los activos del
fideicomiso cuenta con 18 años de experiencia en el sector hipotecario. Como
administrador, Patrimonio mensualmente elabora una serie de reportes en los cuales entre
otras cosas, se refleja la aplicación de los flujos recibidos durante determinado periodo a
evaluar, se monitorea la morosidad de la cartera, los saldos insolutos crédito por crédito,
los prepagos, etc. Lo anterior gracias a sistemas de información robustos capaces de
proporcionar la información en tiempo y forma.
En caso de que el fideicomiso cuente con un administrador maestro, la estructura de administración, funciones
y responsabilidades de cada uno de los participantes en dicha estructura, así como nombre y porcentaje de la
cartera que administra cada uno de los administradores primarios.
No se cuenta con Administrador Maestro.
Términos y condiciones de las obligaciones de otros terceros obligados con el fideicomiso o los
tenedores de los valores tales como avales, garantes, contrapartes en operaciones financieras
derivadas o de cobertura, apoyos crediticios, entre otros, así como la forma y/o procedimientos
para hacerlas exigibles.
Durante el periodo reportado, no se registró ningún cambio en los términos y condiciones de las obligaciones
de otros terceros obligados
Adicionalmente, se deberá incluir un resumen de los eventos relevantes que en términos de lo
dispuesto por el artículo 50, fracciones VII a IX, y antepenúltimo párrafo, haya sido transmitida a la
Bolsa, para su difusión al público inversionista, durante el ejercicio que se reporta y hasta la fecha
de presentación del presente reporte anual.
Eventos Relevantes
Abril 23, 2012. Banco Invex S.A., Institución de Banca Múltiple, Invex Grupo Financiero en su
carácter de representante común de los tenedores de los certificados bursátiles fiduciarios,
identificados con clave de pizarra BRHCCB 07U,y BRHCCB 07-2U emitidos el 25 de octubre de
2007 por HSBC México, S.A. I.B.M., Grupo Financiero HSBC, División Fiduciaria, a través del
Contrato de Fideicomiso F/234036 de fecha 23 de octubre de 2007 ("Los Certificados Bursátiles
Serie A"), hace del conocimiento de los tenedores que, conforme a lo establecido en el Contrato de
Fideicomiso y con base en el reporte de cobranza elaborado por el administrador y el reporte de
saldos elaborado por el fiduciario, los recursos recibidos en el fideicomiso por concepto de "pagos
por intereses" no son suficientes para cubrir la totalidad del monto de pago de intereses de los
Certificados Bursátiles Serie B, identificados con clave de pizarra BRHCCB 07-3U.
identificados con clave de pizarra BRHCCB 07-3U emitidos el 25 de octubre de 2007 por HSBC
México, S.A. I.B.M., Grupo Financiero HSBC, División Fiduciaria, a través del Contrato de
Fideicomiso Número F/234036 de fecha 23 de octubre de 2007, (Los Certificados Bursátiles Serie
B), hace del conocimiento de los tenedores que, conforme a lo establecido en el Fideicomiso y con
base en el reporte de cobranza elaborado por el administrador y el reporte de saldos elaborado por
el fiduciario, los recursos recibidos en el Fideicomiso por concepto de "pagos por intereses" no son
suficientes para cubrir la totalidad del monto de pago de intereses de los Certificados Bursátiles
Serie B de $1,799,767.32 (un millón setecientos noventa y nueve mil setecientos sesenta y siete
pesos 32/100 m.n.) cantidad equivalente a 377,757.08 udis. La cantidad faltante asciende a
$1,274,068.12 (un millón doscientos setenta y cuatro mil sesenta y ocho pesos 12/100 m.n.),
equivalente a 267,416.93 udis por lo cual, el importe que se pagará el próximo 25 de abril de 2012
es de $525,699.20 (quinientos veinticinco mil seiscientos noventa y nueve pesos 20/100), cantidad
equivalente a 110,340.15 udis.
Abril 23, 2012. La calificadora Fitch Ratings bajó la calificación de los Certificados Bursátiles
BRHCCB 07-3U a C(mex) de CC(mex). La acción de calificación se deriva de un análisis que
considera las presiones de liquidez que llevarán al incumplimiento del pago mensual de interés
para estas emisiones.
Abril 24, 2012. La calificadora Standard & Poors bajó las calificación de largo plazo de los
Certificados Bursátiles BRHCCB 07-3U a mxCC (sf) de mxCCC (sf). La baja de calificación de la
emisión BRHCCB 07-3U refleja la expectativa de la calificadora de que incumplirá con el pago de
intereses el próximo 25 de abril de 2012. Las calificaciones de B y mxBB+ de los certificados de
las series BRHCCB 07U y BRHCCB 07-2U no se ven afectadas ya que las mismas se basan en la
garantía financiera total otorgada por MBIA México S.A. de C.V.
Abril 26, 2012. La calificadora Standard & Poor's bajó la calificación de largo plazo en escala
nacional -CaVal- de ‘mxCC (sf)’ a 'mxD (sf)' de los Certificados Bursátiles BRHCCB 07-3U. La baja
de la calificación se da tras el incumplimiento en el pago de los intereses correspondientes de la
serie mencionada, el día de ayer, en su fecha de pago, debido a que no había fondos suficientes
para hacer frente a éstos en su totalidad. Las calificaciones asignadas señalan la probabilidad de
pago en tiempo y forma de los intereses, y del pago del capital en la fecha de vencimiento.
Mayo 18, 2012. Banco Invex S.A., Institución de Banca Múltiple, Invex Grupo Financiero en su
México, S.A.I.B.M., Grupo Financiero HSBC, División Fiduciaria, a través del contrato de
fideicomiso número F/234036 de fecha 23 de octubre de 2007, (Los Certificados Bursátiles Serie
B), hace del conocimiento de los tenedores que, con base en el reporte de cobranza elaborado por
el administrador y el reporte de saldos elaborado por el fiduciario, los recursos disponibles para las
distribuciones que habrán de realizarse en la próxima fecha de pago resultan suficientes para
realizar los pagos correspondientes conforme a lo establecido en el contrato de Fideicomiso,
incluyendo el monto de pago de interés vencido y no pagado de los Certificados Bursátiles Serie B
por la cantidad de 267,416.93 udis.
En virtud de lo anterior, una vez realizado dicho pago el próximo 25 de mayo de 2012, quedará
subsanado el incumplimiento mencionado en nuestro evento relevante de fecha 23 de abril de
2012.
Mayo 18, 2012. Banco Invex S.A., Institución de Banca Múltiple, Invex Grupo Financiero en su
identificados con clave de pizarra BRHCCB 07U y BRHCCB 07-2U emitidos el 25 de octubre de
2007 por HSBC México, S.A. I.B.M. Grupo Financiero HSBC, División Fiduciaria, a través del
contrato de fideicomiso número F/234036 de fecha 23 de octubre de 2007, (Los Certificados
Bursátiles Serie A), hace del conocimiento de los tenedores que, con base en el reporte de
cobranza elaborado por el administrador y el reporte de saldos elaborado por el fiduciario, los
recursos disponibles para las distribuciones que habrán de realizarse en la próxima fecha de pago
resultan suficientes para realizar los pagos correspondientes conforme a lo establecido en el
contrato de Fideicomiso, incluyendo el monto de pago de interés vencido y no pagado de los
Certificados Bursátiles Serie B por la cantidad de 267,416.93 udis.
En virtud de lo anterior, una vez realizado dicho pago el próximo 25 de mayo de 2012, quedará
subsanado el incumplimiento mencionado en nuestro evento relevante de fecha 23 de abril de
2012.
Mayo 30, 2012. La calificadora Standard & Poor's subió la calificación de largo plazo en escala
nacional -CaVal- a ‘mxCC (sf)’ de 'mxD (sf)' de los Certificados Bursátiles BRHCCB 07-3U. La alza
de calificación refleja que la cobranza de intereses recibida para la fecha de pago del 25 de mayo
de 2012 fue suficiente para cubrir completamente el pago de intereses de este mes y de los
intereses vencidos y no pagados del mes pasado, por lo que, al día de hoy, esta serie se encuentra
nuevamente al corriente en el pago de sus obligaciones. Las calificaciones actuales consideran el
desempeño observado y proyectado, la posición financiera y la estructura de la transacción, así
como la alta vulnerabilidad que ésta tiene en el caso que se presentaran condiciones adversas en
el negocio, financieras o de la economía. La calificación también refleja que, en opinión de la
calificadora, esta transacción es vulnerable a gastos extraordinarios y a que los últimos días de la
fecha de cobranza caigan en día inhábil, factores que contribuyeron al incumplimiento en el mes de
abril.
Junio 28, 2012. Fitch Ratings ratificó la calificación de los Certificados Bursátiles BRHCCB 07-3U
en D(mex)vra. Fitch considera que el incumplimiento de pago de principal íntegramente en la fecha
de vencimiento es inminente e inevitable dado el pobre desempeño de los activos que respaldan
estas estructuras y las estimaciones de recuperación acordes a estos niveles de calificación.
Asimismo, los altos niveles de morosidad en la estructura derivan en severos problemas de
liquidez, por lo que es probable que estos bonos incumplan nuevamente con los pagos de
intereses mensuales en los próximos meses.
Fitch considera que el actual nivel de calificación es congruente con el antecedente de
incumplimiento de intereses mensuales, y la perspectiva respecto al pago de principal al
vencimiento.
Julio 18, 2012. Banco Invex S.A., Institución De Banca Múltiple, Invex Grupo Financiero en su
identificados con clave de pizarra BRHCCB 07U y BRHCCB 07-2U emitidos el 25 de octubre de
contrato de fideicomiso F/234036 de fecha 23 de octubre de 2007 ("Los Certificados Bursátiles
Serie A"), hace del conocimiento de los tenedores que, conforme a lo establecido en el contrato de
fideicomiso y con base en el reporte de cobranza elaborado por el administrador y el reporte de
Certificados Bursátiles Serie A, por lo cual se realizó una reclamación bajo la póliza de seguro
otorgada por MBIA por un importe total de $714,542.89 (setecientos catorce mil quinientos
cuarenta y dos pesos 89/100 m.n.), cantidad equivalente a 150,091.76 udis.
Asimismo, les informamos que los recursos recibidos en el fideicomiso por concepto de "pagos por
intereses" no son suficientes para realizar el pago del monto de pago de intereses de los
Certificados Bursátiles Serie B identificados con clave de pizarra BRHCCB 07-3U por un importe de
$1,798,390.78 (un millón setecientos noventa y ocho mil trescientos noventa pesos 78/100 m.n.)
cantidad equivalente a 377,757.08 udis, por lo que el próximo 25 de julio de 2012 no se pagarán
intereses de dichos certificados bursátiles.
Julio 18, 2012. Banco Invex S.A., Institución de Banca Múltiple, Invex Grupo Financiero en su
México, S.A. I.B.M., Grupo Financiero HSBC, División Fiduciaria, a través del contrato de
B), hace del conocimiento de los tenedores que, conforme a lo establecido en el fideicomiso y con
el fiduciario, los recursos recibidos en el fideicomiso por concepto de "pagos por intereses" no son
suficientes para cubrir el monto de pago de intereses de los Certificados Bursátiles Serie B de
$1,798,390.78 (un millón setecientos noventa y ocho mil trescientos noventa pesos 78/100 m.n.)
cantidad equivalente a 377,757.08 udis, por lo cual, el próximo 25 de julio de 2012 no se pagarán
intereses de los Certificados Bursátiles Serie B. asimismo, les informamos que se realizó una
reclamación bajo la póliza de seguro otorgada por MBIA por un importe total de $714,542.89
(setecientos catorce mil quinientos cuarenta y dos pesos 89/100 m.n.), cantidad equivalente a
150,091.76 udis para cubrir cantidades faltantes del monto de pago de interés de los certificados
bursátiles serie a identificados con clave de pizarra BRHCCB 07U y BRHCCB 07-2U.
Julio 26, 2012. La agencia calificadora Standard & Poor's bajó su calificación de largo plazo en
escala nacional -CaVal- de los certificados subordinados BRHCCB 07-3U a 'D (sf)' de 'mxCC (sf)'.
Al mismo tiempo, confirmó las calificaciones en escala global de 'B (sf)' y en escala nacional CaVal- de 'mxBB+ (sf)' de las clases preferentes BRHCCB 07U y BRHCCB 07-2U, ya que estas
cubrieron completamente su pago programado de intereses con los recursos procedentes de la
garantía financiera total con la que cuentan; sin embargo, bajó las calificaciones subyacentes
(SPUR) a 'D (sf)'. La baja de la calificación de los certificados subordinados BRHCCB 07-3U a 'D
(sf)' refleja el incumplimiento en el pago programado de intereses de la serie, ya que la cobranza
por concepto de intereses no fue suficiente para cubrir el pago en su totalidad en la fecha de pago,
25 de julio de 2012. Los certificados preferentes BRHCCB 07U y BRHCCB 07-2U lograron realizar
la totalidad del pago programado de intereses con los recursos de la póliza de garantía financiera
total otorgada por MBIA México S.A. de C.V. que cubrió el faltante de intereses de ambas clases.
Por consiguiente, se confirmaron las calificaciones de la emisión, pero bajaron las calificaciones
subyacentes (SPUR) a 'D (sf)' de ambas series, ya que de no haber contado con la garantía
financiera, la cobranza de intereses hubiera sido insuficiente para cubrir la totalidad del pago de
intereses de éstas.
Agosto 20, 2012. Banco Invex S.A., Institución de Banca Múltiple, Invex Grupo Financiero en su
identificados con clave de pizarra BRHCCB 07U,Y BRHCCB 07-2U emitidos el 25 de octubre de
Serie A"), hace del conocimiento de los tenedores que, conforme a lo establecido en el fideicomiso
y con base en el reporte de cobranza elaborado por el administrador y el reporte de saldos
elaborado por el fiduciario los recursos disponibles para las distribuciones que habrán de realizarse
en la próxima fecha de pago resultan suficientes para realizar: (i) el pago de la totalidad de los
intereses de los Certificados Bursátiles Serie A por la cantidad de $8,707,803.93 (ocho millones
setecientos siete mil ochocientos tres pesos 93/100 m.n) cantidad equivalente 1,820,372.35 udis y
(ii) el pago correspondiente al monto adeudado a MBIA (según dicho término se define en el
contrato de fideicomiso) por la cantidad de $830,890.86 (ochocientos treinta mil ochocientos
noventa pesos 86/100 m.n) cantidad equivalente a 173,698.30 udis.
intereses" no son suficientes para para cubrir parte del monto de pago de intereses de los
Certificados Bursátiles Serie B de $1,987,713.10 (un millón novecientos ochenta y siete mil
setecientos trece pesos 10/100 m.n) cantidad equivalente a 415,532.78 udis
Agosto 20, 2012. Banco Invex S.A., Institución de Banca Múltiple, Invex Grupo Financiero en su
el Fiduciario, los recursos recibidos en el fideicomiso por concepto de "pagos por intereses" no son
suficientes para cubrir parte del monto de pago de intereses de los Certificados Bursátiles Serie B
por un monto de $1,987,713.10 (un millón novecientos ochenta y siete mil setecientos trece pesos
10/100 m.n) cantidad equivalente a 415,532.78 udis., la cantidad faltante asciende $218,963.07
(doscientos dieciocho mil novecientos sesenta y tres pesos 07/100 m.n), cantidad equivalente a
45,774.38 udis. Por lo cual, el importe que se pagará el próximo 27 de agosto de 2012 es de
$1,768,750.03 (un millón setecientos sesenta y ocho mil setecientos cincuenta pesos 03/100 m.n),
cantidad equivalente a 369,758.40 udis.
Asimismo, les informamos que el próximo 27 de agosto de 2012 se realizará: (i) el pago de los
intereses vencidos y no pagados de los certificados bursátiles serie b por un monto de
$1,807,011.95 (un millón ochocientos siete mil once pesos 95/100 m.n) cantidad equivalente
377,757.08 udis y (ii) el pago del monto adeudado a MBIA (según dicho término se establece en el
contrato de fideicomiso) por la cantidad de $830,890.86 (ochocientos treinta mil ochocientos
noventa pesos 86/100 m.n) cantidad equivalente a 173,698.30 udis.
Agosto 24, 2012. La agencia calificadora Moody's de México (Moody's) comentó sobre el
incremento en la presión de liquidez que están enfrentando los certificados BRHCCB 07U Serie
A1, una transacción RMBS con calificaciones Aaa.mx (sf) (Escala Nacional de México) y Baa1 (sf)
(Escala Global, Moneda Local). Según Moody's, las calificaciones de estos certificados no se ven
afectadas a pesar del hecho de que MBIA México cubrió parte del pago de intereses pagaderos a
la Serie A1 (BRHCCB 07U) en agosto 2012. Moody's espera que cualquier faltante futuro de
intereses será cubierto por MBIA, y en la medida en que MBIA no llegara a cubrirlo, cualquier
faltante debería ser temporal y rápidamente resuelto.
Agosto 28, 2012. La agencia calificadora Standard & Poor's subió las calificaciones subyacentes
(SPUR) de los certificados preferentes con claves de pizarra BRHCCB 07U y BRHCCB 07-2U a
'CC (sf)' de D (sf)', Por otro lado, el alza de las calificaciones SPUR de los certificados preferentes
con claves de pizarra BRHCCB 07U y BRHCCB 07-2U fue resultado del pago de los montos
adeudados a MBIA México S.A. de C.V. como el proveedor de garantía financiera total, de la fecha
de pago anterior. Sin embargo, la cobranza de intereses no fue suficiente para cubrir el pago de los
intereses de este mes para la serie subordinada BRHCCB 07-3U. En consecuencia, Se mantiene
su calificación sin cambios en 'D (sf)'.
Septiembre 19, 2012. Banco Invex S.A., Institución de Banca Múltiple, Invex Grupo Financiero en
su carácter de representante común de los tenedores de los certificados bursátiles fiduciarios,
elaborado por el Fiduciario los recursos recibidos en el fideicomiso por concepto de "pagos por
intereses" no son suficientes para para cubrir parte del monto de pago de intereses de los
Certificados Bursátiles Serie B de $1,753,315.37 (un millón setecientos cincuenta y tres mil
trescientos quince pesos 37/100 m.n) cantidad equivalente a 365,165.17 udis.
Septiembre 19, 2012. Banco Invex S.A., Institución de Banca Múltiple, Invex Grupo Financiero en
suficientes para cubrir parte del monto de pago de intereses de Los Certificados Bursátiles Serie B
por un importe de $1,753,315.37 (un millón setecientos cincuenta y tres mil trescientos quince
pesos 37/100 m.n) cantidad equivalente a 365,165.17 udis, la cantidad faltante asciende a
$1,015,223.60 (un millón quince mil doscientos veintitrés pesos 60/100 m.n), cantidad equivalente
a 211,441.88 udis. Por lo cual, el importe que se pagará el próximo 25 de septiembre de 2012 es
de $738,091.77 (setecientos treinta y ocho mil noventa y un pesos 77/100 m.n), cantidad
equivalente a 153,723.29 udis.
Asimismo, les informamos que el próximo 25 de septiembre de 2012 se realizará el pago de los
intereses vencidos y no pagados de los certificados bursátiles serie b por un monto de $219,782.53
(doscientos diecinueve mil setecientos ochenta y dos pesos 53/100 m.n) cantidad equivalente
45,774.38 udis.
Octubre 18, 2012. Banco Invex S.A., Institución de Banca Múltiple, Invex Grupo Financiero en su
identificados con clave de pizarra BRHCCB 07U,Y BRHCCB 07-2U emitidos el 25 de octubre de
elaborado por el fiduciario los recursos recibidos en el fideicomiso por concepto de "pagos por
intereses" no son suficientes para para cubrir: (i) el monto de pago de intereses de los Certificados
Bursátiles Serie B por un importe de $1,820,915.67 (un millón ochocientos veinte mil novecientos
quince pesos 67/100 m.n), cantidad equivalente a 377,757.08 udis y (ii) parte del monto de pago de
los intereses vencidos y no pagados de los Certificados Bursátiles Serie B por un monto de
$1,019,220.69 (un millón diecinueve mil doscientos veinte pesos 69/100 m.n) cantidad equivalente
a 211,441.88 udis.
Octubre 18, 2012. Banco Invex S.A., Institución de Banca Múltiple, Invex Grupo Financiero en su
suficientes para cubrir: (i) el monto de pago de intereses de los Certificados Bursátiles Serie B por
un importe de $1,820,915.67 (un millón ochocientos veinte mil novecientos quince pesos 67/100
m.n), cantidad equivalente a 377,757.08 udis y (ii) parte del monto de pago de los intereses
vencidos y no pagados de los Certificados Bursátiles Serie B por un monto de $1,019,220.69 (un
millón diecinueve mil doscientos veinte pesos 69/100 m.n) cantidad equivalente a 211,441.88 udis.,
la cantidad faltante asciende $317,244.03 (trescientos diecisiete mil doscientos cuarenta y cuatro
pesos 03/100 m.n), cantidad equivalente a 65,813.69 udis por lo cual, el importe que se pagará el
próximo 25 de octubre de 2012 es de $701,976.66 (setecientos un mil novecientos setenta y seis
pesos 66/100 m.n), cantidad equivalente 145,628.19 udis.
Noviembre 21, 2012. La agencia calificadora Moody's de México (Moody's) bajó las calificaciones
Certificados BRHCCB 07-2U Serie A-2 a Caa2.mx (sf) de B1.mx (sf) (Escala Nacional de México) y
a Caa2 (sf) de B3 (sf) (Escala Global, Moneda Local). Las calificaciones subyacentes de los
certificados (las cuales reflejan la calidad crediticia intrínseca de los certificados sin considerar la
garantía financiera otorgada por MBIA México) también son Caa2.mx (sf) y Caa2 (sf). Los
certificados afectados cuentan con una póliza de seguros de garantía financiera otorgada por MBIA
o MBIA México que cubre el pago puntual de intereses y el pago del principal a la fecha del
vencimiento final legal de los certificados. El 19 de noviembre de 2012, Moody's bajó la calificación
de solidez financiera de seguros de MBIA y MBIA México a Caa2 de B3 y la calificación de solidez
financiera de seguros en Escala Nacional de México de MBIA México a Caa2.mx de B1.mx.
Las actuales calificaciones de los certificados son consistentes con la práctica de Moody's de
calificar instrumentos asegurados en la calificación más alta entre (1) la calificación de solidez
financiera de seguros del garante y (2) las calificaciones subyacentes, las cuales reflejan la calidad
crediticia intrínseca de los certificados a falta de la garantía y con base en el enfoque modificado
de Moody's para calificar instrumentos de finanzas estructuradas con cobertura de garantes
financieros. En el caso de los certificados BRHCCB 07-2U Serie A-2, las calificaciones de solidez
financiera de MBIA México son iguales a las calificaciones subyacentes de los certificados; debido
a esto, las calificaciones de los certificados están alineadas con ambas las calificaciones de MBIA
México y las subyacentes de los certificados.
Noviembre 21, 2012. Standard & Poor's Ratings Services confirmó sus calificaciones en escala
global de 'B (sf)' y en escala nacional -CaVal- de 'mxBB+ (sf)' de las clases preferentes BRHCCB
07U y BRHCCB 07-2U. Al mismo tiempo, bajó las calificaciones subyacentes (SPUR) de Standard
& Poor's de éstas a 'D (sf)' de 'CC (sf)'. La calificación de la serie subordinada BRHCCB 07-3U de
'D (sf)' se mantiene sin cambio.
La confirmación de las calificaciones de los certificados BRHCCB 07U y 07-2U refleja la garantía
financiera total otorgada por MBIA México S.A. de C.V. la cual permite que los instrumentos
cubran completamente los pagos del servicio de deuda conforme a lo programado. Bajaron las
calificaciones subyacentes (SPUR) a 'D (sf)' para reflejar la capacidad individual de los
instrumentos para pagar el servicio de deuda sin la protección de la garantía.
Noviembre 22, 2012.Banco Invex S.A., Institución de Banca Múltiple, Invex Grupo Financiero en
otorgada por MBIA por un importe total de $910,035.12 (novecientos diez mil treinta y cinco pesos
12/100 m.n), cantidad equivalente a 188,007.32 udis
intereses" no son suficientes para realizar: (i) el monto de pago de intereses de los certificados
bursátiles identificados con clave de pizarra BRHCCB 07-3U ("Los Certificados Bursátiles Serie B")
por un importe de $1,950,404.71 (un millón novecientos cincuenta mil cuatrocientos cuatro pesos
71/100 m.n) cantidad equivalente a 402,940.88 udis y (ii) el monto de pago de los intereses
vencidos y no pagados de los Certificados Bursátiles Serie B por un monto de $2,147,070.60 (dos
millones ciento cuarenta y siete mil setenta pesos 60/100 m.n) cantidad equivalente a 443,570.77
udis. Por lo cual, el próximo 26 de noviembre de 2012 no se pagarán intereses de los Certificados
Bursátiles Serie B.
Noviembre 22, 2012. Banco Invex S.A., Institución de Banca Múltiple, Invex Grupo Financiero en
un importe de $1,950,404.71 (un millón novecientos cincuenta mil cuatrocientos cuatro pesos
71/100 m.n) cantidad equivalente a 402,940.88 udis y (ii) el monto de pago de los intereses
vencidos y no pagados de los Certificados Bursátiles Serie B por un monto de $2,147,070.60 (dos
millones ciento cuarenta y siete mil setenta pesos 60/100 m.n) cantidad equivalente a 443,570.77
udis. Por lo cual, el próximo 26 de noviembre de 2012 no se pagarán intereses de Los Certificados
Bursátiles Serie B.
Asimismo, les informamos que se realizó una reclamación bajo la póliza de seguro otorgada por
MBIA por un importe total de $910,035.12 (novecientos diez mil treinta y cinco pesos 12/100 m.n),
cantidad equivalente a 188,007.32 udis para cubrir cantidades faltantes del monto de pago de
interés de los Certificados Bursátiles Serie A identificados con clave de pizarra BRHCCB 07U y
BRHCCB 07-2U.
Diciembre 20, 2012. Banco Invex S.A., Institución de Banca Múltiple, Invex Grupo Financiero en
contrato de fideicomiso F/234036 de fecha 23 de octubre de 2007 ("los Certificados Bursátiles
elaborado por el fiduciario los recursos disponibles para las distribuciones que habrán de realizarse
en la próxima fecha de pago resultan suficientes para realizar: (i) el pago de la totalidad de los
intereses de los Certificados Bursátiles Serie A por la cantidad de $7,932,647.43 (siete millones
novecientos treinta y dos mil seiscientos cuarenta y siete pesos 43/100 m.n) cantidad equivalente
1,629,006.48 udis y (ii) el pago correspondiente al monto adeudado a MBIA (según dicho término
se define en el contrato de fideicomiso) por la cantidad de $1,058,577.44 (un millón cincuenta y
ocho mil quinientos setenta y siete pesos 44/100 m.n) cantidad equivalente a 217,383.86 udis.
intereses" no son suficientes para para cubrir: (i) el monto de pago de intereses de Los Certificados
Bursátiles Serie B de $1,839,534.57 (un millón ochocientos treinta y nueve mil quinientos treinta y
cuatro pesos 57/100 m.n) cantidad equivalente a 377,757.08 udis y (ii) parte del monto de pago de
los intereses vencidos y no pagados de los Certificados Bursátiles Serie B por $2,030,676.33 (dos
millones treinta mil seiscientos setenta y seis pesos 33/100 m.n), cantidad equivalente a
417,008.94 udis.
Diciembre 20, 2012. Banco Invex S.A., Institución de Banca Múltiple, Invex Grupo Financiero en
un importe de $1,839,534.57 (un millón ochocientos treinta y nueve mil quinientos treinta y cuatro
pesos 57/100 m.n), cantidad equivalente a 377,757.08 udis y (ii) parte del monto de pago de los
intereses vencidos y no pagados de los Certificados Bursátiles Serie B por un monto de
$4,122,017.30 (cuatro millones ciento veintidós mil diecisiete pesos 30/100 m.n) cantidad
equivalente a 846,475.65 udis., la cantidad faltante asciende $2,030,676.33 (dos millones treinta
mil seiscientos setenta y seis pesos 33/100 m.n), cantidad equivalente a 417,008.94 udis por lo
cual, el importe que se pagará el próximo 26 de diciembre de 2012 es de $2,091,340.97 (dos
millones noventa y un mil trescientos cuarenta pesos 97/100 m.n), cantidad equivalente 429,466.71
udis.
Asimismo, les informamos que el próximo 26 de diciembre de 2012 se realizará el pago del monto
adeudado a MBIA (según dicho término se establece en el contrato de fideicomiso) por la cantidad
de $1,058,577.44 (un millón cincuenta y ocho mil quinientos setenta y siete pesos 44/100 m.n)
cantidad equivalente a 217,383.86 udis.
Diciembre 26, 2012. La agencia calificadora Standard & Poor's Ratings Services subió sus
calificaciones subyacentes (SPURs) de los certificados bursátiles preferentes BRHCCB 07U y
BRHCCB 07-2U a 'CC (sf)' de 'D (sf)'.La calificación en escala global de 'B (sf)' y en escala
nacional -CaVal- de 'mxBB+ (sf)' de los certificados preferentes BRHCCB 07U y BRHCCB 07-2U, y
la calificación de 'D (sf)' de la clase subordinada BRHCCB 07-3U se mantienen sin cambio.
Enero 11, 2013. La calificadora Standard & Poor's Ratings Services informó que recibió de parte
de Patrimonio S.A. de C.V. S.F.O.L. (Patrimonio) y Tertius S.A.P.I. de C.V. SOFOM E.N.R.
(Tertius) información sobre los programas de apoyo a deudores que buscan implementar en su
carácter de administradores de activos primarios, para los Certificados Bursátiles BRHCCB 07U
BRHCCB 07-2U, BRHCCB 07-3U. Esto, como parte de sus esfuerzos para mejorar la cobranza y
recuperaciones mensuales de la cartera vencida de los portafolios subyacentes.
En opinión de la calificadora, la aplicación de estos programas de apoyo a deudores, en y por sí
misma, no afectaría las calificaciones de estas emisiones. Estos programas son Apoyo con Quita,
Programa Finiquito/Venta de Derechos Litigiosos, Reducción Permanente de Mensualidad con
Quita, y Dación en Pago con Incentivo Económico. Analizamos estos programas bajo el supuesto
de que no ocurrirán eventos de morosidad adicionales o incumplimientos como resultado del riesgo
moral (moral hazard) - cuando los acreditados que pueden cubrir sus hipotecas encuentran un
incentivo económico en volverse morosos al implementarse los programas.
Los programas de apoyo a deudores se negociarán de manera individual y no como parte de un
programa de aplicación general o masivo, y están contemplados dentro de las políticas de
recuperación y cobranza de los administradores. Estos, aplicarán los productos con el mismo nivel
de diligencia y cuidado con que se otorgan para los créditos en balance a fin de maximizar la
cobranza de los préstamos en beneficio de los inversionistas.
Enero 18, 2013. Banco Invex S.A., Institución de Banca Múltiple, Invex Grupo Financiero en su
identificados con clave de pizarra BRHCCB 07U, y BRHCCB 07-2U emitidos el 25 de octubre de
otorgada por MBIA por un importe total de $2,783,022.03 (dos millones setecientos ochenta y tres
mil veintidós pesos 03/100 m.n), cantidad equivalente a 569,392.16 udis
intereses" no son suficientes para realizar: ((i) el monto de pago de intereses de los Certificados
Bursátiles Serie B por un importe de $1,846,365.92 (un millón ochocientos cuarenta y seis mil
trescientos sesenta y cinco pesos 92/100 m.n), cantidad equivalente a 377,757.08 udis y (ii) el
monto de pago de los intereses vencidos y no pagados de los Certificados Bursátiles Serie B por
un monto de $3,884,583.44 (tres millones ochocientos ochenta y cuatro mil quinientos ochenta y
tres pesos 44/100 m.n) cantidad equivalente a 794,766.02 udis. Por lo cual, el próximo 25 de enero
de 2013 no se pagarán intereses de los Certificados Bursátiles Serie B.
Enero 18, 2013. Banco Invex S.A., Institución de Banca Múltiple, Invex Grupo Financiero en su
fideicomiso número F/234036 de fecha 23 de octubre de 2007, (los Certificados Bursátiles Serie B),
hace del conocimiento de los tenedores que, conforme a lo establecido en el fideicomiso y con
un importe de $1,846,365.92 (un millón ochocientos cuarenta y seis mil trescientos sesenta y cinco
pesos 92/100 m.n), cantidad equivalente a 377,757.08 udis y (ii) el monto de pago de los intereses
vencidos y no pagados de los Certificados Bursátiles Serie B por un monto de $3,884,583.44 (tres
millones ochocientos ochenta y cuatro mil quinientos ochenta y tres pesos 44/100 m.n) cantidad
equivalente a 794,766.02 udis.. Por lo cual, el próximo 25 de enero de 2013 no se pagarán
intereses de los Certificados Bursátiles Serie B.
Asimismo, les informamos que se realizó una reclamación bajo la póliza de seguro otorgada por
MBIA por un importe total de $2,783,022.03 (dos millones setecientos ochenta y tres mil veintidós
pesos 03/100 m.n), cantidad equivalente a 569,392.16 udis para cubrir cantidades faltantes del
monto de pago de interés de los Certificados Bursátiles Serie A identificados con clave de pizarra
BRHCCB 07U y BRHCCB 07-2U.
Enero 28, 2013. La agencia calificadora Standard & Poor's Rating Services bajó sus calificaciones
subyacentes (SPURs) de las clases preferentes BRHCCB 07U y BRHCCB 07-2U a 'D (sf)' de 'CC
(sf)'. Las calificaciones en escala global de 'B (sf)' y en escala nacional - CaVal- de 'mxBB+ (sf)' de
las clases preferentes BRHCCB 07U y BRHCCB 07-2U, así como la calificación de 'D (sf)' de la
clase subordinada BRHCCB 07-3U se mantienen sin cambio. Las clases preferentes BRHCCB 07U
y BRHCCB 07-2U lograron pagar en forma su servicio de deuda programado el 25 de enero de
2013 con recursos de la garantía financiera total otorgada por MBIA México S.A. de C.V. que
cubrió el déficit de intereses de ambas clases. Bajaron las SPURs a 'D (sf)' debido a que la sola
cobranza de intereses no hubiera sido suficiente para cubrir completamente el pago programado
de intereses de estas clases
Febrero 21, 2013. Banco Invex S.A., Institución de Banca Múltiple, Invex Grupo Financiero en su
carácter de Representante común de los tenedores de los certificados bursátiles fiduciarios,
elaborado por el Fiduciario los recursos disponibles para las distribuciones que habrán de
realizarse en la próxima fecha de pago resultan suficientes para realizar: (i) el pago de la totalidad
de los Intereses de los Certificados Bursátiles Serie A por la cantidad de $8,213,599.55 (ocho
millones Doscientos trece mil quinientos noventa y nueve pesos 55/100 m.n) cantidad equivalente
1,671,208.67 Udis y (ii) el pago correspondiente al monto adeudado a MBIA (según dicho término
se define en el contrato de fideicomiso) por la cantidad de $3,236,960.58 (tres millones doscientos
treinta y seis mil novecientos sesenta pesos 58/100 m.n) cantidad equivalente a 658,619.47 udis.
intereses" no son suficientes para para cubrir: (i) el monto de pago de intereses de los Certificados
Bursátiles Serie B de $1,918,473.90 (un millón novecientos dieciocho mil cuatrocientos setenta y
tres pesos 90/100 m.n), cantidad equivalente a 390,348.98 udis y (ii) parte del monto de pago de
los intereses vencidos y no pagados de los Certificados Bursátiles Serie B por $3,533,320.67 (tres
millones quinientos treinta y tres mil trescientos veinte pesos 67/100 m.n) cantidad equivalente a
718,919.41 udis.
Febrero 21, 2013. Banco Invex S.A., Institución de Banca Múltiple, Invex Grupo Financiero en su
un importe de $1,918,473.90 (un millón novecientos dieciocho mil cuatrocientos setenta y tres
$3,906,089.01 (tres millones novecientos seis mil ochenta y nueve pesos 01/100 m.n) cantidad
equivalente a 794,766.02 udis., la cantidad faltante asciende $3,533,320.67 (tres millones
quinientos treinta y tres mil trescientos veinte pesos 67/100 m.n) cantidad equivalente a 718,919.41
udis por lo cual, el importe que se pagará el próximo 25 de febrero de 2013 es de $372,768.34
(trescientos setenta y dos mil setecientos sesenta y ocho pesos 34/100 m.n), cantidad equivalente
75,846.61 udis.
Asimismo, les informamos que el próximo 25 de febrero de 2013 se realizará el pago del monto
adeudado a MBIA (según dicho término se establece en el contrato de fideicomiso) por la cantidad
de $3,236,960.58 (tres millones doscientos treinta y seis mil novecientos sesenta pesos 58/100
m.n) cantidad equivalente a 658,619.47 udis.
Febrero 22, 2013. La calificadora Moody's de México (Moody's) colocó las calificaciones de los
Certificados Bursátiles BRHCCB 07-2U (Serie A-2), Caa2.mx (sf) (Escala Nacional de México) y
Caa2 (sf) (Escala Global, Moneda Local) calificaciones subyacentes (reflejando la calidad crediticia
intrínseca de los certificados sin considerar la garantía financiera otorgada por MBIA México, que
cuenta con calificación de solidez financiera de seguros de Caa2), en revisión para posible baja.
Febrero 27, 2013. La agencia calificadora Standard & Poor's Ratings Services subió su calificación
SPUR de las series preferente BRHCCB 07U y BRHCCB 07-2U. el alza de las SPURs de los
certificados BRHCCB 07U y BRHCCB 07-2U sigue al pago de los montos vencidos a MBIA México
S.A. de C.V., como proveedor de la póliza de garantía financiera total, de la fecha de pago anterior;
sin embargo, la cobranza de intereses no ha sido suficiente para cubrir el pago de intereses
vencidos y los de este mes para la serie subordinada BRHCCB 07-3U, en consecuencia,
mantenemos su calificación en 'D (sf)'.
Marzo 5, 2013. La agencia calificadora Standard & Poor's Ratings Services bajó las calificaciones
de las series preferentes BRHCCB 07U y BRHCCB 07-2U a 'CCC (sf)' y 'mxCCC (sf)' de 'B (sf)' y
'mxBB+ (sf)' Las bajas de calificación son resultado de la baja de la calificación de solidez
financiera de MBIA Insurance Corp. a 'CCC' de 'B', el 28 de febrero de 2013, y la baja de las
calificaciones en escala global de MBIA México a 'CCC' de 'B' y en escala nacional -CaVal- a
'mxCCC' de 'mxBB+' el 5 de marzo de 2013.
Marzo 21, 2013. Banco Invex S.A., Institución de Banca Múltiple, Invex Grupo Financiero en su
elaborado por el fiduciario los recursos recibidos en el fideicomiso por concepto de "pagos por
intereses" no son suficientes para para cubrir : (i) el monto de pago de intereses de los Certificados
Bursátiles Serie B por un importe de $1,738,853.64 (un millón setecientos treinta y ocho mil
ochocientos cincuenta y tres pesos 64/100 m.n), cantidad equivalente a 352,573.27 udis y (ii) parte
del monto de pago de los intereses vencidos y no pagados de los Certificados Bursátiles Serie B
por un monto de $7,334,028.06 (siete millones trescientos treinta y cuatro mil veintiocho pesos
06/100 m.n) cantidad equivalente a 1,487,061.47 udis
Marzo 21, 2013. Banco Invex S.A., Institución de Banca Múltiple, Invex Grupo Financiero en su
un importe de $1,738,853.64 (un millón setecientos treinta y ocho mil ochocientos cincuenta y tres
$7,334,028.06 (siete millones trescientos treinta y cuatro mil veintiocho pesos 06/100 m.n) cantidad
equivalente a 1,487,061.47 udis, la cantidad faltante asciende $4,052,758.71 (cuatro millones
cincuenta y dos mil setecientos cincuenta y ocho pesos 71/100) cantidad equivalente a 821,745.06
udis, por lo cual, el importe que se pagará el próximo 25 de marzo de 2013 es de $3,281,269.35
(tres millones doscientos ochenta y un mil doscientos sesenta y nueve pesos 35/100 m.n), cantidad
equivalente 665,316.41 udis.
Abril 5, 2013. La agencia calificadora Standard & Poor's confirmó sus clasificaciones de
PROMEDIO como administrador primario de créditos hipotecarios residenciales y para la
construcción en el mercado mexicano de Patrimonio S.A. de C.V., SOFOM, E.N.R. Al mismo
tiempo, revisó su subclasificación de capacidad gerencial y estructura organizacional a SUPERIOR
AL PROMEDIO de PROMEDIO y confirmó su subclasificación de administración de cartera de
PROMEDIO como administrador de cartera de créditos residenciales. Asimismo, confirmó su
subclasificaciones de capacidad gerencial y estructura organizacional y de administración de
cartera de PROMEDIO como administrador de créditos para la construcción. Las perspectivas de
ambas clasificaciones son estables.
2007 HSBC México, S.A. I.B.M., Grupo Financiero HSBC, División Fiduciaria, a través del contrato
de fideicomiso F/234036 de fecha 23 de octubre de 2007 ("los Certificados Bursátiles Serie A"),
el fiduciario los recursos recibidos en el fideicomiso por concepto de "pagos por intereses" no son
suficientes para para cubrir : (i) el monto de pago de intereses de los Certificados Bursátiles serie B
por un importe de $1,941,233.97 (un millón novecientos cuarenta y un mil doscientos treinta y tres
intereses vencidos y no pagados de los Certificados Bursátiles serie B por un monto de
$5,839,970.78 (cinco millones ochocientos treinta y nueve mil novecientos setenta pesos 78/100
m.n) cantidad equivalente a 1,174,318.33 udis
Abril 23, 2013 Banco Invex S.A., Institución de Banca Múltiple, Invex Grupo Financiero en su
un importe de $1,941,233.97 (un millón novecientos cuarenta y un mil doscientos treinta y tres
intereses vencidos y no pagados de los certificados bursátiles serie b por un monto de
$5,839,970.78 (cinco millones ochocientos treinta y nueve mil novecientos setenta pesos 78/100
m.n) cantidad equivalente a 1,174,318.33 udis, la cantidad faltante asciende $3,478,003.84 (tres
millones cuatrocientos setenta y ocho mil tres pesos 84/100 m.n) cantidad equivalente a
699,367.14 udis, por lo cual, el importe que se pagará el próximo 25 de abril de 2013 es de
$2,361,966.94 (dos millones trescientos sesenta y un mil novecientos sesenta y seis pesos 94/100
m.n), cantidad equivalente 474,951.19 udis.
Mayo 13, 2013 La calificadora Standard & Poor's sube calificaciones de las series preferentes
BRHCCB 07U y BRHCCB 07-2U, el alza de calificación son resultado del alza de la calificación de
solidez financiera de MBIA Insurance Corp. (MBIA) a 'B' de 'CCC', el 8 de mayo de 2013, y el alza
de las calificaciones en escala global de MBIA México S.A. de C.V. a 'B' de 'CCC' y en escala
nacional -CaVal- a 'mxBB+' de 'mxCCC'.
Mayo 23, 2013 Banco Invex S.A., Institución de Banca Múltiple, Invex Grupo Financiero en su
carácter de representante común de los tenedores de los Certificados Bursátiles fiduciarios,
2007 HSBC México, S.A. I.B.M.,Grupo Financiero HSBC, División Fiduciaria, a través del contrato
de fideicomiso F/234036 de fecha 23 de octubre de 2007 ("los Certificados Bursátiles Serie A"),
el fiduciario los recursos recibidos en el fideicomiso por concepto de "pagos por intereses" no son
suficientes para para cubrir: (i) el monto de pago de intereses de los Certificados Bursátiles serie b
por un importe de $2,002,129.02 ( dos millones dos mil ciento veintinueve pesos 02/100) cantidad
equivalente a 402,940.88 udis y (ii) parte del monto de pago de los intereses Vencidos y no
pagados de los Certificados Bursátiles serie b por un monto de $5,414,571.65 (cinco millones
cuatrocientos catorce mil quinientos setenta y un pesos 6496/10000 m.n) cantidad equivalente a
1,089,716.12 udis.
Mayo 23, 2013 Banco Invex S.A., Institución de Banca Múltiple, Invex Grupo Financiero en su
carácter de representante común de los tenedores de los Certificados Bursátiles fiduciarios,
México, S.A. I.B.M.,Grupo Financiero HSBC, División Fiduciaria, a través del contrato de
un importe de $2,002,129.02 (dos millones dos mil ciento veintinueve pesos 02/100) Cantidad
equivalente a 402,940.88 udis y (ii) parte del monto de pago de los intereses vencidos y no
pagados de los Certificados Bursátiles Serie B por un monto de $5,414,571.65 (cinco millones
cuatrocientos catorce mil quinientos setenta y un pesos 65/100 m.n) cantidad equivalente a
1,089,716.12 udis, la cantidad faltante asciende $5,249,136.55 (cinco millones doscientos cuarenta
y nueve mil ciento treinta y seis pesos 55/100) cantidad equivalente a 1,056,421.28 udis, por lo
cual, el importe que se pagará el próximo 27 de mayo de 2013 es de $165,435.10 (ciento sesenta y
cinco mil Cuatrocientos treinta y cinco pesos 10/100 m.n) cantidad equivalente 33,294.84 udis.
Mayo 28, 2013. La agencia calificadora Moody's subió su calificación SPUR de la serie preferente
BRHCCB 07-2U a B1.mx de Caa2.mx, el alza de las SPURs de los certificados BRHCCB 07U es
motivada por el anuncio realizado por Moody's el 21 de mayo de 2013, en el que subió la
calificación de solidez financiera de MBIA Insurance Corp. a B3 y la de MBIA México a B3 y B1.mx.
c) Otros terceros obligados con el fideicomiso o los tenedores de los valores, en su caso Cuando
existan otros terceros obligados con el fideicomiso o los tenedores de los valores tales como
avales, garantes, contrapartes en operaciones financieras derivadas o de cobertura, apoyos
crediticios, entre otros, y en el prospecto de colocación de los valores se hubiera incluido
información respecto de dichos terceros, deberá incluirse una actualización de esa información
respecto de cada tercero de que se trate, para evaluar su riesgo de crédito, hasta donde se
considere relevante.
Nombre
MBIA México, S.A. de C.V.
Sociedad Hipotecaria Federal, S.N.C., Institución
de Banca de Desarrollo
Papel a desempeñar en la
Transacción
Otorgante de la Póliza y
Fideicomisario en Segundo
Lugar
Contraparte de la Cobertura SHF
Los certificados preferentes tienen una protección crediticia a través de:
1) Serie Subordinada: La emisión cuenta con una serie de certificados subordinados que
funciona como enaltecedor de crédito para los certificados preferentes. Adicionalmente los
certificados preferentes están divididos en dos series, una de corto plazo y una de largo
plazo, de manera que todos los flujos de prepago sean dirigidos a la serie de corto plazo
hasta amortizarla por completo y solo entonces se distribuyen flujos de principal a la serie
de largo plazo.
2) Las Constancias: Acreditarán a sus tenedores como titulares de los derechos de
Fideicomisario en Tercer Lugar bajo el Contrato de Fideicomiso. La Constancia dará el
derecho a su tenedor (Hipotecaria Su Casita, S.A. de C.V.) a recibir el porcentaje de las
Distribuciones que la misma señale y que se efectúen de conformidad con la Cláusula
Décima Segunda de Contrato de Fideicomiso y (ii) en general, a la proporción que
corresponda del remanente que pueda haber en el Patrimonio del Fideicomiso después del
pago total de los Certificados Bursátiles Fiduciarios, las cantidades adeudadas bajo los
términos del Contrato de Fideicomiso y los contratos celebrados de conformidad con el
mismo.
El valor objetivo de la serie subordinada y la constancia es el 12.8% de la Cartera Hipotecaria
Vigente.
a) MBIA México es una institución de seguros autorizada por la Secretaría de Hacienda y Crédito
Público mediante oficio número 101.-603 de fecha 15 de junio de 2007 para organizarse y operar
como una institución de seguros especializada en seguros de garantía financiera. Moody’s de
México, S.A. de C.V. y Standard & Poor’s, S.A. de C.V. han otorgado calificaciones a la fortaleza
financiera de MBIA México como “B1.mx” y “mxBB+”, respectivamente.
Además, Moody’s de México, S.A. de C.V. y Standard & Poor’s, S.A. de C.V. han otorgado
calificaciones a la fortaleza financiera de MBIA Insurance Corporation como “B3” y “B”,
respectivamente, y a través de un contrato celebrado entre MBIA México y MBIA Insurance
Corporation (Network Maintenance Agreement), MBIA Insurance Corporation otorgará un nivel
específico de apoyo de capital a MBIA México. Las oficinas principales de MBIA México se
encuentran en Av. Paseo de las Palmas No. 405 – 404, Col. Lomas de Chapultepec, 11000, México
Distrito Federal. MBIA México es una subsidiaria de MBIA Insurance Corporation que reasegura los
créditos suscritos por MBIA México.
MBIA Insurance Corporation es una sociedad aseguradora con sede en el Estado de Nuevo York que
otorga Seguros de Garantía Financiera a bonos municipales, valores respaldados por activos o
hipotecas, deuda corporativa selecta, incluyendo bonos de servicios propiedad de inversionistas,
bonos emitidos por entidades soberanas y sub-soberanas con calificaciones altas, y obligaciones
garantizadas de sociedades e instituciones financieras. MBIA Insurance Corporation es la principal
subsidiaria operativa de MBIA Inc., una empresa que cotiza en la Bolsa de Valores de Nueva York
(New York Stock Exchange). MBIA Insurance Corporation es la sucesora del negocio de Municipal
Bond Insurance Association que comenzó a otorgar garantías financieras para bonos municipales en
1974. MBIA Insurance Corporation está autorizada para actuar como aseguradora en, y se encuentra
sujeta a la regulación de seguros y la supervisión de, el Estado de Nueva York (Estado de su
constitución), los otros 49 estados y el Distrito de Columbia de E.U.A., Guam, las Islas Mariana del
Norte, las Islas Vírgenes de E.U.A., Puerto Rico, el Reino de España, el Reino Unido (a través de
MBIA UK Insurance Limited, “MBIA UK”). La fortaleza financiera de MBIA Insurance Corporation está
calificada como “B3” por Moody’s, y “B” por Standard & Poor’s. Dichas calificaciones reflejan
exclusivamente las perspectivas de dichas agencias calificadoras, y no son recomendaciones de
adquirir, comprar o mantener valores y se encuentran sujetas a revisión o retiro en cualquier
momento por la agencia calificadora que las otorgó. Las oficinas principales de MBIA Insurance
Corporation se encuentran en 113 King Street, Armonk, Nueva York, 10504, E.U.A., y su número
telefónico es (001-914) 273-4545.
Estructura Corporativa
MBIA México es propiedad en su mayoría de MBIA Insurance Corporation. MBIA Insurance
Corporation es subsidiaria al 100% de MBIA, Inc. MBIA Inc. no se encuentra obligada a pagar los
adeudos de o reclamaciones en contra de MBIA Insurance Corporation. MBIA Insurance Corporation
también es propietaria de MBIA UK, una compañía aseguradora de garantía financiera autorizada
para operar en el Reino Unido. MBIA UK suscribe seguros de garantía financiera en los países
miembros de la Unión Europea y en otras regiones fuera de los Estados Unidos de América.
Generalmente, a lo largo del presente texto, las referencias a MBIA Insurance Corporation incluyen
las actividades de sus subsidiarias.
Legislación Aplicable
MBIA México se encuentra sujeta a la legislación mexicana aplicable, misma que incluye, de manera
enunciativa más no limitativa, la Ley General de Instituciones y Sociedades Mutualistas de Seguros,
la Ley del Contrato de Seguros y las Reglas para los Seguros de Garantía Financiera.
MBIA Insurance Corporation se encuentra regulada por el Departamento de Seguros del Estado de
Nueva York. Adicionalmente, MBIA Insurance Corporation se encuentra sujeta a la regulación de las
leyes y reglamentos de seguros de otros países en los cuales se encuentra autorizada para operar.
La medida de regulación estatal de seguros varía en los distintos países, sin embargo Nueva York y
la mayor parte de las jurisdicciones tienen leyes y reglamentos que estipulan estándares mínimos de
solvencia, incluyendo requisitos mínimos de capitalización, y una conducta de negocios que debe ser
mantenida por las aseguradoras. Estas leyes prescriben los tipos de inversiones permitidas así como
su concentración. Asimismo, algunas leyes y reglamentos estatales requieren la aprobación o
inscripción de los formatos de pólizas así como de las primas. MBIA Insurance Corporation se
encuentra obligada a presentar estados financieros detallados con el Departamento de Seguros del
Estado de Nueva York y con otros entes regulatorios similares en otras jurisdicciones en las que se
encuentra autorizada. Las obligaciones de la Compañía Aseguradora conforme a cualquier póliza de
seguro de garantía financiera o fianza de cumplimiento pueden estar reaseguradas. Dicho reaseguro
no releva a MBIA Insurance Corporation de cualquiera de sus obligaciones conforme a dicha póliza
de seguro de garantía financiera o fianza de cumplimiento. Las pólizas de Seguro de Garantía
Financiera y fianzas de cumplimiento no se encuentran cubiertas por el fondo de garantía de
propiedades/siniestros especificado en el Artículo 76 de la Ley de Seguros de Nueva York. MBIA UK
ha utilizado las disposiciones de la Tercer Directiva de la Comunidad Europea respecto de Seguros
Distintos a los de Vida (No. 92/49/EEC) para operar en el Reino Unido y en otras jurisdicciones del
Área Económica Europea, tanto en base a servicios como a sucursales y se encuentra sujeta a la
supervisión de la Autoridad de Servicios Financieros del Reino Unido.
B. INFORMACIÓN FINANCIERA. Anexo A – ESTADOS FINANCIEROS MBIA
Reaseguro
En términos del Contrato de Reaseguro celebrado entre MBIA México y MBIA Insurance Corporation,
ésta reasegura la totalidad de los créditos suscritos por MBIA México.
Las leyes y regulaciones estatales en materia de seguros, así como las agencias calificadoras que
otorgan calificaciones a MBIA Insurance Corporation imponen requerimientos de capital mínimos
sobre aseguradoras de garantía financiera, limitando la cantidad total del seguro y el monto máximo
de exposición de cualquier riesgo individual que otorguen. MBIA Insurance Corporation reduce la
exposición asegurada en su cartera y aumenta su capacidad para suscribir nuevos negocios a través
de reaseguro facultativo y de reaseguro basado en tratados para reducir su exposición neta a nivel
agregado y a nivel de créditos individuales. Además, MBIA Insurance Corporation ha celebrado
contratos bajo los cuales se encuentra facultado para obtener el reembolso de pérdidas sobre su
cartera asegurada los cuales no califican como reaseguro bajo los principios de contabilidad
generalmente aceptados en los Estados Unidos de América
C. ADMINISTRACIÓN.
a) Auditores Externos. Los estados financieros de MBIA Insurance Corporation han sido auditados
por el despacho de contadores PricewaterhouseCoopers, LLP desde la creación de la compañía.
Asimismo, los estados financieros de MBIA México han sido auditados por PricewaterhouseCoopers,
S.C. Los Comités de Auditoría de MBIA México y de MBIA Insurance Corporation, respectivamente,
escogen anualmente a sus auditores externos. Dentro de los servicios prestados por conceptos
distintos a auditoria, se encuentran algunos en relación con cumplimiento con disposiciones fiscales,
así como algunos para nuevas operaciones de negocios. MBIA México ha designado a
PricewaterhouseCoopers, S.C. como sus auditores externos.
b) Administradores. La administración de MBIA México es dirigida por su Consejo de Administración
y los comités que marca la legislación mexicana. A su vez, MBIA México tiene un contrato de servicio
con MBIA Insurance Corporation en donde las funciones específicas de soporte administrativo y de
gestión las hace MBIA Insurance Corporation.
A la fecha, la siguiente es la lista de los miembros del Consejo de Administración de MBIA
México:
Consejeros Propietarios:
C. Edward Chaplin (Presidente)
Sergio Emanuel Trujano Bello (Director General)
Ram D. Wertheim (Secretario)
Leonel Pereznieto del Prado (Consejero independendinte y Prosecretario)
Andrés José Luis Pérez Noya (Consejero Independiente)
Consejeros Suplentes:
Douglas C. HamiltonLuis Alberto Díaz Rivera Bravo
Andrew Hughes (Prosecretario)*
Carlos Zamarrón Ontiveros
Francisco Antonio Tello de Meneses y Cervantes
Los principales funcionarios de MBIA México:
Sergio Emanuel Trujano Bello
C. Edward Chaplin
Alfred C. Pastore
Director General
Director de Finanzas
Tesorero
Así mismo, la siguiente es la lista de los principales funcionarios de MBIA Insurance
Corporation:
Joseph W. Brown * Chairman
William C. Fallon * President and Chief Operating Officer
C. Edward Chaplin * Assistant Vice President and Chief Financial Officer
John Dare * Assistant Vice President and Head of Structured Finance
Douglas C. Hamilton * Assistant Vice President and Controller
Willard I. Hill, Jr. * Assistant Vice President, Chief Marketing and Communications Officer
and Chief Compliance Officer
Anthony McKiernan * Managing Director and Chief Risk Officer
Alfred C. Pastore * Assistant Vice President, Treasurer and Chief Investment Officer
Andrea E. Randolph * Assistant Vice President and Chief Technology Officer
Ram D. Wertheim * Assistant Vice President, General Counsel and Secretary
3) INFORMACION FINANCIERA
a) Información financiera seleccionada del fideicomiso
i)
Balance y resultados del fideicomiso.Anexo B - Balance y resultados del fideicomiso (Notas incluidas)
ii) Origen y aplicación de recursos.Anexo C – Estado de Cambios en la Situación Financiera
iii) Movimientos en las cuentas para el manejo de efectivo.La variación observada en las cuentas del fideicomiso obedece al comportamiento normal
de los activos y a los pagos y gastos estipulados en los documentos del Fideicomiso
Maestro y al Fideicomiso.
(a) Cuenta de Cobranza opera de la siguiente forma:
(1) Durante cada Periodo de Cobranza el Administrador deposita en días y horas hábiles en la
Cuenta de Cobranza el monto total de todas las Cantidades Incluidas que cobre a los Deudores
Hipotecarios durante dicho Periodo de Cobranza, así como el monto total de los Montos Recibidos
por Aplicar de conformidad con los términos del Contrato de Administración.
(2) El Administrador esta autorizado a efectuar retiros de la Cuenta de Cobranza únicamente para (i)
entregar a HSC cualesquier Cantidades Excluidas que se hubieren depositado en la Cuenta de
Cobranza; (ii) cubrir al Administrador el monto de la Comisión por Administración que corresponda a
cada Periodo de Cobranza; (iii) cubrir a las Aseguradoras el monto de las primas por Seguros; (iv)
cubrir a la Sociedad Hipotecaria Federal el monto de los pagos que correspondan al Fiduciario a
favor bajo la Cobertura SHF; (v) cubrir al Administrador el monto de Gastos de Cobranza, (vi) en su
caso, las cantidades en exceso previstas en la cláusula 5.3 del Contrato de Administración, (vii) las
cantidades identificadas por el administrador como “Montos recibidos por aplicar” (el administrador
no podrá retirar estas cantidades), (viii) transferir a la Cuenta General, en cada Fecha de
Transferencia, el monto total de la Cobranza que corresponda al Periodo de Cobranza inmediato
anterior una vez deducidas las cantidades descritas en los incisos (i), (ii), (iii), (iv), (v), (vi) y (vii)
anteriores
(3) La Cuenta de Cobranza devenga intereses a la tasa que de tiempo en tiempo se acuerde con la
institución depositaria. Todos los rendimientos que se generan bajo la Cuenta de Cobranza son para
beneficio del Patrimonio del Fideicomiso.
(b) Cuenta General. El Administrador lleva a cabo el depósito de las Cantidades Incluidas y en su
caso MBIA para que deposite, cualquier Cantidad Faltante o cualquier Anticipo de MBIA.
(1) El Fiduciario recibe en días y horas hábiles en la Cuenta General todas las transferencias o
depósitos de la Cuenta de Cobranza que le entregue el Administrador en relación con la Cobranza
conforme al Contrato de Administración.
(2) Un (1) Día Hábil antes de cada Fecha de Pago el Fiduciario transferirá de la Cuenta de Inversión
a la Cuenta General el saldo total de la Cuenta de Inversión para efectuar en la Fecha de Pago las
Distribuciones.
(3) En cada Fecha de Pago, el Fiduciario mantiene en la Cuenta General la cantidad necesaria para
efectuar la totalidad de los Gastos Mensuales de conformidad con la cláusula Décima Segunda
inciso (b) (1) del presente Contrato.
(4) El Fiduciario efectúa el pago de los Gastos Mensuales con cargo a los fondos depositados en la
Cuenta General.
(5) El Fiduciario también puede hacer retiros de la Cuenta General, para (i) transferencias a la
Cuenta de Inversión o (ii) retirar cantidades que no debieren de haber sido depositadas en la Cuenta
General y sin embargo fueron depositadas en dicha cuenta por error, en este último caso con el
consentimiento por escrito del Fideicomisario Controlador.
(6) La Cuenta General devengará intereses a la tasa que de tiempo en tiempo se acuerde con la
institución depositaria. Los intereses serán abonados a la Cuenta General directamente por la
institución depositaria. Cualquier rendimiento derivado de dichas inversiones será parte integrante
del Patrimonio del Fideicomiso y se agregará al saldo disponible en la Cuenta General para los
efectos a que haya lugar bajo este Contrato.
iv) Índices y razones financieras.NOTA: Derivado de los fines por los que fue creado el fideicomiso, las razones financieras
no le son aplicables debido a que el indicador obtenido no es representativo para poder
interpretar la situación financiera.
.
4) ADMINISTRACION
a) Auditores externos
No hay cambios de auditores ni opiniones de expertos independientes.
b) Operaciones con personas relacionadas y conflictos de interés
HSBC no tiene conocimiento de conflictos de interés o personas relacionadas relevantes
c) Asambleas de tenedores, en su caso
Durante el año 2012 y hasta la fecha de presentación del presente Reporte Anual se han realizado
las siguientes Asambleas:
El día 20 de noviembre de 2012 contando con un quórum del 76.64% de los Tenedores de los
Certificados Bursátiles, se adoptaron los siguientes acuerdos:
Primero.- Por unanimidad de votos de los representantes de los Tenedores presentes en la
Asamblea, y ante el estado actual de Hipotecaria Su Casita S.A. de C.V., S.F.O.M. E.N.R. (“HSC”),
se aprueba que se lleven a cabo las acciones necesarias para reasignar al Fiduciario las funciones
a cargo del Fideicomitente establecidas en el contrato de Fideicomiso.
Segundo.- Se tiene por rendido el informe del Fiduciario y el Administrador, en relación a los
activos de Fideicomiso que pueden ser afectados de acuerdo al estado actual de HSC.
Tercero.- Por unanimidad de votos de los representantes de los Tenedores presentes en la
Asamblea, se instruye al Fiduciario y al Administrador, para que con base en el reporte presentado
en la Asamblea, se determinen los casos específicos que presentan alguna problemática jurídica, a
efecto de determinar la estrategia a seguir con base en la recomendación del despacho de
abogados que asistió a la presente Asamblea.
Cuarto.- Por unanimidad de votos de los representantes de los Tenedores presentes en la
Asamblea, se instruye al Fiduciario y al Administrador, para revisar el estado de la cobertura swap
de los créditos pertenecientes al patrimonio del Fideicomiso, con el fin de determinar las acciones
que correspondan en cada caso.
Quinto.- Se tiene por rendido el informe del Administrador y del Fiduciario, respecto a la situación
actual de la emisión.
Sexto.- Con el fin de reducir los gastos de la estructura por unanimidad de votos de los
representantes de los Tenedores presentes en la Asamblea se instruye al Fiduciario para que
solicite una reconsideración de honorarios a las agencias calificadoras que actualmente califican a
los certificados bursátiles así como una propuesta económica de las otras agencias calificadoras
autorizadas por la Comisión Nacional Bancaria y de Valores.
Séptimo.- Se tiene por rendido el informe del Fiduciario respecto de las medidas tomadas en
relación con los embargos de las cuentas a nombre de HSC.
Octavo.- Los Tenedores se dan por enterados de la contratación de un despacho de abogados
para hacer frente a la defensa del patrimonio del Fideicomiso y atender los actos relacionados en
el acuerdo séptimo anterior. Los gastos y honorarios relacionados con dicha contratación, serán
liquidados con cargo al patrimonio del Fideicomiso.
Noveno.- Por unanimidad de votos de los representantes de los Tenedores presentes en la
Asamblea, se resuelve designar al despacho de abogados señalado en el acta de la presente
Asamblea, para llevar a cabo las modificaciones a los documentos de la emisión que resulten
necesarias, como consecuencia de las resoluciones adoptadas en los puntos anteriores del Orden
del Día. Lo anterior conforme a las condiciones que se establecen en el acta de la presente
Asamblea.
Décimo.- Por unanimidad de votos de los representantes de los Tenedores presentes en la
Asamblea, se instruye al Representante Común para que conforme al acuerdo noveno anterior,
proceda a girar las instrucciones correspondientes al Fiduciario para la contratación del despacho
de abogados. Los honorarios del despacho de abogados designado, se pagarán con cargo al
patrimonio del Fideicomiso, lo anterior considerando la propuesta económica elaborada por la
propia firma de abogados seleccionada.
Décimo Primero.- por unanimidad de votos de los representantes de los Tenedores presentes en
la Asamblea se autoriza al Fiduciario y al Representante Común para suscribir y celebrar todos los
contratos, convenios y/o documentos que resulten necesarios y/o convenientes asé como llevar a
cabo todos los trámites necesarios a efecto de formalizar las modificaciones a los documentos
aprobadas en la presente Asamblea.
Décimo Segundo.- Por unanimidad de votos de los representantes de los Tenedores presentes en
la Asamblea se instruye al Fiduciario para que realice las gestiones que resulten necesarias ante
MBIA México S.A. de C.V. para solicitar las autorizaciones que correspondan con el fin de estar en
posibilidades de dar cumplimiento a los acuerdos adoptados en la presente Asamblea.
Décimo Tercero.- Por unanimidad de votos de los representantes de los Tenedores presentes en
la Asamblea se autoriza al Fiduciario y al Representante Común para nombrar a las personas que
formalicen las resoluciones adoptadas en la presente Asamblea.
El día 23 de enero de 2013 contando con un quórum del 85.59% de los Tenedores de los
Certificados Bursátiles, se adoptaron los siguientes acuerdos:
Primero.- Los representantes de los Tenedores presentes en la Asamblea se dan por enterados
de la sentencia de fecha 31 de diciembre de 2012, dictada en los autos del juicio de concurso
mercantil 675/2012-i, seguido ante el juzgado octavo de distrito en materia civil en el distrito
federal, mediante la cual se declara a Hipotecaria su Casita S.A. de C.V., S.F.O.M. E.N.R., en
concurso mercantil en etapa de quiebra.
Segundo.- Los representantes de los Tenedores presentes en la Asamblea, tomaron nota de las
propuestas de los despachos de abogados presentadas.
Tercero.- Por unanimidad de votos de los representantes de los Tenedores presentes en la
Asamblea, se resuelve designar a las personas autorizadas por el Fiduciario y el Representante
Común, como delegados especiales a efecto de dar cumplimiento a las resoluciones adoptadas en
la presente Asamblea.
5) PERSONAS RESPONSABLES
FIDUCIARIO
HSBC México, S.A. Institución de Banca Múltiple
Grupo Financiero HSBC. División Fiduciaria,
Fideicomiso F/234036
Arturo Ortiz Radilla
ADMINISTRADOR
Patrimonio S.A. de C.V, Sociedad Financiera de Objeto Múltiple, Entidad No Regulada
Director General - Lic. Ignacio Javier Farías Campero
Director de Finanzas - Ing. Othón Alejandro Páez Martínez
Gerente Legal - Lic. Eduardo Martínez Contreras
REPRESENTANTE COMUN
Banco INVEX, S.A. Institución de Banca Múltiple
Invex Grupo Financiero, Fiduciario
Freya Vite Asensio - Delegado Fiduciario
Carlos Alberto Nieto Ríos- Delegado Fiduciario
6) ANEXOS
Exhibit 99.2
MBIA INSURANCE CORPORATION AND SUBSIDIARIES
CONSOLIDATED FINANCIAL STATEMENTS
As of December 31, 2012 and 2011
and for the years ended
December 31, 2012, 2011 and 2010
INDEX
PAGE
Report of Independent Registered Public Accounting Firm
1
Consolidated Balance Sheets as of December 31, 2012 and 2011
2
Consolidated Statements of Operations for the years ended December 31, 2012, 2011 and 2010
3
Consolidated Statements of Comprehensive Income (Loss) for the years ended December 31, 2012, 2011 and 2010
4
Consolidated Statements of Changes in Shareholders’ Equity (Deficit) for the years ended December 31, 2012, 2011 and
2010
5
Consolidated Statements of Cash Flows for the years ended December 31, 2012, 2011 and 2010
6
Notes to Consolidated Financial Statements
7
Report of Independent Registered Public Accounting Firm
To the Board of Directors and Shareholders of MBIA Insurance Corporation:
In our opinion, the accompanying consolidated balance sheets and the related consolidated statements of operations, comprehensive
income, changes in shareholders’ equity and cash flows present fairly, in all material respects, the financial position of MBIA Insurance
Corporation and its subsidiaries (the “Company”) as of December 31, 2012 and 2011, and the results of their operations and their cash
flows for each of the three years in the period ended December 31, 2012 in conformity with accounting principles generally accepted in the
United States of America. These financial statements are the responsibility of the Company’s management. Our responsibility is to
express an opinion on these financial statements based on our audits. We conducted our audits in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide
a reasonable basis for our opinion.
The accompanying financial statements have been prepared assuming that the Company will continue as a going concern. As discussed
in Note 1 to the financial statements, there is a significant risk that one counterparty could present substantial contractual claims for which
the Company may not have sufficient resources to meet their contractual obligations that raises substantial doubt about the Company’s
ability to continue as a going concern. Management’s plans in regard to these matters are also described in Note 1. The financial
statements do not include any adjustments that might result from the outcome of this uncertainty.
/s/ PricewaterhouseCoopers LLP
New York, NY
February 27, 2013
1
CONSOLIDATED BALANCE SHEETS
(In thousands except share and per share amounts)
Assets
Investments:
Fixed-maturity securities held as available-for-sale, at fair value (amortized cost $708,068 and $1,110,605)
Investments carried at fair value
Short-term investments held as available-for-sale, at fair value (amortized cost $157,791 and $219,449)
Other investments (includes investments at fair value of $611 and $7,721)
Total investments
Cash and cash equivalents
Secured loan to Parent
Accrued investment income
Premiums receivable
Deferred acquisition costs
Prepaid reinsurance premiums
Insurance loss recoverable
Reinsurance recoverable on paid and unpaid losses
Property and equipment, at cost (less accumulated depreciation of $60,186 and $58,755)
Receivable for investments sold
Derivative assets
Current income taxes
Deferred income taxes, net
Other assets
Assets of consolidated variable interest entities:
Cash
Investments held-to-maturity, at amortized cost (fair value of $2,674,336 and $2,469,285)
Fixed-maturity securities at fair value
Loans receivable at fair value
Loan repurchase commitments
Derivative assets
Total assets
Liabilities and Shareholders’ Equity (Deficit)
Liabilities:
Unearned premium revenue
Loss and loss adjustment expense reserves
Reinsurance premiums payable
Long-term debt
Deferred fee revenue
Payable for investments purchased
Derivative liabilities
Other liabilities
Liabilities of consolidated variable interest entities:
Variable interest entity notes (includes financial instruments carried at fair value of $3,675,182 and $4,786,570)
Total liabilities
Commitments and contingencies (See Note 18)
Shareholders’ equity (deficit):
Series A non-cumulative perpetual preferred stock, par value $1,000 per share, liquidation value $100,000 per share, authorized—4,000,
issued and outstanding—2,759
Common stock, par value $220.80 per share; authorized, issued and outstanding—67,936 shares
Additional paid-in capital
Retained earnings (deficit)
Accumulated other comprehensive income (loss), net of tax of $1,642 and $8,599
Total shareholders’ equity (deficit)
Total liabilities and shareholders’ equity (deficit)
December 31,
December 31,
2012
2011
$
$
1,108,645
—
219,526
35,546
1,363,717
136,361
300,000
12,501
1,359,568
623,127
1,698,740
3,045,987
178,044
2,510
15,820
7,861
—
1,711,442
23,495
176,342
2,829,200
1,734,774
1,880,586
1,086,040
333
$ 17,221,921
160,123
2,840,000
2,884,265
2,045,608
1,076,765
449,740
$ 19,935,674
$
$
2,507,839
845,573
313,287
2,604,063
409,458
—
2,933,229
—
403,315
2,953,389
836,331
351,732
2,082,655
514,139
34
4,807,647
26,060
276,695
6,504,382
161,745
16,682,891
7,626,570
824,819
20,300,071
27,598
15,000
981,735
(510,283)
24,980
539,030
$ 17,221,921
27,598
15,000
985,835
(1,396,905)
4,075
(364,397)
$ 19,935,674
The accompanying notes are an integral part of the consolidated financial statements.
2
730,440
3,825
158,610
28,139
921,014
396,788
—
7,085
1,228,381
508,600
1,370,711
3,648,025
159,338
1,633
65
6,764
7,071
1,239,427
19,744
CONSOLIDATED STATEMENTS OF OPERATIONS
(In thousands)
2012
Revenues:
Premiums earned:
Scheduled premiums earned
Refunding premiums earned
Premiums earned (net of ceded premiums of $299,783, $254,920, and $261,564)
Net investment income
Fees and reimbursements
Change in fair value of insured derivatives:
Realized gains (losses) and other settlements on insured derivatives
Unrealized gains (losses) on insured derivatives
Net change in fair value of insured derivatives
Net gains (losses) on financial instruments at fair value and foreign exchange
Investment losses related to other-than-temporary impairments:
Investment losses related to other-than-temporary impairments
Other-than-temporary impairments recognized in accumulated other comprehensive
income (loss)
Net investment losses related to other-than-temporary impairments
Other net realized gains (losses)
Revenues of consolidated variable interest entities:
Net investment income
Other net realized gains (losses)
Total revenues
Expenses:
Losses (recoveries) and loss adjustment
Amortization of deferred acquisition costs
Operating
Interest
Expenses of consolidated variable interest entities:
Operating
Interest
Total expenses
Income (loss) before income taxes
Provision (benefit) for income taxes
Equity in net income (loss) of affiliates
Net income (loss)
Years Ended December 31,
2011
$ 182,375
13,237
195,612
19,173
141,134
$
228,667
31,777
260,444
72,235
99,291
$ 248,610
19,721
268,331
119,129
194,140
(407,179)
1,869,664
1,462,485
42,574
(2,372,313)
(314,095)
(2,686,408)
68,300
(161,952)
(700,273)
(862,225)
133,496
(5,830)
(94,086)
—
(37,086)
(42,916)
1,175
37,086
(57,000)
937
—
—
28,609
53,013
7,677
—
1,879,927
51,902
160,335
(15,975)
(2,045,939)
52,562
350,901
(76,129)
208,814
28,721
112,150
129,310
237,456
(84,212)
133,764
132,971
138,277
159,422
145,937
127,462
135,952
19,703
42,375
569,715
1,310,212
423,590
—
$ 886,622
32,160
42,673
395,633
(2,441,572)
(814,524)
—
$(1,627,048)
27,373
42,063
638,209
(429,395)
(148,189)
336
$(280,870)
3
2010
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(In thousands)
2011
2012
Net income (loss)
Other comprehensive income (loss), net of tax:
Unrealized gains (losses) on available-for-sale securities:
Unrealized holding gains (losses) arising during the period, net of tax of $13,184, $26,031
and $9,301
Less: Reclassification adjustments for (gains) losses included in net income (loss), net of
tax of $7,913, $21,944 and $683
Unrealized gains (losses) on available-for-sale securities, net
Other-than-temporary impairments on available-for-sale securities:
Other-than-temporary impairments arising during the period, net of tax of $0, $12,980 and
$0
Less: Reclassification adjustments for other-than-temporary impairments included in net
income (loss), net of tax of $12,980, $0 and $0
Other-than-temporary impairments on available-for-sale securities, net
Foreign currency translation, net of tax of $2,660, $164 and $42,968
Total other comprehensive income (loss), net of tax
Comprehensive income (loss)
$(1,627,048)
$(280,870)
31,011
81,763
34,793
(14,695)
16,316
(40,754)
41,009
1,269
36,062
—
(24,106)
—
24,106
24,106
(19,517)
20,905
$ 907,527
—
(24,106)
(31,105)
(14,202)
$(1,641,250)
—
—
(144,846)
(108,784)
$(389,654)
4
2010
$ 886,622
CONSOLIDATED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (DEFICIT)
For The Years Ended December 31, 2012, 2011 and 2010
(In thousands except share amounts)
Balance, January 1, 2010
ASU 2009-17 transition
adjustment
Consolidated variable interest
entities, net of taxes of
$23,592
Deconsolidated variable interest
entities, net of tax of $1,756
Total ASU 2009-17 transition
adjustment
Net income (loss)
Other comprehensive income
(loss)
Capital contribution in connection
with the sale of real estate
Share-based compensation, net
of tax of $493
Balance, December 31, 2010
Net income (loss)
(loss)
Capital contribution in connection
with the sale of investments
of tax of $3,077
Net Income (loss)
(loss)
of tax of $5,602
Additional
Paid-in
Capital
Preferred Stock
Shares
Amount
Common Stock
Shares
Amount
2,759
$27,598
67,936
$15,000
$982,664
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Accumulated
Total
Other
Comprehensive
Income (Loss)
Retained
Earnings
(Deficit)
$
$ 1,573,035
(123,659)
131,781
8,122
—
(3,162)
85,341
82,179
—
—
—
—
(126,821)
(280,870)
217,122
—
90,301
(280,870)
—
—
—
—
(108,784)
(108,784)
—
—
—
494
—
—
494
—
2,759
—
—
$27,598
—
—
67,936
—
—
$15,000
—
637
$983,795
—
—
18,277
—
637
$ 1,274,813
(1,627,048)
—
—
—
—
—
—
(14,202)
(14,202)
—
—
—
—
3,620
—
—
3,620
—
2,759
—
—
$27,598
—
—
67,936
—
—
$15,000
—
(1,580)
$985,835
—
—
$(1,396,905)
886,622
—
4,075
—
(1,580)
$ (364,397)
886,622
—
—
—
—
—
—
20,905
20,905
—
2,759
—
$27,598
—
67,936
—
$15,000
(4,100)
$981,735
—
$ (510,283)
—
230,143
(1,627,048)
$
Equity
(Deficit)
(90,061)
$
637,834
Shareholders’
$
$
$
5
—
24,980
$
(4,100)
539,030
CONSOLIDATED STATEMENTS OF CASH FLOWS
(In thousands)
2012
Cash flows from operating activities:
Premiums, fees and reimbursements received
Investment income received
Insured derivative losses and commutations paid
Financial guarantee losses and loss adjustment expenses paid
Proceeds from reinsurance and recoveries
Operating and employee related expenses paid
Interest paid
Income taxes (paid) received
Net cash used by operating activities
Cash flows from investing activities:
Purchase of fixed-maturity securities
Purchase of controlling interest in an affiliate, net of cash received
Sale and redemption of fixed-maturity securities
Proceeds from paydowns on variable interest entity loans
Proceeds from paydowns on the secured loan to Parent
Sale of short-term investments, net
Sale (purchase) of other investments, net
Sale of an entity to an affiliate
Payments for derivative settlements
Consolidation/deconsolidation of variable interest entities, net
Capital expenditures
Disposal of fixed assets
Net cash provided by investing activities
Cash flows from financing activities:
Principal paydowns of variable interest entity notes
Proceeds from long-term debt
Repayment of long-term debt
Redemption of preferred shares
Dividends paid
Net cash (used) provided by financing activities
Net increase (decrease) in cash and cash equivalents
Cash and cash equivalents—beginning of year
Cash and cash equivalents—end of year
$
Reconciliation of net income (loss) to net cash used by operating activities:
Net income (loss)
Adjustments to reconcile net income (loss) to net cash used by operating activities:
Changes in:
Premiums receivable
Prepaid reinsurance premiums
Reinsurance premiums payable
Receivable from affiliates
Payable to reinsurers on recoverables
Accrued interest payable
Accounts receivable
Accrued expenses
Deferred fee revenue
Amortization (accretion) of bond premiums (discounts), net
Depreciation
Other net realized (gains) losses
Investment losses on other-than-temporary impaired investments
Realized gains and other settlements on insured derivatives
Unrealized (gains) losses on insured derivatives
Net (gains) losses on financial instruments at fair value and foreign exchange
Deferred income tax provision (benefit)
Share-based compensation
Other operating
Total adjustments to net income (loss)
Net cash used by operating activities
2011
2010
261,197
358,464
(464,069)
(728,072)
225,660
(146,531)
(305,011)
(8,261)
(806,623)
425,793
580,994
(2,476,616)
(871,961)
288,448
(155,407)
(378,342)
8,803
(2,578,288)
$
461,330
717,680
(894,938)
(1,433,191)
386,632
(264,756)
(409,043)
272,338
(1,163,948)
(517,179)
—
1,297,334
276,479
300,000
243,701
8,403
—
(81,124)
(50,901)
(555)
—
1,476,158
(863,245)
—
1,618,650
290,760
675,000
627,759
(24,525)
147,079
(287,788)
(432,288)
(968)
447
1,750,881
(600,672)
(26,693)
1,468,150
860,303
625,000
424,389
354
—
(232,473)
752,856
(1,997)
66,393
3,335,610
$
(835,889)
443,000
—
—
—
(392,889)
276,646
296,484
573,130
(1,112,318)
1,243,367
—
—
—
131,049
(696,358)
992,842
$
296,484
(1,488,589)
—
(276,572)
(26,010)
(1,005)
(1,792,176)
379,486
613,356
$
992,842
$
886,622
$ (1,627,048)
$
5,416
152,309
114,527
(469,191)
328,029
(38,445)
9,242
18,706
(602,133)
(5,593)
100,792
103,370
53
36,038
(104,682)
(33,132)
6,871
1,432
(1,175)
42,916
—
(1,869,664)
(50,251)
448,474
1,501
111,345
(1,693,245)
$ (806,623)
8,692
209,536
140,946
(524,409)
290,031
(38,017)
(293,027)
50,804
(512,846)
137,612
87,244
—
30
(1,009)
(96,254)
22,530
(16,365)
2,486
15,038
57,000
—
314,095
(228,636)
(831,453)
1,497
253,235
(951,240)
$ (2,578,288)
(2,303)
268,225
120,010
(534,550)
268,515
(46,747)
(80,623)
(52,975)
(772,717)
(20,923)
(3,958)
—
585
(48,820)
(54,933)
288,658
(29,892)
4,549
47,520
—
(613,063)
700,273
(484,397)
(171,134)
1,130
334,492
(883,078)
$ (1,163,948)
6
$
(280,870)
MBIA Insurance Corporation and Subsidiaries
Note 1: Business Developments and Risks and Uncertainties
Summary
MBIA Insurance Corporation is a wholly-owned subsidiary of MBIA Inc. (the “Parent” or “MBIA”). The guarantees of MBIA Insurance
Corporation and its subsidiaries (“MBIA Corp.”) insure structured finance and asset-backed obligations, privately issued bonds used for the
financing of public purpose projects, which are primarily located outside of the United States (“U.S.”) and that include toll roads, bridges,
airports, public transportation facilities, utilities and other types of infrastructure projects serving a substantial public purpose, and
obligations of sovereign and sub-sovereign issuers. Structured finance and asset-backed securities (“ABS”) typically are securities
repayable from expected cash flows generated by a specified pool of assets, such as residential and commercial mortgages, insurance
policies, consumer loans, corporate loans and bonds, trade and export receivables, leases for equipment, aircraft and real property.
Business Developments
As a result of insured losses during the period from 2007 through December 31, 2012, MBIA Corp. has seen ratings downgrades, a near
cessation of new insurance business and increasing liquidity pressure. MBIA Corp. has been unable to write meaningful amounts of new
insurance business since 2008 and does not expect to write significant new insurance business prior to any upgrade of its credit ratings.
As of December 31, 2012, MBIA Corp. was rated B with a negative outlook by Standard & Poor’s Financial Services LLC (“S&P”) and
Caa2 with a developing outlook by Moody’s Investors Service, Inc. (“Moody’s”).
During the year ended December 31, 2012, MBIA Corp. continued to seek to reduce both the absolute amount and the volatility of its
obligations and potential future claim payments through the execution of commutations of insurance policies. The combination of the
failure of certain mortgage originators to honor contractual obligations to repurchase ineligible mortgage loans from securitizations MBIA
Corp. insured, commutation payments to reduce liabilities and claim payments has increased liquidity pressure on MBIA Corp. The failure
of certain mortgage originators, primarily Bank of America, to repurchase ineligible mortgages from securitizations MBIA Corp. insured
represents significant breaches of their contractual obligations. As of December 31, 2012 and 2011, cash and liquid assets were $345
million and $534 million, respectively. Management believes MBIA Corp.’s current liquidity position is adequate to make expected future
claim payments assuming its insured commercial mortgage-backed securities (“CMBS”) exposures held by Bank of America/Merrill Lynch
are commuted as part of a settlement of MBIA Corp.’s put-back claims against Bank of America. No assurance can be given as to whether
such a settlement can be timely reached. In the absence of collecting a substantial amount of its put-back recoverables, and in light of the
potential for substantial claims in the near-term on its insured CMBS exposure, the related liquidity stress to MBIA Corp. could result in it
being placed in a rehabilitation or liquidation proceeding by the New York State Department of Financial Services (“NYSDFS”) (an “MBIA
Corp. Proceeding”). Refer to the following “Risks and Uncertainties” section for a discussion of factors that could have an adverse effect
on MBIA Corp.
During the year ended December 31, 2012, MBIA Corp. made $1.2 billion in gross claim payments, and commuted $13.4 billion of gross
insured exposure, primarily comprising structured CMBS pools, commercial real estate (“CRE”) collateralized debt obligations (“CDOs”),
investment grade corporate CDOs, ABS CDOs, and subprime residential mortgage-backed securities (“RMBS”) transactions.
The reference herein to “ineligible” mortgage loans refers to those mortgage loans that MBIA Corp. believes failed to comply with the
representations and warranties made by the sellers/servicers of the securitizations to which those mortgage loans were sold (including
mortgage loans that failed to comply with the related underwriting criteria), based on MBIA Corp.’s assessment of such mortgage loans’
compliance with such representations and warranties, which included information provided by third-party review firms. The
sellers/servicers have contractual obligations to cure, repurchase or replace such ineligible mortgage loans. These expected recoveries
are generally referred to as “put-backs”, and are calculated based on MBIA Corp.’s assessment of a range of possible collection
outcomes. MBIA Corp.’s assessment of the ineligibility of individual mortgage loans is being challenged by the sellers/servicers of the
securitizations in litigation and there is no assurance that MBIA Corp.’s determinations will prevail.
7
Note 1: Business Developments and Risks and Uncertainties (continued)
Risks and Uncertainties
MBIA Corp.’s consolidated financial statements include estimates and assumptions that affect the reported amounts of assets, liabilities,
revenues and expenses. The outcome of certain significant risks and uncertainties could cause MBIA Corp. to revise its estimates and
assumptions or could cause actual results to differ from MBIA Corp.’s estimates. While MBIA Corp. believes, subject to the qualifications
described above, that it continues to have sufficient capital and liquidity to meet all of its expected obligations, if one or more possible
adverse events were to occur, its statutory capital, financial position, results of operations and cash flows could be materially and
adversely affected. Significant risks and uncertainties that could affect amounts reported in MBIA Corp.’s financial statements in future
periods include, but are not limited to, the following:
•
Management’s expected liquidity and capital forecast for MBIA Corp. for 2013 reflects adequate resources to pay expected
claims. However, there is a significant risk to this forecast as MBIA Corp.’s forecast assumes a settlement with Bank of America
including a commutation of insured CMBS exposure, as well as collection of a substantial portion of MBIA Corp.’s put-back
recoverable recorded against Bank of America/Countrywide. Management believes that a timely settlement will occur because
it believes a comprehensive settlement is in the best interests of MBIA Corp. and Bank of America. If, however, MBIA Corp. is
not able to reach a comprehensive settlement with Bank of America and Bank of America’s subsidiary, Merrill Lynch, presents
substantial claims on its policies covering CMBS pools, MBIA Corp. may have insufficient resources to cover Bank of America’s
expected claims. While no claims have been made on these CMBS exposures to date, given the significant erosion of the
deductible in some of the underlying insured credit default swaps (“CDS”), MBIA Corp. expects that Bank of America /Merrill
Lynch will have the ability to make a claim in the near term. In addition, Bank of America/Merrill Lynch is also one of two
remaining plaintiffs in the litigation challenging the establishment of National Public Finance Guarantee Corporation (“National”)
(“Transformation Litigation”), and developments in this litigation may impact the amount MBIA Corp. ultimately collects in a
comprehensive settlement. While management believes it is more likely than not that a settlement will be reached, which would
alleviate its liquidity risk, there can be no assurance such a settlement will be reached on mutually acceptable terms. As a
result of the risk that MBIA Corp. may not reach a settlement with Bank of America within a reasonable period of time,
management has concluded that there is a significant risk of an MBIA Corp. Proceeding that raises substantial doubt about
MBIA Corp.’s ability to continue as a going concern. MBIA Corp.’s financial statements do not include any adjustments that
might result from the outcome of this uncertainty. In the event of an MBIA Corp. Proceeding, MBIA Corp. may be subject to,
among other things, the following:
•
CDS counterparties may seek to terminate CDS contracts insured by MBIA Corp. and MBIA UK Insurance Limited
(“MBIA UK”) and make market-based damage claims (irrespective of whether actual credit-related losses are expected
under the underlying exposure), which claims could aggregate $7.0 billion or more;
•
Medium-term notes (“MTNs”) issued by MBIA’s subsidiaries, MBIA Global Funding, LLC (“GFL”) and Meridian Funding
Company, LLC (“Meridian”), which are insured by MBIA Corp., would accelerate. To the extent GFL failed to pay the
accelerated amounts under the GFL MTNs or the collateral securing the Meridian MTNs was deemed insufficient to pay
the accelerated amounts under the Meridian MTNs, the MTN holders would have policy claims against MBIA Corp. for
scheduled payments of interest and principal;
•
An MBIA Corp. Proceeding may result in a default under certain collateralized investment agreements of MBIA that are
insured by MBIA Corp., and to the extent MBIA fails to pay the accelerated amounts under these investment agreements
or the collateral securing these investment agreements is deemed insufficient to pay the accelerated amounts due, the
holders of the investment agreements would have policy claims against MBIA Corp.;
•
Payments under MBIA Corp. insurance policies could be suspended, delayed or reduced, in whole or in part;
8
•
An acceleration of the surplus notes issued by MBIA Corp. and a possible reduction or further delay or suspension of the
amounts due;
•
MBIA Corp.’s ability to carry out tax planning strategies or to realize the benefit of its deferred tax asset could be
materially impaired. This may cause it to record additional allowances against a portion or all of its deferred tax assets.
Refer to “Note 11: Income Taxes” for information about MBIA Corp.’s deferred tax assets. In addition, MBIA Corp. is
currently included in the consolidated tax return of MBIA Inc. An MBIA Corp. Proceeding could result in challenges to the
tax sharing arrangement among the MBIA affiliates that might adversely affect management’s ability to manage taxes
efficiently;
•
Approval of the rehabilitator and the rehabilitation court (or liquidator and liquidation court, as the case may be) may be
required for a variety of actions of importance to MBIA Corp. and its policyholders, including, without limitation,
settlement of MBIA Corp.’s put-back litigation (including against Bank of America) and commutation of MBIA Corp.insured exposures (including insured CMBS exposures held by Bank of America);
•
The rehabilitator or liquidator would replace the Board of Directors of MBIA Corp. and take control of the operations and
assets of MBIA Corp., which may result in changes to its strategies and management;
•
MBIA Corp. would be subject to significant additional expenses arising from the appointment of the rehabilitator or
liquidator, as receiver, and payment of the fees and expenses of the advisors to such rehabilitator or liquidator; and
•
A default under and an acceleration of MBIA Corp.’s secured loan from National (the “National Secured Loan”).
•
Incurred losses from insured RMBS have declined from their peaks. However, due to the large percentage of ineligible
mortgage loans included within the MBIA Corp.-insured second-lien portfolio, performance remains difficult to predict and
losses could ultimately be in excess of MBIA Corp.’s current estimated loss reserves. In addition, MBIA Corp.’s efforts to
recover losses from second-lien RMBS originators, including but not limited to Bank of America, could be delayed, settled at
amounts below its contractual claims or potentially settled at amounts below those recorded on its balance sheets prepared
under accounting principles generally accepted in the United States of America (“GAAP”) and statutory accounting principles
(“U.S. STAT”). As of December 31, 2012 and 2011, MBIA Corp.’s estimated recoveries after income taxes calculated at the
federal statutory rate of 35%, were $2.3 billion and $2.0 billion, respectively, which was 432% and negative 556% of MBIA
Corp.’s GAAP consolidated total shareholders’ equity and deficit, respectively. As of December 31, 2012 and 2011, the related
measures calculated under U.S. STAT were 162% and 89%, respectively, of the statutory capital of MBIA Corp. Statutory
capital includes policyholders’ surplus and contingency reserves. Refer to “Note 6: Loss and Loss Adjustment Expense
Reserves” for information about MBIA Corp.’s RMBS reserves and recoveries.
•
Further economic stress might cause increases in MBIA Corp.’s loss estimates on its remaining exposure, particularly within its
higher risk CMBS pool and ABS CDO exposures. As of December 31, 2012, MBIA Corp.’s CMBS pool gross par outstanding,
including exposure held by Bank of America, and ABS CDO gross par outstanding was approximately $15.6 billion and $4.3
billion, respectively. MBIA Corp.’s primary strategy for managing its CMBS pool and ABS CDO exposures has been
commutations. Consistent with this strategy, in the fourth quarter of 2012, MBIA Corp. agreed with a CDS counterparty on a
commutation of certain potentially volatile policies insuring ABS CDO, structured CMBS pools and CRE CDO transactions. The
agreement was subject to the approval by the NYSDFS of a request to draw on the National Secured Loan in order to finance
the commutation, as well as the receipt by MBIA Corp. of confirmation from the NYSDFS of its non-disapproval of the
commutation. MBIA Corp. requested the NYSDFS to confirm its non-disapproval of the commutation and for approval of a loan
under the National Secured Loan or for approval of an alternative financing structure to finance the commutation. Subsequent
to December 31, 2012, those requests were denied. MBIA Corp.’s ability to
9
commute insured transactions is limited by available liquidity, including the availability of intercompany loans under the National
Secured Loan and the use of other available financing structures and liquidity, all of which could be subject to regulatory
approval by the NYSDFS. There can be no assurance that MBIA Corp. will be able to fund further commutations by borrowing
from National or otherwise. Refer to “Note 6: Loss and Loss Adjustment Expense Reserves” for information about MBIA Corp.’s
estimate of losses on its exposures.
•
As of December 31, 2012, MBIA Corp. was not in compliance with a requirement under New York Insurance Law (“NYIL”) to
hold qualifying assets in an amount at least equal to its insurance liabilities. In order to be in compliance, MBIA Corp. has
requested approval from the NYSDFS to release a portion of its contingency reserves. To date, such request remains
outstanding. In addition, as of September 30, 2012 and December 31, 2012, MBIA Corp. exceeded its aggregate risk limits
under NYIL. MBIA Corp. has filed a formal notification with the NYSDFS regarding the overage and submitted a plan to achieve
compliance with its limits. While the NYSDFS has not taken action against MBIA Corp., the NYSDFS may restrict MBIA Corp.
from making commutation or other payments or may take other remedial actions for failing to meet these requirements.
•
In the event the economy and the markets to which MBIA Corp. is exposed do not improve, or decline, the unrealized losses on
insured credit derivatives could increase, causing additional stress in MBIA Corp.’s reported financial results. In addition,
volatility in the relationship between MBIA Corp.’s credit spreads and those on underlying collateral assets of insured credit
derivatives can create significant unrealized gains and losses in MBIA Corp.’s reported results of operations. Refer to “Note 7:
Fair Value of Financial Instruments” for information about MBIA Corp.’s valuation of insured credit derivatives.
Key Lending Agreements with Affiliates
MBIA Corp. has entered into agreements with affiliates as follows:
National Secured Loan
In 2011, National Public Finance Guarantee Corporation provided the $1.1 billion secured loan to MBIA Insurance Corporation in order to
enable MBIA Insurance Corporation to fund settlements and commutations of its insurance policies. This loan was approved by the
NYSDFS as well as by the boards of directors of MBIA Inc., MBIA Insurance Corporation and National Public Finance Guarantee
Corporation. The National Secured Loan has a fixed annual interest rate of 7% and a maturity date of December 2016. MBIA Insurance
Corporation has the option to defer payments of interest when due by capitalizing interest amounts to the loan balance, subject to the
collateral value exceeding certain thresholds. MBIA Insurance Corporation has elected to defer the interest payments due under the loan.
MBIA Insurance Corporation’s obligation to repay the loan is secured by a pledge of collateral having an estimated value in excess of the
notional amount of the loan as of December 31, 2012, which collateral comprised the following future receivables of MBIA Corp.: (i) its
right to receive put-back recoveries related to ineligible mortgage loans included in its insured second-lien RMBS transactions; (ii) future
recoveries on defaulted insured second-lien RMBS transactions resulting from expected excess spread generated by performing loans in
such transactions; and (iii) future installment premiums. During the year ended December 31, 2012, MBIA Insurance Corporation
borrowed an additional $443 million under the National Secured Loan with the approval of the NYSDFS at the same terms as the original
loan to fund additional commutations of its insurance policies. As of December 31, 2012, the outstanding principal amount under this loan
was $1.7 billion. MBIA Insurance Corporation may seek to borrow additional amounts under the loan in the future. Any such increase or
other amendment to the terms of the loan would be subject to regulatory approval by the NYSDFS.
10
MBIA Corp. Secured Loan
MBIA Corp., as lender, maintained a master repurchase agreement with MBIA Inc. (“MBIA Corp. Secured Loan”) for the benefit of MBIA
Inc.’s asset/liability products business, which totaled $2.0 billion at inception and was scheduled to mature in May 2012, as amended. This
loan was repaid in May 2012 and there have been no further draws. During 2012, the average interest rate on the MBIA Corp. Secured
Loan was 2.51% through the repayment in May 2012. Also in May 2012, the NYSDFS approved the maturity extension of the MBIA Corp.
Secured Loan to May 2013 with a maximum outstanding amount of $450 million, subject to MBIA Corp. obtaining prior regulatory approval
from the NYSDFS for any draws under the facility.
Structured Finance and International Insurance Business
The insurance policies issued by MBIA Corp. generally provide unconditional and irrevocable guarantees of the payments of the principal
of, and interest or other amounts owing on, insured obligations when due or, in the event MBIA Corp. has the right at its discretion to
accelerate insured obligations upon default or otherwise, upon MBIA Corp.’s acceleration. Certain investment agreement contracts written
by MBIA Inc. are insured by MBIA Corp. If MBIA Inc. were to have insufficient assets to pay amounts due, MBIA Corp. would be called
upon to make such payments under its insurance policies. MBIA Corp. also insures debt obligations of the following affiliates:
•
MBIA Inc.;
•
GFL;
•
Meridian;
•
LaCrosse Financial Products, LLC (“LaCrosse”), a wholly-owned affiliate, in which MBIA Corp. has written insurance policies
guaranteeing the obligations under CDS, including termination payments that may become due in certain circumstances
including the occurrence of certain insolvency or payment defaults under the CDS contracts.
MBIA Corp.’s guarantees insure structured finance and asset-backed obligations, privately issued bonds used for the financing of public
purpose projects, which are primarily located outside of the U.S. and that include toll roads, bridges, airports, public transportation
facilities, utilities and other types of infrastructure projects serving a substantial public purpose, and obligations of sovereign-related and
sub-sovereign issuers. Structured finance and ABS typically are securities repayable from expected cash flows generated by a specified
pool of assets, such as residential and commercial mortgages, insurance policies, consumer loans, corporate loans and bonds, trade and
export receivables, leases for equipment, aircraft and real property. Since the beginning of the economic downturn in 2008, the collateral
underlying many of MBIA Corp.’s insured structured finance transactions has experienced diminished value and financial stress. Although
MBIA Corp.’s current reserves represent its estimate of expected losses based on all available information, there is a possibility such
losses could increase significantly. A material increase in losses in MBIA Corp.’s structured finance insured portfolio could have a material
adverse effect on its statutory capital, financial condition, cash flows, and results of operations.
MBIA Corp. owns MBIA UK, a financial guarantee insurance company licensed in the United Kingdom (“U.K.”) that issued financial
guarantee insurance in the member countries of the European Economic Area and other regions outside the U.S. MBIA Corp. issued
financial guarantee insurance in Mexico through MBIA México, S.A. de C.V.
In February 2009, after receiving the required regulatory approvals, MBIA Inc. established and capitalized National as a U.S. public
finance-only financial guarantor, which was previously named MBIA Insurance Corp. of Illinois (“MBIA Illinois”) and previously owned by
MBIA Insurance Corporation. In connection with the establishment of National, the stock of MBIA Illinois was transferred to a newly
established intermediate holding
11
company, which is wholly owned by MBIA Inc. Additionally, National was further capitalized with approximately $2.1 billion from funds
distributed by MBIA Insurance Corporation to MBIA Inc. as a dividend and return of capital, which MBIA Inc. contributed to National
through the intermediate holding company.
In February 2009, MBIA Corp. entered into a quota share reinsurance agreement effective January 1, 2009 pursuant to which MBIA
Insurance Corporation ceded all of its U.S. public finance exposure to National Public Finance Guarantee Corporation and into an
assignment agreement under which MBIA Insurance Corporation assigned its rights and obligations with respect to the U.S. public finance
business that MBIA Insurance Corporation assumed from Financial Guaranty Insurance Corporation (“FGIC”). The exposure transferred to
National under the reinsurance and assignment agreements totaled $553.7 billion of net par outstanding. The reinsurance and assignment
enables covered policyholders and certain ceding reinsurers to make claims for payment directly against National in accordance with the
terms of those agreements.
To provide additional protection to its policyholders, National also issued second-to-pay policies for the benefit of the policyholders
covered by the above reinsurance and assignment agreements. These second-to-pay policies, which are direct obligations of National, are
held by a trustee and provide that if MBIA Insurance Corporation or FGIC, as applicable, do not pay valid claims of their policyholders; the
policyholders will then be able to make claims directly against National.
MBIA Corp. is no longer insuring new credit derivative contracts except in transactions related to the reduction of existing derivative
exposure. The structured finance market continues to recover from the global credit crisis with new issuance volume, though increasing,
still well below historical averages. It is unclear how or when MBIA Corp. may be able to re-engage this market.
In 2010, the accounting guidance for the consolidation of variable interest entities (“VIEs”) was amended and MBIA Corp. was required to
consolidate certain entities that are designed as VIEs where MBIA Corp. has contractual rights under insurance policies to direct the
activities of the VIE when performance and other triggers were breached. MBIA Corp. does not believe there is any difference in the risks
and profitability of financial guarantees provided to VIEs compared with other financial guarantees written by MBIA Corp.
Note 2: Significant Accounting Policies
Basis of Presentation
The consolidated financial statements have been prepared on the basis of GAAP. The preparation of financial statements in conformity
with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and
disclosures of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses
during the reporting period. Actual results could differ from those estimates. As additional information becomes available or actual
amounts become determinable, the recorded estimates are revised and reflected in operating results.
Certain amounts have been reclassified in prior years’ consolidated financial statements to conform to the current presentation. These
reclassifications had no impact on total revenues, expenses, assets, liabilities or shareholders’ equity for all periods presented.
Consolidation
The consolidated financial statements include the accounts of MBIA Insurance Corporation, its wholly-owned subsidiaries and all other
entities in which MBIA Corp. has a controlling financial interest. All material intercompany balances and transactions have been
eliminated. MBIA Corp. determines whether it has a controlling financial interest in an entity by first evaluating whether an entity is a voting
interest entity or a VIE.
12
Note 2: Significant Accounting Policies (continued)
Voting interest entities are entities in which (i) the total equity investment at risk is sufficient to enable an entity to finance its activities
independently and (ii) the equity holders have the obligation to absorb losses, the right to receive residual returns and the right to make
decisions about the entity’s activities. Voting interest entities are consolidated when MBIA Corp. has a majority voting interest.
VIEs are entities that lack one or more of the characteristics of a voting interest entity. The consolidation of a VIE is required if an entity
has a variable interest (such as an equity or debt investment, a beneficial interest, a guarantee, a written put option or a similar obligation)
and that variable interest or interests give it a controlling financial interest in the VIE. A controlling financial interest is present when an
enterprise has both (a) the power to direct the activities of a VIE that most significantly impact the entity’s economic performance, and
(b) the obligation to absorb losses or the right to receive benefits of the VIE that could potentially be significant to the VIE. The enterprise
with the controlling financial interest, known as the primary beneficiary, is required to consolidate the VIE. MBIA Corp. consolidates all
VIEs in which it is the primary beneficiary. Refer to “Note 4: Variable Interest Entities” for additional information.
Statements of Cash Flows
Previously, MBIA Corp. reported its consolidated statements of cash flows using the indirect method. The indirect method uses accrual
accounting information to present the cash flows from operations. Effective January 1, 2012, MBIA Corp. elected to present its
consolidated statements of cash flows using the direct method. The direct method uses actual cash flow information from MBIA Corp.’s
operations, rather than using accrual accounting values. Using either the direct or indirect method, total cash flows from operations are
consistent. In addition, the presentation of cash flows from investing and financing activities using either the direct or indirect method are
consistent. The change to the direct method for calculating and presenting cash flows from operations was implemented retroactively for
all statements of cash flows presented herein. Use of the direct method requires a reconciliation of net income to cash flows from
operations. This reconciliation is provided as a supplement directly beneath the statements of cash flows.
Investments
MBIA Corp. classifies its fixed-maturity investments as available-for-sale (“AFS”), held-to-maturity (“HTM”), or trading. AFS investments
are reported in the consolidated balance sheets at fair value, with unrealized gains and losses, net of applicable deferred income taxes,
reflected in accumulated other comprehensive income (loss) (“AOCI”) in shareholders’ equity. Bond discounts and premiums are accreted
and amortized using the effective yield method over the remaining term of the securities. For MBS and ABS, discounts and premiums are
amortized using the retrospective method. For pre-refunded bonds, the remaining term is determined based on the contractual refunding
date. Investment income is recorded as earned. Realized gains and losses represent the difference between the amortized cost value and
the sale proceeds. The first-in, first-out method is used to identify the investments sold and the resulting realized gains and losses are
included as a separate component of revenues.
HTM investments consist mainly of debt securities for which MBIA Corp. has the ability and intent to hold such investments to maturity.
These investments are reported in the consolidated balance sheets at amortized cost. Discounts and premiums are amortized using the
effective yield method over the remaining term of the assets. Investment income, including interest income, is recorded as earned.
Short-term investments include all fixed-maturity securities with a remaining effective term to maturity of less than one year, commercial
paper and money market securities.
Other investments include loan receivables due from an affiliate and MBIA Corp.’s investment in equity securities. The loan receivables
bear no interest and are accounted for at the principal amount outstanding. Refer to “Note 17: Related Party Transactions” for more
information on the loan receivables. MBIA Corp. records its share of the unrealized gains and losses on equity investments, net of
applicable deferred income taxes, in AOCI in shareholders’ equity when it does not have a controlling financial interest in or exert
significant influence over an entity (generally a voting interest of less than 20%).
13
Fixed-Maturity Securities Held at Fair Value
Fixed-maturity securities at fair value include all fixed-maturity securities held by MBIA Corp. for which changes in fair values are reflected
in earnings. These securities are those for which MBIA Corp. has elected the fair value option. Changes in fair value and realized gains
and losses from the sale of these securities are reflected in earnings as part of “Net gains (losses) on financial instruments at fair value
and foreign exchange.” Any interest income is reflected in earnings as part of net investment income. Refer to “Note 7: Fair Value of
Financial Instruments” for additional disclosures related to securities for which MBIA Corp. has elected the fair value option.
MBIA Corp. elected, under the fair value option within accounting guidance for financial assets and liabilities, to record certain financial
assets and liabilities at fair value. Specifically, MBIA Corp. has elected to apply the fair value option to all financial assets and liabilities of
certain consolidated VIEs on a VIE-by-VIE basis.
Other-Than-Temporary Impairments on Investment Securities
MBIA Corp.’s consolidated statements of operations reflect the full impairment (the difference between a security’s amortized cost basis
and fair value) on debt securities that MBIA Corp. intends to sell or would more likely than not be required to sell before the expected
recovery of the amortized cost basis. For AFS and HTM debt securities that management has no intent to sell and believes that it is more
likely than not such securities will not be required to be sold prior to recovery, only the credit loss component of the impairment is
recognized in earnings. For AFS securities, the remaining fair value loss is recognized in AOCI, net of applicable deferred income taxes.
MBIA Corp.’s AFS and HTM securities for which the fair value is less than amortized cost are reviewed no less than quarterly in order to
determine whether a credit loss exists. This evaluation includes both qualitative and quantitative considerations. In assessing whether a
decline in value is related to a credit loss, MBIA Corp. considers several factors, including but not limited to (a) the magnitude and duration
of the decline, (b) credit indicators and the reasons for the decline, such as general interest rate or credit spread movements, credit rating
downgrades, issuer-specific changes in credit spreads, and the financial condition of the issuer, and (c) any guarantees associated with a
security such as those provided by financial guarantee insurance companies. Credit loss expectations for ABS and CDOs are assessed
using discounted cash flow modeling, and the recoverability of amortized cost for corporate obligations is generally assessed using issuerspecific credit analyses.
Cash and Cash Equivalents
Cash and cash equivalents include cash on hand and demand deposits with banks with original maturities of less than 90 days.
Secured Loan to Parent
The secured loan to Parent is accounted for as a collateralized loan and is recorded at contract value plus accrued interest.
This transaction was entered into with a wholly owned subsidiary of MBIA Inc., in connection with the Parent’s collateralized municipal
investment agreement activity. MBIA Insurance Corporation minimizes the credit risk that the Parent might be unable to fulfill its
contractual obligations by monitoring the Parent’s credit exposure and collateral value and requiring additional collateral to be deposited
with MBIA Insurance Corporation when deemed necessary.
Acquisition Costs
MBIA Corp. capitalizes and defers acquisition costs that are directly related to the successful acquisition of new or renewal business.
Acquisition costs are costs to acquire an insurance contract which result directly from and is essential to the insurance contracts
transaction and would not have been incurred by MBIA Corp. had the contract transaction not occurred.
14
For business produced directly by MBIA Corp., such costs include compensation of employees involved in underwriting and deferred
issuance functions, certain rating agency fees, state premium taxes and certain other underwriting expenses, reduced by ceding
commission income on premiums ceded to reinsurers. Acquisition costs also generally include ceding commissions paid by MBIA Corp. in
connection with assuming business from other financial guarantors. In February 2009, ceding commission income on premiums ceded to
National was related to all U.S. public finance exposure, including assumed FGIC business. Such ceding commission exceeded its
carrying value of the deferred acquisition costs related to those businesses initially acquired by MBIA Corp., and accordingly, was reflected
as deferred revenue. Deferred acquisition costs, net of ceding commissions received, related to non-derivative insured financial guarantee
transactions are deferred and amortized over the period in which the related premiums are earned. Acquisition costs related to insured
derivative transactions are expensed as incurred. See “Note 3: Recent Accounting Pronouncements” for a discussion on the adoption of
the new accounting standard on acquisition costs.
Derivatives
MBIA Corp. has entered into derivative transactions as an additional form of financial guarantee insurance and for purposes of hedging
risks associated with existing assets and liabilities. All derivative instruments are recognized at fair value on the balance sheets as either
assets or liabilities depending on the rights or obligations under the contract. MBIA Corp. does not designate any derivatives as hedges.
Certain of MBIA Corp.’s financial guarantees that meet the definition of a derivative are subject to a financial guarantee scope exception,
as defined by the accounting guidance for derivative instruments and hedging activities. This scope exception provides that these financial
guarantee contracts are not subject to accounting guidance for derivative instruments and should be accounted for as financial guarantee
insurance contracts only if:
•
they provide for payments to be made solely to reimburse the guaranteed party for failure of the debtor to satisfy its required
payment obligations under a non-derivative contract, either at pre-specified payment dates or accelerated payment dates, as a
result of the occurrence of an event of default (as defined in the financial obligation covered by the guarantee contract) or
notice of acceleration being made to the debtor by the creditor;
•
payment under the financial guarantee contract is made only if the debtor’s obligation to make payments as a result of
conditions as described above is past due; and
•
the guaranteed party is, as a precondition in the contract (or in the back-to-back arrangement, if applicable) for receiving
payment of any claim under the guarantee, exposed to the risk of nonpayment both at inception of the financial guarantee
contract and throughout its term either through direct legal ownership of the guaranteed obligation or through a back-to-back
arrangement with another party that is required by the back-to-back arrangement to maintain direct ownership of the
guaranteed obligation.
Financial guarantee contracts which have any of the following would not qualify for the financial guarantee scope exception:
•
payments are required based on changes in the creditworthiness of a referenced credit, rather than failure of that debtor to pay
when due (i.e. default);
•
the guaranteed party is not actually exposed to loss (that is, it neither owns the referenced asset nor is itself a guarantor of that
asset) throughout the term of the contract; or
•
the compensation to be paid under the contract could exceed the amount of loss actually incurred by the guaranteed party.
Approximately 88% of MBIA Corp.’s financial guarantee contracts qualify for the scope exception defined above and, therefore, are
accounted for as financial guarantee insurance contracts. The remaining contracts do not meet the scope exception, primarily because the
guaranteed party is not exposed to the risk of nonpayment both at inception of the financial guarantee contract and throughout its term.
15
These contracts are accounted for as derivatives and reported on MBIA Corp.’s consolidated balance sheets as either assets or liabilities,
depending on the rights or obligations under the contract, at fair value. MBIA Corp. refers to these contracts as insured CDS contracts.
Insured CDS contracts are not designated as hedges and changes in the fair value are reflected in the consolidated statements of
operations as unrealized gains (losses) on insured derivatives.
Refer to “Note 9: Derivative Instruments” for a further discussion of MBIA Corp.’s use of derivatives and their impact on MBIA Corp.’s
consolidated financial statements and “Note 7: Fair Value of Financial Instruments” for derivative valuation techniques and fair value
disclosures.
Fair Value Measurements – Definition and Hierarchy
In determining fair value, MBIA Corp. uses various valuation approaches, including both market and income approaches. The accounting
guidance for fair value measurement establishes a hierarchy for inputs used in measuring fair value that maximizes the use of observable
inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available and reliable.
Observable inputs are those MBIA Corp. believes that market participants would use in pricing the asset or liability developed based on
market data. Unobservable inputs are those that reflect MBIA Corp.’s beliefs about the assumptions market participants would use in
pricing the asset or liability developed based on the best information available. The hierarchy is broken down into three levels based on
the observability and reliability of inputs as follows:
•
Level 1—Valuations based on quoted prices in active markets for identical assets or liabilities that MBIA Corp. has the ability to
access. Since valuations are based on quoted prices that are readily and regularly available in an active market, valuation of
these products does not entail any degree of judgment. Assets utilizing Level 1 inputs generally include U.S. Treasuries, foreign
government bonds, money market securities, and certain corporate obligations that are highly liquid and actively traded.
•
Level 2—Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable,
either directly or indirectly. Level 2 assets include debt securities with quoted prices that are traded less frequently than
exchange-traded instruments, securities which are priced using observable inputs and derivative contracts whose values are
determined using a pricing model with inputs that are observable in the market or can be derived principally from or
corroborated by observable market data. Assets and liabilities utilizing Level 2 inputs include: U.S. government and agency
MBS; most over-the-counter (“OTC”) derivatives; corporate and municipal bonds and certain other MBS or ABS.
•
Level 3—Valuations based on inputs that are unobservable and supported by little or no market activity and that are significant
to the overall fair value measurement. Level 3 assets and liabilities include financial instruments whose values are determined
using pricing models, discounted cash flow methodologies, or similar techniques, as well as instruments for which the
determination of fair value requires significant management judgment or estimation. Assets and liabilities utilizing Level 3 inputs
include certain MBS, ABS and CDO securities where observable pricing information was not able to be obtained for a
significant portion of the underlying assets, OTC derivatives and certain insured derivatives that require significant management
judgment and estimation in the valuation.
The level of activity in a market contributes to the determination of whether an input is observable. An active market is one in which
transactions for an asset or liability occurs with sufficient frequency and volume to provide pricing information on an ongoing basis. In
determining whether a market is active or inactive, MBIA Corp. considers the following traits to be indicative of an active market:
•
transactions are frequent and observable;
•
prices in the market are current;
•
price quotes among dealers do not vary significantly over time; and
•
sufficient information relevant to valuation is publicly available.
16
The availability of observable inputs can vary from product to product and period to period and is affected by a wide variety of factors,
including, for example, the type of product, whether the product is new and not yet established in the marketplace, and other
characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or
unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised by
MBIA Corp. in determining fair value is greatest for instruments categorized in Level 3. In certain cases, the inputs used to measure fair
value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy
within which the fair value measurement in its entirety falls is determined based on the lowest level input that is significant to the fair value
measurement in its entirety.
Fair value is a market-based measure considered from the perspective of a market participant rather than an entity-specific measure.
Therefore, even when market assumptions are not readily available, MBIA Corp.’s own assumptions are set to reflect those that it believes
market participants would use in pricing the asset or liability at the measurement date. MBIA Corp. uses prices and inputs that are current
as of the measurement date, including during periods of market dislocation. In periods of market dislocation, the observability of prices and
inputs may be reduced for many instruments. This condition could cause an instrument to be reclassified from Level 1 to Level 2 or from
Level 2 to Level 3. MBIA Corp. has also taken into account its own nonperformance risk and that of its counterparties when measuring fair
value.
Refer to “Note 7: Fair Value of Financial Instruments” for additional fair value disclosures.
Loss and Loss Adjustment Expenses
MBIA Corp. recognizes loss reserves on a contract-by-contract basis when the present value of expected net cash outflows to be paid
under the contract discounted using a risk-free rate as of the measurement date exceeds the unearned premium revenue. A loss reserve
is subsequently remeasured each reporting period for expected increases or decreases due to changes in the likelihood of default and
potential recoveries. Subsequent changes to the measurement of the loss reserves are recognized as claim expense in the period of
change. Measurement and recognition of loss reserves are reported gross of any reinsurance. MBIA Corp. estimates the likelihood of
possible claims payments and possible recoveries using probability-weighted expected cash flows based on information available as of the
measurement date, including market information. Accretion of the discount on a loss reserve is included in loss expense.
MBIA Corp. recognizes potential recoveries on paid claims based on probability-weighted net cash inflows present valued at applicable
risk-free rates as of the measurement date. Such amounts are reported within “Insurance loss recoverable” on MBIA Corp.’s consolidated
balance sheets. To the extent MBIA Corp. had recorded potential recoveries in its loss reserves previous to a claim payment; such
recoveries are reclassified to “Insurance loss recoverable” upon payment of the related claim and remeasured each reporting period.
MBIA Corp.’s loss reserves, insurance loss recoverable, and accruals for loss adjustment expenses (“LAE”) incurred are disclosed in
“Note 6: Loss and Loss Adjustment Expense Reserves.”
Long-term Debt
Long-term debt consists of surplus notes and a secured loan from National. Long-term debt is carried at the principal amount borrowed,
plus accrued interest and net of any unamortized discounts.
Financial Guarantee Insurance Premiums
Unearned Premium Revenue and Receivable for Future Premiums
MBIA Corp. recognizes a liability for unearned premium revenue at the inception of financial guarantee insurance and reinsurance
contracts on a contract-by-contract basis. Unearned premium revenue recognized at inception of a contract is measured at the present
value of the premium due.
17
For most financial guarantee insurance contracts, MBIA Corp. receives the entire premium due at the inception of the contract, and
recognizes unearned premium revenue liability at that time. For certain other financial guarantee contracts, MBIA Corp. receives premiums
in installments over the term of the contract. Unearned premium revenue and a receivable for future premiums is recognized at the
inception of an installment contract, and measured at the present value of premiums expected to be collected over the contract period or
expected period using a risk-free discount rate. The expected period is used in the present value determination of unearned premium
revenue and receivable for future premiums for contracts where (a) the insured obligation is contractually prepayable, (b) prepayments are
probable, (c) the amount and timing of prepayments are reasonably estimable, and (d) a homogenous pool of assets is the underlying
collateral for the insured obligation. MBIA Corp. has determined that substantially all of its installment contracts meet the conditions
required to be treated as expected period contracts. The receivable for future premiums is reduced as installment premiums are collected.
MBIA Corp. reports the accretion of the discount on installment premiums receivable as premium revenue and discloses the amount
recognized in “Note 5: Insurance Premiums.” MBIA Corp. assesses the receivable for future premiums for collectability each reporting
period, adjusts the receivable for uncollectible amounts and recognizes any write-off as operating expense and discloses the amount
recognized in “Note 5: Insurance Premiums.” As premium revenue is recognized, the unearned premium revenue liability is reduced.
Premium Revenue Recognition
MBIA Corp. recognizes and measures premium revenue over the period of the contract in proportion to the amount of insurance protection
provided. Premium revenue is measured by applying a constant rate to the insured principal amount outstanding in a given period to
recognize a proportionate share of the premium received or expected to be received on a financial guarantee insurance contract. A
constant rate for each respective financial guarantee insurance contract is calculated as the ratio of (a) the present value of premium
received or expected to be received over the period of the contract to (b) the sum of all insured principal amounts outstanding during each
period over the term of the contract.
An issuer of an insured financial obligation may retire the obligation prior to its scheduled maturity through refinancing or legal defeasance
in satisfaction of the obligation according to its indenture, which results in MBIA Corp.’s obligation being extinguished under the financial
guarantee contract. MBIA Corp. recognizes any remaining unearned premium revenue on the insured obligation as refunding premiums
earned in the period the contract is extinguished to the extent the unearned premium revenue has been collected.
Non-refundable commitment fees are considered insurance premiums and are initially recorded under unearned premium revenue in the
consolidated balance sheets when received. Once the related financial guarantee insurance policy is issued, the commitment fees are
recognized as premium written and earned using the constant rate method. If the commitment agreement expires before the related
financial guarantee is issued, the non-refundable commitment fee is immediately recognized as premium written and earned at that time.
Fee and Reimbursement Revenue Recognition
MBIA Corp. collects insurance-related fees for services performed in connection with certain transactions. In addition, MBIA Corp. may be
entitled to reimbursement of third-party insurance expenses that it incurs in connection with certain transactions. Depending upon the type
of fee received and whether it is related to an insurance policy, the fee is either earned when it is received or deferred and earned over the
life of the related transaction. Work, waiver and consent, termination, administrative and management fees are earned when the related
services are completed and the fee is received. Structuring fees are earned on a straight-line basis over the life of the related insurance
policy. Amounts received from reinsurers in excess of those which are contractually due to MBIA Corp. upon the termination of
reinsurance agreements are recorded as fees and earned when received.
18
Stock-Based Compensation
MBIA Corp. recognizes in earnings all stock-based payment transactions at the fair value of the stock-based compensation provided.
Under the modified prospective transition method selected by MBIA Corp., all equity-based awards granted to employees and existing
awards modified on or after January 1, 2003 are accounted for at fair value with compensation expense recorded in net income (loss).
Refer to “Note 15: Employee Benefits” for a further discussion regarding the methodology utilized in recognizing employee stock
compensation expense.
Foreign Currency Translation
Financial statement assets and liabilities denominated in foreign currencies are translated into U.S. dollars generally using rates of
exchange prevailing at the balance sheet date. Operating results are translated at average rates of exchange prevailing during the year.
Unrealized gains or losses, net of deferred taxes, resulting from translation of the financial statements of a non-U.S. operation, when the
functional currency is other than U.S. dollars, are included in AOCI in shareholders’ equity. Foreign currency remeasurement gains and
losses resulting from transactions in non-functional currencies are recorded in current earnings. Exchange gains and losses resulting from
foreign currency transactions are recorded in current earnings.
Income Taxes
MBIA Corp. is included in the consolidated tax return of MBIA Inc. The tax provision for MBIA Corp. for financial reporting purposes is
determined on a stand-alone basis. MBIA Corp. files its U.S. Corporation Income Tax Return as a member of the MBIA Inc. consolidated
group and participates in a tax sharing agreement between MBIA Corp. and MBIA Inc. under which MBIA Corp. is allocated its share of
consolidated tax liability or tax benefit as determined under the tax sharing agreement.
Deferred income taxes are recorded with respect to loss carryforwards and temporary differences between the tax bases of assets and
liabilities and the reported amounts in MBIA Corp.’s consolidated financial statements that will result in deductible or taxable amounts in
future years when the reported amounts of assets and liabilities are recovered or settled. Such temporary differences relate principally to
premium revenue recognition, deferred acquisition costs, unrealized appreciation or depreciation of investments and derivatives, invested
asset impairments and cancellation of indebtedness income. Valuation allowances are established to reduce deferred tax assets to the
amount that more likely than not will be realized. Deferred tax assets and liabilities are adjusted for the effect of changes in tax laws and
rates in the period in which changes are approved by the relevant authority.
In establishing a liability for an unrecognized tax benefit (“UTB”), assumptions may be made in determining whether a tax position is more
likely than not to be sustained upon examination by the taxing authority and also in determining the ultimate amount that is likely to be
realized. A tax position is recognized only when, based on management’s judgment regarding the application of income tax laws, it is more
likely than not that the tax position will be sustained upon examination. The amount of tax benefit recognized is based on MBIA Corp.’s
assessment of the largest amount of benefit that is more likely than not to be realized on ultimate settlement with the taxing authority. This
measurement is based on many factors, including whether a tax dispute may be settled through negotiation with the taxing authority or is
only subject to review in the courts. As new information becomes available, MBIA Corp. evaluates its tax positions, and adjusts its UTB, as
appropriate. If the tax benefit ultimately realized differs from the amount previously recognized MBIA Corp. recognizes an adjustment of
the UTB.
Refer to “Note 11: Income Taxes” for additional information about MBIA Corp.’s income taxes.
19
Note 3: Recent Accounting Pronouncements
Recently Adopted Accounting Standards
Presentation of Comprehensive Income (ASU 2011-05)
In June 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2011-05,
“Comprehensive Income (Topic 220)—Presentation of Comprehensive Income.” This ASU amends the presentation of total
comprehensive income and requires the components of net income and the components of other comprehensive income to be presented
either in a single continuous statement of comprehensive income or in two separate but consecutive statements. The amendment does
not change what currently constitutes net income and other comprehensive income (loss). MBIA Corp. elected the two-statement
approach that required the presentation of the components of net income and total net income in the statement of operations, and the
presentation in a statement immediately following of the components of other comprehensive income, a total for other comprehensive
income, and a total for comprehensive income. The new guidance was effective for MBIA Corp. beginning January 1, 2012. In December
2011, the FASB issued ASU 2011-12 “Comprehensive Income (Topic 220)—Deferral of the Effective Date for Amendments to the
Presentation of Reclassifications of Items Out of Accumulated Other Comprehensive Income in Accounting Standards Update No. 201105,” which defers certain aspects of ASU 2011-05 related to the presentation of reclassification adjustments. MBIA Corp. adopted this
standard effective January 1, 2012. The standard only affected MBIA Corp.’s presentation of comprehensive income, and did not affect
MBIA Corp.’s consolidated balance sheets, results of operations, or cash flows.
Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs (ASU 2011-04)
In May 2011, the FASB issued ASU 2011-04, “Fair Value Measurement (Topic 820)—Amendments to Achieve Common Fair Value
Measurement and Disclosure Requirements in U.S. GAAP and IFRSs.” This amendment results in a consistent definition of fair value and
common requirements for measurement of and disclosure about fair value between GAAP and International Financial Reporting
Standards. MBIA Corp. adopted this standard effective January 1, 2012. This standard only affected MBIA Corp.’s disclosures related to
fair value; therefore, the adoption of this standard did not affect MBIA Corp.’s consolidated balance sheets, results of operations, or cash
flows.
Accounting for Costs Associated with Acquiring or Renewing Insurance Contracts (ASU 2010-26)
In October 2010, the FASB issued ASU 2010-26, “Financial Services—Insurance (Topic 944)—Accounting for Costs Associated with
Acquiring or Renewing Insurance Contracts.” This amendment specifies which costs incurred in the acquisition of new and renewal
insurance contracts should be capitalized. MBIA Corp. adopted this standard on a prospective basis effective January 1, 2012. As MBIA
Corp. is currently not writing any significant new business, the adoption of this standard did not have a material effect on MBIA Corp.’s
consolidated balance sheets, results of operations, or cash flows. The difference between the amount of acquisition costs capitalized
during 2012 compared with the amount of acquisition costs that would have been capitalized during the period if MBIA Corp.’s previous
policy had been applied during that period is not material because MBIA Corp. did not write any significant new insurance business during
2012.
Recent Accounting Developments
Reporting of Amounts Reclassified Out of Accumulated Other Comprehensive Income (ASU 2013-02)
In February 2013, the FASB issued ASU 2013-02, “Comprehensive Income (Topic 220)—Reporting of Amounts Reclassified Out of
Accumulated Other Comprehensive Income” that requires an entity to present information about the amounts reclassified out of AOCI by
component and to present significant amounts reclassified out of AOCI by the respective line items of net income. The amendments will
only affect MBIA Corp.’s disclosures and will not affect MBIA Corp.’s consolidated balance sheets, results of operations, or cash flows.
This update is effective for interim and annual periods beginning January 1, 2013 and is applied on a prospective basis.
20
Note 3: Recent Accounting Pronouncements (continued)
Disclosures about Offsetting Assets and Liabilities (ASU 2011-11)
In December 2011, the FASB issued ASU 2011-11, “Balance Sheet (Topic 210)—Disclosures about Offsetting Assets and Liabilities.”
ASU 2011-11 creates new disclosure requirements about the nature of MBIA Corp.’s rights of setoff and related arrangements associated
with its financial instruments and derivative instruments. This amendment does not change the existing offsetting eligibility criteria or the
permitted balance sheet presentation for those instruments that meet the eligibility criteria. The disclosure requirements are effective for
MBIA Corp. beginning in the first quarter of 2013. In January 2013, the FASB issued ASU 2013-01, “Balance Sheet (Topic 210)—
Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.” ASU 2013-01 clarifies that ASU 2011-11 applies only to
derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that
are either offset in accordance with specific criteria contained in the FASB Accounting Standards Codification or subject to a master
netting arrangement or similar agreement. These standards will only affect MBIA Corp.’s disclosures and will not affect MBIA Corp.’s
consolidated balance sheets, results of operations, or cash flows.
Note 4: Variable Interest Entities
MBIA Corp. provides credit protection to issuers of obligations that may involve issuer-sponsored special purpose entities (“SPEs”). An
SPE may be considered a VIE to the extent the SPE’s total equity at risk is not sufficient to permit the SPE to finance its activities without
additional subordinated financial support or its equity investors lack any one of the following characteristics: (i) the power to direct the
activities of the SPE that most significantly impact the entity’s economic performance or (ii) the obligation to absorb the expected losses of
the entity or the right to receive the expected residual returns of the entity. A holder of a variable interest or interests in a VIE is required to
assess whether it has a controlling financial interest, and thus is required to consolidate the entity as primary beneficiary. An assessment
of a controlling financial interest identifies the primary beneficiary as the variable interest holder that has both of the following
characteristics: (i) the power to direct the activities of the VIE that most significantly impact the entity’s economic performance and (ii) the
obligation to absorb losses of the entity or the right to receive benefits from the entity that could potentially be significant to the VIE. The
primary beneficiary is required to consolidate the VIE. An ongoing reassessment of controlling financial interest is required to be performed
based on any substantive changes in facts and circumstances involving the VIE and its variable interests.
MBIA Corp. evaluates issuer-sponsored SPEs initially to determine if an entity is a VIE, and is required to reconsider its initial
determination if certain events occur. For all entities determined to be VIEs, MBIA Corp. performs an ongoing reassessment to determine
whether its guarantee to provide credit protection on obligations issued by VIEs provides MBIA Corp. with a controlling financial interest.
Based on its ongoing reassessment of controlling financial interest, MBIA Corp. determines whether a VIE is required to be consolidated
or deconsolidated.
MBIA Corp. makes its determination for consolidation based on a qualitative assessment of the purpose and design of a VIE, the terms
and characteristics of variable interests of an entity, and the risks a VIE is designed to create and pass through to holders of variable
interests. MBIA Corp. generally provides credit protection on obligations issued by VIEs, and holds certain contractual rights according to
the purpose and design of a VIE. MBIA Corp. may have the ability to direct certain activities of a VIE depending on facts and
circumstances, including the occurrence of certain contingent events, and these activities may be considered the activities of a VIE that
most significantly impact the entity’s economic performance. MBIA Corp. generally considers its guarantee of principal and interest
payments of insured obligations, given nonperformance by a VIE, to be an obligation to absorb losses of the entity that could potentially be
significant to the VIE. At the time MBIA Corp. determines it has the ability to direct the activities of a VIE that most significantly impact the
economic performance of the entity based on facts and circumstances, MBIA Corp. is deemed to have a controlling financial interest in the
VIE and is required to consolidate the entity as primary beneficiary. MBIA Corp. performs an ongoing reassessment of controlling financial
interest that may result in consolidation or deconsolidation of any VIE.
21
Note 4: Variable Interest Entities (continued)
Nonconsolidated VIEs
The following tables present the total assets of nonconsolidated VIEs in which MBIA Corp. holds a variable interest as of December 31,
2012 and 2011. The following tables also present MBIA Corp.’s maximum exposure to loss for nonconsolidated VIEs and carrying values
of the assets and liabilities for its interests in these VIEs as of December 31, 2012 and 2011. MBIA Corp. has aggregated nonconsolidated
VIEs based on the underlying credit exposure of the insured obligation. The nature of MBIA Corp.’s variable interests in nonconsolidated
VIEs is related to financial guarantees, insured CDS contracts and any investments in obligations issued by nonconsolidated VIEs.
December 31, 2012
Carrying Value of Assets
In millions
Insurance:
Global structured finance:
Collateralized debt obligations
Mortgage-backed residential
Mortgage-backed commercial
Consumer asset-backed
Corporate asset-backed
Total global structured finance
Global public finance
Total insurance
VIE
Assets
$ 16,925
34,061
4,801
5,820
19,980
81,587
39,259
$ 120,846
Maximum
Exposure
to Loss
Investments
(1)
$
$
—
11
—
10
—
21
—
21
$
10,873
13,075
2,432
3,086
9,981
39,447
21,346
60,793
$
Premiums
Receivable (2)
Insurance
Loss
Recoverable (3)
Carrying Value of Liabilities
Loss and Loss
Adjustment
Unearned
Expense
Premium
Derivative
(4)
Revenue
Reserves (5)
Liabilities (6)
$
$
$
$
62
77
2
19
123
283
220
503
$
5
3,278
—
—
13
3,296
—
3,296
$
55
75
2
19
140
291
267
558
$
$
37
440
—
21
—
498
4
502
$
$
74
4
—
—
—
78
—
78
(1)—
within “Investments” on MBIA Corp.’s consolidated balance sheets.
Reported
(2)—
within “Premiums receivable” on MBIA Corp.’s consolidated balance sheets.
Reported
(3)—
within “Insurance loss recoverable” on MBIA Corp.’s consolidated balance sheets.
Reported
(4)—
within “Unearned premium revenue” on MBIA Corp.’s consolidated balance sheets.
Reported
(5)—
within “Loss and loss adjustment expense reserves” on MBIA Corp.’s consolidated balance sheets.
Reported
(6)—
within “Derivative liabilities” on MBIA Corp.’s consolidated balance sheets.
Reported
December 31, 2011
Carrying Value of Assets
Maximum
In millions
Insurance:
Consumer asset-backed
Corporate asset-backed
Global public finance
Total insurance
VIE
Assets
$ 26,507
47,669
5,001
8,015
29,855
117,047
42,106
$ 159,153
Exposure
to Loss
Investments
$
$
$
15,466
16,379
2,644
4,563
15,577
54,629
21,774
76,403
$
(1)
42
25
—
16
241
324
—
324
Premiums
Receivable (2)
$
$
67
87
2
26
192
374
215
589
(1)—
within “Investments” on MBIA Corp.’s consolidated balance sheets.
Reported
(2)—
within “Premiums receivable” on MBIA Corp.’s consolidated balance sheets.
Reported
(3)—
within “Insurance loss recoverable” on MBIA Corp.’s consolidated balance sheets.
Reported
(4)—
within “Unearned premium revenue” on MBIA Corp.’s consolidated balance sheets.
Reported
(5)—
within “Loss and loss adjustment expense reserves” on MBIA Corp.’s consolidated balance sheets.
Reported
(6)—
within “Derivative liabilities” on MBIA Corp.’s consolidated balance sheets.
Reported
22
Insurance
Loss
Recoverable (3)
$
$
—
2,773
—
—
22
2,795
—
2,795
Carrying Value of Liabilities
Loss and Loss
Adjustment
Unearned
Premium
Expense
Derivative
(4)
Revenue
Reserves (5)
Liabilities (6)
$
$
58
86
2
25
205
376
270
646
$
$
3
428
—
23
—
454
—
454
$
$
113
5
—
—
1
119
—
119
Note 4: Variable Interest Entities (continued)
The maximum exposure to loss as a result of MBIA Corp.’s variable interests in VIEs is represented by insurance in force. Insurance in
force is the maximum future payments of principal and interest, net of cessions to reinsurers, which may be required under commitments
to make payments on insured obligations issued by nonconsolidated VIEs.
Consolidated VIEs
The carrying amounts of assets and liabilities of consolidated VIEs were $7.7 billion and $6.7 billion, respectively, as of December 31,
2012, and $9.5 billion and $8.5 billion, respectively, as of December 31, 2011. The carrying amounts of assets and liabilities are presented
separately in “Assets of consolidated variable interest entities” and “Liabilities of consolidated variable interest entities” on MBIA Corp.’s
consolidated balance sheets. Additional VIEs are consolidated or deconsolidated based on an ongoing reassessment of controlling
financial interest, when events occur or circumstances arise, and whether the ability to exercise rights that constitute power to direct
activities of any VIEs are present according to the design and characteristics of these entities. No additional VIEs were consolidated during
the year ended December 31, 2012. Net realized losses related to the initial consolidation of additional VIEs were $16 million and
$76 million for the years ended December 31, 2011 and 2010, respectively. No gains or losses were recognized on the VIEs that were
deconsolidated during the year ended December 31, 2012 and net realized gains related to the deconsolidation of VIEs were immaterial
for the years ended December 31, 2011 and 2010.
Holders of insured obligations of issuer-sponsored VIEs related to MBIA Corp. do not have recourse to the general assets of MBIA Corp.
In the event of nonpayment of an insured obligation issued by a consolidated VIE, MBIA Corp. is obligated to pay principal and interest,
when due, on the respective insured obligation only. MBIA Corp.’s exposure to consolidated VIEs is limited to the credit protection
provided on insured obligations and any additional variable interests held by MBIA Corp.
Note 5: Insurance Premiums
MBIA Corp. recognizes and measures premiums related to financial guarantee (non-derivative) insurance and reinsurance contracts in
accordance with the accounting principles for financial guarantee insurance contracts.
As of December 31, 2012 and 2011, MBIA Corp. reported premiums receivable of $1.2 billion and $1.4 billion, respectively, primarily
related to installment policies for which premiums will be collected over the estimated term of the contracts. Premiums receivable for an
installment policy is initially measured at the present value of premiums expected to be collected over the expected period or contract
period of the policy using a risk-free discount rate. Premiums receivable for policies that use the expected period of risk due to expected
prepayments are adjusted in subsequent measurement periods when prepayment assumptions change using the risk-free discount rate as
of the remeasurement date. As of December 31, 2012 and 2011, the weighted average risk-free rate used to discount future installment
premiums was 2.6% and 2.8%, respectively, and the weighted average expected collection term of the premiums receivable was 9.13
years.
MBIA Corp. evaluates whether any premiums receivable are uncollectible at each balance sheet date. If MBIA Corp. determines that
premiums are uncollectible, it records a write-off of such amounts in current earnings. The majority of MBIA Corp.’s premiums receivable
consists of the present values of future installment premiums that are not yet billed or due. Given that premiums due to MBIA Corp.
typically have priority over most other payment obligations, MBIA Corp. determined that the amount of uncollectible premiums as of
December 31, 2012 and 2011 was insignificant.
As of December 31, 2012 and 2011, MBIA Corp. reported reinsurance premiums payable of $313 million and $352 million, respectively,
which represents the portion of MBIA Corp.’s premiums receivable that is due to reinsurers. The reinsurance premiums payable is
accreted and paid to reinsurers as premiums due to MBIA Corp. are accreted and collected.
23
Note 5: Insurance Premiums (continued)
The following tables present a roll forward of MBIA Corp.’s premiums receivable for the years ended December 31, 2012 and 2011:
In millions
Adjustments
Premiums
Receivable as of
December 31,
2011
$
1,360
Premiums
from New
Business
Written
Premium
Payments
Received
$
(182)
$
Changes in
Expected
Term of
Policies
5
$
Accretion of
Premiums
Receivable
Discount
(57)
$
32
Premiums
Receivable
as of
December 31,
2012
Other (1)
$
70
$
1,228
Reinsurance
Premiums
Payable as of
December 31,
2012
$
313
(1)—
consists of unrealized gains (losses) due to foreign currency exchange rates.
Primarily
In millions
Adjustments
Premiums
Receivable as of
December 31,
2010
$
1,589
Premiums
from New
Business
Written
Premium
Payments
Received
$
(212)
$
—
Changes in
Expected
Term of
Policies
$
Accretion of
Premiums
Receivable
Discount
(76)
$
40
Premiums
Receivable
as of
December 31,
2011
Other (1)
$
19
$
1,360
Reinsurance
Premiums
Payable as of
December 31,
2011
$
(1)—
consists of unrealized gains (losses) due to foreign currency exchange rates.
Primarily
The following table presents the undiscounted future amount of premiums expected to be collected and the period in which those
collections are expected to occur:
Expected
Collection of
In millions
Premiums
Three months ended:
March 31, 2013
June 30, 2013
September 30, 2013
December 31, 2013
Twelve months ended:
December 31, 2014
December 31, 2015
December 31, 2016
December 31, 2017
Five years ended:
December 31, 2022
December 31, 2027
December 31, 2032 and thereafter
Total
$
30
43
30
36
125
117
109
99
$
24
378
264
303
1,534
352
Note 5: Insurance Premiums (continued)
The following table presents the unearned premium revenue balance and future expected premium earnings as of and for the periods
presented:
Unearned
In millions
December 31, 2012
Three months ended:
March 31, 2013
June 30, 2013
September 30, 2013
December 31, 2013
Twelve months ended:
December 31, 2014
December 31, 2015
December 31, 2016
December 31, 2017
Five years ended:
December 31, 2022
December 31, 2027
December 31, 2032 and thereafter
Total
Premium
Revenue
Total
Expected
Expected Future
Premium Earnings
Future
Premium
Upfront
Installments
Accretion
Earnings
$
$
$
$
$ 2,508
2,443
2,379
2,318
2,257
33
33
31
31
32
31
30
30
7
7
7
7
72
71
68
68
2,031
1,824
1,633
1,460
116
105
96
88
110
102
95
85
27
25
23
21
253
232
214
194
799
393
—
339
201
186
$1,259
322
205
207
1,249
82
50
52
308
743
456
445
$ 2,816
$
$
Note 6: Loss and Loss Adjustment Expense Reserves
Loss and Loss Adjustment Expense Process
MBIA Corp.’s insured portfolio management division (“IPM”) monitors MBIA Corp.’s outstanding insured obligations with the objective of
minimizing losses. IPM meets this objective by identifying issuers that, because of deterioration in credit quality or changes in the
economic, regulatory or political environment, are at a heightened risk of defaulting on debt service of obligations insured by MBIA Corp. In
such cases, IPM works with the issuer, trustee, bond counsel, servicer, underwriter and other interested parties in an attempt to alleviate
or remedy the problem and avoid defaults on debt service payments. Once an obligation is insured, MBIA Corp. typically requires the
issuer, servicer (if applicable) and the trustee to furnish periodic financial and asset-related information, including audited financial
statements, to IPM for review. IPM also monitors publicly available information related to insured obligations. Potential problems
uncovered through this review, such as poor financial results, low fund balances, covenant or trigger violations and trustee or servicer
problems, or other events that could have an adverse impact on the insured obligation, could result in an immediate surveillance review
and an evaluation of possible remedial actions. IPM also monitors and evaluates the impact on issuers of general economic conditions,
current and proposed legislation and regulations, as well as state and municipal finances and budget developments.
Insured obligations are monitored periodically. The frequency and extent of such monitoring is based on the criteria and categories
described below. Insured obligations that are judged to merit more frequent and extensive monitoring or remediation activities due to a
deterioration in the underlying credit quality of the insured obligation or the occurrence of adverse events related to the underlying credit of
the issuer are assigned to a surveillance category (“Caution List—Low,” “Caution List—Medium,” “Caution List—High” or “Classified List”)
depending on the extent of credit deterioration or the nature of the adverse events. IPM monitors insured obligations assigned to a
surveillance category more frequently and, if needed, develops a remediation plan to address any credit deterioration.
25
Note 6: Loss and Loss Adjustment Expense Reserves (continued)
MBIA Corp. does not establish any case basis reserves for insured obligations that are assigned to “Caution List—Low,” “Caution List—
Medium” or “Caution List—High.” In the event MBIA Corp. expects to pay a claim as determined by probability-weighted cash flow analysis
with respect to an insured transaction, it places the insured transaction on its “Classified List” and establishes a case basis reserve. The
following provides a description of each surveillance category:
“Caution List—Low” —Includes issuers where debt service protection is adequate under current and anticipated circumstances.
However, debt service protection and other measures of credit support and stability may have declined since the transaction was
underwritten and the issuer is less able to withstand further adverse events. Transactions in this category generally require more
frequent monitoring than transactions that do not appear within a surveillance category. IPM subjects issuers in this category to
heightened scrutiny.
“Caution List—Medium” —Includes issuers where debt service protection is adequate under current and anticipated circumstances,
although adverse trends have developed and are more pronounced than for “Caution List—Low.” Issuers in this category may have
breached one or more covenants or triggers. These issuers are more closely monitored by IPM but generally take remedial action on
their own.
“Caution List—High” —Includes issuers where more proactive remedial action is needed but where no defaults on debt service
payments are expected. Issuers in this category exhibit more significant weaknesses, such as low debt service coverage, reduced or
insufficient collateral protection or inadequate liquidity, which could lead to debt service defaults in the future. Issuers in this category
may have breached one or more covenants or triggers and have not taken conclusive remedial action. Therefore, IPM adopts a
remediation plan and takes more proactive remedial actions.
“Classified List” —Includes all insured obligations where MBIA Corp. has paid a claim or where a claim payment is expected. It also
includes insured obligations where a significant LAE payment has been made, or is expected to be made, to mitigate a claim
payment. This may include property improvements, bond purchases and commutation payments. Generally, IPM is actively
remediating these credits where possible, including restructurings through legal proceedings, usually with the assistance of specialist
counsel and advisors.
In establishing case basis loss reserves, MBIA Corp. calculates the present value of probability-weighted estimated loss payments, net of
estimated recoveries, using a discount rate equal to the risk-free rate applicable to the currency and the weighted average remaining life of
the insurance contract as required by accounting principles for financial guarantee contracts. Yields on U.S. Treasury offerings are used to
discount loss reserves denominated in U.S. dollars, which represent the majority of the loss reserves. Similarly, yields on foreign
government offerings are used to discount loss reserves denominated in currencies other than the U.S. dollar. If MBIA Corp. were to apply
different discount rates, its case basis reserves may have been higher or lower than those established as of December 31, 2012. For
example, a higher discount rate applied to expected future payments would have decreased the amount of a case basis reserve
established by MBIA Corp. and a lower rate would have increased the amount of a reserve established by MBIA Corp. Similarly, a higher
discount rate applied to the potential future recoveries would have decreased the amount of a loss recoverable established by MBIA Corp.
and a lower rate would have increased the amount of a loss recoverable established by MBIA Corp.
As of December 31, 2012, the majority of MBIA Corp.’s case basis reserves and insurance loss recoveries recorded in accordance with
GAAP were related to insured second-lien and first-lien RMBS transactions. These reserves and recoveries do not include estimates for
policies insuring credit derivatives. Policies insuring credit derivative contracts are accounted for as derivatives and carried at fair value
under GAAP. The fair values of insured derivative contracts are influenced by a variety of market and transaction-specific factors that may
be unrelated to potential future claim payments under MBIA Corp.’s insurance policies. In the absence of credit impairments on insured
derivative contracts or the early termination of such contracts at a loss, the cumulative unrealized losses recorded from fair valuing these
contracts should reverse before or at the maturity of the contracts.
26
Notwithstanding the difference in accounting under GAAP for financial guarantee policies and MBIA Corp.’s insured derivatives, insured
derivatives have similar terms, conditions, risks, and economic profiles to financial guarantee insurance policies, and, therefore, are
evaluated by MBIA Corp. for loss (referred to as credit impairment herein) and LAE periodically in a manner similar to the way that loss
and LAE reserves are estimated for financial guarantee insurance policies. Credit impairments represent actual payments and collections
plus the present value of estimated expected future claim payments, net of recoveries. MBIA Insurance Corporation’s expected future
claim payments for insured derivatives were discounted using a rate of 5.72%, the same rate it used to calculate its statutory loss reserves
as of December 31, 2012. These credit impairments, calculated in accordance with U.S. STAT, differ from the fair values recorded in MBIA
Corp.’s consolidated financial statements. MBIA Corp. considers its credit impairment estimates as critical information for investors as it
provides information about loss payments MBIA Corp. expects to make on insured derivative contracts. As a result, the following loss and
LAE process discussion includes information about loss and LAE activity recorded in accordance with GAAP for financial guarantee
insurance policies and credit impairments estimated in accordance with U.S. STAT for insured derivative contracts. Refer to “Note 7: Fair
Value of Financial Instruments” included herein for additional information about MBIA Corp.’s insured credit derivative contracts.
RMBS Case Basis Reserves and Recoveries (Financial Guarantees)
MBIA Corp.’s RMBS reserves and recoveries relate to financial guarantee insurance policies. MBIA Corp. calculated RMBS case basis
reserves as of December 31, 2012 for both second-lien and first-lien RMBS transactions using a process called the “Roll Rate
Methodology.” The Roll Rate Methodology is a multi-step process using a database of loan level information, a proprietary internal cash
flow model, and a commercially available model to estimate expected ultimate cumulative losses on insured bonds. “Roll Rate” is defined
as the probability that current loans become delinquent and that loans in the delinquent pipeline are charged-off or liquidated. Generally,
Roll Rates are calculated for the previous three months and averaged. The loss reserve estimates are based on a probability-weighted
average of three scenarios of loan losses (base case, stress case, and an additional stress case).
In calculating ultimate cumulative losses for RMBS, MBIA Corp. estimates the amount of loans that are expected to be charged-off
(deemed uncollectible by servicers of the transactions) or liquidated in the future. MBIA Corp. assumes that charged-off loans have zero
recovery values.
Second-lien RMBS Reserves
MBIA Corp.’s second-lien RMBS case basis reserves as of December 31, 2012 relate to RMBS backed by home equity lines of credit
(“HELOC”) and closed-end second mortgages (“CES”).
The Roll Rates for 30-59 day delinquent loans and 60-89 day delinquent loans are calculated on a transaction-specific basis. MBIA Corp.
assumes that the Roll Rate for 90+ day delinquent loans, excluding foreclosures and Real Estate Owned (“REO”) is 95%. The Roll Rates
are applied to the amounts in the respective delinquency buckets based on delinquencies as of November 30, 2012 to estimate future
losses from loans that are delinquent as of the current reporting period.
Roll Rates for loans that are current as of November 30, 2012 (“Current Roll to Loss”) are also calculated on a transaction-specific basis. A
proportion of loans reported current as of November 30, 2012 is assumed to become delinquent every month, at a Current Roll to Loss
rate that persists at a high level for a time and subsequently starts to decline. A key assumption in the model is the period of time in which
MBIA Corp. projects high levels of Current Roll to Loss to persist. In the base case, MBIA Corp. assumes that the Current Roll to Loss
begins to decline immediately and continues to decline over the next six months to 25% of their levels as of November 30, 2012. In the
stress case, the period of elevated delinquency and loss is extended by six months. In the additional stress case, MBIA Corp. assumes
that the current trends in losses will remain through late 2013, after which time they will revert to the base case. For example, in the base
case, as of November 30, 2012, if the amount of current loans which become 30-59 days delinquent is 10%, and recent performance
suggests that 30% of those loans will be charged-off, the Current Roll to Loss for the transaction is 3%.
27
In the base case, it is then assumed that the Current Roll to Loss will reduce linearly to 25% of its original value over the next six months
(i.e., 3% will linearly reduce to 0.75% over the six months from December 2012 to May 2013). After that six-month period, MBIA Corp.
further reduces the Current Roll to Loss to 0% by early 2014 with the expectation that the performing seasoned loans will eventually result
in loan performance reverting to historically low levels of default.
In addition, in MBIA Corp.’s loss reserve models for transactions secured by HELOCs, MBIA Corp. considers borrower draw and
prepayment rates and factors that could affect the excess spread generated by current loans, which offsets losses and reduces payments.
For HELOCs, the current three-month average draw rate is generally used to project future draws on the line. For HELOCs and
transactions secured by fixed-rate CES, the three-month average conditional prepayment rate is generally used to start the projection for
trends in voluntary principal prepayments. Projected cash flows are also based on an assumed constant basis spread between floating
rate assets and floating rate insured debt obligations (the difference between Prime and London Interbank Offered Rate (“LIBOR”) interest
rates, minus any applicable fees). For all transactions, cash flow models consider allocations and other structural aspects of the
transactions, including managed amortization periods, rapid amortization periods and claims against MBIA Corp.’s insurance policy
consistent with such policy’s terms and conditions. In developing multiple loss scenarios, stress is applied by elongating the Current Roll to
Loss rate for various periods, simulating a slower improvement in the transaction performance. The estimated net claims from the
procedure above are then discounted using a risk-free rate to a net present value reflecting MBIA Corp.’s general obligation to pay claims
over time and not on an accelerated basis. The above assumptions represent MBIA Corp.’s best estimates of how transactions will
perform over time.
MBIA Corp. monitors portfolio performance on a monthly basis against projected performance, reviewing delinquencies, Roll Rates, and
prepayment rates (including voluntary and involuntary). However, given the large percentage of mortgage loans that were not underwritten
by the sellers/servicers in accordance with applicable underwriting guidelines, performance remains difficult to predict and losses may
exceed expectations. In the event of a material deviation in actual performance from projected performance, MBIA Corp. would increase or
decrease the case basis reserves accordingly. If actual performance were to remain at the peak levels MBIA Corp. is modeling for six
months longer than in the probability-weighted outcome, the addition to MBIA Corp.’s second-lien RMBS case basis reserves before
considering potential recoveries would be approximately $110 million.
Second-lien RMBS Recoveries
As of December 31, 2012, MBIA Corp. recorded estimated recoveries of $3.6 billion, gross of income taxes, related to second-lien RMBS
put-back claims on ineligible mortgage loans, consisting of $2.5 billion included in “Insurance loss recoverable” and $1.1 billion included in
“Loan repurchase commitments” presented under the heading “Assets of consolidated variable interest entities” on MBIA Corp.’s
consolidated balance sheets. As of December 31, 2012 and 2011, MBIA Corp.’s estimated recoveries after income taxes calculated at the
federal statutory rate of 35%, were $2.3 billion and $2.0 billion, respectively, which was 432% and negative 556% of the consolidated total
shareholders’ equity and deficit, respectively. The negative percentage as of December 31, 2011 was a result of shareholders’ deficit of
$364 million recorded on MBIA Corp.’s consolidated balance sheets. These estimated recoveries relate to MBIA Corp.’s put-back claims of
ineligible mortgage loans, which have been disputed by the loan sellers/servicers and are currently subject to litigation initiated by MBIA
Corp. to pursue recoveries. While MBIA Corp. believes that it will prevail in enforcing its contractual rights, there is uncertainty with respect
to the ultimate outcome. Furthermore, there is a risk that sellers/servicers or other responsible parties might not be able to satisfy their putback obligations. Such risks are contemplated in the scenarios MBIA Corp. utilizes to calculate recoveries.
MBIA Corp. assesses the financial abilities of the sellers/servicers using external credit ratings and other factors. The impact of such
factors on cash flows related to expected recoveries is incorporated into MBIA Corp.’s probability-weighted scenarios. Accordingly, MBIA
Corp. has not recognized any recoveries related to its IndyMac Bank, F.S.B. insured exposures and has subsequent to the ResCap
bankruptcy filing reviewed the indicative scenarios and related probabilities assigned to each scenario to develop a distribution of possible
outcomes.
28
MBIA Corp.’s expected recoveries may be discounted in the future based on additional reviews of the creditworthiness of other
sellers/servicers.
As of December 31, 2011, MBIA Corp. utilized five probability-weighted scenarios primarily based on the percentage of incurred losses for
all sellers/servicers where estimated recoveries of ineligible mortgage loans were recorded.
On May 14, 2012, ResCap, and its wholly-owned subsidiary companies, RFC and GMAC, each filed for bankruptcy protection under
Chapter 11 of the United States Bankruptcy Code. MBIA Corp. believes that the claims against RFC and GMAC are stronger and better
defined than most other unsecured creditor claims due to the following reasons:
•
the direct contractual relationship between MBIA Corp., GMAC and RFC related to MBIA Corp.’s second-lien RMBS put-back
claims on ineligible mortgage loans that were improperly included in the MBIA Corp.-insured transactions;
•
MBIA Corp.’s legal claims against RFC and GMAC based on breach of contract and fraud have withstood motions to dismiss;
and
•
expert reports submitted in the RFC litigation which established a substantial breach rate in MBIA Corp.’s insured
securitizations, and MBIA Corp.’s damages as a result thereof.
MBIA Corp. has now modeled scenario-based recoveries which are founded upon the strength of these claims as well as a range of
estimated assets available to unsecured creditors of the ResCap companies. As of December 31, 2012, the auction of the servicing
platform and specific loans of the ResCap bankruptcy estate have concluded. However, an actual distribution of proceeds will not occur
until a plan detailing the distribution of assets has been approved by the bankruptcy court. Consequently, the outcomes utilized by MBIA
Corp. continue to be based upon information that was available to MBIA Corp. as of the filing date.
As of December 31, 2012, MBIA Corp. continues to maintain the same probability-weighted scenarios for its non-GMAC and non-RFC
exposures (non-ResCap exposures), which are primarily based on the percentage of incurred losses MBIA Corp. would collect. The nonResCap recovery estimates incorporate five scenarios that include full recovery of its incurred losses and limited/reduced recoveries due
to litigation delays and risks and/or potential financial distress of the sellers/servicers. Probabilities were assigned across these scenarios,
with most of the probability weight on partial recovery scenarios. The sum of the probabilities assigned to all scenarios is 100%. Expected
cash inflows from recoveries are discounted using the current risk-free discount rates associated with the underlying transaction’s cash
flows, which ranged from 0.9% to 1.7%, depending upon the transaction’s expected average life, which ranged from 5.6 years to 10.2
years. However, based on MBIA Corp.’s assessment of the strength of its contract claims, MBIA Corp. believes it is entitled to collect
and/or assert a claim for the full amount of its incurred losses on these transactions, which totaled $5.1 billion through December 31, 2012.
MBIA Corp. is entitled to collect interest on amounts paid.
MBIA Corp.’s potential recoveries are typically based on either salvage rights, the rights conferred to MBIA Corp. through the transactional
documents (inclusive of the insurance agreement), or subrogation rights embedded within financial guarantee insurance policies. The
second-lien RMBS transactions with respect to which MBIA Corp. has estimated put-back recoveries provide MBIA Corp. with such rights.
Expected salvage and subrogation recoveries, as well as recoveries from other remediation efforts, reduce MBIA Corp.’s claim liability.
Once a claim payment has been made, the claim liability has been satisfied and MBIA Corp.’s right to recovery is no longer considered an
offset to future expected claim payments, and is recorded as a salvage asset. The amount of recoveries recorded by MBIA Corp. is limited
to paid claims plus the present value of projected future claim payments. As claim payments are made, the recorded amount of potential
recoveries may exceed the remaining amount of the claim liability for a given policy.
To date, sellers/servicers have not substituted loans which MBIA Corp. has put-back, and the amount of loans repurchased has been
insignificant. The unsatisfactory resolution of these put-backs led MBIA Corp. to initiate litigation against six of the sellers/servicers to
enforce their obligations.
29
MBIA Corp. has alleged several causes of action in its complaints, including breach of contract, fraudulent inducement and
indemnification. MBIA Corp.’s aggregate $3.6 billion of estimated potential recoveries do not include damages from causes of action other
than breach of contract. Irrespective of amounts recorded in its financial statements, MBIA Corp. is seeking to recover and/or assert claims
for the full amount of its incurred losses and other damages on these transactions. MBIA Corp. has not collected any material amounts of
cash related to these recoveries. Additional information on the status of these litigations can be found in the “Recovery Litigation”
discussion within “Note 18: Commitments and Contingencies.”
MBIA Corp. has initiated litigation against six sellers/servicers (most recent filing was January 11, 2013) related to loan put-backs. MBIA
Corp. has received five decisions with regard to the respective defendants’ motions to dismiss MBIA Corp.’s claims. In each instance, the
respective court denied the motion, allowing MBIA Corp. to proceed on, at minimum, its fraud and breach of contract claims. In December
2011, MBIA Corp. reached an agreement with one of the six sellers/servicers with whom it had initiated litigation and that litigation has
been dismissed.
MBIA Corp.’s assessment of the recovery outlook for insured second-lien RMBS issues is principally based on the following factors:
1.
the strength of MBIA Corp.’s existing contract claims related to ineligible mortgage loan substitution/repurchase obligations;
2.
the settlement of Assured Guaranty’s and Syncora’s put-back related claims with Bank of America;
3.
the improvement in the financial strength of certain sellers/servicers due to mergers and acquisitions and/or government
assistance, which should facilitate the ability of these sellers/servicers and their successors to comply with required loan
repurchase/substitution obligations. MBIA Corp. is not aware of any provisions that explicitly preclude or limit successors’
obligations to honor the obligations of original sellers/servicers. MBIA Corp.’s assessment of any credit risk associated with
sellers/servicers (or their successors) is reflected in MBIA Corp.’s probability-weighted potential recovery scenarios;
4.
evidence of ineligible mortgage loan repurchase/substitution by sellers/servicers for put-back requests made by other harmed
parties; this factor is further enhanced by (i) Bank of America’s disclosure that it has resolved $8.0 billion of repurchase
requests in the fourth quarter of 2010; (ii) the Fannie Mae settlements with Ally Bank announced on December 23, 2010 and
with Bank of America (which also involved Freddie Mac) announced on December 31, 2010; (iii) the Bank of America $10.3
billion settlement with Fannie Mae announced on January 7, 2013. The settlement substantially resolves Countrywide
repurchase related claims between Bank of America and Fannie Mae, and (iv) MBIA Corp.’s settlement agreements entered
into on July 16, 2010 and December 13, 2011 respectively, between MBIA Corp. and sponsors of certain MBIA Corp.-insured
mortgage loan securitizations in which MBIA Corp. received consideration in exchange for a release relating to its
representation and warranty claims against the sponsors. These settlements resolved all of MBIA Corp.’s representation and
warranty claims against the sponsors on mutually beneficial terms and in aggregate were slightly more than the recoveries
previously recorded by MBIA Corp. related to these exposures;
5.
Assured Guaranty’s favorable court ruling of $90 million (plus interest, fees and expenses) regarding Flagstar Bank’s pervasive
breach of mortgage representations and warranties;
6.
the defendants’ failure to win dismissals of MBIA Corp.’s put-back litigations discussed above, allowing MBIA Corp. to continue
to pursue its contract and fraud claims;
7.
Countrywide’s unsuccessful appeal of its failure to win dismissal of MBIA Corp.’s fraud claims in the Countrywide litigation,
allowing MBIA Corp. to pursue its fraud claims;
8.
MBIA Corp.’s successful motion in the Countrywide litigation allowing MBIA Corp. to present evidence of liability and damages
through the introduction of statistically valid random samples of loans rather than on a loan-by-loan basis and subsequent
decisions consistent with that ruling;
30
9.
Bank of America’s failure to win dismissal of MBIA Corp.’s claims for successor liability in the Countrywide litigation, as well as
the completion of discovery relating to MBIA Corp.’s successor liability claims against Bank of America;
10.
MBIA Corp.’s successful motion regarding causation and the right to rescissory damages in the Countrywide litigation, which
provides that MBIA Corp. is not required to establish a direct causal link between Countrywide’s misrepresentations and MBIA
Corp.’s claims payments made pursuant to the insurance policies at issue, and that MBIA Corp. may seek damages equal to
the amount that it has been and will be required to pay under the relevant policies, less premiums received;
11.
Syncora’s and Assured Guaranty’s successful motions regarding causation in their Federal court put-back litigations with JP
Morgan Chase and Flagstar Bank, respectively, which support the ruling on causation in MBIA Corp.’s litigation against
Countrywide; and
12.
other loan repurchase reserves and/or settlements which have been publicly disclosed by certain sellers/servicers.
MBIA Corp. continues to consider all relevant facts and circumstances, including the factors described above, in developing its
assumptions on expected cash inflows, probability of potential recoveries (including the outcome of litigation) and recovery period. The
estimated amount and likelihood of potential recoveries are expected to be revised and supplemented to the extent there are
developments in the pending litigation, new litigation is initiated and/or changes to the financial condition of sellers/servicers occur. While
MBIA Corp. believes it will be successful in realizing recoveries from contractual and other claims, the ultimate amounts recovered may be
materially different from those recorded by MBIA Corp. given the inherent uncertainty of the manner of resolving the claims (e.g., litigation)
and the assumptions used in the required estimation process for accounting purposes which are based, in part, on judgments and other
information that are not easily corroborated by historical data or other relevant benchmarks.
All of MBIA Corp.’s policies insuring second-lien RMBS for which litigation has been initiated against sellers/servicers are in the form of
financial guarantee insurance contracts. In accordance with U.S. GAAP, MBIA Corp. has not recorded a gain contingency with respect to
pending litigation.
First-lien RMBS Reserves
MBIA Corp.’s first-lien RMBS case basis reserves as of December 31, 2012, which primarily relate to RMBS backed by alternative A-paper
(“Alt-A”) and subprime mortgage loans were determined using the Roll Rate Methodology. MBIA Corp. assumes that the Roll Rate for
loans in foreclosure, REO and bankruptcy are 90%, 90% and 75%, respectively. Roll Rates for current, 30-59 day delinquent loans, 60-89
day delinquent loans and 90+ day delinquent loans are calculated on a transaction-specific basis. The Current Roll to Loss rates stay at
the November 30, 2012 level for two months before declining to 25% of this level over a 24-month period. Additionally, MBIA Corp. runs
scenarios where the 90+ day roll rate to loss is set at 90%. The Roll Rates are applied to the amounts in the respective delinquency
buckets based on delinquencies as of November 30, 2012 to estimate future losses from loans that are delinquent as of the current
reporting period.
In calculating ultimate cumulative losses for first-lien RMBS, MBIA Corp. estimates the amount of loans that are expected to be liquidated
through foreclosure or short sale. The time to liquidation for a defaulted loan is specific to the loan’s delinquency bucket with the latest
three-month average loss severities generally used to start the projection for trends in loss severities at loan liquidation. The loss severities
are reduced over time to account for reduction in the amount of foreclosure inventory, anticipated future increases in home prices,
principal amortization of the loan and government foreclosure moratoriums.
ABS CDOs (Financial Guarantees and Insured Derivatives)
MBIA Corp.’s insured ABS CDOs are transactions that include a variety of collateral ranging from corporate bonds to structured finance
assets (which includes but are not limited to RMBS related collateral, ABS CDOs, corporate CDOs and collateralized loan obligations).
31
These transactions were insured as either financial guarantee insurance policies or credit derivatives with the majority insured in the form
of credit derivatives. Since the fourth quarter of 2007, MBIA Corp.’s insured par exposure within the ABS CDO portfolio has been
substantially reduced through a combination of terminations and commutations. Accordingly, as of December 31, 2012, the insured par
exposure of the ABS CDO financial guarantee insurance policies and credit derivatives portfolio has declined by approximately 88% of the
insured amount as of December 31, 2007.
MBIA Corp.’s ABS CDOs originally benefited from two sources of credit enhancement. First, the subordination in the underlying securities
collateralizing the transaction must be fully eroded and second, the subordination below the insured tranche in the CDO transaction must
be fully eroded before the insured tranche is subject to a claim. MBIA Corp.’s payment obligations after a default vary by transaction and
by insurance type.
The primary factor in estimating reserves on insured ABS CDO policies written as financial guarantee insurance policies and in estimating
impairments on insured ABS CDO credit derivatives is the losses associated with the underlying collateral in the transactions. MBIA
Corp.’s approach to establishing reserves or impairments in this portfolio employs a methodology which is similar to other structured
finance asset classes insured by MBIA Corp. MBIA Corp. uses up to a total of four probability-weighted scenarios in order to estimate its
reserves or impairments for ABS CDOs.
As of December 31, 2012, MBIA Corp. established loss and LAE reserves totaling $143 million related to ABS CDO financial guarantee
insurance policies after the elimination of $236 million as a result of consolidating VIEs. For the year ended December 31, 2012, MBIA
Corp. had a benefit of $21 million of losses and LAE recorded in earnings related to ABS CDO financial guarantee insurance policies after
the elimination of a $24 million benefit as a result of consolidating VIEs. In the event of further deteriorating performance of the collateral
referenced or held in ABS CDO transactions, the amount of losses estimated by MBIA Corp. could increase materially.
Credit Impairments Related to Structured CMBS Pools, CRE CDOs and CRE Loan Pools (Financial Guarantees and Insured Derivatives)
Most of the structured CMBS pools, CRE CDOs and CRE loan pools insured by MBIA Corp. are accounted for as insured credit
derivatives and are carried at fair value in MBIA Corp.’s consolidated financial statements. Since MBIA Corp.’s insured credit derivatives
have similar terms, conditions, risks, and economic profiles to its financial guarantee insurance policies, MBIA Corp. evaluates them for
impairment in the same way that it estimates loss and LAE for its financial guarantee policies. The following discussion provides
information about MBIA Corp.’s process for estimating credit impairments on these contracts using its statutory loss reserve methodology,
determined as the present value of the probability-weighted potential future losses, net of estimated recoveries, across multiple scenarios,
plus actual payments and collections.
MBIA Corp. has developed multiple scenarios to consider the range of potential outcomes in the CRE market and their impact on MBIA
Corp. The approaches require substantial judgments about the future performance of the underlying loans, and include the following:
•
The first approach considers the range of commutation agreements achieved and agreed to since 2010, which included 66
structured CMBS pools, CRE CDOs and CRE loan pool policies totaling $33.1 billion of gross insured exposure. MBIA Corp.
considers the range of commutations achieved over the past several years with multiple counterparties. This approach results
in an estimated price to commute the remaining policies with price estimates, based on this experience. It is customized by
counterparty and is dependent on the level of dialogue with the counterparty and the credit quality and payment profile of the
underlying exposure.
•
The second approach considers current delinquency rates and uses current and projected net operating income (“NOI”) and
capitalization rates (“Cap Rates”) to project losses under two scenarios. Loans are stratified by size with larger loans being
valued utilizing lower Cap Rates than for smaller loans. These scenarios also assume that Cap Rates and NOIs remain flat for
the near term and then begin to improve gradually.
32
Additionally, in these scenarios, any loan with a balance greater than $75 million with a debt service coverage ratio (“DSCR”)
less than 1.0x or that was reported as being in any stage of delinquency, was reviewed individually so that performance and
loss severity could be more accurately determined. Specific loan level assumptions for this large loan subset were then
incorporated into these scenarios, as well as specific assumptions regarding certain smaller loans when there appeared to be a
material change in the asset’s financial or delinquency performance over the preceding six months. As MBIA Corp. continues to
increase the level of granularity in its individual loan assessments, it analyzes and adjusts assumptions for loans with certain
mitigating attributes, such as no lifetime delinquency, recent appraisals indicating sufficient value and large capital reserve
levels. These scenarios project different levels of additional defaults with respect to loans that are current. This approach
makes use of the most recent financial statements available at the property level.
•
The third approach stratifies loans into buckets based on delinquency status (including a “current” bucket) and utilizes recent
Roll Rates actually experienced within each of the commercial mortgage-backed index (“CMBX”) series in order to formulate an
assumption to predict future delinquencies. Ultimately, this generates losses over a projected time horizon based on the
assumption that loss severities will begin to decline from the high levels seen over the past two years. MBIA Corp. further
examines those loans referenced in the CMBX indices which were categorized as 90+ days delinquent or in the process of
foreclosure and determines the average monthly balance of such loans which were cured. MBIA Corp. then applies the most
recent rolling six-month average balance of all such cured loans to all underperforming loans in the 90+ day delinquent bucket
or in the foreclosure process (and those projected to roll into late stage delinquency from the current and lesser stage levels of
delinquency) and assumes all other loans are liquidated. MBIA Corp. reserves the right to exclude any aberrant data from this
analysis and also assumes all loans in the REO category liquidate over the next twelve months.
•
The fourth approach is based on a proprietary model developed by reviewing performance data on over 80,000 securitized
CRE loans originated between 1992 and 2011. The time period covered during the performance review includes the years
2006 through 2011. MBIA Corp. believes that these five years represent an appropriate time period in which to conduct a
performance review because they encompass a period of extreme stress in the economy and the CRE market.
Based on a review of the data, MBIA Corp. found property type and the DSCR to be the most significant determinants of a
loan’s default probability, with other credit characteristics less influential. As a result, MBIA Corp. developed a model in which
the loans were divided into 168 representative cohorts based on their DSCR and property type. For each of these cohorts,
MBIA Corp. calculated the average annual probability of default, and then ran Monte Carlo simulations to estimate the timing of
defaults. In addition, the model incorporated the following logic:
•
NOI and Cap Rates were assumed to remain at current levels for loans in MBIA Corp.’s classified portfolio,
resulting in no modifications or extensions under the model, other than as described in the next bullet point, to
reflect the possibility that the U.S. economy and CRE market could experience no growth for the foreseeable
future.
•
Any valuation estimates obtained by special servicers since a loan’s origination as well as MBIA Corp.’s individual
large loan level analysis for loans with balances greater than $75 million were incorporated as described in the
second approach. However, in the fourth approach no adjustments were made for loans lower than $75 million
regardless of any mitigating factors.
The loss severities projected by these scenarios vary widely, from moderate to substantial losses, with the majority of projected losses
relating to a subset of transactions with a single counterparty. Actual losses will be a function of the proportion of loans in the pools that
are foreclosed and liquidated and the loss severities associated with those liquidations. If the deductibles in MBIA Corp.’s insured
transactions and underlying referenced CMBS transactions are fully eroded, additional property level losses upon foreclosures and
liquidations could result in substantial losses for MBIA Corp. Since foreclosures and liquidations have only begun to take place during this
economic cycle, particularly for larger properties, ultimate loss rates remain uncertain.
33
Whether CMBS collateral is included in a structured pool or in a CRE CDO, MBIA Corp. believes the modeling related to the underlying
bond should be the same. However, adjustments may be needed for structural or legal reasons. MBIA Corp. assigns a wide range of
probabilities to these scenarios, with lower severity scenarios being weighted more heavily than higher severity scenarios. This reflects the
view that liquidations will continue to be mitigated by loan extensions and modifications, and that property values and NOIs have bottomed
for many sectors and markets in the U.S. The weightings are customized to each counterparty. If macroeconomic stress were to increase
or the U.S. goes into a recession, higher delinquencies, liquidations and/or higher severities of loss upon liquidation may result and MBIA
Corp. may incur substantial additional losses. The foreclosure and REO pipelines are still relatively robust, with several restructurings and
liquidations yet to occur, so the range of possible outcomes is wider than those for MBIA Corp.’s exposures to ABS CDOs and second-lien
RMBS.
In the CRE CDO portfolio, transaction-specific structures require managers to report reduced enhancement according to certain guidelines
which often include downgrades even when the bond is still performing. As a result, in addition to collateral defaults, reported
enhancement has been reduced significantly in some CRE CDOs. Moreover, many of the CRE CDO positions are amortizing more quickly
than originally expected as most or all interest proceeds that would have been allocated to more junior classes within the CDO have been
diverted and redirected to pay down the senior most classes insured by MBIA Corp.
For the year ended December 31, 2012, MBIA Corp. incurred $46 million of losses and LAE recorded in earnings related to CRE CDO
financial guarantee insurance policies. For the year ended December 31, 2012, additional credit impairments and LAE on structured
CMBS pools, CRE CDOs and CRE loan pools were estimated to be $852 million as a result of additional delinquencies and loan level
liquidations, as well as continued refinements of MBIA Corp.’s assessment of various commutation possibilities. The majority of the
increase relates to a subset of transactions with a single counterparty. The cumulative credit impairments and LAE on structured CMBS
pools, CRE CDOs and CRE loan pools were estimated to be $3.6 billion through December 31, 2012. Although the pace of increases in
the delinquency rate has slowed and many loans are being modified, liquidations have taken place. Some loans were liquidated with
minimal losses of 1% to 2%, others experienced near complete losses, and in some cases severities exceeded 100%. These liquidations
have led to losses in the CMBS market, and in many cases, have resulted in reductions of enhancement to the individual CMBS bonds
referenced by the insured structured CMBS pools. In certain insured transactions, these losses have resulted in deductible erosion. Bond
level enhancement and pool level deductibles are structural features intended to mitigate losses to MBIA Corp. However, some of the
transactions reference similar rated subordinate tranches of CMBS bonds. When there are broad-based declines in property performance,
this leverage can result in rapid deterioration in pool performance.
Loss and LAE Activity
Financial Guarantee Insurance Losses (Non-Derivative)
MBIA Corp.’s financial guarantee insurance losses and LAE for the year ended December 31, 2012 are presented in the following table:
Losses and LAE
In millions
Losses and LAE related to actual
and expected payments
Recoveries of actual and
expected payments
Gross losses incurred
Reinsurance
Losses and LAE
Second-lien
RMBS
Year Ended December 31, 2012
First-lien
RMBS
Other (1)
Total
$
220
$ 147
$
91
$ 458
$
(371)
(151)
—
(151)
1
148
(1)
$ 147
(47)
44
(11)
$ 33
(417)
41
(12)
$ 29
(1)—
financial guarantee CMBS.
Primarily
34
The second-lien RMBS losses and LAE related to actual and expected payments included in the preceding table comprise net increases
of previously established reserves. The second-lien RMBS recoveries of actual and expected payments comprise $454 million in
recoveries resulting from ineligible mortgage loans included in insured exposures that are subject to contractual obligations by
sellers/servicers to repurchase or replace such mortgages, offset by an $83 million reduction in excess spread. The first-lien losses and
LAE primarily resulted from credit deterioration.
The following table provides information about the financial guarantees and related claim liability included in each of MBIA Corp.’s
surveillance categories as of December 31, 2012:
$ in millions
Number of policies
Number of issues (1)
Remaining weighted average contract period (in years)
Gross insured contractual payments outstanding: (2)
Principal
Interest
Total
Gross claim liability
Less:
Gross potential recoveries
Discount, net
Net claim liability (recoverable)
Surveillance Categories
Caution
Classified
List
High
List
Caution
List Low
Caution
List
Medium
49
27
8.2
25
15
4.0
8
8
6.0
204
135
9.5
286
185
8.6
$4,126
2,690
$6,816
$
—
$1,176
256
$1,432
$
—
$ 307
69
$ 376
$
—
$ 9,412
5,231
$ 14,643
$ 1,569
$ 15,021
8,246
$ 23,267
$ 1,569
—
—
—
$
$ 142
—
—
—
11
—
—
—
2
4,090
233
$(2,754)
$
121
4,090
233
$(2,754)
$
276
$
$
$
$
(1)— “issue” represents the aggregate of financial guarantee policies that share the same revenue source for purposes of making debt service payments.
An
(2)—
contractual principal and interest payments due by the issuer of the obligations insured by MBIA Corp.
Represents
35
Total
The following table provides information about the financial guarantees and related claim liability included in each of MBIA Corp.’s
surveillance categories as of December 31, 2011:
$ in millions
Number of policies
Number of issues (1)
Remaining weighted average contract period (in years)
Gross insured contractual payments outstanding: (2)
Principal
Interest
Total
Gross claim liability
Less:
Gross potential recoveries
Discount, net
Net claim liability (recoverable)
Surveillance Categories
Caution
Classified
List
High
List
Caution
List
Low
Caution
List
Medium
46
28
8.0
26
16
5.5
14
11
6.0
200
130
9.6
286
185
8.7
$4,203
2,570
$6,773
$
—
$1,190
338
$1,528
$
—
$ 561
144
$ 705
$
—
$ 10,420
5,836
$ 16,256
$ 1,812
$ 16,374
8,888
$ 25,262
$ 1,812
—
—
—
$
$ 154
—
—
—
16
—
—
—
3
3,813
177
$(2,178)
$
134
3,813
177
$(2,178)
$
307
$
$
$
$
Total
(1)— “issue” represents the aggregate of financial guarantee policies that share the same revenue source for purposes of making debt service payments.
An
(2)—
contractual principal and interest payments due by the issuer of the obligations insured by MBIA Corp.
Represents
The gross claim liability as of December 31, 2012 and 2011 in the preceding tables represents MBIA Corp.’s estimate of undiscounted
probability-weighted future claim payments, which principally relate to insured first-lien and second-lien RMBS transactions and U.S. public
finance transactions. The gross potential recoveries represent MBIA Corp.’s estimate of undiscounted probability-weighted recoveries of
actual claim payments and recoveries of estimated future claim payments, and principally relate to insured second-lien RMBS
transactions. Both amounts reflect the elimination of claim liabilities and potential recoveries related to VIEs consolidated by MBIA Corp.
The following table presents the components of MBIA Corp.’s loss and LAE reserves and insurance loss recoverable as reported on MBIA
Corp.’s consolidated balance sheets as of December 31, 2012 and 2011 for insured obligations within MBIA Corp.’s “Classified List.” The
loss reserves (claim liability) and insurance claim loss recoverable included in the following table represent the present value of the
probability-weighted future claim payments and recoveries reported in the preceding tables.
As of December 31,
2012
2011
In millions
Loss reserves (claim liability)
LAE reserves
Loss and LAE reserves
Insurance claim loss recoverable
LAE insurance loss recoverable
Reinsurance recoverable on unpaid losses
Reinsurance recoverable on LAE reserves
Reinsurance recoverable on paid losses
36
$
786
60
$
846
$(3,610)
(38)
$(3,648)
$
152
6
1
$
159
$
781
55
$
836
$(3,032)
(14)
$(3,046)
$
174
3
1
$
178
As of December 31, 2012, loss and LAE reserves include $1.2 billion of reserves for expected future payments offset by expected
recoveries of such future payments of $320 million. As of December 31, 2011, loss and LAE reserves included $1.4 billion of reserves for
expected future payments offset by expected recoveries of such future payments of $562 million. As of December 31, 2012 and 2011, the
insurance loss recoverable principally related to estimated recoveries of payments made by MBIA Corp. resulting from ineligible mortgage
loans in certain insured second-lien residential mortgage loan securitizations that are subject to a contractual obligation by the
sellers/servicers to repurchase or replace the ineligible mortgage loans and expected future recoveries on second-lien RMBS transactions
resulting from expected excess spread generated by performing loans in such transactions. MBIA Corp. expects to be reimbursed for the
majority of its potential recoveries related to ineligible mortgage loans by the second half of 2013.
Total paid losses and LAE, net of reinsurance and collections, for the year ended December 31, 2012 was $502 million, including $421
million related to insured second-lien RMBS transactions. For the year ended December 31, 2012, the increase in insurance loss
recoverable related to paid losses totaled $602 million, and primarily related to insured second-lien RMBS transactions.
The following table presents MBIA Corp.’s second-lien RMBS exposure, gross undiscounted claim liability and potential recoveries for
amounts excluding consolidated VIEs and amounts related to consolidated VIEs, as of December 31, 2012. All insured transactions
reviewed with potential recoveries are included within the “Classified List.”
Second-lien RMBS Exposure
$ in billions
Outstanding
Gross
Gross
Principal
Interest
Issues
Excluding Consolidated VIEs:
Insured issues designated as “Classified List”
Insured issues reviewed with potential recoveries
Consolidated VIEs:
Insured issues designated as “Classified List”
Insured issues reviewed with potential recoveries
Gross Undiscounted
Claim
Potential
Liability
Recoveries
22
15
$
$
4.0
3.7
$
$
1.6
1.5
$
$
0.2
0.2
$
$
3.5
3.4
12
11
$
$
2.2
2.1
$
$
0.8
0.8
$
$
0.1
0.1
$
$
1.4
1.4
MBIA Corp. has performed reviews on 29 of the 34 total insured issues designated as “Classified List” and recorded potential recoveries
on 26 of those 29 issues, primarily related to four issuers (Countrywide, RFC, GMAC and Credit Suisse). In addition, MBIA Corp. has
received consideration on two transactions, including one Alt-A transaction, which have been excluded in the preceding table.
The following tables present changes in MBIA Corp.’s loss and LAE reserves for the years ended December 31, 2012 and 2011. Changes
in the loss and LAE reserves attributable to the accretion of the claim liability discount, changes in discount rates, changes in the timing
and amounts of estimated payments and recoveries, changes in assumptions and changes in LAE reserves are recorded in “Losses
(recoveries) and loss adjustment” expenses in MBIA Corp.’s consolidated statements of operations. As of December 31, 2012 and 2011,
the weighted average risk-free rate used to discount MBIA Corp.’s loss reserves (claim liability) was 1.38% and 1.53%, respectively. LAE
reserves are expected to be settled within a one-year period and are not discounted.
In millions
Gross Loss
and LAE
Reserves as of
December 31,
2011
$
Changes in Loss and LAE Reserves for the Year Ended December 31, 2012
Loss
Payments
for Cases
with
Reserves
836 $
(395)
Accretion
of
Claim
Liability
Discount
$
Changes
in
Discount
Rates
11 $
(26)
Changes
in
Timing of
Payments
$
Changes in
Amount
of Net
Payments
52 $
46 $
Changes in
Assumptions
316 $
Changes in
Unearned
Premium
Revenue
Gross Loss
and LAE
Reserves as of
December 31,
2012
Changes in
LAE
Reserves
1 $
5 $
846
The decrease in MBIA Corp.’s gross loss and LAE reserves reflected in the preceding table was primarily due to decreases in reserves
related to loss payments on insured first-lien and second-lien RMBS issues outstanding as of December 31, 2011.
37
These decreases were offset by increases in changes in assumptions on insured first-lien and second-lien RMBS issues, changes in
timing and amount of payments.
In millions
Gross Loss
and LAE
Reserves as of
December 31,
2010
$
1,129
Loss
Payments
for Cases
with
Reserves
$
(523)
Changes in Loss and LAE Reserves for the Year Ended December 31, 2011
Accretion
of
Changes
Changes
Changes in
Changes in
Claim
in
in
Amount
Unearned
Timing of
Liability
of Net
Premium
Discount
Changes in
Discount
Rates
Payments
Payments
Assumptions
Revenue
$
14
$
(20)
$
38
$
—
$
193
$
20
Changes in
LAE
Reserves
$
(15)
Gross Loss
and LAE
Reserves as
of December 31,
2011
$
836
The decrease in MBIA Corp.’s gross loss and LAE reserves reflected in the preceding table was primarily due to a decrease in reserves
related to loss payments on insured first-lien and second-lien RMBS issues. Offsetting these decreases were changes in assumptions due
to additional defaults and charge-offs of ineligible mortgage loans on insured second-lien RMBS issues outstanding as of December 31,
2010 and changes in the timing of payments.
Current period changes in MBIA Corp.’s estimate of potential recoveries may be recorded as an insurance loss recoverable asset, netted
against the gross loss and LAE reserve liability, or both. The following tables present changes in MBIA Corp.’s insurance loss recoverable
and changes in recoveries on unpaid losses reported within MBIA Corp.’s claim liability for the years ended December 31, 2012 and 2011.
Changes in insurance loss recoverable attributable to the accretion of the discount on the recoverable, changes in discount rates, changes
in the timing and amounts of estimated collections, changes in assumptions and changes in LAE recoveries are recorded in “Losses
(recoveries) and loss adjustment” expenses in MBIA Corp.’s consolidated statements of operations.
Gross
Reserve as of
December 31,
In millions
Recoveries on unpaid losses
Total
$
$
2011
3,046
562
3,608
Changes in Insurance Loss Recoverable and Recoveries on Unpaid Losses
for the Year Ended December 31, 2012
Collections
Changes in
Changes in
Changes in
Changes
in
Accretion of
Amount of
for Cases
with
Discount
Timing of
LAE
Changes in
Recoveries Recoveries
Rates
Collections Collections Assumptions Recoveries
$
(13) $
32 $
4 $
— $
(145) $
700 $
24
—
7
13
—
—
(251)
(11)
— $
(145) $
$
(13) $
39 $
17 $
449 $
13
Gross
Reserve as of
December 31,
$
$
2012
3,648
320
3,968
MBIA Corp.’s insurance loss recoverable increased during 2012 primarily due to changes in assumptions associated with issues
outstanding as of December 31, 2011, which related to increases in excess spread and ineligible mortgage loans included in insured
second-lien residential mortgage securitization exposures that are subject to contractual obligations by sellers/servicers to repurchase or
replace such mortgages, partially offset by changes in the amount of collections. Recoveries on unpaid losses decreased primarily due to
changes in assumptions as a result of a reduction of excess spread related to first-lien and second-lien RMBS transactions offset by
changes in discount rates.
Changes in Insurance Loss Recoverable and Recoveries on Unpaid Losses
for the Year Ended December 31, 2011
Gross
Reserve as of
December 31,
In millions
Recoveries on unpaid losses
Total
$
$
2010
2,531
896
3,427
Gross
Reserve as of
Collections
for Cases
with
Recoveries
$
(101)
—
$
(101)
Changes in
Changes in
Changes in
Discount
Rates
$
49
68
$
117
Timing of
Collections
—
$
—
$
—
Amount of
Collections
(227)
$
—
$
(227)
Changes in
Accretion of
Recoveries
$
57
16
$
73
December 31,
Changes in
Assumptions
$
723
(416)
$
307
LAE
Recoveries
$
14
(2)
$
12
$
$
2011
3,046
562
3,608
MBIA Corp.’s insurance loss recoverable increased during 2011 primarily due to changes in assumptions associated with estimates of
potential recoveries on issues outstanding as of December 31, 2010 and related to ineligible mortgage loans included in insured secondlien residential mortgage securitization exposures that are subject to contractual obligations by sellers/servicers to repurchase or replace
such mortgages, partially offset by changes in the amount of collections.
38
Recoveries on unpaid losses decreased primarily due to changes in assumptions as a result of reduced expectations of future claim
payments on U.S. public finance transactions, which resulted in a corresponding reduction in future expected recoveries. In addition, a
reduction of excess spread related to first-lien and second-lien RMBS transactions reported in recoveries on unpaid losses was offset by
an increase in excess spread on paid losses reported in insurance loss recoverable.
The following table presents MBIA Corp.’s total estimated recoveries from ineligible mortgage loans included in certain insured second-lien
mortgage loan securitizations as of December 31, 2012. The total estimated recoveries from ineligible mortgage loans of $3.6 billion
include $2.5 billion recorded as “Insurance loss recoverable” and $1.1 billion recorded as “Loan repurchase commitments” presented
under the heading “Assets of consolidated variable interest entities” on MBIA Corp.’s consolidated balance sheets.
In millions
Total Estimated
Recoveries from
Ineligible Mortgage
Loans as of
December 31, 2011
$
3,119
Accretion
of Future
Collections
$
Changes in
Discount
Rates
36
$
Changes in
Amount of
Collections
Recoveries
(Collections)
2
—
$
Changes in
Assumptions
—
$
Total Estimated
Recoveries from
Ineligible Mortgage
Loans as of
December 31, 2012
$
426
$
3,583
MBIA Corp.’s total estimated recoveries from ineligible mortgage loans in the preceding table increased primarily as a result of the
probability-weighted scenarios as described within the preceding “Second-lien RMBS Recoveries” section.
The following table presents MBIA Corp.’s total estimated recoveries from ineligible mortgage loans included in certain insured second-lien
mortgage loan securitizations as of December 31, 2011. The total estimated recoveries from ineligible mortgage loans of $3.1 billion
include $2.0 billion recorded as “Insurance loss recoverable” and $1.1 billion recorded as “Loan repurchase commitments” presented
under the heading “Assets of consolidated variable interest entities” on MBIA Corp.’s consolidated balance sheets.
In millions
Total Estimated
Recoveries from
Ineligible Mortgage
Loans as of
December 31, 2010
$
2,517
Accretion
of Future
Collections
$
65
Changes in
Discount Rates
$
35
Changes in
Amount of
Collections
Recoveries
(Collections)
$
(86)
$
29
Total Estimated
Recoveries from
Ineligible Mortgage
Loans as of
December 31, 2011
Changes in
Assumptions
$
559
$
3,119
MBIA Corp.’s total estimated recoveries from ineligible mortgage loans in the preceding table increased primarily as a result of the
probability-weighted scenarios as described within the preceding “Second-lien RMBS Recoveries” section.
Remediation actions may involve, among other things, waivers or renegotiations of financial covenants or triggers, waivers of contractual
provisions, the granting of consents, transfer of servicing, consideration of restructuring plans, acceleration, security or collateral
enforcement, actions in bankruptcy or receivership, litigation and similar actions. The types of remedial actions pursued are based on the
insured obligation’s risk type and the nature and scope of the event giving rise to the remediation. As part of any such remedial actions,
MBIA Corp. seeks to improve its security position and to obtain concessions from the issuer of the insured obligation. From time to time,
the issuer of an MBIA Corp.-insured obligation may, with the consent of MBIA Corp., restructure the insured obligation by extending the
term, increasing or decreasing the par amount or decreasing the related interest rate, with MBIA Corp. insuring the restructured obligation.
39
Costs associated with remediating insured obligations assigned to MBIA Corp.’s “Caution List—Low,” “Caution List—Medium,” “Caution
List—High” and “Classified List” are recorded as LAE. LAE is primarily recorded as part of MBIA Corp.’s provision for its loss reserves and
included in “Losses (recoveries) and loss adjustment” on MBIA Corp.’s consolidated statements of operations. The following table
presents the gross expenses related to remedial actions for insured obligations:
2012
2011
2010
In millions
Loss adjustment expense incurred, gross
$ 131
$ 120
$ 91
Note 7: Fair Value of Financial Instruments
Fair Value Measurement
Fair value is a market-based measure considered from the perspective of a market participant. Therefore, even when market assumptions
are not readily available, MBIA Corp.’s own assumptions are set to reflect those which it believes market participants would use in pricing
an asset or liability at the measurement date. The fair value measurements of financial instruments held or issued by MBIA Corp. are
determined through the use of observable market data when available. Market data is obtained from a variety of third-party sources,
including dealer quotes. If dealer quotes are not available for an instrument that is infrequently traded, MBIA Corp. uses alternate valuation
methods, including either dealer quotes for similar instruments or modeling using market data inputs. The use of alternate valuation
methods generally requires considerable judgment in the application of estimates and assumptions, and changes to such estimates and
assumptions may produce materially different fair values.
The accounting guidance for fair value measurement establishes a hierarchy for inputs used in measuring fair value that maximizes the
use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when
available and reliable. Observable inputs are those that MBIA Corp. believes that market participants would use in pricing an asset or
liability based on available market data. Unobservable inputs are those that reflect MBIA Corp.’s beliefs about the assumptions market
participants would use in pricing an asset or liability based on the best information available. The fair value hierarchy is broken down into
three levels based on the observability and reliability of inputs, as follows:
•
Level 1—Valuations based on quoted prices in active markets for identical assets or liabilities that MBIA Corp. can access.
Since valuations are based on quoted prices that are readily and regularly available in an active market, valuation of these
products does not entail any degree of judgment.
•
Level 2—Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable,
either directly or indirectly. Level 2 assets include debt securities with quoted prices that are traded less frequently than
exchange-traded instruments, securities which are priced using observable inputs and derivative contracts whose values are
determined using a pricing model with inputs that are observable in the market or can be derived principally from or
corroborated by observable market data.
•
Level 3—Valuations based on inputs that are unobservable and supported by little or no market activity and that are significant
to the overall fair value measurement. Level 3 assets and liabilities include financial instruments whose value is determined
using pricing models, discounted cash flow methodologies, or similar techniques where significant inputs are unobservable, as
well as instruments for which the determination of fair value requires significant management judgment or estimation.
The availability of observable inputs can vary from product to product and period to period and is affected by a wide variety of factors,
including, for example, the type of product, whether the product is new and not yet established in the marketplace, and other
characteristics particular to the product. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value
hierarchy. In such cases, MBIA Corp. assigns the level in the fair value hierarchy for which the fair value measurement in its entirety falls,
based on the least observable input that is significant to the fair value measurement.
40
Note 7: Fair Value of Financial Instruments (continued)
1. Financial Assets (excluding derivative assets)
Financial assets, excluding derivative assets, held by MBIA Corp. primarily consist of investments in debt securities. Substantially all of
MBIA Corp.’s investments are priced by independent third parties, including pricing services and brokers. Typically MBIA Corp. receives
one pricing service value or broker quote for each instrument, which represents a non-binding indication of value. MBIA Corp. reviews the
assumptions, inputs and methodologies used by pricing services to obtain reasonable assurance that the prices used in its valuations
reflect fair value. When MBIA Corp. believes a third-party quotation differs significantly from its internally developed expectation of fair
value, whether higher or lower, MBIA Corp. reviews its data or assumptions with the provider. This review includes comparing significant
assumptions such as prepayment speeds, default ratios, forward yield curves, credit spreads and other significant quantitative inputs to
internal assumptions, and working with the price provider to reconcile the differences. The price provider may subsequently provide an
updated price. In the event that the price provider does not update their price, and MBIA Corp. still does not agree with the price provided,
MBIA Corp. will try to obtain a price from another third-party provider, such as a broker, or use an internally developed price which it
believes represents the fair value of the investment. The fair values of investments for which internal prices were used were not significant
to the aggregate fair value of MBIA Corp.’s investment portfolio as of December 31, 2012 or 2011. All challenges to third-party prices are
reviewed by staff of MBIA Corp. with relevant expertise to ensure reasonableness of assumptions.
In addition to challenging pricing assumptions, MBIA Corp. obtains reports from the independent accountants for significant third-party
pricing services attesting to the effectiveness of the controls over data provided to MBIA Corp. These reports are obtained annually and
are reviewed by MBIA Corp. to ensure key controls are applied by the pricing services, and that appropriate user controls are in place at
the third-party pricing services organization to ensure proper measurement of the fair values of its investments. In the event that any
controls in these reports are deemed ineffective by independent accountants, MBIA Corp. will take the necessary actions to ensure that
internal user controls are in place to mitigate the control risks. No deficiencies were noted for significant third-party pricing services used.
2. Derivative Assets and Liabilities
MBIA Corp.’s derivative liabilities are primarily insured credit derivatives that reference structured pools of cash securities and CDSs.
MBIA Corp. generally insured the most senior liabilities of such transactions, and at the inception of transactions its exposure generally
had more subordination than needed to achieve triple-A ratings from credit rating agencies. The types of collateral underlying its insured
derivatives consist of cash securities and CDSs referencing primarily corporate, asset-backed, residential mortgage-backed, commercial
mortgage-backed, CRE loans, and CDO securities.
MBIA Corp.’s insured credit derivative contracts are non-traded structured credit derivative transactions. Since insured derivatives are
highly customized and there is generally no observable market for these derivatives, MBIA Corp. estimates their fair values in a
hypothetical market based on internal and third-party models simulating what a similar company would charge to assume MBIA Corp.’s
position in the transaction at the measurement date. This pricing would be based on the expected loss of the exposure. MBIA Corp.
reviews its valuation model results on a quarterly basis to assess the appropriateness of the assumptions and results in light of current
market activity and conditions. This review is performed by internal staff with relevant expertise. If live market spreads or securities prices
are observable for similar transactions, those spreads are an integral part of the analysis. New insured transactions that resemble existing
(previously insured) transactions, if any, would be considered, as well as negotiated settlements of existing transactions.
MBIA Corp. may from time to time make changes in its valuation techniques if the change results in a measurement that it believes is
equally or more representative of fair value under current circumstances.
41
3. Internal Review Process
All significant financial assets and liabilities, including derivative assets and liabilities, are reviewed by committees created by MBIA Corp.
to ensure compliance with MBIA Corp. policies and risk procedures in the development of fair values of financial assets and liabilities.
These valuation committees review, among other things, key assumptions used for internally developed prices, significant changes in
sources and uses of inputs, including changes in model approaches, and any adjustments from third-party inputs or prices to internally
developed inputs or prices. The committees also review any significant impairment or improvements in fair values of the financial
instruments from prior periods. From time to time, these committees will reach out to MBIA Corp. valuation experts to better understand
key methods and assumptions used for the determination of fair value, including understanding significant changes in fair values. These
committees are comprised of senior finance team members with the relevant experience in the financial instruments their committee is
responsible for. Each quarter, these committees document their agreement with the fair values developed by management of MBIA Corp.
as reported in the quarterly and annual financial statements.
Valuation Techniques
Valuation techniques for financial instruments measured at fair value and included in the tables that follow are described below.
Fixed-Maturity Securities (including short-term investments) Held as Available-For-Sale, Investments (including fixed-maturity securities)
Carried at Fair Value, Other Investments, and Investments Held-to-Maturity, at Amortized Cost.
Fixed-maturity securities (including short-term investments) held as available-for-sale, investments carried at fair value, other investments,
and investments held-to-maturity, at amortized cost include investments in U.S. Treasury and government agencies, foreign governments,
corporate obligations, mortgage-backed and asset-backed securities (including CMBS and CDOs), state and municipal bonds, equity
securities (including perpetual preferred securities and money market mutual funds), and loans receivable with an affiliate.
These investments are generally valued based on recently executed transaction prices or quoted market prices. When quoted market
prices are not available, fair value is generally determined using quoted prices of similar investments or a valuation model based on
observable and unobservable inputs. Inputs vary depending on the type of investment. Observable inputs include contractual cash flows,
interest rate yield curves, CDS spreads, prepayment and volatility scores, diversity scores, cross-currency basis index spreads, and credit
spreads for structures similar to the financial instrument in terms of issuer, maturity and seniority. Unobservable inputs include cash flow
projections and the value of any credit enhancement.
The fair value of the HTM investments is determined using discounted cash flow models. Key inputs include unobservable cash flows
projected over the expected term of the investment discounted using observable interest rate yield curves of similar securities.
Investments based on quoted market prices of identical investments in active markets are classified as Level 1 of the fair value hierarchy.
Level 1 investments generally consist of U.S. Treasury and foreign government and agency investments. Quoted market prices of
investments in less active markets, as well as investments which are valued based on other than quoted prices for which the inputs are
observable, such as interest rate yield curves, are categorized in Level 2 of the fair value hierarchy. Investments that contain significant
inputs that are not observable are categorized as Level 3.
Cash and Cash Equivalents, Receivable for Investments Sold, Accrued Investment Income and Payable for Investments Purchased
The carrying amounts of cash and cash equivalents, receivable for investments sold, accrued investment income and payable for
investments purchased approximate fair values due to the short-term nature and credit worthiness of these instruments.
42
Secured Loan to Parent
The fair value of the secured loan to Parent as of December 31, 2011 was determined based on the underlying securities pledged as
collateral. The underlying securities were generally corporate bonds. The fair value of these corporate bonds was obtained using recently
executed transactions or market price quotations where observable. When observable price quotations were not available, fair value was
determined based on cash flow models with yield curves, bond or single name CDS spreads and diversity scores as key inputs. The
secured loan was paid off in 2012.
Loans Receivable at Fair Value
Loans receivable at fair value are comprised of loans held by consolidated VIEs consisting of residential mortgage loans, commercial
mortgage loans and other whole business loans. Fair values of residential mortgage loans are determined using quoted prices for MBS
with similar characteristics and adjustments for the fair values of the financial guarantees provided by MBIA Corp. on the related MBS. Fair
values of commercial mortgage loans and other whole business loans are valued based on quoted prices of similar collateralized MBS.
Loans receivable at fair value are categorized in Level 3 of the fair value hierarchy.
Loan Repurchase Commitments
Loan repurchase commitments are obligations owed by the sellers/servicers of mortgage loans to either MBIA Corp. as reimbursement of
paid claims or to the RMBS trusts as defined in the transaction documents. Loan repurchase commitments are assets of the consolidated
VIEs. This asset represents the rights of MBIA Corp. against the sellers/servicers for breaches of representations and warranties that the
securitized residential mortgage loans sold to the trust to comply with stated underwriting guidelines and for the sellers/servicers to cure,
replace, or repurchase mortgage loans. Fair value measurements of loan repurchase commitments represent the amounts owed by the
sellers/servicers to either MBIA Corp. as reimbursement of paid claims or to the RMBS trusts as defined in the transaction documents.
Loan repurchase commitments are not securities and no quoted prices or comparable market transaction information are observable or
available. Loan repurchase commitments at fair value are categorized in Level 3 of the fair value hierarchy. Fair values of loan repurchase
commitments are determined using discounted cash flow techniques based on inputs including:
•
breach rates representing the rate at which the sellers/servicers failed to comply with stated representations and warranties;
•
recovery rates representing the estimates of future cash flows for the asset, including estimates about possible variations in the
amount of cash flows expected to be collected;
•
expectations about possible variations in the timing of collections of the cash flows; and
•
time value of money, represented by the rate on risk-free monetary assets.
Variable Interest Entity Notes
The fair values of VIE notes are determined based on recently executed transaction prices or quoted prices where observable. When
position-specific quoted prices are not observable, fair values are based on quoted prices of similar securities. Fair values based on
quoted prices of similar securities may be adjusted for factors unique to the securities, including any credit enhancement. When
observable quoted prices are not available, fair value is determined based on discounted cash flow techniques of the underlying collateral
using observable and unobservable inputs. Observable inputs include interest rate yield curves and bond spreads of similar securities.
Unobservable inputs include the value of any credit enhancement. VIE notes are categorized in Level 2 or Level 3 of the fair value
hierarchy based on the lowest level input that is significant to the fair value measurement in its entirety.
Long-term Debt
Long-term debt consists of surplus notes and a secured loan from an affiliate. The fair value of the surplus notes is estimated based on
quoted market prices for identical or similar securities.
43
The fair value of the secured loan is determined as the net present value of expected cash flows from the loan. The discount rate is the
yield to maturity of a comparable corporate bond index. Long-term debt is categorized as Level 2 of the fair value hierarchy.
Insured Credit Derivatives
MBIA Corp. derivative contracts primarily consist of insured credit derivatives which cannot be legally traded and generally do not have
observable market prices. MBIA Corp. determines the fair values of insured credit derivatives using valuation models. The fair valuation
models are consistently applied from period to period, with refinements to the fair value estimation approach being applied as and when
the information becomes available. Negotiated settlements are also considered when determining fair value to provide the best estimate of
how another market participant would evaluate fair value.
Approximately 82% of the balance sheet fair value of insured credit derivatives as of December 31, 2012 was valued primarily based on
the Binomial Expansion Technique (“BET”) Model. Approximately 18% of the balance sheet fair value of insured credit derivatives as of
December 31, 2012 was valued primarily based on the internally developed Direct Price Model. An immaterial amount of insured credit
derivatives were valued using the dual-default model. The valuation of insured derivatives includes the impact of its own credit standing.
All of these derivatives are categorized as Level 3 of the fair value hierarchy as their fair value is derived using significant unobservable
inputs.
A. Description of the BET Model
1. Valuation Model Overview
The BET Model estimates what a bond insurer would charge to guarantee a transaction at the measurement date, based on the marketimplied default risk of the underlying collateral and the remaining structural protection in a deductible or subordination.
Inputs to the process of determining fair value for structured transactions using the BET Model include estimates of collateral loss,
allocation of loss to separate tranches of the capital structure and calculation of the change in value.
•
Estimates of aggregated collateral losses are calculated by reference to the following (described in further detail under “BET
Model Inputs” below):
•
credit spreads of underlying collateral based on actual spreads or spreads on similar collateral with similar ratings, or in
some cases, are benchmarked; for collateral pools where the spread distribution is characterized by extremes, MBIA
Corp. models each segment of the pool separately instead of using an overall pool average;
•
diversity score of the collateral pool as an indication of correlation of collateral defaults; and
•
recovery rate for all defaulted collateral.
•
Allocation of losses to separate tranches of the capital structure according to priority of payments in a transaction.
•
The inception-to-date unrealized gain or loss on a transaction is the difference between the original price of the risk (the original
market-implied expected loss) and the current price of the risk based on the assumed market-implied expected losses derived
from the model.
Additional structural assumptions of the BET Model are:
•
Default probabilities are determined by three factors: credit spread, recovery rate after default and the time period under risk.
•
Frequencies of defaults are modeled evenly over time.
44
•
Collateral assets are generally considered on an average basis rather than being modeled on an individual basis.
•
Collateral asset correlation is modeled using a diversity score, which is calculated based on industry or sector concentrations.
Recovery rates are based on historical averages and updated based on market evidence.
2. Model Strengths and Weaknesses
The primary strengths of the BET model are:
•
The model takes account of transaction structure and key drivers of fair value. Transaction structure includes par insured,
weighted average life, level of deductible or subordination (if any) and composition of collateral.
•
The model is a consistent approach to marking positions that minimizes the level of subjectivity. MBIA Corp. has also
developed a hierarchy for usage of various market-based spread inputs that reduces the level of subjectivity, especially during
periods of high illiquidity.
•
The model uses market-based inputs including credit spreads for underlying reference collateral, recovery rates specific to the
type and credit rating of referenced collateral, diversity score of the entire collateral pool, MBIA Corp.’s CDS and derivative
recovery rate level.
The primary weaknesses of the BET Model are:
•
As of December 31, 2012, some of the model inputs were either unobservable or derived from illiquid markets which might
adversely impact the model’s reliability.
•
The BET Model requires an input for collateral spreads. However, some securities are quoted only in price terms. For securities
that trade substantially below par, the calculation of spreads from price to spread can be subjective.
•
Results may be affected by using average spreads and a single diversity factor, rather than using specific spreads for each
piece of underlying collateral and collateral-specific correlations.
3. BET Model Inputs
a. Credit spreads
The average spread of collateral is a key input as MBIA Corp. assumes credit spreads reflect the market’s assessment of default
probability for each piece of collateral. Spreads are obtained from market data sources published by third parties (e.g., dealer spread
tables for assets most closely resembling collateral within MBIA Corp.’s transactions) as well as collateral-specific spreads on the
underlying reference obligations provided by trustees or market sources. Also, when these sources are not available, MBIA Corp.
benchmarks spreads for collateral against market spreads or prices. This data is reviewed on an ongoing basis for reasonableness and
applicability to MBIA Corp.’s derivative portfolio. MBIA Corp. also calculates spreads based on quoted prices and on internal assumptions
about expected life when pricing information is available and spread information is not.
MBIA Corp. uses the spread hierarchy listed below in determining which source of spread information to use, with the rule being to use
CDS spreads where available and cash security spreads as the next alternative.
Spread Hierarchy:
•
Collateral-specific credit spreads when observable.
•
Sector-specific spread tables by asset class and rating.
•
Corporate spreads, including Bloomberg spread tables based on rating.
•
Benchmark from most relevant market source when corporate spreads are not directly relevant.
45
There were some transactions where MBIA Corp. incorporated multiple levels within the hierarchy, including using actual collateral-specific
credit spreads in combination with a calculated spread based on an assumed relationship. In those cases, MBIA Corp. classified the
transaction as being benchmarked from the most relevant spread source even though the majority of the average spread was from actual
collateral-specific spreads. As of December 31, 2012, sector-specific spreads were used in 9% of the transactions valued using the BET
Model. Corporate spreads were used in 46% of the transactions and spreads benchmarked from the most relevant spread source were
used for 45% of the transactions. The spread source can also be identified by whether or not it is based on collateral weighted average
rating factor (“WARF”). No collateral-specific spreads are based on WARF, sector-specific and corporate spreads are based on WARF,
and some benchmarked spreads are based on WARF. WARF-sourced and/or ratings-sourced credit spreads were used for 79% of the
transactions.
Over time, the data inputs change as new sources become available, existing sources are discontinued or are no longer considered to be
reliable or the most appropriate. It is always MBIA Corp.’s objective to use more observable spread hierarchies defined above. However,
MBIA Corp. may on occasion move to less observable spread inputs due to the discontinuation of data sources or due to MBIA Corp.
considering certain spread inputs no longer representative of market spreads.
b. Diversity scores
Diversity scores are a means of estimating the diversification in a portfolio. The diversity score estimates the number of uncorrelated
assets that are assumed to have the same loss distribution as the actual portfolio of correlated assets. While diversity score is a required
input into the BET model, due to current high levels of default within the collateral of the structures, diversity score does not have a
significant impact on valuation.
c. Recovery rate
The recovery rate represents the percentage of par expected to be recovered after an asset defaults, indicating the severity of a potential
loss. MBIA Corp. generally uses rating agency recovery assumptions which may be adjusted to account for differences between the
characteristics and performance of the collateral used by the rating agencies and the actual collateral in MBIA Corp.-insured transactions.
MBIA Corp. may also adjust rating agency assumptions based on the performance of the collateral manager and on empirical market data.
d. Nonperformance risk
MBIA Corp.’s valuation methodology for insured credit derivative liabilities incorporates MBIA Corp.’s own nonperformance risk. MBIA
Corp. calculates the fair value by discounting the market value loss estimated through the BET Model at discount rates which include
MBIA Corp.’s CDS spreads as of December 31, 2012. The CDS spreads assigned to each deal are based on the weighted average life of
the deal. MBIA Corp. limits the nonperformance impact so that the derivative liability could not be lower than MBIA Corp.’s recovery
derivative price multiplied by the unadjusted derivative liability.
B. Description of Direct Price Model
1. Valuation Model Overview
The Direct Price Model uses quoted market prices of financial assets correlated to the underlying collateral of the pool of assets backing
the liabilities guaranteed by certain insured derivative liabilities. These quoted market prices are adjusted to reflect the unique
characteristics of the liabilities of the entities backed by the correlated assets and unique terms of the insured derivative contracts.
46
2. Model Strengths and Weaknesses
The primary strengths of the Direct Price Model are:
•
The model takes account of transaction structure and key drivers of market value. The transaction structure includes par
insured, legal final maturity, level of deductible or subordination (if any) and composition of collateral.
•
The model is a consistent approach to marking positions that minimizes the level of subjectivity. Model structure, inputs and
operation are well documented by MBIA Corp.’s internal controls, creating a strong controls process in execution of the model.
•
The model uses market inputs for each transaction with the most relevant being market prices for collateral, MBIA Corp.’s CDS
and derivative recovery rate level and interest rates. Most of the market inputs are observable.
The primary weaknesses of the Direct Price Model are:
•
There is no market in which to test and verify the fair values generated by MBIA Corp.’s model.
•
The model does not take into account potential future volatility of collateral prices. When the market value of collateral is
substantially lower than insured par and there is no or little subordination left in a transaction, which is the case for most of the
transactions marked with this model, MBIA Corp. believes this assumption still allows a reasonable estimate of fair value.
3. Model Inputs
•
Collateral prices
Fair value of collateral is based on quoted prices when available. When quoted prices are not available, a matrix pricing grid is
used based on security type and rating to determine fair value of collateral, which applies an average based on securities with
the same rating and security type categories.
•
Interest rates
The present value of the market-implied potential losses was calculated assuming that MBIA Corp. deferred all principal losses
to the legal final maturity. This was done through a cash flow model that calculated potential interest payments in each period
and the potential principal loss at the legal final maturity. These cash flows were discounted using the LIBOR flat swap curve.
•
Nonperformance risk
The methodology for calculating MBIA Corp.’s nonperformance risk is the same as used for the BET Model. Due to the current
level of MBIA Corp. CDS spread rates and the long tenure of these transactions, the derivative recovery rate was used to
estimate nonperformance risk for all transactions marked by this model.
Overall Model Results
As of December 31, 2012 and 2011, MBIA Corp.’s net insured derivative liability was $2.9 billion and $4.8 billion, respectively, and was
primarily related to the fair values of insured credit derivatives based on the results of the aforementioned pricing models. In the current
environment the most significant driver of changes in fair value is nonperformance risk. In aggregate, the nonperformance calculation
resulted in a pre-tax net insured derivative liability that was $4.4 billion and $5.7 billion lower than the net liability that would have been
estimated if MBIA Corp. excluded nonperformance risk in its valuation as of December 31, 2012 and 2011, respectively. Nonperformance
risk is a fair value concept and does not contradict MBIA Corp.’s internal view, based on fundamental credit analysis of MBIA Corp.’s
economic condition, that MBIA Corp. will be able to pay all claims when due.
47
Accrued Interest Expense
The fair value of the accrued interest expense on the 14% surplus notes due 2033 is determined based on the scheduled interest
payments discounted by the market’s perception of the credit risk related to the repayment of the surplus notes. The credit risk related to
the repayment of the surplus notes is based on recent trades of the surplus notes. The deferred interest payment will be due on the first
business day on or after which MBIA Corp. obtains approval to make such payment.
The carrying amounts of accrued interest expense on all other long-term debt approximate fair value due to the short-term nature of these
instruments.
Financial Guarantees
Gross Financial Guarantees —The fair value of gross financial guarantees is determined using discounted cash flow techniques based on
inputs that include (i) assumptions of expected losses on financial guarantee policies where loss reserves have not been recognized,
(ii) amount of losses expected on financial guarantee policies where loss reserves have been established, net of expected recoveries,
(iii) the cost of capital reserves required to support the financial guarantee liability, (iv) operating expenses, and (v) discount rates. MBIA
Corp.’s CDS spread and recovery rate are used as its discount rate.
The carrying value of MBIA Corp.’s gross financial guarantees consists of unearned premium revenue and loss and LAE reserves, net of
the insurance loss recoverable as reported on MBIA Corp.’s consolidated balance sheets.
Ceded Financial Guarantees —The fair value of ceded financial guarantees is determined by applying the percentage ceded to reinsurers
to the related fair value of the gross financial guarantees. The carrying value of ceded financial guarantees consists of prepaid reinsurance
premiums and reinsurance recoverable on paid and unpaid losses as reported on MBIA Corp.’s consolidated balance sheets.
48
Significant Unobservable Inputs
The following table provides quantitative information regarding the significant unobservable inputs used by MBIA Corp. for assets and
liabilities measured at fair value on a recurring basis as of December 31, 2012. This table excludes inputs used to measure fair value that
are not developed by MBIA Corp., such as broker prices and other third-party pricing service valuations.
In millions
Assets of consolidated VIEs:
Loans receivable at fair value
Fair Value
as of
December 31,
2012
$
Liabilities of consolidated VIEs:
Variable interest entity notes
Credit derivative liabilities, net:
CMBS
Multi-sector CDO
Other
Valuation Techniques
Unobservable Input
Impact of financial
1,881 Quoted market prices adjusted
for financial guarantees provided guarantee
to VIE obligations
Recovery rates
1,086 Discounted cash flow
Breach rates
1,948 Quoted market prices of VIE
assets adjusted for financial
guarantees provided
Impact of financial
guarantee
1,590 BET Model
Recovery rates
Nonperformance risk
Weighted average life
(in years)
CMBS spreads
Nonperformance risk
Recovery rates
Nonperformance risk
Weighted average life
(in years)
525 Direct Price Model
806 BET Model
Range
(Weighted
Average)
0% - 14% (3%)
10% - 75% (47%)
66% - 94% (78%)
0% - 23% (6%)
21% - 90% (51%)
19% - 59% (58%)
0.1 - 5.6 (4.4)
1% - 23% (13%)
59% - 59% (59%)
42% - 75% (47%)
42% - 59% (58%)
0.1 - 19.6 (3.0)
Sensitivity of Significant Unobservable Inputs
The significant unobservable input used in the fair value measurement of MBIA Corp.’s loans receivable at fair value of consolidated VIEs
is the impact of the financial guarantee. The fair value of loans receivable is calculated by subtracting the value of the financial guarantee
from the market value of VIE liabilities. The value of a financial guarantee is estimated by MBIA Corp. as the present value of expected
cash payments under the policy. As expected cash payments provided by MBIA Corp. under the insurance policy increase, there is a
lower expected cash flow on the underlying loans receivable of the VIE. This results in a lower fair value of the loans receivable in relation
to the obligations of the VIE.
The significant unobservable inputs used in the fair value measurement of MBIA Corp.’s loan repurchase commitments of consolidated
VIEs are the recovery rates and the breach rates.
49
Recovery rates reflect the estimates of future cash flows reduced for litigation delays and risks and/or potential financial distress of the
sellers/servicers. The estimated recoveries of the loan repurchase commitments may differ from the actual recoveries that may be
received in the future. Breach rates represent the rate at which the mortgages fail to comply with stated representations and warranties of
the sellers/servicers. Significant increases or decreases in the recovery rates and the breach rates would result in significantly higher or
lower fair values of the loan repurchase commitments, respectively. Additionally, changes in the legal environment and the ability of the
counterparties to pay would impact the recovery rate assumptions, which could significantly impact the fair value measurement. Any
significant challenges by the counterparties to MBIA Corp.’s determination of breaches of representations and warranties could
significantly adversely impact the fair value measurement. Recovery rates and breach rates are determined independently. Changes in
one input will not necessarily have any impact on the other input.
The significant unobservable input used in the fair value measurement of MBIA Corp.’s variable interest entity notes of consolidated VIEs
is the impact of the financial guarantee. The fair value of VIE notes is calculated by adding the value of the financial guarantee to the
market value of VIE assets. The value of a financial guarantee is estimated by MBIA Corp. as the present value of expected cash
payments under the policy. As the value of the guarantee provided by MBIA Corp. to the obligations issued by the VIE increases, the
credit support adds value to the liabilities of the VIE. This results in an increase in the fair value of the liabilities of the VIE.
The significant unobservable inputs used in the fair value measurement of MBIA Corp.’s CMBS credit derivatives, which are valued using
the BET Model, are CMBS spreads, recovery rates, nonperformance risk and weighted average life. The CMBS spread is an indicator of
credit risk of the collateral securities. The recovery rate represents the percentage of notional expected to be recovered after an asset
defaults, indicating the severity of a potential loss. The nonperformance risk is an assumption of MBIA Corp.’s own ability to pay and
whether MBIA Corp. will have the necessary resources to pay the obligations as they come due. Weighted average life is based on MBIA
Corp.’s estimate of when the principal of the underlying collateral of the CMBS structure will be repaid. A significant increase or decrease
in CMBS spreads or weighted average life would result in an increase or decrease in the fair value of the derivative liabilities, respectively.
Any significant increase or decrease in recovery rates or MBIA Corp.’s nonperformance risk would result in a decrease or increase in the
fair value of the derivative liabilities, respectively. CMBS spreads, recovery rates, nonperformance risk and weighted average lives are
determined independently. Changes in one input will not necessarily have any impact on the other inputs.
The significant unobservable input used in the fair value measurement of MBIA Corp.’s multi-sector CDO credit derivatives, which are
valued using the Direct Price Model, is nonperformance risk. The nonperformance risk is an assumption of MBIA Corp.’s own ability to pay
and whether MBIA Corp. will have the necessary resources to pay the obligations as they come due. Any significant increase or decrease
in MBIA Corp.’s nonperformance risk would result in a decrease or increase in the fair value of the derivative liabilities, respectively.
The significant unobservable inputs used in the fair value measurement of MBIA Corp.’s other credit derivatives, which are valued using
the BET Model, are recovery rates, nonperformance risk and weighted average life. The recovery rate represents the percentage of
notional expected to be recovered after an asset defaults, indicating the severity of a potential loss. The nonperformance risk is an
assumption of MBIA Corp.’s own ability to pay and whether MBIA Corp. will have the necessary resources to pay the obligations as they
come due. Weighted average life is based on MBIA Corp.’s estimate of when the principal of the underlying collateral will be repaid. Any
significant increase or decrease in weighted average life would result in an increase or decrease in the fair value of the derivative liabilities,
respectively. Any significant increase or decrease in recovery rates or MBIA Corp.’s nonperformance risk would result in a decrease or
increase in the fair value of the derivative liabilities, respectively. Recovery rates, nonperformance risk and weighted average lives are
determined independently. Changes in one input will not necessarily have any impact on the other inputs.
50
The following tables present the fair value of MBIA Corp.’s assets (including short-term investments) and liabilities measured and reported
at fair value on a recurring basis as of December 31, 2012 and 2011:
In millions
Assets:
Fixed-maturity investments:
U.S. Treasury and government agency
State and municipal bonds
Foreign governments
Corporate obligations
Mortgage-backed securities:
Residential mortgage-backed agency
Residential mortgage-backed non-agency
Asset-backed securities:
Other asset-backed
Total fixed-maturity investments
Money market securities
Equity securities
Derivative assets:
Credit derivatives
Total derivative assets
Fair Value Measurements at Reporting Date Using
Quoted Prices in
Significant
Significant
Unobservable
Active Markets
Other
for
Observable
Inputs
Inputs
Identical Assets
(Level 1)
(Level 2)
(Level 3)
$
353
—
86
—
$
—
7
106
261
$
—
—
3(1)
—
Balance as of
December 31,
2012
$
353
7
195
261
—
—
3
29
—
3(1)
3
32
—
—
439
15
—
397
1
16
423
—
1
—
—
5(1)
11
—
4(1)
—
1
21
873
15
5
397
—
—
7
7
—
—
(1)— Unobservable inputs are either not developed by MBIA Corp. or do not significantly impact the overall fair values of the aggregate financial assets and liabilities.
51
7
7
In millions
Cash
Commercial mortgage-backed
Other asset-backed
Loans receivable
Derivative assets:
Total assets
Liabilities:
Derivative liabilities:
Credit derivatives
Total derivative liabilities
Interest rate derivatives
Currency rate derivatives
Total liabilities
Quoted Prices in
Significant
Significant
Unobservable
Active Markets
Other
for
Observable
Inputs
Inputs
Identical Assets
(Level 1)
(Level 2)
(Level 3)
Balance as of
December 31,
2012
176
—
—
58
—
56(1)
176
114
—
—
787
409
6(1)
7(1)
793
416
—
—
—
—
185
99
—
—
66(1)
62(1)
1,881
1,086
251
161
1,881
1,086
$
1,027
$
1,969
$
3,179
$
6,175
$
—
—
$
12
12
$
2,921
2,921
$
2,933
2,933
$
—
1,727
1,948
3,675
—
—
—
—
141
—
141
1,880
—
21(1)
21
4,890
141
21
162
6,770
$
$
(1)— Unobservable inputs are either not developed by MBIA Corp. or do not significantly impact the overall fair values of the aggregate financial assets and liabilities.
52
$
In millions
Assets:
Foreign governments
Other asset-backed
Equity securities
Derivative assets:
Credit derivatives
Total derivative assets
Quoted Prices in
Significant
Significant
Unobservable
Active Markets
Other
for
Observable
Inputs
Inputs
Identical Assets
(Level 1)
(Level 2)
(Level 3)
$
485
—
277
—
$
—
22
62
324
$
—
—
11
4
Balance as of
December 31,
2011
$
485
22
350
328
—
—
—
6
41
1
—
7
—
6
48
1
—
—
762
28
7
136
2
17
475
—
—
—
—
42
64
—
—
—
2
59
1,301
28
7
136
—
—
8
8
—
—
8
8
53
In millions
Cash
Other asset-backed
Loans receivable
Derivative assets:
Credit derivatives
Total assets
Liabilities:
Credit derivatives
Credit derivatives
Currency rate derivatives
Total liabilities
Quoted Prices in
Significant
Significant
Other
Unobservable
Active Markets
Observable
for
Other
Inputs
Inputs
Identical Assets
(Level 1)
(Level 2)
(Level 3)
$
$
December 31,
2011
160
—
—
170
—
67
160
237
—
—
—
3
1,344
559
—
21
22
3
1,365
581
—
—
—
—
286
196
—
—
149
67
2,046
1,077
435
263
2,046
1,077
—
—
1,093
—
3
3,044
447
—
3,960
447
3
8,097
—
—
$
Balance as of
$
$
18
18
$
$
4,790
4,790
$
$
4,808
4,808
—
1,865
2,922
4,787
—
—
—
—
—
—
281
—
281
2,164
527
—
17
544
8,256
527
281
17
825
10,420
$
$
$
Level 3 Analysis
Level 3 assets at fair value, as of December 31, 2012 and 2011 represented approximately 51% and 49%, respectively, of total assets
measured at fair value. Level 3 liabilities at fair value, as of December 31, 2012 and 2011, represented approximately 72% and 79%,
respectively, of total liabilities measured at fair value.
54
The following tables present the fair values and carrying values of MBIA Corp.’s assets and liabilities that are disclosed at fair value but not
reported at fair value on MBIA Corp.’s consolidated balance sheets as of December 31, 2012 and 2011:
Quoted Prices in
Active Markets
for
Identical Assets
(Level 1)
In millions
Assets:
Other investments
Investments held-to-maturity
Total assets
$
—
7
—
7
$
Liabilities:
Long-term debt
Accrued interest payable (1)
VIE notes
Total liabilities
$
—
—
—
—
$
Financial Guarantees:
Gross
Ceded
$
—
—
Significant Other
Observable Inputs
Significant
Unobservable Inputs
(Level 2)
(Level 3)
$
—
—
—
—
$
$
1,847
39
—
1,886
$
$
—
—
$
28
—
2,675
2,703
$
$
—
—
2,675
2,675
$
$
(114)
1,442
Carry Value
Balance as of
Fair Value
Balance as of
December 31, 2012
$
$
$
$
$
28
7
2,675
2,710
1,847
39
2,675
4,561
(114)
1,442
December
31, 2012
$
$
$
$
$
28
7
2,829
2,864
2,604
90
2,829
5,523
(294)
1,530
(1)—
within “Other liabilities” on MBIA Corp.’s consolidated balance sheets.
Reported
Quoted Prices in
In millions
Assets:
Other investments
Secured loan to Parent
Receivable for investments sold
Investments held-to-maturity
Total assets
Liabilities:
Long-term debt
Accrued interest payable (1)
VIE notes
Total liabilities
Financial Guarantees:
Gross
Ceded
Active Markets
for
Identical Assets
(Level 1)
$
$
$
$
$
—
—
13
16
—
29
—
—
—
—
—
—
(1)—
within “Other liabilities” on MBIA Corp.’s consolidated balance sheets.
Reported
55
Significant Other
Observable Inputs
Significant
Unobservable Inputs
(Level 2)
(Level 3)
$
$
$
$
$
—
—
—
—
—
—
1,663
61
—
1,724
—
—
$
$
$
$
$
28
168
—
—
2,469
2,665
—
—
2,469
2,469
786
1,184
Fair Value
Carry Value
Balance as of
Balance as of
December 31, 2011 December 31, 2011
$
$
$
$
$
28 $
168
13
16
28
300
13
16
2,469
2,694 $
2,840
3,197
1,663 $
61
2,083
61
2,469
4,193 $
2,840
4,984
786 $
1,184
744
1,877
The following tables present information about changes in Level 3 assets (including short-term investments) and liabilities measured at fair
value on a recurring basis for the years ended December 31, 2012 and 2011:
Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Year Ended December 31, 2012
Unrealized
Unrealized
Balance, Realized
Beginning
Gains /
(Losses)
In millions
of Year
Assets:
Foreign
governments
$
11 $
Corporate
obligations
4
Residential
mortgagebacked
nonagency
7
Other assetbacked
42
Equity
securities
—
Assets of
consolidated
VIEs:
Corporate
obligations
67
Residential
mortgagebacked
non21
agency
Commercial
mortgagebacked
22
Collateralized
debt
obligations
149
Other assetbacked
67
Loans
receivable
2,046
Loan
repurchase
commitments 1,077
Total assets $
3,513 $
Gains /
(Losses)
Included
in
Earnings
Gains /
(Losses)
Included
in OCI
Foreign
Exchange
Recognized
in OCI or
Earnings
Purchases Issuances Settlements
— $
— $
— $
—
—
—
(1)
—
—
—
(31)
—
—
21 $
(28) $
(5) $
8
—
(14)
(2)
13
(8)
—
—
—
—
—
(2)
—
—
(2)
3
—
38
—
—
—
(3)
(41)
—
—
5
—
5
—
—
—
—
(1)
—
—
—
4
—
—
(19)
—
—
—
—
(4)
—
15
(3)
56
3
—
6
—
—
—
—
(7)
(16)
6
(4)
6
3
—
4
—
—
—
—
(4)
(9)
5
(11)
7
1
—
(25)
—
—
—
—
(2)
(73)
17
—
66
5
—
6
—
—
—
—
(10)
(35)
34
—
62
7
—
114
—
—
—
—
(277)
(2)
—
—
1,881
114
9
100 $
—
38 $
—
— $
—
29 $
—
— $
—
(352) $
—
(183) $
3 $
—
93 $
— $
2012
— $
—
(31) $
1 $
Sales
Transfers Transfers
into
out of
Ending
Level 3 (1) Level 3 (1) Balance
Change in
Unrealized
Gains
(Losses) for
the Period
Included in
Earnings
for Assets
Still Held
as of
December 31,
3 $
—
1,086
(28) $ 3,179 $
Unrealized
Balance,
Beginning (Gains) /
(Gains) /
Losses
Included
in
Earnings
In millions
of Year
Losses
Liabilities:
Credit
derivatives,
net
$
4,790 $
464 $
Liabilities of
consolidated
VIEs:
VIE notes
2,922
—
Credit
derivatives,
net
80
—
Currency
derivatives,
net
—
17
(Gains) /
Losses
Included
in OCI
Foreign
Exchange
Recognized
in OCI or
Earnings
— $
— $
— $
— $
(464) $
448
—
—
—
—
(439)
2
—
—
—
—
4
—
—
—
—
(1,869) $
9
142
Change in
Unrealized
(Gains)
Losses for
the Period
Included
in Earnings
for Assets
Still Held as of
Unrealized
Realized
—
Sales
Transfers Transfers
into
out of
Ending
— $
December 31,
2012
— $
— $ 2,921 $
(983)
—
—
1,948
409
—
(82)
—
—
—
—
—
—
—
—
21
4
(927)
Total liabilities $
7,809 $
464 $
(1,415) $
— $
— $
— $
(1)—
in and out at the end of the period.
Transferred
56
— $
(903) $ (1,065) $
— $
— $ 4,890 $
(514)
Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Year Ended December 31, 2011
Unrealized
Unrealized
Balance, Realized
Beginning
Gains /
(Losses)
In millions
of Year
Assets:
State and
municipal
bonds
$
15 $
Foreign
governments
11
Corporate
obligations
4
Residential
mortgagebacked
nonagency
5
Commercial
mortgagebacked
3
Collateralized
debt
obligations
13
Other assetbacked
70
Assets of
consolidated
VIEs:
Corporate
obligations
80
Residential
mortgagebacked
non22
agency
Commercial
mortgagebacked
23
Collateralized
debt
obligations
189
Other assetbacked
81
Loans
receivable
2,183
Loan
repurchase
commitments
835
Total assets $
3,534 $
Gains /
(Losses)
Included
in
Earnings
1 $
Gains /
(Losses)
Included
in OCI
Foreign
Exchange
Recognized
in OCI or
Earnings
Sales
Transfers Transfers
into
out of
Ending
— $
— $
— $
— $
— $
(15) $
(1) $
—
—
—
(2)
13
—
(10)
(1)
(3)
—
1
5
2
—
(89)
—
—
—
2
5
—
—
—
(1)
—
—
1
—
(1)
2
(62)
—
24
—
(17)
—
2011
— $
— $
—
7
(7)
11
—
(37)
178
(57)
4
—
(1)
(4)
1
(1)
7
—
—
—
(1)
—
(1)
—
—
—
—
(10)
(5)
1
(1)
—
—
—
—
—
13
(2)
5
(6)
42
—
—
—
—
—
(6)
—
17
(7)
67
(2)
(3)
—
—
—
—
(5)
(6)
13
—
21
—
—
9
—
—
—
—
(2)
(13)
7
(2)
22
3
—
(25)
—
—
—
—
(6)
(39)
41
(11)
149
5
—
(10)
—
—
—
—
(2)
(19)
19
(2)
67
(4)
—
132
—
—
24
—
(291)
(2)
—
—
2,046
132
230
316 $
—
23 $
—
7 $
—
44 $
12
12 $
—
(424) $
—
(63) $
Unrealized
Realized
Balance,
Beginning (Gains) /
(Gains) /
Losses
Included
in
Earnings
In millions
of Year
Losses
Liabilities:
Credit
derivatives,
net
$
4,476 $ 2,477 $
Liabilities of
consolidated
VIEs:
VIE notes
4,698
—
Credit
derivatives,
net
638
—
—
(130) $
— $
Change in
Unrealized
Gains
(Losses) for
the Period
Included in
Earnings
for Assets
Still Held
as of
December 31,
—
289 $
—
1,077
(95) $ 3,513 $
Change in
Unrealized
(Gains)
Losses for
the Period
Included
in Earnings
for Assets
Still Held as of
Unrealized
Foreign
(Gains) /
Exchange
Losses
Recognized
Beginning
in OCI or
Earnings
OCI
230
364
(2,477) $
Sales
Transfers Transfers
into
out of
Ending December 31,
2011
314 $
— $
— $
(8) $
— $
— $
105
—
—
—
—
(554)
(1,327)
—
—
2,922
105
(153)
—
—
—
—
—
(405)
—
—
80
(80)
8 $
— $ 4,790 $
2,702
Currency
derivatives,
net
Total liabilities $
14
9,826 $
—
2,477 $
3
269 $
—
— $
—
— $
—
(8) $
(1)—
in and out at the end of the period..
Transferred
57
—
— $
—
—
(3,031) $ (1,732) $
—
8 $
—
17
— $ 7,809 $
3
2,730
Transfers into and out of Level 3 were $93 million and $28 million, respectively, for the year ended December 31, 2012. Transfers into and
out of Level 2 were $28 million and $93 million, respectively, for the year ended December 31, 2012. Transfers into Level 3 were
principally related to other asset-backed securities, corporate obligations and CDOs where inputs, which are significant to their valuation,
became unobservable. These inputs included spreads, prepayment speeds, default speeds, default severities, yield curves observable at
commonly quoted intervals, and market corroborated inputs. Transfers out of Level 3 were principally for CMBS, corporate obligations and
residential mortgage-backed non-agency. There were no transfers into or out of Level 1.
Transfers into and out of Level 3 were $297 million and $95 million, respectively, for the year ended December 31, 2011. Transfers into
and out of Level 2 were $95 million and $297 million, respectively, for the year ended December 31, 2011. Transfers into Level 3 were
principally related to corporate obligations and collateralized debt obligations where inputs, which are significant to their valuation, became
unobservable during the period. These inputs included spreads, prepayment speeds, default speeds, default severities, yield curves
observable at commonly quoted intervals, and market corroborated inputs. Transfers out of Level 3 were principally for corporate
obligations, collateralized debt obligations and foreign governments. There were no transfers into or out of Level 1.
All Level 1, 2 and 3 designations are made at the end of each accounting period.
Gains and losses (realized and unrealized) included in earnings relating to Level 3 assets and liabilities for the years ended December 31,
2012, 2011 and 2010 are reported on MBIA Corp.’s consolidated statements of operations as follows:
Consolidated
VIEs
Net Gains
(Losses) on
Unrealized
Gains
(Losses)
on Insured
Financial
Instruments
Net
Realized
at Fair
Value and
Foreign
Exchange
Net Gains
(Losses) on
Financial
Instruments
at Fair Value
and Foreign
Exchange
In millions
Derivatives
Gains
(Losses)
Total gains (losses) included in earnings
Change in unrealized gains (losses) for the period included in
earnings for assets and liabilities still held as of December 31,
2012
$ 1,869
$ (507)
$
17
$
(359)
$
$
$
—
$
(271)
927
—
Consolidated
VIEs
Net Gains
(Losses) on
Unrealized
Gains
(Losses)
on Insured
In millions
Derivatives
Change in unrealized gains (losses) for the period included in earnings
for assets and liabilities still held as of December 31, 2011
$
58
(314)
$ (2,702)
Financial
Instruments
Net
Realized
Gains
(Losses)
at Fair
Value and
Foreign
Exchange
Net Gains
(Losses) on
Financial
Instruments
at Fair Value
and Foreign
Exchange
$(2,540)
$
—
$
361
$
$
—
$
336
—
Consolidated
VIEs
Net Gains
(Losses) on
Financial
Instruments
Unrealized
Gains
(Losses)
on Insured
Net
Realized
Net Gains
(Losses) on
Financial
Instruments
at Fair Value
and Foreign
Exchange
at Fair
Value and
Foreign
Exchange
In millions
Derivatives
Gains
(Losses)
Change in unrealized gains (losses) for the period included in earnings
for assets and liabilities still held as of December 31, 2010
$
$ (282)
$
(1)
$
(295)
$
$
—
$
(349)
(703)
$ (1,431)
—
Fair Value Option
MBIA Corp. elected to record at fair value certain financial instruments of VIEs that have been consolidated in connection with the
adoption of the accounting guidance for consolidation of VIEs, among others.
The following table presents the changes in fair value included in MBIA Corp.’s consolidated statements of operations for the years ended
December 31, 2012, 2011 and 2010, for all financial instruments for which the fair value option was elected:
Net Gains (Losses) on Financial Instruments at
Fair Value and Foreign Exchange
2012
2011
2010
In millions
Fixed-maturity securities held at fair value
Loans receivable at fair value:
Residential mortgage loans
Other loans
Other assets
Long-term debt
$
(55)
$
(107)
(56)
9
—
107
(339)
(143)
(19)
242
—
562
$
374
295
(26)
336
26
(599)
The following table reflects the difference between the aggregate fair value and the aggregate remaining contractual principal balance
outstanding as of December 31, 2012 and 2011, for loans and VIE notes for which the fair value option was elected:
In millions
Loans receivable at fair value:
Residential mortgage loans
Residential mortgage loans (90 days or more past due)
Other loans
Other loans (90 days or more past due)
Total loans receivable at fair value
VIE notes
As of December 31, 2012
Contractual
Principal
Fair
Outstanding
Value
Difference
Contractual
Principal
Fair
Outstanding
Value
Difference
$
$
$
$
2,307
244
22
197
2,770
9,079
$1,735
54
22
70
$1,881
$3,675
$
572
190
—
127
$ 889
$ 5,404
2,769
259
129
324
$ 3,481
$ 13,684
$1,895
—
43
108
$2,046
$4,787
$
874
259
86
216
$ 1,435
$ 8,897
Substantially all gains and losses included in earnings during the periods ended December 31, 2012 and 2011 on loans receivable and
VIE notes are attributable to credit risk. This is primarily due to the high rate of defaults on loans and the collateral supporting the VIE
notes, resulting in depressed pricing of the financial instruments.
59
Note 8: Investments
MBIA Corp’s investments, excluding those elected under the fair value option, include debt and equity securities classified as either AFS
or HTM. Other invested assets designated as AFS are primarily comprised of money market funds.
The following tables present the amortized cost, fair value, corresponding gross unrealized gains/losses and other-than-temporary
impairments (“OTTI”) for AFS and HTM investments in MBIA Corp.’s investment portfolios as of December 31, 2012 and 2011:
In millions
AFS Investments
Foreign governments
Other asset-backed
Equity securities
Total AFS investments
HTM Investments
Total HTM investments
Amortized
Cost
December 31, 2012
Gross
Gross
Unrealized
Unrealized
Gains
Losses
$
$
1
1
13
7
$
—
—
—
—
$ 353
7
196
261
2
31
1
—
2
—
—
—
(1)
2
33
—
1
20
850
15
1
866
$
—
1
25
—
—
25
—
—
(1)
—
—
(1)
1
21
874
15
1
$ 890
$ 2,829
$ 2,829
$
$
2
2
$ (157)
$ (157)
$2,674
$2,674
$
60
352
6
183
254
Fair
Value
$
Note 8: Investments (continued)
In millions
AFS Investments
Foreign governments
Other asset-backed
Equity securities
HTM Investments
Amortized
Cost
Gross
Unrealized
Gains
$
$
484
20
351
301
1
2
24
3
December 31, 2011
Gross
Unrealized
Losses
$
Other-ThanTemporary
Impairments (1)
Fair
Value
—
—
—
(1)
$ 485
22
375
303
$
—
—
—
—
6
41
2
—
8
—
—
(1)
(1)
6
48
1
—
—
—
2
97
1,304
28
6
$ 1,338
$
—
—
38
—
1
39
$
—
(38)
(41)
—
—
(41)
2
59
1,301
28
7
$1,336
$
—
(37)
(37)
—
—
(37)
$ 2,840
$ 2,840
$
$
—
—
$ (371)
$ (371)
$2,469
$2,469
$
$
—
—
(1)—
unrealized gains or losses on other than temporarily impaired securities recognized in AOCI, which includes the non-credit component of impairments, as well as all
Representssubsequent changes in fair value of such impaired securities reported in AOCI.
The following table presents the distribution by contractual maturity of AFS and HTM fixed-maturity securities at amortized cost and fair
value as of December 31, 2012. Contractual maturity may differ from expected maturity as borrowers may have the right to call or prepay
obligations.
AFS Securities
In millions
Amortized Cost
Fair Value
HTM Securities
Consolidated VIEs
Amortized Cost
Fair Value
Due in one year or less
Due after one year through five years
Due after five years through ten years
Due after ten years through fifteen years
Due after fifteen years
Mortgage-backed and asset-backed
$
$
$
139
561
84
—
11
55
850
$
61
$
139
570
96
—
12
57
874
$
—
—
—
—
2,829
—
2,829
$
—
—
—
—
2,674
—
$ 2,674
Net unrealized gains (losses), including the portion of OTTI included in AOCI, reported within shareholders’ equity consisted of:
As of December 31,
2012
2011
In millions
Gross unrealized gains
Gross unrealized losses
Foreign exchange
Total
Deferred income tax provision (benefit)
Unrealized gains (losses), net
$ 25
(1)
24
48
5
$ 43
$
39
(41)
(9)
(11)
(13)
$
2
Deposited Securities
The fair value of securities on deposit with various regulatory authorities was $5 million as of December 31, 2012 and 2011. These
deposits are required to comply with state insurance laws.
Impaired Investments
The following tables present the gross unrealized losses related to AFS and HTM investments as of December 31, 2012 and 2011:
December 31, 2012
12 Months or
Longer
Unrealized
Less than 12
Months
Unrealized
In millions
AFS Investments
Foreign governments
Other asset-backed
Equity securities
HTM Investments
Fair
Value
$151
1
11
8
Losses
$
—
—
—
—
Fair
Value
$
—
—
1
4
Losses
$
Total
Unrealized
Fair
Value
—
—
—
—
$ 151
1
12
12
Losses
$
—
—
—
—
2
—
—
—
6
—
—
(1)
8
—
—
(1)
—
173
1
$174
$
—
—
—
—
10
21
—
21
—
(1)
—
(1)
10
194
1
$ 195
$
—
(1)
—
(1)
$297
$297
$
$
(19)
(19)
$ (138)
$ (138)
$1,584
$1,584
$ (157)
$ (157)
62
$
$1,287
$1,287
$
December 31, 2011
12 Months or
Longer
Unrealized
Less than 12
Months
Unrealized
In millions
AFS Investments
Foreign governments
Other asset-backed
HTM Investments
Fair
Value
$
1
20
90
Losses
$
—
—
(1)
Fair
Value
$
—
—
10
Losses
$
—
—
—
Total
Unrealized
Fair
Value
$
1
20
100
Losses
$
—
—
(1)
1
24
—
—
(1)
(1)
—
10
—
—
—
—
1
34
—
—
(1)
(1)
—
136
$136
$
—
(3)
(3)
40
60
60
(38)
(38)
(38)
40
196
$ 196
$
(38)
(41)
(41)
$284
$284
$
$
(31)
(31)
$ (340)
$ (340)
$2,469
$2,469
$ (371)
$ (371)
$
$2,185
$2,185
$
With the weighting applied on the fair value of each security relative to the total fair value, the weighted average contractual maturity of
securities in an unrealized loss position as of December 31, 2012 and 2011 was 27 and 26 years, respectively. As of December 31, 2012
and 2011, there were 36 and 43 securities, respectively, that were in an unrealized loss position for a continuous twelve-month period or
longer, of which 6 and 14 securities, respectively, had fair values that were below book value by more than 5%.
Other-Than-Temporary Impairments
MBIA Corp. has evaluated on a security-by-security basis whether the unrealized losses in its investment portfolios were other-thantemporary considering duration and severity of unrealized losses, the circumstances that gave rise to the unrealized losses, and whether
MBIA Corp. has the intent to sell the securities or more likely than not will be required to sell the securities before their anticipated
recovery. Based on its evaluation, MBIA Corp. determined that the unrealized losses on the remaining securities were temporary in nature
because its impairment analysis, including projected future cash flows, indicated that MBIA Corp. would be able to recover the amortized
cost of impaired assets. MBIA Corp. also concluded that it does not have the intent to sell securities in an unrealized loss position and it is
more likely than not that it will not have to sell these securities before recovery of their cost basis. In making this conclusion, MBIA Corp.
examined the cash flow projections for its investment portfolios, the potential sources and uses of cash in its businesses, and the cash
resources available to its business other than sales of securities. It also considered the existence of any risk management or other plans
as of December 31, 2012 that would require the sale of impaired securities. On a quarterly basis, MBIA Corp. re-evaluates the unrealized
losses in its investment portfolios to determine whether an impairment loss should be realized in current earnings. Impaired securities that
MBIA Corp. intends to sell before the expected recovery of such securities’ fair values have been written down to their fair values.
Credit Loss Rollforward
The portion of certain OTTI losses on fixed-maturity securities that does not represent credit losses is recognized in AOCI. For these
impairments, the net amount recognized in earnings represents the difference between the amortized cost of the security and the net
present value of its projected future discounted cash flows prior to impairment. Any remaining difference between the fair value and
amortized cost is recognized in AOCI.
63
The following table presents the amount of credit loss impairments recognized in earnings on fixed-maturity securities held by MBIA Corp.
as of the dates indicated, for which a portion of the OTTI losses was recognized in AOCI, and the corresponding changes in such
amounts. There were no OTTI losses for which a portion was recognized in AOCI for the years ended December 31, 2012 and 2010.
In millions
Credit Losses Recognized in Earnings Related to OTTI
2012
2011
2010
Beginning balance
Accounting transition adjustment (1)
Additions for credit loss impairments recognized in the current period on securities not previously
impaired
Reductions for credit loss impairments previously recognized on securities impaired to fair value
during the period (2)
Ending balance
$
$
57
—
$ —
—
—
57
(57)
—
—
$ 57
$
93
(93)
—
$
—
—
(1)— Reflects the adoption of the accounting principles for the consolidation of VIEs.
(2)— Represents circumstances where MBIA Corp. determined in the current period that it intends to sell the security or it is more likely than not that it will be required
For the year ended December 31, 2011, the credit loss recognized in earnings was related to one RMBS. There were no credit loss
impairments in 2012 and 2010. The following table presents a summary of the significant inputs considered in determining the
measurement of the credit loss on the security in which a portion of the impairment was included in AOCI:
Year Ended
December 31,
Asset-backed Securities
2011
Expected size of losses (1)
Range (2)
Weighted average (3)
Current subordination levels (4)
Range (2)
Prepayment speed (annual CPR) (5)
Range (2)
(1)—
(2)—
(3)—
(4)—
(5)—
47.07%
47.07%
n/a
n/a
n/a
n/a
Represents future expected credit losses on impaired assets expressed as a percentage of total outstanding balance.
Represents the range of inputs/assumptions based upon the individual securities within each category.
Calculated by weighting the relevant input/assumption for each individual security by outstanding notional of the security.
Represents current level of credit protection (subordination) for the securities, expressed as a percentage of the balance of the collateral group backing
the bond.
Values represent high and low points of lifetime vectors of constant prepayment rates.
64
Realized Gains and Losses
Realized gains and losses in the years ended December 31, 2012, 2011 and 2010 were primarily from the sales of AFS securities. The
amount of gross realized gains and gross losses of AFS securities (primarily fixed-maturity securities) were as follows:
In millions
2012
Gross realized gains
Gross realized losses
Net (1)
(1)—
2011
2010
$ 35
(2)
$ 33
$
88
(67)
$ 21
$
8
(1)
$ 7
These balances are included in the “Net gains (losses) on financial instruments at fair value and foreign exchange” line items on MBIA Corp.’s consolidated
statements of operations.
Note 9: Derivative Instruments
MBIA Corp. accounts for derivative instruments in accordance with the accounting principles for derivative and hedging activities, which
requires that all such instruments be recorded on MBIA Corp.’s consolidated balance sheets at fair value. Refer to “Note 7: Fair Value of
Financial Instruments” for the method used for determining the fair value of derivative instruments.
MBIA Corp. has entered into derivative instruments that it viewed as an extension of its core financial guarantee business but which do not
qualify for the financial guarantee scope exception and, therefore, must be recorded at fair value in MBIA Corp.’s consolidated balance
sheets. MBIA Corp. insures CDS contracts, primarily referencing corporate, asset-backed, residential mortgage-backed, commercial
mortgage-backed, CRE loans, and CDO securities that MBIA Corp. intends to hold for the entire term of the contract absent a negotiated
settlement with the counterparty.
Changes in the fair value of derivatives, excluding insured derivatives, are recorded each period in current earnings within “Net gains
(losses) on financial instruments at fair value and foreign exchange.” Changes in the fair value of insured derivatives are recorded each
period in current earnings within “Net change in fair value of insured derivatives.” The net change in the fair value of MBIA Corp.’s insured
derivatives has two primary components: (i) realized gains (losses) and other settlements on insured derivatives and (ii) unrealized gains
(losses) on insured derivatives. “Realized gains (losses) and other settlements on insured derivatives” include (i) premiums received and
receivable on sold CDS contracts, (ii) premiums paid and payable to reinsurers in respect to CDS contracts, (iii) net amounts received or
paid on reinsurance commutations, (iv) losses paid and payable to CDS contract counterparties due to the occurrence of a credit event or
settlement agreement, (v) losses recovered and recoverable on purchased CDS contracts due to the occurrence of a credit event or
settlement agreement and (vi) fees relating to CDS contracts. The “Unrealized gains (losses) on insured derivatives” include all other
changes in fair value of the insured derivative contracts.
Variable Interest Entities
VIEs consolidated by MBIA Corp. have entered into derivative instruments primarily consisting of interest rate swaps. Interest rate swaps
are entered into to hedge the risks associated with fluctuations in interest rates or fair values of certain contracts.
65
Note 9: Derivative Instruments (continued)
Credit Derivatives Sold
The following tables present information about credit derivatives sold by MBIA Corp. that were outstanding as of December 31, 2012 and
2011. Credit ratings represent the lower of underlying ratings assigned to the collateral by Moody’s, S&P or MBIA.
$ in millions
Insured credit default swaps
Insured swaps
All others
Total notional
Total fair value
Notional Value
Weighted
Average
Remaining
Expected
Maturity
5.1 Years
20.8 Years
1.8 Years
Below
Investment
AAA
AA
A
BBB
Grade
$10,457
—
—
$10,457
$
(7)
$5,862
103
—
$5,965
$ (70)
$5,253
2,520
—
$7,773
$ (72)
$11,571
1,627
—
$13,198
$ (732)
$ 13,859
71
195
$ 14,125
$ (2,052)
$ in millions
Non-insured credit default swaps-VIE
Insured swaps
All others
Total notional
Total fair value
Fair Value
Total
Notional
Asset
(Liability)
$47,002
4,321
195
$51,518
$(2,858)
(7)
(68)
$(2,933)
Notional Value
Weighted
Average
Remaining
Expected
Maturity
5.6 Years
3.6 Years
20.6 Years
2.8 Years
Below
Investment
AAA
AA
A
BBB
Grade
$15,475
—
—
—
$15,475
$ (114)
$12,065
—
133
—
$12,198
$ (116)
$6,336
—
3,140
—
$9,476
$ (205)
$ 14,042
—
2,227
—
$ 16,269
$(1,355)
$ 17,639
643
133
195
$ 18,610
$ (3,553)
Fair Value
Total
Notional
Asset
(Liability)
$65,557
643
5,633
195
$72,028
$(4,716)
(527)
(9)
(91)
$(5,343)
Internal credit ratings assigned by MBIA on the underlying collateral are derived by MBIA Corp.’s surveillance group. In assigning an
internal rating, current status reports from issuers and trustees, as well as publicly available transaction-specific information, are reviewed.
Also, where appropriate, cash flow analyses and collateral valuations are considered. The maximum potential amount of future payments
(undiscounted) on CDS contracts are estimated as the notional value plus any additional debt service costs, such as interest or other
amounts owed on CDS contracts. The maximum amount of future payments that MBIA Corp. may be required to make under these
guarantees is $50.9 billion. This amount is net of $392 million of insured derivatives ceded under reinsurance agreements in which MBIA
Corp. economically hedges a portion of the credit and market risk associated with its insured derivatives and offsetting agreements with a
counterparty. The maximum potential amount of future payments (undiscounted) on insured swaps are estimated as the notional value of
such contracts.
MBIA Corp. may hold recourse provisions with third parties in derivative transactions through both reinsurance and subrogation rights.
MBIA Corp.’s reinsurance arrangements provide that in the event MBIA Corp. pays a claim under a guarantee of a derivative contract,
MBIA Corp. has the right to collect amounts from any reinsurers that have reinsured the guarantee on either a proportional or nonproportional basis, depending upon the underlying reinsurance agreement. MBIA Corp. may also have recourse through subrogation rights
whereby if MBIA Corp. makes a claim payment, it is entitled to any rights of the insured counterparty, including the right to any assets held
as collateral.
66
Financial Statement Presentation
As of December 31, 2012 and 2011, MBIA Corp. reported derivative assets of $7 million and $458 million, respectively, and derivative
liabilities of $3.1 billion and $5.6 billion, respectively, which are shown separately on the consolidated balance sheets. The following table
presents the total fair value of MBIA Corp.’s derivative assets and liabilities by instrument and balance sheet location as of December 31,
2012:
In millions
Derivative Assets
Derivative Instruments
Notional
Amount
Outstanding
Not designated as hedging instruments:
Insured swaps
Interest rate swaps-VIE
Cross currency swaps-VIE
All other
All other-VIE
Total derivatives
$ 47,320
7,890
2,728
110
195
280
$ 58,523
Balance Sheet Location
Derivative assets
Derivative assets
Derivative assets-VIE
Derivative assets
Derivative Liabilities
Fair Value
$
—
7
—
—
—
—
7
$
Fair Value
Derivative liabilities-VIE
$(2,858)
(7)
(141)
(21)
(68)
—
$(3,095)
The following table presents the total fair value of MBIA Corp.’s derivative assets and liabilities by instrument and balance sheet location
as of December 31, 2011:
In millions
Derivative Assets
Derivative Instruments
Notional
Amount
Outstanding
Not designated as hedging instruments:
Insured swaps
Cross currency swaps-VIE
All other
All other-VIE
Total derivatives
$ 66,851
1,272
9,811
4,878
123
195
472
$ 83,602
Derivative assets
Derivative assets
Derivative assets
Derivative Liabilities
Fair Value
$
$
67
—
447
8
—
—
—
3
458
Fair Value
$(4,708)
(527)
(9)
(281)
(17)
(91)
—
$(5,633)
The following table shows the effect of derivative instruments on the consolidated statements of operations for the year ended
December 31, 2012:
In millions
Net Gain (Loss)
Derivatives Not Designated as
Hedging Instruments
Insured swaps
Currency swaps-VIE
All other
All other-VIE
Total
Location of Gain (Loss) Recognized in Income on
Derivative
Net gains (losses) on financial instruments at fair value and foreign exchange-VIE
Recognized in
Income
$
$
1,847
(407)
(1)
1
55
(4)
22
(1)
1,512
December 31, 2011:
In millions
Net Gain (Loss)
Hedging Instruments
Currency swaps-VIE
All other
All other-VIE
Total
Derivative
Recognized in
Income
$
$
68
(261)
(2,372)
153
52
(3)
(53)
(8)
(2,492)
December 31, 2010:
In millions
Net Gain (Loss)
Hedging Instruments
Insured swaps
All other
All other
All other-VIE
Total
Derivative
Recognized in
Income
$
$
(691)
(162)
48
2
5
(11)
(10)
(16)
(835)
Note 10: Debt
Long-Term Debt
On January 16, 2008, MBIA Corp. issued $1.0 billion of 14% fixed-to-floating rate surplus notes due January 15, 2033. As of
December 31, 2012 and 2011, the par amount outstanding was $953 million. The surplus notes have an initial interest rate of 14% until
January 15, 2013 and thereafter have an interest rate of three-month LIBOR plus 11.26%. Interest and principal payments on the surplus
notes are subject to prior approval by the Superintendent of the NYSDFS. A request for approval of the January 15, 2013, note interest
payment was denied by the NYSDFS. MBIA Corp. provided notice to the Fiscal Agent that it has not made a scheduled interest payment.
The deferred interest payment will become due on the first business day on or after which MBIA Corp. obtains approval to make such
payment. No interest will accrue on the deferred interest. The surplus notes were callable at par at the option of MBIA Corp. on the fifth
anniversary of the date of issuance, and are callable at par on January 15, 2018 and every fifth anniversary thereafter and are callable on
any other date at par plus a make-whole amount, subject to prior approval by the Superintendent and other restrictions. The cash received
from the issuance of surplus notes was used for general business purposes and the deferred debt issuance costs are being amortized
over the term of the surplus notes. To date, MBIA Corp. has repurchased a total of $47 million par value outstanding of its surplus notes at
a weighted average price of $77.08.
In December 2011, MBIA Insurance Corporation entered into a secured loan with an affiliate, National, who provided the $1.1 billion
National Secured Loan to MBIA Insurance Corporation in order to enable MBIA Insurance Corporation to fund settlements and
commutations of its insurance policies. This loan was approved by the NYSDFS as well as by the boards of directors of MBIA Inc., MBIA
Insurance Corporation and National. The National Secured Loan has a fixed annual interest rate of 7% and a maturity date of December
2016. MBIA Insurance Corporation has the option to defer payments of interest when due by capitalizing interest amounts to the loan
balance, subject to the collateral value exceeding certain thresholds. MBIA Insurance Corporation has elected to defer the interest
payments due under the loan. MBIA Insurance Corporation’s obligation to repay the loan is secured by a pledge of collateral having an
estimated value in excess of the notional amount of the loan as of December 31, 2012, which collateral comprised the following future
receivables of MBIA Insurance Corporation: (i) its right to receive put-back recoveries related to ineligible mortgage loans included in its
insured second-lien RMBS transactions; (ii) future recoveries on defaulted insured second-lien RMBS transactions
69
Note 10: Debt (continued)
resulting from expected excess spread generated by performing loans in such transactions; and (iii) future installment premiums. During
the twelve months ended December 31, 2012, MBIA Insurance Corporation borrowed an additional $443 million under the National
Secured Loan with the approval of the NYSDFS at the same terms as the original loan to fund additional commutations of its insurance
policies. As of December 31, 2012, the outstanding principal amount under this loan was $1.7 billion. MBIA Insurance Corporation may
seek to borrow additional amounts under the loan in the future. Any such increase or other amendment to the terms of the loan would be
subject to regulatory approval by the NYSDFS.
The aggregate maturity of long-term debt obligations, excluding accrued interest, as of December 31, 2012 for each of the next five years
and thereafter commencing in 2013 was:
In millions
2013
2014
2015
14% Surplus Notes due 2033 (1)
Secured Loan due 2016
Total debt obligations due
$—
—
$—
$—
—
$—
$—
—
$—
2016
2017
Thereafter
—
1,651
$1,651
$—
—
$—
$
$
$
953
—
953
Total
$ 953
1,651
$2,604
(1)— Callable on January 15, 2018 and every fifth anniversary thereafter at 100.00.
Debt of Consolidated Variable Interest Entities
Variable Interest Entity Notes
Variable interest entity notes are variable interest rate debt instruments denominated in U.S. dollars issued by consolidated VIEs. Variable
interest entity notes are collateralized by assets held by the consolidated VIEs, and are non-recourse to the general credit of MBIA Corp.
As of December 31, 2012, variable interest entity notes consisting of debt instruments issued by issuer-sponsored consolidated VIEs
totaled $6.5 billion. Variable interest entity notes of issuer-sponsored consolidated VIEs by maturity are as follows:
Principal Amount (1)
In millions
Maturity date:
2013
2014
2015
2016
2017
Thereafter
Total
$
$
(1)— Includes $3.7 billion of VIE notes accounted for at fair value as of December 31, 2012.
70
341
281
428
426
466
4,562
6,504
Note 11: Income Taxes
The provision (benefit) for income taxes on income and shareholders’ equity consisted of:
2012
2011
2010
In millions
Current taxes:
Federal
Foreign
Deferred taxes:
Federal
Foreign
Provision (benefit) for income taxes
Income taxes charged (credited) to shareholders’ equity related to:
Total adjustments due to the adoption of new accounting standards
Change in unrealized gains and losses on investments
Change in foreign currency translation
Exercise of stock options and vested restricted stock
Total income taxes charged (credited) to shareholders’ equity
Total effect of income taxes
$(19)
(6)
$
1
15
$
23
—
444
5
424
(813)
(18)
(815)
(186)
15
(148)
—
18
(3)
6
21
$ 445
—
(9)
—
3
(6)
$(821)
(59)
(9)
(43)
(1)
(112)
$(260)
A reconciliation of the U.S. federal statutory tax rate of 35% to MBIA Corp.’s effective income tax rate for the years ended December 31,
2012, 2011 and 2010 is presented in the following table:
Years ended December 31,
2012
2011
2010
Federal income tax computed at the statutory rate
Increase (reduction) in taxes resulting from:
Tax-exempt interest
Valuation allowance
Foreign taxes
Out-of-period adjustment
Other
Effective tax rate
35.0%
35.0%
35.0%
0.0%
0.0%
(1.6)%
(1.1)%
0.0%
32.3%
0.0%
(1.5)%
0.0%
0.0%
(0.1)%
33.4%
0.4%
2.5%
0.0%
0.0%
(3.4)%
34.5%
Deferred Tax Asset, Net of Valuation Allowance
MBIA Corp. recognizes deferred tax assets and liabilities for the expected future tax consequences of events that have been included in
the financial statements or tax returns. Deferred tax assets and liabilities are determined based on the differences between the financial
statement and tax bases of assets and liabilities using enacted tax rates in effect for the year in which the differences are expected to
reverse. The effect of a change in tax rates on tax assets and liabilities is recognized in income in the period that includes the enactment
date.
71
Note 11: Income Taxes (continued)
The tax effects of temporary differences that give rise to deferred tax assets and liabilities as of December 31, 2012 and 2011 are
presented in the following table:
As of December 31,
2012
2011
In millions
Deferred tax liabilities:
Investments in VIEs
Total gross deferred tax liabilities
Deferred tax assets:
Net operating loss and tax credit carryforwards
Capital loss carryforward and other-than-temporary impairments
Net unrealized losses on insured derivatives
Net deferred taxes on VIEs
Other
Total gross deferred tax assets
Valuation allowance
Net deferred tax asset
$ 204
—
174
—
378
$
64
31
41
154
290
244
60
902
44
108
313
1,671
54
$1,239
161
53
1,684
73
—
83
2,054
53
$1,711
MBIA Corp. establishes a valuation allowance against its deferred tax asset when it is more likely than not that all or a portion of the
deferred tax asset will not be realized. All evidence, both positive and negative, needs to be identified and considered in making the
determination. Future realization of the existing deferred tax asset ultimately depends, in part, on the existence of sufficient taxable income
of appropriate character (for example, ordinary income versus capital gains) within the carryforward period available under the tax law.
As of December 31, 2012, MBIA Corp. reported a net deferred tax asset of $1.2 billion. The $1.2 billion deferred tax asset is net of a $54
million valuation allowance. As of December 31, 2012, MBIA Corp. had a valuation allowance against a portion of the deferred tax asset
related to capital loss carry forwards and losses from asset impairments as these losses are considered capital losses, have a five-year
carryforward period, and once recognized, can only offset capital gain income.
MBIA Corp. has concluded that it is more likely than not that its net deferred tax asset will be realized. MBIA Corp. relied on MBIA Inc.’s
tax sharing agreement and the Parent’s assurance that it intended for no net operating loss generated by MBIA Corp., to the extent used
in consolidation, to expire without compensation. In 2012, the determination of doubt as to MBIA Corp’s ability to continue as a going
concern does not impact this conclusion.
Out-of-Period Adjustment
During the fourth quarter of 2012, MBIA Corp. completed a balance sheet focused analysis to enhance efficiency and accuracy with its
deferred income tax balances, and as a result, identified errors to the current and deferred income tax balances. MBIA Corp. evaluated the
materiality of these errors in accordance with Securities and Exchange Commission (“SEC”) Staff Accounting Bulletin No. 99, “Materiality”,
and SEC Staff Accounting Bulletin No. 108, “Considering the Effects of Prior Year Misstatements When Quantifying Misstatements in
Current Year Financial Statements”, and concluded that these errors, individually and in the aggregate, were immaterial to the year ended
December 31, 2012 and all prior periods to which these errors relate. Accordingly, MBIA Corp. recorded the impact of these adjustments
in its consolidated financial statements as of and for the year ended December 31, 2012 by decreasing the “Deferred income taxes, net”
by $8 million, decreasing “Accumulated other comprehensive income (loss)” by $6 million, increasing “Current income taxes” by $17
million and increasing “Net income (loss)” by $15 million. For the years ended December 31, 2011 and 2010, this adjustment would have
increased “Net income (loss)” by $16 million and decreased “Net income (loss)” by $22 million, respectively.
72
Note 11: Income Taxes (continued)
Treatment of Undistributed Earnings of Certain Foreign Subsidiaries—“Accounting for Income Taxes—Special Areas”
No U.S. deferred income taxes have been provided on the differences in the book and tax basis in MBIA Corp.’s carrying value of MBIA
UK and other entities because of MBIA Corp.’s practice and intent to permanently reinvest these earnings. The cumulative amounts of
such differences were $139 million, $15 million and $3 million as of December 31, 2012, 2011 and 2010, respectively. The estimated tax
liability with respect to this difference was $17 million as of December 31, 2012.
Accounting for Uncertainty in Income Taxes
It is MBIA Corp.’s policy to record and disclose any change in UTB and related interest and/or penalties to income tax in the consolidated
statements of operations.
In millions
Unrecognized tax benefit as of January 1, 2010
Reduction of UTB as a result of the applicable statute of limitation
Unrecognized tax benefit as of December 31, 2010
Decrease in the UTB related to settlements with taxing authorities
$
6
(5)
1
1
(1)
$ —
For the year ended December 31, 2012, the total amount of UTB decreased as a result of settling the 2004-2009 Internal Revenue Service
(“IRS”) examination. As of December 31, 2012 and 2011, the amounts related to interest and penalties included in the consolidated
balance sheets were not material.
MBIA Corp.’s major tax jurisdictions include the U.S. and the U.K. MBIA and its U.S. subsidiaries file a U.S. consolidated federal income
tax return. The IRS has concluded its field work with respect to the examination of tax years 2004 through 2009 and on January 12, 2012,
the Joint Committee on Taxation notified MBIA that the results of the IRS field examination were reviewed and accepted.
The U.K. tax authorities are currently auditing tax years 2005 through 2011. On February 5, 2013 Her Majesty’s Revenue and Customs
notified MBIA Corp. of their request for a meeting to discuss the progress of the enquiry.
As of December 31, 2012, MBIA Corp. had a cumulative net operating loss carryforward of $685 million, which will expire in tax year 2031
and a capital loss carryforward at $161 million, which will expire in tax year 2017.
Tax Sharing Arrangement
MBIA Corp. files its U.S. Corporation Income Tax Return as a member of the MBIA Inc. consolidated group and participates in a tax
sharing agreement between MBIA Corp. and MBIA Inc. under which MBIA Corp. is allocated its share of consolidated tax liability or tax
benefit as determined on a standalone basis under the tax sharing agreement.
As of December 31, 2012, MBIA Corp. has not made tax payments under this tax sharing agreement for 2012 and 2011. If tax payments
had been made, all funds would be placed in escrow by MBIA Inc. and would remain in escrow until the expiration of a two-year carryback
period which would allow MBIA Corp. to carryback a separate company tax loss and recover all or a portion of the escrowed funds.
As of December 31, 2012, MBIA Corp. has not received any payment with respect to tax losses contributed to the consolidated group.
MBIA Corp. will receive benefits of its losses as it is able to earn out those losses in the future. However, it is MBIA Inc.’s intention not to
allow any loss generated by MBIA Corp., to the extent used in consolidation, to expire without compensation.
73
Note 12: Insurance in Force
MBIA Corp. guarantees the payment of principal of, and interest or other amounts owing on, municipal, asset-backed, mortgage-backed
and other non-municipal securities. Additionally, MBIA Corp. has insured CDS primarily on pools of collateral, which it previously
considered part of its core financial guarantee business. The pools of collateral are made up of corporate obligations, but also include
commercial and residential mortgage-backed securities-related assets. MBIA Corp.’s insurance in force represents the aggregate amount
of the insured principal of, and interest or other amounts owing on insured obligations. MBIA Corp.’s ultimate exposure to credit loss in the
event of nonperformance by the issuer of the insured obligation is represented by the insurance in force in the tables that follow.
The financial guarantees issued by MBIA Corp. provide unconditional and irrevocable guarantees of the payment of the principal, and
interest or other amounts owing on, insured obligations when due. The obligations are generally not subject to acceleration, except that
MBIA Corp. may have the right, at its discretion, to accelerate insured obligations upon default or otherwise. Certain guaranteed
investment contracts written by MBIA Inc. and guaranteed by MBIA Corp. are terminable based upon the credit ratings downgrades of
MBIA Corp., and if MBIA Inc. were to have insufficient assets to pay the termination payments, MBIA Corp.’s insurance coverage would be
drawn on to make such payments. These amounts have been excluded in the tables that follow.
The creditworthiness of each insured obligation is evaluated prior to the issuance of insurance, and each insured obligation must comply
with MBIA Corp.’s underwriting guidelines. Further, the payments to be made by the issuer on the bonds or notes may be backed by a
pledge of revenues, reserve funds, letters of credit, investment contracts or collateral in the form of mortgages or other assets. The right to
such funds or collateral would typically become MBIA Corp.’s upon the payment of a claim by MBIA Corp.
MBIA Corp. maintains underwriting guidelines based on those aspects of credit quality that it deems important for each category of
obligation considered for insurance.
In February 2009, MBIA Corp. entered into a quota share reinsurance agreement effective January 1, 2009 pursuant to which MBIA Corp.
ceded all of its U.S. public finance exposure to National. The reinsurance enables covered policyholders and certain ceding reinsurers to
make claims for payment directly against National in accordance with the terms of the cut-through provisions of the reinsurance
agreement. As of December 31, 2012, the aggregate amount of insurance in force ceded by MBIA Corp. to National under the above
reinsurance agreement was $351.5 billion. As a result of the cut-through provision of the above reinsurance agreement, amounts related
to U.S. public finance have been excluded from the following tables and disclosures.
74
Note 12: Insurance in Force (continued)
As of December 31, 2012, insurance in force, which represents principal and interest or other amounts owing on insured obligations, had
an expected maturity range of 1 to 45 years. The distribution of insurance in force by geographic location, excluding $3.4 billion and
$4.4 billion relating to transactions guaranteed by MBIA Corp. on behalf of various investment management services affiliated companies
as of December 31, 2012 and 2011, respectively, is presented in the following table:
As of December 31,
In billions
2012
Geographic Location
United States
United Kingdom
Australia
Chile
Canada
Mexico
France
Germany
Spain
Portugal
Subtotal
Internationally diversified
Other country specific
Total
Insurance
in Force
in Force
$
73.4
26.7
8.0
4.2
2.9
2.7
2.5
2.4
1.5
0.7
125.0
18.9
4.3
$ 148.2
75
2011
% of
Insurance
49.5%
18.0%
5.4%
2.8%
2.0%
1.8%
1.7%
1.6%
1.0%
0.5%
84.3%
12.8%
2.9%
100.0%
Insurance
% of
Insurance
in Force
in Force
$
95.8
26.2
8.8
4.2
3.2
2.7
3.3
3.0
1.5
0.9
149.6
28.9
5.0
$ 183.5
52.2%
14.3%
4.8%
2.3%
1.7%
1.5%
1.8%
1.6%
0.8%
0.5%
81.5%
15.8%
2.7%
100.0%
The insurance in force by bond type, excluding $3.4 billion and $4.4 billion relating to transactions guaranteed by MBIA Corp. on behalf of
various investment management services affiliated companies as of December 31, 2012 and 2011, respectively, is presented in the
following table:
As of December 31,
In billions
2012
Insurance
in Force
Bond type
Global public finance—non-United States:
International utilities
Sovereign-related and sub-sovereign (1)
Transportation
Local governments (2)
Health care
Tax-backed
Total non-United States
Collateralized debt obligations (3)
Consumer asset-backed:
Auto loans
Student loans
Manufactured housing
Other consumer asset-backed
Corporate asset-backed:
Operating assets:
Aircraft portfolio lease securitizations
Secured airline equipment securitization (EETC)
Other operating assets
Structured insurance securitizations
Franchise assets
Intellectual property
Future flow
Other corporate asset-backed
Total
$
2011
% of
Insurance
in Force
16.2
18.4
14.2
0.5
0.1
0.2
49.6
11.0%
12.4%
9.6%
0.3%
0.0%
0.1%
33.4%
57.6
17.1
3.8
Insurance
in Force
$
% of
Insurance
in Force
16.2
18.6
15.0
0.5
0.1
0.2
50.6
8.8%
10.1%
8.2%
0.3%
0.1%
0.1%
27.6%
38.9%
11.5%
2.5%
78.7
21.1
4.4
42.9%
11.5%
2.4%
—
1.2
2.0
0.1
0.0%
0.8%
1.3%
0.1%
0.7
1.7
2.2
0.2
0.4%
0.9%
1.2%
0.1%
2.5
2.4
0.5
6.1
0.9
—
0.2
4.2
98.6
$ 148.2
1.7%
1.7%
0.4%
4.1%
0.6%
0.0%
0.2%
2.8%
66.6%
100.0%
3.2
3.2
0.7
7.5
1.3
1.9
0.4
5.7
132.9
$ 183.5
1.8%
1.7%
0.4%
4.1%
0.7%
1.0%
0.2%
3.1%
72.4%
100.0%
(1)— Includes regions, departments or their equivalent in each jurisdiction as well as sovereign-owned entities that are supported by a sovereign state, region or department.
(2)— Includes municipal-owned entities backed by sponsoring local government.
(3)— Includes transactions (represented by structured pools of primarily investment grade corporate credit risks or CRE assets) that do not include typical CDO structuring
characteristics, such as tranched credit risk, cash flow waterfalls, or interest and over-collateralization coverage tests.
MBIA Corp. has entered into certain guarantees of derivative contracts, included in the preceding tables, which are accounted for as
derivative instruments. MBIA Corp. generally guarantees the timely payment of principal and interest related to these derivatives upon the
occurrence of a credit event with respect to a referenced obligation. The maximum amount of future payments that MBIA Corp. may be
required to make under these guarantees is $51.7 billion. MBIA Corp.’s guarantees of derivative contracts have a legal maximum maturity
range of 1 to 70 years. A small number of insured credit derivative contracts have long-dated maturities, which comprise the longest
maturity dates of the underlying collateral. However, the expected maturities of such contracts are much shorter due
76
to amortization and prepayments in the underlying collateral pools. The fair values of these guarantees as of December 31, 2012 and
2011 are recorded on the consolidated balance sheets as derivative assets and liabilities, representing gross gains and losses, of
$7 million and $2.9 billion, and $8 million and $4.8 billion, respectively.
Investment agreement contracts and medium-term notes issued by MBIA Inc. and certain of its subsidiaries are insured by MBIA Corp.
and are not included in the previous tables. If MBIA Inc. or these subsidiaries were to have insufficient assets to pay amounts due, MBIA
Corp. would be called upon to make such payments under its insurance policies. As of December 31, 2012, the maximum amount of
future payments that MBIA Corp. could be required to make under these guarantees is $3.4 billion. These guarantees, which have a
maximum maturity range of 1 to 33 years, were entered into on an arm’s length basis. MBIA Corp. has both direct recourse provisions and
subrogation rights in these transactions. If MBIA Corp. is required to make a payment under any of these affiliate guarantees, it would
have the right to seek reimbursement from such affiliate and to liquidate any collateral to recover amounts paid under the guarantee.
Ceded Exposure
Reinsurance enables MBIA Corp. to cede exposure for purposes of syndicating risk and increasing its capacity to write new business while
complying with its single risk and credit guidelines. When a reinsurer is downgraded by one or more of the rating agencies, less capital
credit is given to MBIA Corp. under rating agency models and the overall value of the reinsurance to MBIA Corp. is reduced. MBIA Corp.
generally retains the right to reassume the business ceded to reinsurers under certain circumstances, including a reinsurer’s rating
downgrade below specified thresholds. As of December 31, 2012, MBIA Corp.’s use of reinsurance was immaterial to the insurance
operations and MBIA Corp. expects that it will continue to be immaterial in the future.
MBIA Corp. requires certain unauthorized reinsurers to maintain bank letters of credit or establish trust accounts to cover liabilities ceded
to such reinsurers under reinsurance contracts. As of December 31, 2012, the total amount available under these letters of credit and trust
arrangements was $8 million. MBIA Corp. remains liable on a primary basis for all reinsured risk, and although MBIA Corp. believes that
its reinsurers remain capable of meeting their obligations, there can be no assurance of such in the future.
As of December 31, 2012, the aggregate amount of insured par outstanding ceded by MBIA Corp. to third-party reinsurers under
reinsurance agreements was $3.4 billion, compared with $4.3 billion as of December 31, 2011. The aggregate amount of insurance in
force ceded by MBIA Corp. to third-party reinsurers under reinsurance agreements was $6.0 billion and $7.5 billion as of December 31,
2012 and 2011, respectively.
The following table presents information about MBIA Corp.’s reinsurance agreements as of December 31, 2012.
In millions
Reinsurers
Assured Guaranty Corp.
Assured Guaranty Re Ltd.
Overseas Private Investment Corp.
Export Development Canada
Others
Total
Standard &
Poor’s Rating
(Status)
Letters of
Credit/Trust
Moody’s Rating
(Status)
Ceded Par
Outstanding
AAAa3 (Ratings
(Stable Outlook)
Under Review) $
AAA1 (Ratings
(Stable Outlook)
Under Review)
AA+
Aaa
(Negative Outlook) (Negative Outlook)
AAA
Aaa
(Stable Outlook)
(Stable Outlook)
A+ or above
A2 or above
$
Reinsurance
Recoverable (1)
2,437 $
—
506
5
—
353
—
—
59
65
3,420 $
1
2
8
—
—
14
(1)— Total reinsurance recoverable of $14 million comprised recoverables on paid and unpaid losses of $1 million and $13 million, respectively.
77
Accounts
$
$
14
Since December 2007 through December 31, 2012, several of MBIA Corp.’s other financial guarantee reinsurers, including Assured
Guaranty Corp., Assured Guaranty Re Ltd., and Old Republic Insurance Co. have had their credit ratings either downgraded or put on
negative watch by one or more of the major rating agencies. Subsequent to December 31, 2012, Moody’s downgraded the credit ratings of
Assured Guaranty Corp. and Assured Guaranty Re Ltd. to A3 with a stable outlook and Baa1 with a stable outlook, respectively. Although
there was no material impact on MBIA Corp. from any of these rating agency actions relating to these reinsurers, a further deterioration in
the financial condition of one or more of these reinsurers could require the establishment of reserves against any receivables due from the
reinsurers.
Premium Summary
The components of financial guarantee net premiums earned, including premiums assumed from and ceded to other companies, are
presented in the following tables:
In millions
2012
Net premiums earned:
Direct
Assumed
Gross
Ceded
Net
Years ended December 31,
2011
2010
$ 494
2
496
(300)
$ 196
$ 513
2
515
(255)
$ 260
$ 528
2
530
(262)
$ 268
For the years ended December 31, 2012, 2011 and 2010, recoveries received on claims for financial guarantee policies under reinsurance
contracts totaled $131 million, $155 million and $123 million, respectively. Ceding commissions from reinsurance, before deferrals and net
of returned ceding commissions, were revenue of $7 million and expense of $25 million and revenue of $32 million for the years ended
December 31, 2012, 2011 and 2010, respectively.
Note 13: Insurance Regulations and Dividends
MBIA Corp. is subject to insurance regulations and supervision of the State of New York (their state of incorporation) and all U.S. and nonU.S. jurisdictions in which it is licensed to conduct insurance business. The extent of insurance regulation and supervision varies by
jurisdiction, but New York and most other jurisdictions have laws and regulations prescribing minimum standards of solvency and business
conduct, which must be maintained by insurance companies. Among other things, these laws prescribe permitted classes and
concentrations of investments and limit both the aggregate and individual securities risks that MBIA Corp. may insure on a net basis based
on the type of obligations insured. In addition, some insurance laws and regulations require the approval or filing of policy forms and rates.
MBIA Corp. is required to file detailed annual financial statements with the NYSDFS and similar supervisory agencies in other jurisdictions
in which it is licensed. The operations and accounts of MBIA Corp. are subject to examination by regulatory agencies at regular intervals.
The NYIL regulates the payment of dividends by financial guarantee insurance companies and provides that such companies may not
declare or distribute dividends except out of statutory earned surplus. Under the NYIL, the sum of (i) the amount of dividends declared or
distributed during the preceding 12-month period and (ii) the dividend to be declared may not exceed the lesser of (a) 10% of
policyholders’ surplus, as reported in the latest statutory financial statements and (b) 100% of adjusted net investment income for such 12month period (the net investment income for such 12-month period plus the excess, if any, of net investment income over dividends
declared or distributed during the two-year period preceding such 12-month period), unless the Superintendent of the NYSDFS approves a
greater dividend distribution based upon a finding that the insurer will retain sufficient surplus to support its obligations.
In 2012, MBIA Corp. did not declare or pay any dividends to MBIA Inc. or the holders of its preferred stock. MBIA Corp. is currently unable
to pay dividends, including those related to its preferred stock, as a result of its earned
78
Note 13: Insurance Regulations and Dividends (continued)
surplus deficit as of December 31, 2012 and is not expected to have any statutory capacity to pay any dividends in the near term. In
connection with MBIA Corp. obtaining approval from the NYSDFS to release excessive contingency reserves as of September 30,
2011, December 31, 2011 and March 31, 2012, as described below, MBIA Corp. agreed that it would not pay any dividends without prior
approval from the NYSDFS.
As a result of the establishment of National and the reinsurance of the MBIA Corp. and FGIC portfolios by National, MBIA Corp. exceeded,
as of the closing date, certain single and aggregate risk limits under the NYIL. MBIA Corp. obtained waivers from the NYSDFS of such
limits. In connection with the waivers, MBIA Corp. submitted a plan to the NYSDFS to achieve compliance with the applicable regulatory
limits. Under the plan, MBIA Corp. agreed not to write new financial guarantee insurance for certain issuers, and in certain categories of
business, until they were in compliance with their single and aggregate risk limits and agreed to take commercially reasonable steps,
including considering reinsurance, the addition of capital and other risk mitigation strategies, in order to comply with the regulatory single
risk limits. As a condition to granting the waiver, the NYSDFS required that, in addition to complying with these plans, upon written notice
from the NYSDFS, MBIA Corp. as applicable, would cease writing new financial guarantee insurance if it were not in compliance with the
risk limitation requirements by December 31, 2009. To date, no such notice has been received from the NYSDFS.
As of December 31, 2012, MBIA Corp. exceeded its aggregate risk limits under the NYIL by $56 million. MBIA Corp. notified the NYSDFS
of the overage and submitted a plan to achieve compliance with the limits in accordance with the NYIL. If MBIA Corp. is not in compliance
with its aggregate risk limits, the NYSDFS may prevent MBIA Corp. from transacting any new financial guarantee insurance business until
it no longer exceeds the limitations. During 2011, MBIA Corp. was in compliance with its aggregate risk limits. In 2012 and 2011, MBIA
Corp. reported additional overages to the NYSDFS with respect to its single risk limits due to changes in its statutory capital.
Under the NYIL, MBIA Corp. is also required to establish a contingency reserve to provide protection to policyholders in the event of
extreme losses in adverse economic events. The amount of the reserve is based on the percentage of principal insured or premiums
earned, depending on the type of obligation (net of collateral, reinsurance, refunding, refinancing and certain insured securities). Under the
NYIL, MBIA Corp. is required to invest its minimum surplus and contingency reserves, and 50% of its loss reserves and unearned
premium reserves, in certain qualifying assets. Reductions in the contingency reserve may be recognized based on excess reserves and
under certain stipulated conditions, subject to the approval of the Superintendent of the NYSDFS.
As of December 31, 2012, MBIA Corp. had a deficit of $140 million of qualifying assets required to support its contingency reserves. The
deficit was caused by the failure of certain mortgage originators, particularly Bank of America, to honor their contractual obligations to
repurchase ineligible mortgage loans from securitizations MBIA Corp. insured thus requiring it to sell liquid assets in order to make claim
payments. The deficit is expected to grow as additional commutation and claim payments are made in the future until the defaulted putbacks are collected. MBIA Corp. has reported the deficit to the NYSDFS as of September 30, 2012 and December 31, 2012. MBIA
Insurance Corporation has requested approval from the NYSDFS to release $140 million of contingency reserves as of December 31,
2012, but to date has not received approval.
Note 14: Statutory Accounting Practices
The financial statements have been prepared on a GAAP basis, which differs in certain respects from the statutory accounting practices
prescribed or permitted by the insurance regulatory authorities of MBIA Corp. Statutory accounting practices differ from GAAP in the
following respects:
•
Upfront premiums are earned on a U.S. STAT basis proportionate to the scheduled periodic maturity of principal and payment
of interest (“debt service”) to the original total principal and interest insured. Additionally, under U.S. STAT, installment
premiums are earned on a straight-line basis over each installment period generally one year or less. Under GAAP, MBIA Corp.
recognizes and measures premium revenue over the period of the contract in proportion to the amount of insurance protection
79
Note 14: Statutory Accounting Practices (continued)
provided. Upfront and installment premium revenue is measured by applying a constant rate to the insured principal amount
outstanding in a given period to recognize a proportionate share of the premium received or expected to be received on a
financial guarantee insurance contract. Additionally, under GAAP, installment premiums receivable are recorded at the present
value of the premiums due or expected to be collected over the period of the insurance contract using a discount rate which
reflects the risk-free rate at the inception of the contract;
•
acquisition costs are charged to operations as incurred rather than deferred and amortized as the related premiums are earned;
•
fixed-maturity investments are generally reported at amortized cost rather than fair value;
•
surplus notes are recorded as a component of policyholders surplus, while under GAAP, surplus notes are treated as a longterm debt obligation;
•
a contingency reserve is computed on the basis of statutory requirements, and is not permitted under GAAP;
•
reserves for losses and LAE for financial guarantee and insured derivatives are established at present value for specific insured
issues that are identified as currently or likely to be in default net of insurance loss recoverables. Incurred losses and LAE are
discounted by applying a discount rate equal to the yield-to-maturity of MBIA Corp.’s fixed-income portfolio, excluding cash and
cash equivalents and other investments not intended to defease long-term liabilities. Under GAAP, a claim liability (loss
reserve) is recognized for financial guarantees on a contract-by-contract basis when the present value of expected net cash
outflows to be paid under the contract using a risk-free rate as of the measurement date exceeds the unearned premium
revenue and are shown gross of insurance loss recoverables on paid losses which are reported as an asset;
•
guarantees of derivatives are not recorded at fair value, while under GAAP, guarantees that do not qualify for the financial
guarantee scope exception under accounting principles for derivative instruments and hedging activities are recorded at fair
value;
•
changes in net deferred income taxes are recognized as a separate component of gains and losses in surplus. Under GAAP,
changes in MBIA Corp.’s net deferred income tax balances are either recognized as a component of net income or other
comprehensive income depending on how the underlying pre-tax impact is reflected;
•
VIEs are not consolidated by the primary beneficiary under statutory requirements; and
•
certain assets designated as “non-admitted assets” are charged directly against surplus but are reflected as assets under
GAAP.
The net loss for MBIA Corp. determined in accordance with statutory accounting practices for the years ended December 31, 2012, 2011
and 2010 was $843 million, $477 million, and $434 million, respectively. Statutory policyholders’ surplus of MBIA Corp. determined in
accordance with statutory accounting practices as of December 31, 2012 and 2011 was $965 million and $1.6 billion, respectively. In order
to maintain its New York State financial guarantee insurance license, MBIA Corp. is required to maintain a minimum of $65 million of
policyholders’ surplus.
80
Note 14: Statutory Accounting Practices (continued)
The following is a reconciliation of the consolidated shareholders’ equity of MBIA Corp., presented on a GAAP basis, to the statutory
policyholders’ surplus of MBIA Corp. and its subsidiaries:
As of December 31,
2012
2011
In millions
MBIA Corp’s GAAP shareholders’ equity
Premium revenue recognition (financial guarantee)
Deferral of acquisition costs, net of ceding commission
Investments, including unrealized gains (losses)
Surplus notes
Contingency reserve
Loss reserves
Income tax liabilities, net
Derivative assets and liabilities
VIE assets and liabilities, net
Non-admitted assets and other items
Statutory policyholders’ surplus
$
539
(239)
(106)
(459)
953
(493)
(1,138)
(1,182)
2,932
109
49
$
965
$ (364)
(226)
(116)
(439)
953
(706)
(903)
(1,645)
4,810
209
24
$ 1,597
The statutory financial statements of MBIA Corp. are presented on the basis of accounting practices prescribed or permitted by the
National Association of Insurance Commissioners Accounting Practices and Procedures Manual in its entirety subject to any conflicts with
state regulations, or where the state statutes or regulations are silent.
Note 15: Employee Benefits
MBIA Corp. participates in MBIA Inc.’s pension plan, which covers substantially all employees. The pension plan is a qualified noncontributory defined contribution pension plan to which MBIA Corp. contributes 10% of each eligible employee’s annual compensation.
Annual compensation for determining such contributions consists of base salary, bonus and commissions, as applicable. Pension benefits
vest over a five-year period with 20% vested after two years, 60% vested after three years, 80% vested after four years and 100% vested
after five years. MBIA Corp. funds the annual pension contribution by the following February of each applicable year. Pension expense
related to the qualified pension plan for the years ended December 31, 2012, 2011 and 2010 was $1 million in each year, respectively.
MBIA Inc. also maintains a qualified profit sharing/401(k) plan in which MBIA Corp. participates. The plan is a voluntary contributory plan
that allows eligible employees to defer compensation for federal income tax purposes under Section 401(k) of the Internal Revenue Code
of 1986, as amended. Employees may contribute, through payroll deductions, up to 25% of eligible compensation. MBIA Corp. matches
employee contributions up to the first 5% of such compensation. The 401(k) matching contributions are made in the form of cash, whereby
participants may direct the MBIA Inc. match to an investment of their choice. MBIA Corp.’s contributions vest over a five-year period with
20% vested after two years, 60% vested after three years, 80% vested after four years and 100% vested after five years. Generally, a
participating employee is entitled to distributions from the plan upon termination of employment, retirement, death or disability. Participants
who qualify for distribution may receive a single lump sum, transfer the assets to another qualified plan or individual retirement account, or
receive a series of specified installment payments. Profit sharing/401(k) expense related to the qualified profit sharing/401(k) plan for the
years ended December 31, 2012, 2011 and 2010 was $154 thousand, $947 thousand and $587 thousand, respectively.
In addition to the above two plans, MBIA Corp. also participates in MBIA Inc.’s non-qualified deferred compensation plan. Contributions to
the above qualified plans that exceed limitations established by federal regulations are then contributed to the non-qualified deferred
compensation plan. The non-qualified pension expense for the years ended December 31, 2012, 2011 and 2010 was $476 thousand,
$678 thousand and $482 thousand, respectively. The non-qualified profit sharing/401(k) expense for the years ended December 31, 2012,
2011 and 2010 was $284 thousand, $157 thousand and $123 thousand, respectively.
81
Note 15: Employee Benefits (continued)
MBIA Corp. participates in the MBIA Inc. 2005 Omnibus Incentive Plan (the “Omnibus Plan”), as amended on May 7, 2009 and May 1,
2012. The Omnibus Plan may grant any type of an award including stock options, performance shares, performance units, restricted stock,
restricted stock units and dividend equivalents. Following the effective date of the Omnibus Plan, no new options or awards were granted
under any of the prior plans authorized by the MBIA Inc. shareholders.
The stock option component of the Omnibus Plan enables key employees to acquire shares of MBIA Inc. common stock. The stock option
grants, which may be awarded every year, provide the right to purchase shares of MBIA Inc. common stock at the fair value of the stock
on the date of grant. Options granted will either be Incentive Stock Options (“ISOs”), where they qualify under Section 422(a) of the
Internal Revenue Code, or Non-Qualified Stock Options (“NQSOs”). ISOs and NQSOs are granted at a price not less than 100% of the fair
value, defined as the closing price on the grant date, of MBIA Inc. common stock. Options are exercisable as specified at the time of grant
depending on the level of the recipient (generally four or five years) and expire either seven or ten years from the date of grant (or shorter
if specified or following termination of employment).
Under the restricted stock component of the Omnibus Plan, certain employees are granted restricted shares of MBIA Inc.’s common stock.
These awards have a restriction period lasting three, four or five years depending on the type of award, after which time the awards fully
vest. During the vesting period these shares may not be sold. Restricted stock may be granted to all employees.
In accordance with the accounting guidance for share-based payments, MBIA Inc. expenses the fair value of employee stock options and
other forms of stock-based compensation. In addition, the guidance classifies share-based payment awards as either liability awards,
which are remeasured at fair value at each balance sheet date, or equity awards, which are measured on the grant date and not
subsequently remeasured. Generally, awards with cash-based settlement repurchase features or that are settled at a fixed dollar amount
are classified as liability awards, and changes in fair value will be reported in earnings. Awards with net-settlement features or that permit
a cashless exercise with third-party brokers are classified as equity awards and changes in fair value are not reported in earnings. MBIA
Inc.’s long-term incentive plans include features which result in both liability and equity awards. For liability awards, MBIA Inc. remeasures
these awards at each balance sheet date. In addition, the guidance requires the use of a forfeiture estimate. MBIA Inc. uses historical
employee termination information to estimate the forfeiture rate applied to current stock-based awards.
MBIA Inc. maintains voluntary retirement benefits, which provide certain benefits to eligible employees of MBIA Corp. upon retirement. A
description of these benefits is included in MBIA Inc.’s proxy statement. One of the components of the retirement program for those
employees that are retirement eligible is to continue to vest all performance-based stock options and restricted share awards beyond the
retirement date in accordance with the original vesting terms and to immediately vest all outstanding time-based stock options and
restricted share grants. The accounting guidance for share-based payment requires compensation costs for those employees to be
recognized from the date of grant through the retirement eligible date, unless there is a risk of forfeiture, in which case the compensation
cost is recognized in accordance with the original vesting schedule. Accelerated expense, if any, relating to this retirement benefit for both
stock option awards and restricted stock awards has been included in the disclosed compensation expense amounts.
In accordance with the accounting guidance for share-based payments, MBIA Inc. valued all stock options granted using an option-pricing
model. The value is recognized as an expense over the period in which the options vest. MBIA Corp.’s proportionate share of
compensation cost for employee stock options for the years ended December 31, 2012, 2011 and 2010 totaled $2 million, $1 million and
$1 million, respectively. MBIA Corp.’s proportionate share of compensation costs for restricted stock awards was $5 million for each of the
years ended December 31, 2012, 2011 and 2010, respectively.
During 2011 and 2010, MBIA Corp. granted deferred cash-based long-term incentive awards. No new grants were awarded during 2012.
These grants have a vesting period of either three or five years, after which time the award fully vests. Payment is generally contingent
upon the employee’s continuous employment with MBIA Corp.
82
Note 15: Employee Benefits (continued)
through the payment date. The deferred cash awards are granted to employees from the vice-president level up. Compensation expense
related to the deferred cash awards was $2 million, $3 million and $2 million for the years ended December 31, 2012, 2011 and 2010,
respectively.
Note 16: Preferred Stock
As of December 31, 2012 and 2011, MBIA Corp. had 2,759 shares of the preferred stock issued and outstanding. The carrying value of
the preferred stock was $28 million as of December 31, 2012 and 2011.
In accordance with MBIA Corp.’s fixed-rate election, the dividend rate on the preferred stock was determined using a fixed-rate equivalent
of LIBOR plus 200 basis points. Each share of preferred stock has a par value of $1,000 with a liquidation preference of $100,000. The
holders of the preferred stock are not entitled to any voting rights as shareholders of MBIA Corp. and their consent is not required for
taking any corporate action. Subject to certain requirements, the preferred stock may be redeemed, in whole or in part, at the option of
MBIA Corp. at any time or from time to time for cash at a redemption price equal to the liquidation preference per share plus any accrued
and unpaid dividends thereon at the date of redemption for the then current dividend period and any previously accumulated dividends
payable without interest on such unpaid dividends. As of December 31, 2012 and 2011, there were no dividends declared on the preferred
stock. Payment of dividends on MBIA Corp.’s preferred stock is subject to the same restrictions that apply to dividends on common stock
under New York State insurance law. The terms of the preferred stock provide that if MBIA Corp. fails to pay dividends in full on the
preferred stock for 18 consecutive months, the authorized number of members of the MBIA Corp. board of directors will automatically be
increased by two and the holders of the preferred stock will be entitled to fill the vacancies so created at a special meeting of the preferred
stockholders of MBIA Corp. Due to its nonpayment of dividends on the preferred stock for 18 consecutive months, MBIA Corp. held a
meeting of preferred stockholders on August 12, 2011 to elect the two new directors. The meeting was adjourned because a quorum was
not present. MBIA Corp. is currently unable to pay dividends, including dividends on its preferred stock, due to earned surplus deficits per
its statutory financial statement filing as of December 31, 2012 and 2011.
Note 17: Related Party Transactions
Related parties are defined as the following:
•
Affiliates of MBIA Corp.: An affiliate is a party that directly or indirectly controls, is controlled by or is under common control with
MBIA Corp. Control is defined as having, either directly or indirectly, the power to direct the management and operating policies
of a company through ownership, by contract or otherwise.
•
Entities for which investments are accounted for using the equity method by MBIA Corp.
•
Trusts for the benefit of employees, such as pension and profit sharing trusts, that are managed by or under the trusteeship of
management.
•
Principal owners of MBIA Corp. defined as owners of record or known beneficial owners of more than 10% of the voting
interests of MBIA Corp.
•
Management of MBIA Corp. which includes persons who are responsible for achieving the objectives of MBIA Corp. and who
have the authority to establish policies and make decisions by which those objectives are to be pursued. Management normally
includes members of the Board of Directors, the Chief Executive Officer, Chief Operating Officer, Vice President in charge of
principal business functions and other persons who perform similar policymaking functions.
•
Members of the immediate families of principal owners of MBIA Corp. and its management. This includes family members
whom a principal owner or a member of management might control or influence or by whom they may be controlled or
influenced because of the family relationship.
•
Other parties with which MBIA Corp. may deal if one party controls or can significantly influence the management or policies of
the other to an extent that one of the transacting parties might be prevented from fully pursuing its own separate interests.
83
Note 17: Related Party Transactions (continued)
•
Other parties that can significantly influence the management or policies of the transacting parties or that have an ownership
interest in one of the transacting parties and can significantly influence the other to the extent that one or more of the
transacting parties might be prevented from fully pursuing its own separate interests.
Since 1989, MBIA Corp. has executed five surety bonds to guarantee the payment obligations of the members of the Municipal Bond
Insurance Association (the “Association”), a voluntary unincorporated association of insurers writing municipal bond and note insurance as
agents for the member insurance companies that had their S&P claims-paying rating downgraded from AAA on their previously issued
Association policies. In the event that the Association does not meet their policy payment obligations, MBIA Corp. will pay the required
amounts directly to the paying agent. The aggregate outstanding exposure on these surety bonds as of December 31, 2012 was $340
million.
MBIA Corp.’s investment portfolio is managed by Cutwater Investor Services Corp. (“Cutwater-ISC”) for domestic investments and by
Cutwater Asset Management UK Limited (“Cutwater AM-UK”) for international investments, both wholly-owned subsidiaries of MBIA Inc.,
which provide fixed-income investment management services for MBIA Inc. and its affiliates, as well as third-party institutional clients. Prior
to January 2011, Cutwater Asset Management Corp. (“Cutwater-AMC”) managed MBIA Corp.’s investment portfolio, which was assigned
to Cutwater-ISC in January 2011. In 2012, 2011 and 2010, Cutwater-ISC, Cutwater-AMC and Cutwater AM-UK charged fees of $5 million,
$7 million and $9 million to MBIA Corp., respectively, based on the performance of its investment portfolio.
MBIA Corp. insures outstanding investment agreement liabilities for MBIA Investment Management, which provides customized
investment agreements for bond proceeds and other public funds, as well as for funds which are invested as part of asset-backed or
structured product issuance. MBIA Corp. also insures assets and/or liabilities of MBIA-administered conduits that are consolidated in the
financial statements of MBIA Inc. and subsidiaries. Refer to “Note 12: Insurance in Force” for further details on insured exposure relating to
transactions guaranteed by MBIA Corp.
The MBIA Corp. Secured Loan was fully repaid in May 2012 and the outstanding balance as of December 31, 2011 was $300 million. The
interest income relating to this agreement was $3 million, $14 million, and $30 million, respectively, for the years ended December 31,
2012, 2011 and 2010.
In December 2011, MBIA Insurance Corporation entered into a secured loan agreement with National under which MBIA Insurance
Corporation borrowed $1.1 billion at a fixed annual interest rate of 7% and with a maturity date of December 2016. During 2012, MBIA
Insurance Corporation borrowed an additional $443 million under the National Secured Loan with the approval of the NYSDFS at the
same terms as the original loan to fund additional commutations of its insurance policies. MBIA Insurance Corporation has the option to
defer payments of interest when due by capitalizing interest amounts to the loan balance, subject to certain thresholds. MBIA Insurance
Corporation has elected to defer the interest payments due under the loan. Interest expense attributable to this agreement totaled
approximately $103 million and $4 million, respectively, for the years ended December 31, 2012 and 2011. As of December 31, 2012 and
2011, the amount outstanding under this secured loan was $1.7 billion and $1.1 billion, respectively.
MBIA Corp. provides credit support and issues financial guarantee policies on credit derivative instruments entered into by LaCrosse, an
entity previously consolidated by MBIA Corp. under the criteria for variable interest entities. LaCrosse became an affiliate of MBIA Corp.
during the fourth quarter of 2009. The outstanding notional amount of insured CDS contracts entered into by LaCrosse was $47.5 billion
and $67.0 billion as of December 31, 2012 and 2011, respectively and the gross outstanding notional amount of insured CDS contracts
entered into by LaCrosse ceded to other reinsurers was zero as of December 31, 2012 and 2011, respectively. During 2012, 2011 and
2010 premiums from LaCrosse for payments received from the counterparties under the insured CDS contracts amounted to $53 million,
$98 million, and $124 million, respectively.
84
Note 17: Related Party Transactions (continued)
Optinuity Alliance Resources (“Optinuity”), created in the first quarter of 2010, provides support services such as management, legal,
accounting, treasury and information technology, among others, to MBIA Inc. and other subsidiaries on a fee-for-service basis including
MBIA Corp. The services fees charged to MBIA Corp. by Optinuity were $36 million for the year ended December 31, 2012 and $37 million
for the years ended December 31, 2011 and 2010.
MBIA Infrastructure LP Limited, a wholly-owned subsidiary of MBIA UK, established in the second quarter of 2011, serves as the limited
partner to TIF Infrastructure LP, an affiliated limited partnership. MBIA Infrastructure LP Limited has issued four interest free partner loans
to TIF Infrastructure LP during 2011. The loans have termination dates ranging from February 2032 to February 2038. The partner loans
have been issued to enable TIF Infrastructure LP to invest in a range of European infrastructure projects. As of December 31, 2012 and
2011, the amount of loans outstanding was $27 million.
During 2011, MBIA Inc. repurchased 111 shares of the outstanding preferred stock of MBIA Corp. at a weighted average purchase price of
$20,200 per share or 20.2% of the face value. Preferred shares of 1,315 of MBIA Corp. remained outstanding with a carrying value of
$12 million as of December 31, 2012 and 2011.
Included in other liabilities were $10 million and $16 million of net payable from MBIA Inc. and other subsidiaries as of December 31, 2012
and 2011.
MBIA Corp. had no loans outstanding to any executive officers or directors during 2012 and 2011.
Note 18: Commitments and Contingencies
In the normal course of operating its business, MBIA Corp. may be involved in various legal proceedings. Additionally, MBIA may be
involved in various legal proceedings that directly or indirectly impact MBIA Corp.
MBIA has received subpoenas or informal inquiries from a variety of regulators, regarding a variety of subjects. MBIA has cooperated fully
with each of these regulators and has or is in the process of satisfying all such requests. MBIA may receive additional inquiries from these
or other regulators and expects to provide additional information to such regulators regarding their inquiries in the future.
Recovery Litigation
On September 30, 2008, MBIA Corp. commenced an action in New York State Supreme Court, New York County, against Countrywide
Home Loans, Inc., Countrywide Securities Corp. and Countrywide Financial Corp. (collectively, “Countrywide”). An amended complaint,
adding Bank of America as successor to Countrywide’s liabilities, and Countrywide Home Loans Servicing LP as defendants was filed on
August 24, 2009. The amended complaint alleges that Countrywide fraudulently induced MBIA Corp. to provide financial guarantee
insurance on securitizations of HELOCs and closed-end second-liens by misrepresenting the true risk profile of the underlying collateral
and Countrywide’s adherence to its strict underwriting standards and guidelines. The complaint also alleges that Countrywide breached its
representations and warranties and its contractual obligations, including its obligation to cure or repurchase ineligible loans as well as its
obligation to service the loans in accordance with industry standards. Expert discovery was completed as of September 20, 2012. On
September 19, 2012, MBIA Corp. and Countrywide filed respective motions for summary judgment regarding Countrywide’s primary
liability and argument was heard on December 12 and 13, 2012. On September 28, 2012, MBIA Corp. and Bank of America filed motions
for summary judgment regarding Bank of America’s successor liability and argument was heard on January 9 and 10, 2013. Oral
argument with respect to the trial court’s partial summary judgment decision regarding proof of causation is scheduled for March 12, 2013
before the Appellate Division, First Department.
85
Note 18: Commitments and Contingencies (continued)
On July 10, 2009, MBIA Corp. commenced an action in Los Angeles Superior Court against Bank of America Corporation, Countrywide
Financial Corporation, Countrywide Home Loans, Inc., Countrywide Securities Corporation, Angelo Mozilo, David Sambol, Eric Sieracki,
Ranjit Kripalani, Jennifer Sandefur, Stanford Kurland, Greenwich Capital Markets, Inc., HSBC Securities (USA) Inc., UBS Securities, LLC,
and various Countrywide-affiliated Trusts. The complaint alleges that Countrywide made numerous misrepresentations and omissions of
material fact in connection with its sale of certain RMBS, including that the underlying collateral consisting of mortgage loans had been
originated in strict compliance with its underwriting standards and guidelines. MBIA Corp. commenced this action as subrogee of the
purchasers of the RMBS, who incurred severe losses that have been passed on to MBIA Corp. as the insurer of the income streams on
these securities. On June 21, 2010, MBIA Corp. filed its second amended complaint. The court has allowed limited discovery to proceed
while otherwise staying the case pending further developments in the New York Countrywide action described in the prior paragraph.
On October 15, 2008, MBIA Corp. commenced an action in the United States District Court for the Southern District of New York against
RFC. On December 5, 2008, a notice of voluntary dismissal without prejudice was filed in the Southern District of New York and the
complaint was re-filed in the Supreme Court of the State of New York, New York County. The complaint alleges that RFC fraudulently
induced MBIA Corp. to provide financial guarantee policies with respect to five RFC closed-end second-lien and HELOC securitizations,
and that RFC breached its contractual representations and warranties, as well as its obligation to repurchase ineligible loans, among other
claims. The case is currently stayed as a result of the Chapter 11 filing of ResCap on May 14, 2012 in the United States Bankruptcy Court
for the Southern District of New York.
On April 1, 2010, MBIA Corp. commenced an action in New York State Supreme Court, New York County, against GMAC. The complaint
alleges fraud and negligent misrepresentation on the part of GMAC in connection with the procurement of financial guarantee insurance
on three RMBS transactions, breach of GMAC’s representations and warranties and its contractual obligation to cure or repurchase
ineligible loans and breach of the implied duty of good faith and fair dealing. The case is currently stayed as a result of the Chapter 11
filing of ResCap on May 14, 2012 in the United States Bankruptcy Court for the Southern District of New York.
On December 14, 2009, MBIA Corp. commenced an action in New York State Supreme Court, New York County, against Credit Suisse
Securities (USA) LLC, DLJ Mortgage Capital, Inc., and Select Portfolio Servicing Inc. (collectively, “Credit Suisse”). The complaint seeks
damages for fraud and breach of contractual obligations in connection with the procurement of financial guarantee insurance on the Home
Equity Mortgage Trust Series 2007-2 securitization. On January 30, 2013, MBIA Corp. filed its amended complaint. The amended
complaint alleges, among other claims, that Credit Suisse falsely represented: (i) the attributes of the securitized loans; (ii) that the loans
complied with the governing underwriting guidelines; and (iii) that Credit Suisse had conducted extensive due diligence on and quality
control reviews of the securitized loans to ensure compliance with the underwriting guidelines. The complaint further alleges that the
defendants breached their contractual obligations to cure or repurchase loans found to be in breach of the representations and warranties
applicable thereto and denied MBIA Corp. the requisite access to all records and documents regarding the securitized loans. Defendants’
response to the amended complaint is due March 8, 2013.
On September 14, 2012, MBIA Insurance Corporation filed a complaint alleging fraud against J.P. Morgan Securities LLC (f/k/a Bear,
Stearns & Co. Inc.) relating to Bear, Stearns & Co. Inc.’s role as lead securities underwriter on the GMAC Mortgage Corporation Home
Equity Loan Trust 2006-HE4. On November 26, 2012, the defendant filed its answer.
On September 17, 2012, MBIA Insurance Corporation filed a complaint in Minnesota state court for aiding and abetting fraud and breach
of contract against certain Ally Bank companies relating to seven MBIA-insured mortgage-backed securitizations sponsored by RFC and
GMAC during 2006-2007. The defendants removed to the United States District Court for the District of Minnesota on October 5, 2012,
and filed a notice of motion to dismiss on October 12, 2012. A hearing on the defendants’ motion to dismiss is scheduled for April 25,
2013.
86
On January 11, 2013, MBIA Insurance Corporation commenced a lawsuit in the United States District Court for the Southern District of
New York against Flagstar ABS, LLC, Flagstar Bank, FSB, and Flagstar Capital Markets Corporation (collectively, “Flagstar”) alleging
breach of contract in connection with the Flagstar 2006-1 and 2007-1 second-lien RMBS transactions (the “Flagstar
Transactions”). Specifically, the complaint alleges that Flagstar breached the repurchase protocol and breached various representations
and warranties relating to the nature of the loans included in the securitizations and contained within the insurance agreements entered
into in connection with the Flagstar Transactions. Defendants’ response to the complaint is due February 28, 2013.
On October 14, 2008, June 17, 2009 and August 25, 2009, MBIA Corp. submitted proofs of claim to the Federal Deposit Insurance
Corporation (“FDIC”) with respect to the resolution of IndyMac Bank, F.S.B. for both pre- and post-receivership amounts owed to MBIA
Corp. as a result of IndyMac’s contractual breaches and fraud in connection with financial guarantee insurance issued by MBIA Corp. on
securitizations of HELOCs. The proofs of claim were subsequently denied by the FDIC. MBIA Corp. has appealed the FDIC’s denial of its
proofs of claim via a complaint, filed on May 29, 2009, against IndyMac Bank, F.S.B. and the FDIC, as receiver, in the United States
District Court for the District of Columbia and alleges that IndyMac fraudulently induced MBIA Corp. to provide financial guarantee
insurance on securitizations of HELOCS by breaching contractual representations and warranties as well as negligently and fraudulently
misrepresenting the nature of the loans in the securitization pools and IndyMac’s adherence to its strict underwriting standards and
guidelines. On October 6, 2011, the court issued a ruling granting the FDIC’s motion to dismiss, which MBIA Corp. appealed. Oral
argument was heard on November 14, 2012 and a decision is pending.
On September 22, 2009, MBIA Corp. commenced an action in Los Angeles Superior Court against IndyMac ABS, Inc., Home Equity
Mortgage Loan Asset-Backed Trust, Series 2006-H4, Home Equity Mortgage Loans Asset-Backed Trust, Series INDS 2007-I, Home
Equity Mortgage Loan Asset-Backed Trust, Series INDS 2007-2, Credit Suisse Securities (USA), L.L.C., UBS Securities, LLC, JPMorgan
Chase & Co., Michael Perry, Scott Keys, Jill Jacobson, and Kevin Callan. The Complaint alleges that IndyMac Bank made numerous
misrepresentations and omissions of material fact in connection with its sale of certain RMBS, including that the underlying collateral
consisting of mortgage loans had been originated in strict compliance with its underwriting standards and guidelines. MBIA Corp.
commenced this action as subrogee of the purchasers of the RMBS, who incurred severe losses that have been passed on to MBIA Corp.
as the insurer of the income streams on these securities. On October 19, 2009, MBIA Corp. dismissed IndyMac ABS, Inc. from the action
without prejudice. On October 23, 2009, defendants removed the case to the United States District Court for the Central District of
California. On November 30, 2009, the IndyMac trusts were consensually dismissed from the litigation. On August 3, 2010, the court
denied defendants Motion for Judgment on the Pleadings in its entirety. Effective January 30, 2012, the case has been reassigned to
Judge Kenneth Freeman.
Transformation Litigation
On May 13, 2009, a complaint was filed in the New York State Supreme Court against MBIA, MBIA Corp. and National, entitled ABN
AMRO Bank N.V. et al. v. MBIA Inc. et al. The plaintiffs, a group of domestic and international financial institutions, purport to be acting as
holders of insurance policies issued by MBIA Corp. directly or indirectly guaranteeing the repayment of structured finance products. The
complaint alleges that certain of the terms of the transactions entered into by MBIA, which were approved by the New York State
Department of Insurance, constituted fraudulent conveyances and a breach of the implied covenant of good faith and fair dealing under
New York law. The complaint seeks a judgment (a) ordering the defendants to unwind the transactions, (b) declaring that the transactions
constituted a fraudulent conveyance, (c) declaring that MBIA and National are jointly and severally liable for the insurance policies issued
by MBIA Corp., and (d) ordering damages in an unspecified amount. On February 17, 2010, the court denied the defendants’ motion to
dismiss. Sixteen of the original eighteen plaintiffs have dismissed their claims, several of which dismissals were related to the commutation
of certain of their MBIA-insured exposures.
On June 15, 2009, the same group of eighteen domestic and international financial institutions who filed the above described plenary
action in New York State Supreme Court filed a proceeding pursuant to Article 78 of New York’s Civil Practice Law & Rules in New York
State Supreme Court, entitled ABN AMRO Bank N.V. et al. v. Eric Dinallo, in his capacity as Superintendent of the New York State
Insurance Department, the New York State
87
Insurance Department, MBIA Inc. et al. The petition seeks a judgment (a) declaring void and to annul the approval letter of the
Superintendent of the Department of Insurance, (b) to recover dividends paid in connection with the Transactions, and (c) declaring that
the approval letter does not extinguish plaintiffs’ direct claims against MBIA in the plenary action described above. MBIA and the New York
State Insurance Department filed their answering papers to the Article 78 Petition on November 24, 2009 and argued that based on the
record and facts, approval of Transformation and its constituent transactions was neither arbitrary nor capricious nor in violation of NYIL.
The Article 78 hearing concluded on June 7, 2012. A decision is pending. Sixteen of the original eighteen plaintiffs have dismissed their
claims, several of which dismissals were related to the commutation of certain of their MBIA-insured exposures.
On September 10, 2012, CQS ABS Master Fund Ltd., CQS Select ABS Master Fund Ltd., and CQS ABS Alpha Master Fund Ltd. as
holders of MBIA-insured residential mortgage-backed bonds filed suit against MBIA Inc., MBIA Insurance Corporation and National Public
Finance Guarantee Corp. The complaint alleges that certain of the terms of the transactions entered into by MBIA Insurance Corporation,
which were approved by the New York State Department of Insurance, constituted fraudulent conveyances under §§ 273, 274, 276 and
279(c) of New York Debtor and Creditor Law and a breach of the implied covenant of good faith and fair dealing under New York common
law. On October 19, 2012, MBIA filed its answer.
On November 9, 2012, certain holders of MBIA Corp.’s perpetual preferred shares filed a complaint in New York State Supreme Court,
New York County titled Broadbill Partners LP et al. v. MBIA Inc. et al. alleging harm in connection with (i) MBIA Corp.’s exercise of put
options in or around November 2008 pursuant to put option agreements with certain custodial trusts (i.e., North Castle Custodial Trusts I
through North Castle Custodial Trust VIII), (ii) MBIA’s February 2009 Transformation and (iii) the August 2011 meeting of preferred
stockholders to elect directors. Plaintiffs allege twenty-one causes of action including breach of contract, unjust enrichment, constructive
and resulting trust, recession, breach of the covenant of good faith and fair dealing, declaratory relief, fraud, intentional interference with
contract, violations of NYIL and New York Debtor and Creditor Law, and joint and several liability. On January 15, 2013, MBIA filed its
motion to dismiss.
On October 22, 2010, a similar group of domestic and international financial institutions who filed the above described Article 78
proceeding and related plenary action in New York State Supreme Court filed an additional proceeding pursuant to Article 78 of New
York’s Civil Practice Law & Rules in New York State Supreme Court, entitled Barclays Bank PLC et. al. v. James Wrynn, in his capacity as
Superintendent of the New York State Insurance Department, the New York State Insurance Department, MBIA Inc. et al. This petition
challenges the New York State Insurance Department’s June 22, 2010 approval of National’s restatement of earned surplus. The
proceeding is currently stayed through April 19, 2013.
Corporate Litigation
On December 13, 2012, Bank of America filed a complaint against MBIA Inc. and The Bank of New York Mellon, as Indenture Trustee in
New York State Supreme Court, County of Westchester, alleging MBIA’s consent solicitation completed on November 26, 2012, resulting
in amendments to the indentures governing five series of MBIA Inc.’s notes, tortiously interfered with Bank of America’s November 13,
2012 tender offer to buy all of MBIA Inc.’s 5.7% senior notes due 2034. On January 8, 2013, MBIA filed a motion to transfer venue to New
York State Supreme Court, New York County and the briefing was completed on January 31, 2013. On February 19, 2013, Bank of
America filed an amended complaint.
On February 7, 2013, MBIA filed a complaint for declaratory and injunctive relief against Bank of America Corp. and Blue Ridge
Investments, L.L.C. in New York State Supreme Court, County of Westchester. The complaint seeks, among other things, a declaration
that amendments to indentures and/or the issuance of supplemental indentures governing five series of MBIA Inc.’s notes that resulted
from MBIA’s consent solicitation completed on November 26, 2012, were valid and properly effectuated and did not give rise to an event of
default under the Senior Indenture dated as of November 24, 2004 between MBIA Inc. and the Bank of New York, as Trustee.
88
On July 23, 2008, the City of Los Angeles filed a complaint in the Superior Court of the State of California, County of Los Angeles, against
a number of financial guarantee insurers, including MBIA. At the same time and subsequently, additional complaints against MBIA and
nearly all of the same co-defendants were filed by various municipal entities and quasi-municipal entities, mostly in California. These
cases are part of a coordination proceeding in Superior Court, San Francisco County, before Judge Richard A. Kramer, referred to as the
Ambac Bond Insurance Cases, which name as defendants MBIA, Ambac Assurance Corp., Syncora Guarantee, Inc. f/k/a XL Capital
Assurance Inc., Financial Security Assurance, Inc., Assured Guaranty Corp., Financial Guaranty Insurance Company, and CIFG
Assurance North America, Inc., Fitch Inc., Fitch Ratings, Ltd., Fitch Group, Inc., Moody’s Corporation, Moody’s Investors Service, Inc., The
McGraw-Hill Companies, Inc., and Standard & Poor’s Corporation.
In August 2011, the plaintiffs filed amended versions of their respective complaints. The claims allege participation by all the defendants in
a conspiracy in violation of California’s antitrust laws to maintain a dual credit rating scale that misstated the credit default risk of municipal
bond issuers and not-for-profit issuers and thus created market demand for bond insurance. The plaintiffs also allege that the individual
bond insurers participated in risky financial transactions in other lines of business that damaged each bond insurer’s financial condition
(thereby undermining the value of each of their guaranties), and each failed adequately to disclose the impact of those transactions on
their financial condition. In addition to the statutory antitrust claim, plaintiffs assert common law claims of breach of contract and fraud
against MBIA Corp. and the other monoline defendants. The non-municipal plaintiffs also allege a California unfair competition cause of
action. On May 1, 2012, the court ruled in favor of the monoline defendants on their special motion to strike pursuant to California’s AntiSLAPP statute. A hearing on the motion is scheduled for March 12, 2013.
On July 23, 2008, the City of Los Angeles filed a separate complaint in the Superior Court, County of Los Angeles, naming as defendants
MBIA and other financial institutions, and alleging fraud and violations of California’s antitrust laws through bid-rigging in the sale of
guaranteed investment contracts and what plaintiffs call “municipal derivatives” to municipal bond issuers. The case was removed to
federal court and transferred by order dated November 26, 2008, to the Southern District of New York for inclusion in the multidistrict
litigation In re Municipal Derivatives Antitrust Litigation, M.D.L. No. 1950. Complaints making the same allegations against MBIA and
nearly all of the same co-defendants were then, or subsequently, filed by municipal entities and quasi-municipal entities, mostly in
California, and three not-for-profit retirement community operators. These cases have all been added to the multidistrict litigation. The
plaintiffs in all of the cases assert federal and either California or New York state antitrust claims. As of May 31, 2011, MBIA has answered
all of the existing complaints.
On March 12, 2010, the City of Phoenix, Arizona filed a complaint in the United States District Court for the District of Arizona against
MBIA Corp., Ambac Assurance Corp. and Financial Guaranty Insurance Company relating to insurance premiums charged on municipal
bonds issued by the City of Phoenix between 2004 and 2007. The plaintiff’s complaint alleges pricing discrimination under Arizona
insurance law and unjust enrichment.
On April 5, 2010, Tri-City Healthcare District, a California public healthcare legislative district, filed a complaint in the Superior Court of
California, County of San Francisco, against MBIA, MBIA Corp., National, certain MBIA employees (collectively for this paragraph, “MBIA”)
and various financial institutions and law firms. Tri-City subsequently filed five amended complaints. The Fifth Amended Complaint, filed
on March 7, 2012, purports to state seven causes of action against MBIA for, among other things, fraud, negligent misrepresentation,
breach of contract and violation of the Business and Professions Code arising from Tri-City Healthcare District’s investment in auction rate
securities. MBIA filed its answer to the remaining causes of action on November 26, 2012.
MBIA and MBIA Corp. are defending against the aforementioned actions in which they are a defendant and expect ultimately to prevail on
the merits. There is no assurance, however, that they will prevail in these actions. Adverse rulings in these actions could have a material
adverse effect on MBIA Corp.’s ability to implement its strategy and on its business, results of operations, cash flows and financial
condition. At this stage of the litigation, there has not been a determination as to the amount, if any, of damages. Accordingly, MBIA Corp.
is not able to estimate any amount of loss or range of loss.
89
There are no other material lawsuits pending or, to the knowledge of MBIA Corp., threatened, to which MBIA Corp. or any of its
subsidiaries is a party.
Note 19: Subsequent Events
Refer to “Note 18: Commitments and Contingencies” for information about legal proceedings that developed after December 31, 2012.
90
Fideicomiso Irrevocable No. 234036 para la Emisión de Certificados Bursátiles BRHCCB 07-U Serie A1, BRHCCB 072U Serie A2 y BRHCCB 07-3U Serie B
(Banco HSBC México, S. A., Institución de Banca Múltiple, Grupo Financiero HSBC, División Fiduciaria)
Estados de posición financiera
Al 31 de diciembre de 2012 y 2011
(Cifras en miles de pesos)
2012
2011
Efectivo y equivalentes de efectivo
Cartera de crédito
Deudores diversos
Total de active circulante
$77,566
121,799
21,050
220,415
$78,728
118,530
18,252
215,510
Carteras de créditos
Estimaciónparacuentasincobrables
Bienesadjudicados
Total de activo no cirdulante
2,445,996
-774,699
267,269
1,938,566
2,499,202
-756,775
224,090
1,966,517
Total de Activo
2,158,981
2,182,027
70,070
118,877
188,947
27,844
116,411
144,255
2,387,306
2,387,306
2,454,529
2,454,529
2,576,253
2,598,784
171
-416,928
-515
-417,272
171
-170,269
-246,659
-416,757
$2,158,981
$2,182,027
Otrascuentasporpagar
Porción circulante del pasivo bursátil
Total pasivo a corto plazo
Pasivobursátil
Total pasivo a largo plazo
Patrimoniofideicomitido
Resultadosacumulados
Resultado del ejercicio
Total patrimonio
Fideicomiso Irrevocable No. 234036 para la Emisión de Certificados Bursátiles BRHCCB 07-U Serie A1, BRHCCB 072U Serie A2 y BRHCCB 07-3U Serie B
Estados de Resultados
2012
2011
Ingresos por intereses
Ingresos por comisiones cobradas
$187,142
20,483
$236,243
48,139
Gastosporintereses
-126,842
-210,416
-14,247
66,536
-32,744
-18,337
55,269
-264,602
33,792
-208,973
-34,399
-57,610
92
-515
19,924
-246,659
-$515
-$246,659
Gastos por comisiones pagadas
Margen financiero
Estimación para cuentas incobrables
Margen financiero ajustado
Gastos de administración
Otrosingresos
Resultado integral
234036 FIDEICOMISO HBMX
AV PASEO DE LA REFORMA NO. 347 PISO 3
COL. CUAUHTEMOC
06500 CUAUHTEMOC DF
REF: FIDEICOMISO 234036
COMPARATIVOS AL 31 DE DICIEMBRE
NOTAS A LOS ESTADOS FINANCIEROS
1.-
Efectivo y equivalentes de efectivo se integra como sigue:
2012
Depósitos bancarios
Inversiones de corto plazo (menores a 3 meses)
Total equivalentes de efectivo
$
$
26 $
77,540
77,566.00 $
2011
34
78,694
78,728.00
Al 31 de diciembre de 2012 y 2011 las inversiones de corto plazo se integran por inversiones, de gran liquidez y sujetos a riesgos poco significati
El plazo promedio de las inversiones en instrumentos financieros de deuda es de 3 días.
Las inversiones en valores están sujetas a diversos tipos de riesgos, los principales que pueden asociarse a los mismos están relacionados con el mer
tasas de interés asociadas al plazo, los tipos de cambio y los riesgos inherentes de crédito y liquidez de mercado
2.-
El rubro de ACTIVOS NO CIRCULANTE está conformado de la siguiente manera:
Concepto
Carteras de créditos-netos
Deudores Diversos
Estimación para cuentas incobrables
Bienes adjudicados
ACTIVO NO CIRCULANTE
2012
Importe
2,567,795
21,050
-774,699
267,269
2,081,415.00
2011
Importe
2,617,732
18,252
-756,775
224,090
2,103,299.00
La cartera está integrada por los créditos hipotecarios individuales denominados en pesos, cedidos por los Fideicomitentes, los cuales se encuent
tenedores de los certificados bursátiles a que se refiere la Nota 8, de acuerdo con las condiciones del Fideicomiso, y el plazo promedio de
3.-
El PASIVO está integrado de la siguiente manera:
El 25 de octubre de 2007 el Fideicomiso efectuó la emisión de certificados bursátiles preferentes por un importe de$773,524,700 UDI, autoriza
153/1504301/2007 del 22 de octubre de 2007, con carácter de no revolvente, previo cumplimiento de los requisitos señalados por las leyes General
Instituciones de Crédito y del Mercado de Valores, colocados entre el gran público inversionista, mediante la suscripción de un título global por par
de los Certificados , BRHCCB 07U, BRHCCB 07-2U y BRHCCB 07-3U con valor nominal de 100 pesos cada uno, con pagos mensuales de inter
podrán efectuarse amortizaciones parciales anticipadas del principal de los Certificados con el fin de obte¬ner recursos que serán utilizados para el
la cesión de los mismos.
Los términos, condiciones y valores en libros de los certificados bursátiles son los siguientes:
COL. CUAUHTEMOC
06500 CUAUHTEMOC DF
Clave de cotización
BRHCCB 07U Serie A1,
Valor de emision
Moneda
Tasa de
interés
Fecha de emisión
Años vencimiento
UDI
4.19%
25-oct-2007
26.4 años
773524700
BRHCCB 07-2U Serie A2
773524700
UDI
4.35%
25-oct-2007
26.4 años
BRHCCB 07-3U Serie B
Total
773524700
UDI
6.99%
25-oct-2007
26.4 años
Interés Devengado por pagar
Total
Durante los ejercicios de 2012 y 2011 el Fideicomiso realizó amortizaciones de capital de los certificados bursátiles por importes de$64,730 y $46
2012 y 2011 un saldo por amortizar de $ 2,504,552 y $2,569,282 y un interés devengado por pagar correspondiente a los cupones números sesen
$1,631 y $1,658, respectivamente.
Dicha emisión tendrá una vigencia de 26.4 años con vencimiento el 25 de enero de 2034, pagando una tasa fija de interés bruta anual de
4.19% para la serie “A1”, 4.35% para la serie “A2”y 6.99% para la serie “B” pagaderas mensualmente, durante la vigencia de la emisión.
4.-
La integración del PATRIMONIO se compone de la siguiente forma:
Concepto
Patrimonio Fideicomitido
Resultadosacumulados
TOTAL DE PATRIMONIO
2012
Importe
-
171
-416,928
-515.00
417,272.00 -
2011
Importe
171
-170,269
-246,659.00
416,757.00
NOTAS A LOS ESTADOS FINANCIEROS
5.-
Los INGRESOS se componen de la siguiente forma:
Concepto
INGRESOS POR INTERESES
INGRESOS POR COMISIONES COBRADAS
TOTAL INGRESOS
6.-
2012
Importe
187,142.00
20,483.00
207,625.00
2011
Importe
236,243.00
48,139.00
284,382.00
Los EGRESOS se componen de la siguiente forma:
Concepto
GASTOS POR INTERESES
GASTOS DE OPERACIÓN
TOTAL EGRESOS
2012
2011
Importe
Importe
-126,842.00
-81,390.00
-208,232.00
-210,416.00
-340,549.00
-550,965.00
Los Gastos de Administración incluyen gastos directamente relacionados, indispensables y necesarios para cumplir con las disposiciones legales apl
Certificados Bursátiles en RNV y su listado en la BMV.
Los Intereses Pagados se realizaran a partir de su fecha de emisión y en tanto no sean amortizados en su totalidad los Certificados Bursátiles, el Rep
fecha de pago el monto de intereses a pagar
COL. CUAUHTEMOC
06500 CUAUHTEMOC DF
7.-
Las actividades del Fideicomiso están sujetas a los siguientes tipos de riesgo:
Fideicomiso Irrevocable No. 234036 para la Emisión de Certificados Bursátiles BRHCCB 07-U Serie A1, BRHCCB 07-2U Serie A2 y BRHCCB
07-3U Serie B
Estados de Flujo de Efectivo
Actividades de operación:
Pérdida del ejercicio
Estimaciónparacuentasincobrables
Estimación por pérdida de valor de bienes adjudicados
Intereses a favor
Intereses a cargo
2012
2011
-$515
32,744
0
-187,141
126,841
-$246,659
264,602
18,884
-154,995
210,416
-28,072
92,248
35,117
187,142
-2,798
-43,179
42,226
-126,868
-64,730
47,756
154,995
-5,107
-2,731
-16,085
-212,074
-44,659
26,910
-77,905
Aumento neto de efectivo en inversiones en valores
-1,162
14,343
Efectivo e inversiones en valores a principio del año
78,728
64,385
$77,566
$78,728
Disminución en cartera de créditos
Interesescobrados
Deudoresdiversos
Incremento en adjudicaciones
(Disminución) incremento en otras cuentas por pagar
Interesespagados
Amortización de pasivobursátil
Flujos netos de efectivo de actividades de operación
Actividades de financiamiento:
Efectivo e inversiones en valores al fin de año
Fideicomiso Irrevocable No. 234036 para la Emisión de Certificados Bursátiles BRHCCB 07-U Serie A1, BRHCCB 07-2U Serie A2 y BRHCCB 07-3U Serie B
Estados de Variaciones en el Patrimonio
Patrimonio fideicomitido
Saldo al 1 de enero de 2011
Pérdida Integral
Saldos al 31 de diciembre de 2011
ResultadosAcumulados
Pérdida Integral
Saldos al 31 de diciembre de 2012
Resultados Acumulados
$171
-
-$170,269
-
171
$
Total
-246,659
-$170,098
-246,659
-170,269
-246,659
-416,757
-
-246,659
-
246,659
-515
-515
$171
-$416,928
-$515
$417,272

brhccb 07 u 2u 3u - Sociedad Hipotecaria Federal

Transcription

Similar documents

St. Therese

bâÜ _twç Éy _ÉâÜwxá V{âÜv - Our Lady of Lourdes

File

7:00 am, 8:30 am, 10:00 am, 11:30 am, 1:00 pm

St. Joseph Catholic Church

Principles First, Before Methods

January 17, 2016

2008 Mandala from NMH - Northfield Mount Hermon

October 18, 2015 - St. Anthony of Padua Catholic Church

Pray For - St. Clement Catholic Church