When fruit-spread purveyor J.M. Smucker Co. started buying mortgage-backed securities in 2004, they seemed like a safe way to diversify some of its investments.
Now, however, that asset class is in a bit of a jam.
Shares of banks and brokerages have fallen sharply since the markets cooled for commercial paper and other securitized debt that might hold mortgage-backed loans. But they aren't the only players with home-loan-related holdings.
In recent years, Smucker joined the ranks of other nonfinancial companies such as Garmin Ltd., Microsoft Corp., Netflix Inc. and Sun Microsystems Inc. by investing in what had been viewed as relatively safe investments that produced slightly better returns than cash and government bonds -- and could be sold quickly if needed. Many of these companies are cash-rich, looking for a secure place to park their millions. And none are expected to cash out any time soon.
The issue for investors is how these companies determine the 'fair' value of their mortgage-backed securities in the current environment, and whether they are telling the whole story about how easily these assets can be liquidated -- and for how much.
'It concerns me from the standpoint of transparency, whether the cash stated on the balance sheet is a true representation of the cash available to the company,' said Jeffrey Diecidue, a hedge-fund manager at UCA LLC in Short Hills, N.J., who has less than $100 million in assets.
When the credit market is liquid, determining the fair value of mortgage-backed securities can be easy, since there is an abundance of bid and offer quotes. But when things are tight, as they are for certain mortgage-related debt securities now, assessing fair value is difficult because there are far fewer buyers than sellers. That means a company's portfolio of securities might not be fairly valued, and the cash it could raise in a sale could be less than it has reported.
The amount of mortgage-backed securities owned by nonfinancial companies as a proportion of their total assets is low, and some, like Smucker, say they invest in only highly rated loans. But in the current environment, just saying investments have high credit ratings gives investors little comfort. As the traditionally staid commercial-paper market has shown recently, even triple-A-rated debt can be backed by subprime loans, causing investors to balk, prices to fall and trading to seize up.
At the end of July, Smucker had $41.5 million in mortgage-backed debt classified as noncurrent marketable securities available for sale, which are assets the company intends to sell for cash if it is needed for future operations. While that debt is just 1.2% of Smucker's total assets, it makes up 22% of the company's total marketable securities and 100% of its noncurrent marketable securities.
At navigation-device maker Garmin, 74% of short-term marketable securities, or $356 million, are in high-grade mortgage-backed securities. Garmin, like other companies that hold this type of debt, doesn't provide details in its securities filings about the assets. Polly Schwerdt, director of investor relations for Garmin, said, 'We're not carrying any sort of esoteric types of investments.' She added, however, that Garmin is likely to reduce its exposure to mortgage-backed securities 'because there's risk in the category.'
A spokeswoman for Smucker said the company owns 'high-quality collateralized mortgage obligations,' which are big pools of home mortgages. Smucker's mortgage-backed securities weren't issued by the government or federal agencies such as Fannie Mae or Freddie Mac, she said.
Other companies with mortgage-backed securities, including Biomet Inc., Microsoft, Novell Inc., Netflix and Sun Microsystems, declined to comment. Semiconductor maker LSI Corp. didn't respond to requests for comment.
John Olson, chief financial officer of memory-chip maker Xilinx Inc., said the company buys only diverse high-grade securities and no collateralized debt obligations, or CDOs, which are debt pools that can carry triple-A ratings while still being backed entirely by subprime debt. 'Fortunately, our treasurer was smart enough to know that CDOs aren't always what they say they are,' he said. Mortgage-backed securities make up $24.3 million, or 2.5%, of Xilinx's $963.8 million in short-term investments.
Still, complicated investments have hurt other companies in the past. In 1994, for instance, Procter & Gamble Co. sustained heavy losses from derivatives on its balance sheet and sued its financial adviser, Bankers Trust, for selling these complex contracts to the consumer-products company.
For the moment, investors will pretty much have to take companies at their word when they say such mortgage-backed financial instruments are liquid and their stated fair-value estimates are based on market prices. Most nonfinancial companies classify their mortgage-backed securities investments as available for sale, meaning they aren't required to record changes in fair value on the income statement, which is followed closely by investors and analysts.
Instead, changes in fair value of such securities are recorded on the balance sheet in 'other comprehensive income,' which affects shareholders' equity but is less of a focus for Wall Street. Those disclosures will begin to change next year, when a new accounting rule kicks in for U.S. companies. This rule, which will first be required of companies with financial years beginning after Nov. 15, calls for companies to provide more information about financial instruments for which they apply fair, or market, values.
For investors like Mr. Diecidue, the rule can't come soon enough.
'The current market volatility in connection with these asset-backed securities presents a conundrum to the investors, because it's harder to know the true book value of a company,' he says, referring to the measure of a company's assets minus its liabilities.
Karen Richardson
当果酱生产商J.M. Smucker Co.在2004年开始投资抵押担保证券时，这家公司似乎是找到了一条投资多元化的安全途径。
但是现在，这种资产类别却多少陷入了困境。
随着那些可能牵涉抵押担保贷款的债券资产以及商业票据市场逐步降温，银行及经纪公司类股大幅走软；但在住房贷款抵押证券市场中，它们并非唯一的玩家。
近年来，包括Smucker、Garmin Ltd.、微软(Microsoft Corp.)、Netflix Inc.以及Sun电子计算机公司(Sun Microsystems Inc., 又名：升阳电脑)在内的非金融类企业都投资了这些看似安全的资产──这种投资的回报率略高于存款和政府债券，而且在企业需要资金时还能迅速变现。此类公司中许多家都拥有充裕的现金，想寻求一个安全的领域进行投资，而且它们可能会将投资长期持有，不会很快变现。
对投资者来说，问题就是这些企业如何在当前市况下对手中的抵押担保证券估算出“合理价值”，以及这些企业是否在资产变现难易程度及将以什么样的价格变现的问题上做到开诚布公。
新泽西州UCA LLC的对冲基金经理杰弗里•迪耶奇杜埃(Jeffrey Diecidue)指出，信息透明度的问题让他感到担心，他不清楚资产负债表上的现金额是否真正代表着公司的可用现金数量。UCA LLC管理的资产不足1亿美元。
当信贷市场流动性良好时，确定抵押担保证券的合理价值并非难事，因为市场中有足够的买卖报价。但是当市场吃紧时──就象某些抵押担保证券所遭遇的那样，评估合理价值就变得困难了，因为买家要比卖家少很多。这就意味着公司的证券资产投资组合可能得不到合理估值，投资变现时所真正能得到的现金可能要少于报表上公布的数值。
在这些非金融类企业中，抵押担保证券投资占它们总资产的比重较小。包括Smucker在内的一些企业表示它们只投资具有高评级的贷款品种。但是在当前情况下，只表示自己的投资具有高信用评级是无法让投资者感到安心的。因为一向风平浪静的商业票据市场近期已经表明，即便是评级为“AAA”的债券也可能是由次级抵押贷款进行担保的，在此情况下，投资者退避三舍，债券价格下挫而且交易也陷入停顿。
截至7月底，Smucker共投资了4,150万美元的抵押贷款担保债券，并将其归入了可供出售的非流动有价证券之列，意味着当公司日后需要现金时可将该资产出售变现。虽然这一投资仅占公司总资产的1.2%，但占公司有价证券和非流动有价证券的比重分别高达22%和100%。
在导航设备生产企业Garmin中，74%的短期有价证券（合3.56亿美元）是高评级的抵押贷款担保证券。和其他持有此类债券资产的公司一样，Garmin并未在提交的资产报告中就此提供更多细节信息。Garmin的投资者关系主管波莉•施韦尔特(Polly Schwerdt)指出，公司进行的都是些普通的、大众化的投资；但她表示，Garmin有可能减持抵押贷款担保证券，因为此类投资具有风险。
Smucker的发言人表示，公司拥有高质量的抵押保证证券(Collateralized Mortgage Obligations, 简称CMO)。她指出，Smucker所持有的抵押贷款担保证券并非由政府或联邦国民抵押贷款协会(Fannie Mae, 简称：房利美)及联邦住房贷款抵押公司(Federal Home Loan Mortage Corporation, Freddie Mac)等联邦机构发行。CMO主要由住房抵押贷款进行担保的。
而其他持有抵押担保证券的公司，例如Biomet Inc.、微软、网威公司(Novell Inc.)、Netflix和Sun电子计算机公司都拒绝就此发表评论，半导体生产商LSI Corp.并未对置评要求作出回应。
记忆芯片生产商赛灵思(Xilinx Inc.)的首席财务长约翰•奥尔森(John Olson)表示，公司只是投资了各类高评级证券，而没有选择债权抵押证券(Collateralized Debt Obligations, 简称CDO)。他指出，幸运的是公司的司库非常明智，他知道CDO的本质并不总是像发行方描述的那样。赛灵思拥有2,430万美元的抵押担保证券，占其9.638亿美元短期投资的比重为2.5%。CDO是一种债券投资工具，即使其评级达到了AAA也有可能完全是由次级抵押贷款担保的。
过去曾有公司因为进行了复杂的投资而受到重创。举例来说，1994年宝洁公司(Procter & Gamble Co., 又名:宝硷公司)就因进行衍生品投资而蒙受了沉重损失，公司起诉了自己的金融顾问──美国信孚银行(Bankers Trust Company)，称后者将这种复杂的交易合约兜售给了它。
眼下当这些公司说他们的抵押担保证券流动性良好，且其合理价值估值是基于市场价格时，投资者也不得不姑且相信他们。绝大多数进行此类投资的非金融类公司都将他们的抵押贷款担保证券投资归入可供出售之列，这就意味着他们无需在损益表中计入这类投资合理价值的变化，而投资者和分析师都在密切关注公司的损益表。
此类投资合理价值的变化会被计入资产负债表中“其他综合所得”项下，这会影响股东权益，但华尔街对此关注度不高。这种披露机制将从明年开始发生改变，届时将实施一部新的会计规则。新规则要求公司对进行合理价值估值的金融工具进行更多信息披露，财政年度始于11月15日之后的公司将率先受到新法的约束。
对像迪耶奇杜埃这样的投资者来说，这部法律来得不够及时。
迪耶奇杜埃指出，当前市场因抵押担保证券而起的振荡为投资者带来了一道难题，因为人们更难了解公司真实的帐面价值、即资产减负债到底价值几何了。
Karen Richardson |
