Goldman Sachs issued an interesting note on the various bond insurers, although some of this data may have been put out yesterday.  The firm is listing three scenario valuation assumptions for:

• Ambac Financial (NYSE: ABK)
• MBIA Inc. (NYSE: MBI)
• Security Capital Assurance (NYSE: SCA)

It is also listing these valuations under three different scenarios:

1. "run-off scenario" where the insurers won’t raise enough capital to satisfy ratings agencies and where they may struggle to write new business.
2. "ongoing concern scenario" assumes a capital raise in-line with losses with no added book value and a derivative mark-down.
3. "bailout scenario" as best case where the firms receive capital injections sufficient to operate as is.

        GOLDMAN SACHS VALUATIONS
STOCK    Run-Off      Ongoing Concern        Bailout
ABK              $15                    $10                           $35
MBI               $6                       $14                          $48
SCA              $0                      $1.50                        $13

Yesterday’s closing prices were ABK $13.70…. MBI $16.61…… SCA $3.79.

Jon C. Ogg
January 24, 2008

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