Using data on municipal bonds issued in California and New York between 1996 and 2014, this paper documents a decline in the benefit of municipal bond insurance, explores its underlying determinants, and quantifies its aggregate effect. First, we find that the insurance benefit declined remarkably from approximately 5.1% of the overall deal value between 1996 and 2001 to 0.5% by 2011-2014. Second, we examine five plausible explanations: changes in bond maturities, issuance size value, issuers’ credit risk, insurers’ credit risk and interest rate environment. Our results indicate that the main reason is a decline in the insurer’s credit strength, specifically the market’s perception, for two reasons: (a) higher yields due to lower insurer credit ratings, and (b) an appearance of a market premium for insurance. Third, through a back-of-the-envelope calculation, the decline in the insurance benefit explains 34% of the decline in the aggregate insurance market.

中文翻译：

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市政债券市场保险收益下降

利用1996年至2014年在加利福尼亚和纽约发行的市政债券数据，本文证明了市政债券保险收益的下降，探索了其潜在决定因素并量化了其总体影响。首先，我们发现保险收益从1996年至2001年间约占总交易额的5.1％显着下降，到2011-2014年下降了0.5％。其次，我们研究了五种可能的解释：债券期限的变化，发行规模价值，发行人的信用风险，保险人的信用风险和利率环境。我们的结果表明，主要原因是保险人的信用实力下降，特别是市场的看法下降，其原因有两个：（a）由于保险人信用评级较低而导致的收益率提高;以及（b）保险的市场溢价出现。第三，