XML 37 R27.htm IDEA: XBRL DOCUMENT v3.23.3
Investments (Tables)
 9 Months Ended
Sep. 30, 2023
Text Block [Abstract]  
Amortized Cost And Fair Value Of Available-For-Sale And Held-To-Maturity Investment Portfolios

The following tables present the amortized cost, allowance for credit losses, corresponding gross unrealized gains and losses and fair value for AFS investments in the Company’s consolidated investment portfolio as of September 30, 2023 and December 31, 2022:

 

 

 

 

 

 

 

September 30, 2023

 

 

 

 

 

 

 

 

 

 

Allowance

 

 

Gross

 

 

Gross

 

 

 

 

 

 

 

 

 

 

Amortized

 

 

for Credit

 

 

Unrealized

 

 

Unrealized

 

 

Fair

 

In millions

 

Cost

 

 

Losses

 

 

Gains

 

 

Losses

 

 

Value

 

AFS Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed-maturity investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury and government agency

 

$

462

 

 

$

-

 

 

$

1

 

 

$

(41

)

 

$

422

 

 

State and municipal bonds

 

 

131

 

 

 

-

 

 

 

1

 

 

 

(15

)

 

 

117

 

 

Foreign governments

 

 

25

 

 

 

-

 

 

 

1

 

 

 

(4

)

 

 

22

 

 

Corporate obligations

 

 

884

 

 

 

-

 

 

 

-

 

 

 

(158

)

 

 

726

 

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Residential mortgage-backed agency

 

 

197

 

 

 

-

 

 

 

-

 

 

 

(26

)

 

 

171

 

 

 

Residential mortgage-backed non-agency

 

 

33

 

 

 

-

 

 

 

-

 

 

 

(7

)

 

 

26

 

 

 

Commercial mortgage-backed

 

 

22

 

 

 

-

 

 

 

-

 

 

 

(1

)

 

 

21

 

 

Asset-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Collateralized debt obligations

 

 

114

 

 

 

-

 

 

 

1

 

 

 

(2

)

 

 

113

 

 

 

Other asset-backed

 

 

46

 

 

 

-

 

 

 

-

 

 

 

(3

)

 

 

43

 

Total AFS investments

 

$

1,914

 

 

$

-

 

 

$

4

 

 

$

(257

)

 

$

1,661

 

 

MBIA Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

 

Note 7: Investments (continued)

 

 

 

 

 

 

 

December 31, 2022

 

 

 

 

 

 

 

 

 

 

Allowance

 

 

Gross

 

 

Gross

 

 

 

 

 

 

 

 

 

 

Amortized

 

 

for Credit

 

 

Unrealized

 

 

Unrealized

 

 

Fair

 

In millions

 

Cost

 

 

Losses

 

 

Gains

 

 

Losses

 

 

Value

 

AFS Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed-maturity investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury and government agency

 

$

541

 

 

$

-

 

 

$

5

 

 

$

(38

)

 

$

508

 

 

State and municipal bonds

 

 

173

 

 

 

-

 

 

 

2

 

 

 

(11

)

 

 

164

 

 

Foreign governments

 

 

23

 

 

 

-

 

 

 

-

 

 

 

(3

)

 

 

20

 

 

Corporate obligations

 

 

862

 

 

 

-

 

 

 

1

 

 

 

(148

)

 

 

715

 

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Residential mortgage-backed agency

 

 

217

 

 

 

-

 

 

 

-

 

 

 

(22

)

 

 

195

 

 

 

Residential mortgage-backed non-agency

 

 

96

 

 

 

-

 

 

 

3

 

 

 

(11

)

 

 

88

 

 

 

Commercial mortgage-backed

 

 

24

 

 

 

-

 

 

 

-

 

 

 

(1

)

 

 

23

 

 

Asset-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Collateralized debt obligations

 

 

117

 

 

 

-

 

 

 

-

 

 

 

(5

)

 

 

112

 

 

 

Other asset-backed

 

 

110

 

 

 

-

 

 

 

-

 

 

 

(4

)

 

 

106

 

Total AFS investments

 

$

2,163

 

 

$

-

 

 

$

11

 

 

$

(243

)

 

$

1,931

 
Distribution By Contractual Maturity Of Available-For-Sale and Held-To-Maturity Investments

The following table presents the distribution by contractual maturity of AFS fixed-maturity securities at amortized cost, net of allowance for credit losses, and fair value as of September 30, 2023. Contractual maturity may differ from expected maturity as borrowers may have the right to call or prepay obligations.

 

 

 

AFS Securities

 

 

 

Net

 

 

 

 

 

 

Amortized

 

 

Fair

 

In millions

 

Cost

 

 

Value

 

Due in one year or less

 

$

172

 

 

$

172

 

Due after one year through five years

 

 

379

 

 

 

364

 

Due after five years through ten years

 

 

280

 

 

 

233

 

Due after ten years

 

 

671

 

 

 

518

 

Mortgage-backed and asset-backed

 

 

412

 

 

 

374

 

Total fixed-maturity investments

 

$

1,914

 

 

$

1,661

 

 
Gross Unrealized Losses Related To Available-For-Sale And Held-To-Maturity Investments

The following tables present the non-credit related gross unrealized losses related to AFS investments as of September 30, 2023 and December 31, 2022:

 

 

 

 

 

 

 

September 30, 2023

 

 

 

 

 

 

 

Less than 12 Months

 

 

12 Months or Longer

 

 

Total

 

 

 

 

 

 

 

Fair

 

 

Unrealized

 

 

Fair

 

 

Unrealized

 

 

Fair

 

 

Unrealized

 

In millions

 

Value

 

 

Losses

 

 

Value

 

 

Losses

 

 

Value

 

 

Losses

 

AFS Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed-maturity investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury and government agency

 

$

64

 

 

$

(3

)

 

$

196

 

 

$

(38

)

 

$

260

 

 

$

(41

)

 

State and municipal bonds

 

 

48

 

 

 

(3

)

 

 

54

 

 

 

(12

)

 

 

102

 

 

 

(15

)

 

Foreign governments

 

 

5

 

 

 

-

 

 

 

8

 

 

 

(4

)

 

 

13

 

 

 

(4

)

 

Corporate obligations

 

 

192

 

 

 

(5

)

 

 

500

 

 

 

(153

)

 

 

692

 

 

 

(158

)

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Residential mortgage-backed agency

 

 

13

 

 

 

-

 

 

 

132

 

 

 

(26

)

 

 

145

 

 

 

(26

)

 

 

Residential mortgage-backed non-agency

 

 

3

 

 

 

-

 

 

 

22

 

 

 

(7

)

 

 

25

 

 

 

(7

)

 

 

Commercial mortgage-backed

 

 

11

 

 

 

(1

)

 

 

7

 

 

 

-

 

 

 

18

 

 

 

(1

)

 

Asset-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Collateralized debt obligations

 

 

9

 

 

 

-

 

 

 

101

 

 

 

(2

)

 

 

110

 

 

 

(2

)

 

 

Other asset-backed

 

 

3

 

 

 

-

 

 

 

34

 

 

 

(3

)

 

 

37

 

 

 

(3

)

Total AFS investments

 

$

348

 

 

$

(12

)

 

$

1,054

 

 

$

(245

)

 

$

1,402

 

 

$

(257

)

 

MBIA Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

 

Note 7: Investments (continued)

 

 

 

 

 

 

December 31, 2022

 

 

 

 

 

 

 

Less than 12 Months

 

 

12 Months or Longer

 

 

Total

 

 

 

 

 

 

 

Fair

 

 

Unrealized

 

 

Fair

 

 

Unrealized

 

 

Fair

 

 

Unrealized

 

In millions

 

Value

 

 

Losses

 

 

Value

 

 

Losses

 

 

Value

 

 

Losses

 

AFS Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed-maturity investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury and government agency

 

$

266

 

 

$

(34

)

 

$

29

 

 

$

(4

)

 

$

295

 

 

$

(38

)

 

State and municipal bonds

 

 

92

 

 

 

(10

)

 

 

1

 

 

 

(1

)

 

 

93

 

 

 

(11

)

 

Foreign governments

 

 

9

 

 

 

(3

)

 

 

-

 

 

 

-

 

 

 

9

 

 

 

(3

)

 

Corporate obligations

 

 

508

 

 

 

(106

)

 

 

141

 

 

 

(42

)

 

 

649

 

 

 

(148

)

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Residential mortgage-backed agency

 

 

112

 

 

 

(9

)

 

 

65

 

 

 

(13

)

 

 

177

 

 

 

(22

)

 

 

Residential mortgage-backed non-agency

 

 

65

 

 

 

(10

)

 

 

2

 

 

 

(1

)

 

 

67

 

 

 

(11

)

 

 

Commercial mortgage-backed

 

 

18

 

 

 

(1

)

 

 

1

 

 

 

-

 

 

 

19

 

 

 

(1

)

 

Asset-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Collateralized debt obligations

 

 

51

 

 

 

(1

)

 

 

60

 

 

 

(4

)

 

 

111

 

 

 

(5

)

 

 

Other asset-backed

 

 

44

 

 

 

(3

)

 

 

24

 

 

 

(1

)

 

 

68

 

 

 

(4

)

Total AFS investments

 

$

1,165

 

 

$

(177

)

 

$

323

 

 

$

(66

)

 

$

1,488

 

 

$

(243

)
Distribution Of Securities By Percentage Of Fair Value Below Book Value By More Than 5%

The following table presents the distribution of securities in an unrealized loss position for a continuous twelve-month period or longer where fair value was below book value by more than 5% as of September 30, 2023:

 

 

 

AFS Securities

 

Percentage of Fair Value

 

Number of

 

 

Book Value

 

 

Fair Value

 

 Below Book Value

 

Securities

 

 

(in millions)

 

 

(in millions)

 

> 5% to 15%

 

 

194

 

 

$

336

 

 

$

304

 

> 15% to 25%

 

 

153

 

 

 

386

 

 

 

309

 

> 25% to 50%

 

 

159

 

 

 

373

 

 

 

244

 

> 50%

 

 

3

 

 

 

5

 

 

 

2

 

Total

 

 

509

 

 

$

1,100

 

 

$

859

 
Summary of Allowance for Credit Losses on AFS Investments

The following tables present the rollforward of allowance for credit losses on AFS investments for the three and nine months ended September 30, 2022. The additions to the allowance for credit losses for the nine months ended September 30, 2022 were related to concerns on an issuer’s credit deterioration as a result of the Ukraine and Russia conflict. In the third quarter of 2022, these securities were impaired to fair value due to the Company's intent to sell and the credit losses were reversed. The Company did not establish an allowance for credit losses for AFS securities for the three or nine months ended September 30, 2023.

 

 

 

Three Months Ended September 30, 2022

 

 

 

Balance

 

 

Additions

 

 

Additions

 

 

Reductions

 

 

Reductions-

 

 

 

Change in

 

 

 

 

 

 

 

 

Balance

 

 

 

as of

 

 

not

 

 

arising

 

 

from

 

 

Intent

 

 

 

Allowance

 

 

 

 

 

 

 

 

as of

 

 

 

June 30,

 

 

previously

 

 

from PCD

 

 

Securities

 

 

to sell

 

 

 

Previously

 

 

Write

 

 

 

 

 

September 30,

 

In millions

 

2022

 

 

recorded

 

 

Assets

 

 

Sold

 

 

or MLTN

 

 

 

Recorded

 

 

Offs

 

 

Recoveries

 

 

2022

 

AFS Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed-maturity investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate obligations

 

$

3

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

3

 

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

Total Allowance on AFS investments

 

$

3

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

3

 

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

 

 

Nine Months Ended September 30, 2022

 

 

 

Balance

 

 

Additions

 

 

Additions

 

 

Reductions

 

 

Reductions-

 

 

 

Change in

 

 

 

 

 

 

 

 

Balance

 

 

 

as of

 

 

not

 

 

arising

 

 

from

 

 

Intent

 

 

 

Allowance

 

 

 

 

 

 

 

 

as of

 

 

 

December 31,

 

 

previously

 

 

from PCD

 

 

Securities

 

 

to sell

 

 

 

Previously

 

 

Write

 

 

 

 

 

September 30,

 

In millions

 

2021

 

 

recorded

 

 

Assets

 

 

Sold

 

 

or MLTN

 

 

 

Recorded

 

 

Offs

 

 

Recoveries

 

 

2022

 

AFS Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed-maturity investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate obligations

 

$

-

 

 

$

3

 

 

$

-

 

 

$

-

 

 

$

3

 

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

Total Allowance on AFS investments

 

$

-

 

 

$

3

 

 

$

-

 

 

$

-

 

 

$

3

 

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 
Securities Held In Unrealized Loss Position And Insured By Financial Guarantor and The Related Insurance Loss Reserve On Company Insured Investments The following table provides information about securities held by the Company as of September 30, 2023 that were in an unrealized loss position and insured by a financial guarantor, along with the amount of insurance loss reserves corresponding to the par amount owned by the Company. The Company did not hold any securities in an unrealized loss position that were insured by a third-party financial guarantor as of September 30, 2023.

MBIA Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

 

Note 7: Investments (continued)

 

 

 

 

 

 

 

 

Unrealized

 

 

Insurance Loss

 

In millions

 

Fair Value

 

 

Loss

 

 

Reserve (1)

 

Mortgage-backed

 

$

16

 

 

$

(5

)

 

$

20

 

Corporate obligations

 

 

77

 

 

 

(42

)

 

 

-

 

Other

 

 

7

 

 

 

-

 

 

 

-

 

Total

 

$

100

 

 

$

(47

)

 

$

20

 

(1) - Insurance loss reserve estimates are based on the proportion of par value owned to the total amount of par value insured and are discounted using a discount rate equal to the risk-free rate applicable to the currency and weighted average remaining life of the insurance contract and may differ from the fair value.
Gross Realized Gains and Losses From Sales Of Available-For-Sale Securities The proceeds and the gross realized gains and losses from sales of fixed-maturity securities held as AFS for the three and nine months ended September 30, 2023 and 2022 are as follows:

 

 

 

 

Three Months Ended September 30,

 

 

Nine Months Ended September 30,

 

In millions

 

2023

 

 

2022

 

 

2023

 

 

2022

 

Proceeds from sales

 

$

108

 

 

$

339

 

 

$

380

 

 

$

859

 

Gross realized gains

 

$

-

 

 

$

2

 

 

$

1

 

 

$

3

 

Gross realized losses

 

$

(13

)

 

$

(17

)

 

$

(24

)

 

$

(42

)
Portion Of Unrealized Gains Losses Recognized On Equity Investments

 

 

 

Three Months Ended September 30,

 

 

Nine Months Ended September 30,

 

In millions

 

2023

 

2022

 

 

2023

 

 

2022

 

Net gains (losses) recognized during the period on equity and trading securities

 

$

(1

)

 

$

(3

)

 

$

2

 

 

$

(31

)

Less:

 

 

 

 

 

 

 

 

 

 

 

 

 

Net gains (losses) recognized during the period on equity and trading securities sold during the period

 

 

(1

)

 

 

(6

)

 

 

(1

)

 

 

(6

)

Unrealized gains (losses) recognized during the period on equity and trading securities still held at the reporting date

 

$

-

 

 

$

3

 

 

$

3

 

 

$

(25

)