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Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2023

Text Block [Abstract]

Credit Derivatives Sold


$ in millions		As of September 30, 2023
				Notional Value
Credit Derivatives Sold		Weighted Average Remaining Expected Maturity		AAA				AA				A				BBB				Below Investment Grade				Total Notional				Fair Value Asset (Liability)
Insured swaps		13.5 Years		$	-			$	43			$	970			$	210			$	60			$	1,283			$	(1	)
Total fair value				$	-			$	-			$	-			$	-			$	(1	)						$	(1	)


$ in millions		As of December 31, 2022
				Notional Value
Credit Derivatives Sold		Weighted Average Remaining Expected Maturity		AAA				AA				A				BBB				Below Investment Grade				Total Notional				Fair Value Asset (Liability)
Insured swaps		13.7 Years		$	-			$	50			$	1,013			$	227			$	60			$	1,350			$	-
Total fair value				$	-			$	-			$	-			$	-			$	-							$	-

Total Fair Value Of Company's Derivative Assets And Liabilities By Instrument And Balance Sheet Location, Before Counterparty Netting

The following tables present the total fair value of the Company’s derivative assets and liabilities by instrument and balance sheet location, before counterparty netting, as of September 30, 2023 and December 31, 2022:


			September 30, 2023
In millions							Derivative Assets (1)						Derivative Liabilities (1)
			Notional
			Amount						Fair						Fair
Derivative Instruments			Outstanding				Balance Sheet Location		Value				Balance Sheet Location		Value
Not designated as hedging instruments:
	Insured swaps		$	1,283			Other assets		$	-			Derivative liabilities		$	(1	)
	Interest rate swaps			323			Other assets			-			Derivative liabilities			(22	)
	Interest rate swaps-embedded			193			Medium-term notes			1			Medium-term notes			-
	Currency swaps-VIE			13			Other assets-VIE			-			Derivative liabilities-VIE			(11	)
Total non-designated derivatives			$	1,812					$	1					$	(34	)

(1) - In accordance with the accounting guidance for derivative instruments and hedging activities, the balance sheet location of the Company’s embedded derivative instruments is determined by the location of the related host contract.


			December 31, 2022
In millions							Derivative Assets (1)						Derivative Liabilities (1)
			Notional
			Amount						Fair						Fair
Derivative Instruments			Outstanding				Balance Sheet Location		Value				Balance Sheet Location		Value
Not designated as hedging instruments:
	Insured swaps		$	1,350			Other assets		$	-			Derivative liabilities		$	-
	Interest rate swaps			380			Other assets			-			Derivative liabilities			(49	)
	Interest rate swaps-embedded			194			Medium-term notes			1			Medium-term notes			(2	)
	Currency swaps-VIE			36			Other assets-VIE			-			Derivative liabilities-VIE			(6	)
Total non-designated derivatives			$	1,960					$	1					$	(57	)

(1) - In accordance with the accounting guidance for derivative instruments and hedging activities, the balance sheet location of the Company’s embedded derivative instruments is determined by the location of the related host contract.

MBIA Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

Note 8: Derivative Instruments (continued)

Effect Of Derivative Instruments On Consolidated Statements Of Operations

The following table presents the effect of derivative instruments on the consolidated statements of operations for the three months ended September 30, 2023 and 2022:


In millions
Derivatives Not Designated				Three Months Ended September 30,
as Hedging Instruments		Location of Gain (Loss) Recognized in Income on Derivative		2023				2022
Interest rate swaps		Net gains (losses) on financial instruments at fair value and foreign exchange		$	20			$	23
Currency swaps-VIE		Net gains (losses) on financial instruments at fair value and foreign exchange-VIE			2				(14	)
Total				$	22			$	9

The following table presents the effect of derivative instruments on the consolidated statements of operations for the nine months ended September 30, 2023 and 2022:


In millions
Derivatives Not Designated				Nine Months Ended September 30,
as Hedging Instruments		Location of Gain (Loss) Recognized in Income on Derivative		2023				2022
Insured swaps		Net gains (losses) on financial instruments at fair value and foreign exchange		$	-			$	1
Interest rate swaps		Net gains (losses) on financial instruments at fair value and foreign exchange			21				79
Currency swaps-VIE		Net gains (losses) on financial instruments at fair value and foreign exchange-VIE			(4	)			(14	)
Total				$	17			$	66

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

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