Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2024

Text Block [Abstract]

Quantitative Information Regarding The Significant Unobservable Inputs For Certain Assets And Liabilities Measured At Fair Value On A Recurring Basis

The following tables provide quantitative information regarding the significant unobservable inputs used by the Company for assets and liabilities measured at fair value on a recurring basis as of March 31, 2024 and December 31, 2023:

		Fair Value as of				Range
		March 31,				(Weighted
In millions		2024		Valuation Techniques	Unobservable Input	Average)
Assets:
	Equity Investments	$	102	Discounted cash flow	EBITDA multiples (1)
					Discount rate (1)
					Weightings (1)
				Sum of the parts	Hard asset values (1)
					Type certificate values (1)
					Weightings (1)
	Loans carried at fair value		6	Discounted cash flow	Discount rate (1)
Assets of consolidated VIEs:
	Loans receivable at fair value		36	Market prices of similar liabilities adjusted for financial guarantees provided to VIE obligations	Impact of financial guarantee	25% - 25% (25%) (2)
Liabilities of consolidated VIEs:
	Variable interest entity notes		46	Market prices of VIE assets adjusted for financial guarantees provided or market prices of similar liabilities	Impact of financial guarantee	69% - 69% (69%) (2)

(1) - Ranges for EBITDA multiples, discount rate, weightings, hard asset values and type certificate values are not meaningful.

(2) - Weighted average represents the total MBIA guarantees as a percentage of total instrument fair value.

		Fair Value as of				Range
		December 31,				(Weighted
In millions		2023		Valuation Techniques	Unobservable Input	Average)
Assets:
	Equity Investments	$	108	Discounted cash flow	EBITDA multiples (1)
					Discount rate (1)
					Weightings (1)
				Sum of the parts	Hard asset values (1)
					Type certificate values (1)
					Weightings (1)
Assets of consolidated VIEs:
	Loans receivable at fair value		35	Market prices of similar liabilities or internal cash flow models adjusted for financial guarantees provided to VIE obligations	Impact of financial guarantee	27% - 27% (27%) (2)
Liabilities of consolidated VIEs:
	Variable interest entity notes		78	Market prices of VIE assets adjusted for financial guarantees provided or market prices of similar liabilities	Impact of financial guarantee	74% - 74% (74%) (2)

(1) - Ranges for EBITDA multiples, discount rate, weightings, hard asset values and type certificate values are not meaningful.

(2) - Weighted average represents the total MBIA guarantees as a percentage of total instrument fair value.

Company's Assets And Liabilities Measured At Fair Value On Recurring Basis

The following tables present the fair value of the Company’s assets (including short-term investments) and liabilities measured and reported at fair value on a recurring basis as of March 31, 2024 and December 31, 2023:

				Fair Value Measurements at Reporting Date Using
				Quoted Prices in		Significant
				Active Markets		Other		Significant
				for Identical		Observable		Unobservable			Balance as of
				Assets		Inputs		Inputs			March 31,
In millions				(Level 1)		(Level 2)		(Level 3)			2024
Assets:
Fixed-maturity investments:
	U.S. Treasury and government agency			$	546	$	7	$	-		$	553
	State and municipal bonds				-		119		-			119
	Foreign governments				-		13		-			13
	Corporate obligations				-		490		7	(1)		497
	Mortgage-backed securities:
		Residential mortgage-backed agency			-		140		-			140
		Residential mortgage-backed non-agency			-		34		-			34
		Commercial mortgage-backed			-		14		-			14
	Asset-backed securities:
		Collateralized debt obligations			-		132		-			132
		Other asset-backed			-		63		-			63
			Total fixed-maturity investments		546		1,012		7			1,565
Money market securities					85		-		-			85
Equity investments					43		8		102			153
Cash and cash equivalents					131		-		-			131
Assets of consolidated VIEs:
	Mortgage-backed securities:
		Residential mortgage-backed non-agency			-		10		-			10
		Commercial mortgage-backed			-		10		-			10
	Asset-backed securities:
		Collateralized debt obligations			-		1		-			1
		Other asset-backed			-		1		-			1
	Cash				6		-		-			6
	Loans receivable at fair value:
		Residential loans receivable			-		-		36			36
	Other assets				-		-		2			2
Total assets				$	811	$	1,042	$	147		$	2,000
Liabilities:
Medium-term notes				$	-	$	-	$	36		$	36
Other liabilities:
	Insured credit derivatives				-		1		-			1
Liabilities of consolidated VIEs:
	Variable interest entity notes				-		-		46			46
	Currency derivatives				-		-		15			15
Total liabilities				$	-	$	1	$	97		$	98

(1) - Includes loans carried at fair value of $6 million.

				Fair Value Measurements at Reporting Date Using
				Quoted Prices in		Significant
				Active Markets		Other		Significant
				for Identical		Observable		Unobservable		Balance as of
				Assets		Inputs		Inputs		December 31,
In millions				(Level 1)		(Level 2)		(Level 3)		2023
Assets:
Fixed-maturity investments:
	U.S. Treasury and government agency			$	705	$	7	$	-	$	712
	State and municipal bonds				-		123		-		123
	Foreign governments				-		18		-		18
	Corporate obligations				-		496		1		497
	Mortgage-backed securities:
		Residential mortgage-backed agency			-		149		-		149
		Residential mortgage-backed non-agency			-		34		-		34
		Commercial mortgage-backed			-		14		-		14
	Asset-backed securities:
		Collateralized debt obligations			-		146		-		146
		Other asset-backed			-		46		-		46
			Total fixed-maturity investments		705		1,033		1		1,739
Money market securities					34		-		-		34
Equity investments					39		8		108		155
Cash and cash equivalents					104		-		-		104
Assets of consolidated VIEs:
	Mortgage-backed securities:
		Residential mortgage-backed non-agency			-		10		-		10
		Commercial mortgage-backed			-		10		-		10
	Asset-backed securities:
		Collateralized debt obligations			-		1		-		1
		Other asset-backed			-		1		-		1
	Cash				3		-		-		3
	Loans receivable at fair value:
		Residential loans receivable			-		-		35		35
	Other assets				-		-		2		2
Total assets				$	885	$	1,063	$	146	$	2,094
Liabilities:
Medium-term notes				$	-	$	-	$	40	$	40
Other liabilities:
	Insured credit derivatives				-		1		-		1
	Non-insured interest rate derivatives				-		1		-		1
Liabilities of consolidated VIEs:
	Variable interest entity notes				-		-		78		78
	Currency derivatives				-		-		14		14
Total liabilities				$	-	$	2	$	132	$	134

Fair Value Hierarchy Table Presents The Company's Assets And Liabilities Not Recorded At Fair Value On The Company's Consolidated Balance Sheet

		Fair Value Measurements at Reporting Date Using
		Quoted Prices in		Significant		Significant		Fair Value		Carry Value
		Active Markets for		Other Observable		Unobservable		Balance as of		Balance as of
		Identical Assets		Inputs		Inputs		March 31,		March 31,
In millions		(Level 1)		(Level 2)		(Level 3)		2024		2024
Assets:
	Other investments	$	-	$	-	$	3	$	3	$	3
Total assets		$	-	$	-	$	3	$	3	$	3
Liabilities:
	Long-term debt	$	-	$	302	$	-	$	302	$	2,625
	Medium-term notes		-		-		235		235		418	(1)
	Investment agreements		-		-		236		236		220
Liabilities of consolidated VIEs:
	Variable interest entity loans payable		-		-		5		5		5
Total liabilities		$	-	$	302	$	476	$	778	$	3,268
Financial Guarantees:
	Gross liability (recoverable)	$	-	$	-	$	793	$	793	$	515
	Ceded recoverable (liability)		-		-		20		20		16

(1) - The carry value includes the complex interest calculations embedded derivatives in certain MTNs that are reported together with the host contract. As of March 31, 2024, the Company had an immaterial amount of embedded derivative assets and had embedded derivative liabilities of $2 million.

		Fair Value Measurements at Reporting Date Using
		Quoted Prices in		Significant		Significant		Fair Value		Carry Value
		Active Markets for		Other Observable		Unobservable		Balance as of		Balance as of
		Identical Assets		Inputs		Inputs		December 31,		December 31,
In millions		(Level 1)		(Level 2)		(Level 3)		2023		2023
Assets:
	Other investments	$	-	$	-	$	3	$	3	$	3
Total assets		$	-	$	-	$	3	$	3	$	3
Liabilities:
	Long-term debt	$	-	$	287	$	-	$	287	$	2,585
	Medium-term notes		-		-		291		291		455	(1)
	Investment agreements		-		-		243		243		221
Liabilities of consolidated VIEs:
	Variable interest entity loans payable		-		-		3		3		3
Total liabilities		$	-	$	287	$	537	$	824	$	3,264
Financial Guarantees:
	Gross liability (recoverable)	$	-	$	-	$	837	$	837	$	522
	Ceded recoverable (liability)		-		-		20		20		16

(1) - The carry value includes the complex interest calculations embedded derivatives in certain MTNs that are reported together with the host contract. As of December 31, 2023, the Company had embedded derivative assets and liabilities of $1 million and $3 million, respectively.

Changes In Level 3 Assets Measured At Fair Value On A Recurring Basis

Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Three Months Ended March 31, 2024

																								Change in			Change in
																								Unrealized			Unrealized
																								Gains			Gains
																								(Losses) for			(Losses) for
																								the Period			the Period
																								Included in			Included in
			Total																					Earnings			OCI
			Gains /			Unrealized																		for Assets			for Assets
			(Losses)			Gains /																		still held			still held
	Balance,		Included			(Losses)											Transfers		Transfers					as of			as of
	Beginning		in			Included											into		out of		Ending			March 31,			March 31,
In millions	of Period		Earnings			in OCI(1)		Purchases		Issuances		Settlements			Sales		Level 3		Level 3		Balance			2024			2024(1)
Assets:
Corporate obligations	$	1	$	-		$	-	$	6	$	-	$	-		$	-	$	-	$	-	$	7	(3)	$	-		$	-
Equity investments		108		(6	)		-		-		-		-			-		-		-		102			(6	)		-
Assets of consolidated VIEs:
Loans receivable -   residential		35		2			-		-		-		(1	)		-		-		-		36			2			-
Other		2		-			-		-		-		-			-		-		-		2			-			-
Total assets	$	146	$	(4	)	$	-	$	6	$	-	$	(1	)	$	-	$	-	$	-	$	147		$	(4	)	$	-

Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Three Months Ended March 31, 2023

																							Change in		Change in
																							Unrealized		Unrealized
																							Gains		Gains
																							(Losses) for		(Losses) for
																							the Period		the Period
																							Included in		Included in
			Total																				Earnings for		OCI for
			Gains /		Unrealized																		Assets		Assets
			(Losses)		Gains /																		still held		still held
	Balance,		Included		(Losses)												Transfers		Transfers				as of		as of
	Beginning		in		Included												into		out of		Ending		March 31,		March 31,
In millions	of Period		Earnings		in OCI(1)		Purchases		Issuances		Settlements			Sales			Level 3		Level 3		Balance		2023		2023(1)
Assets:
Corporate obligations	$	-	$	-	$	-	$	-	$	-	$	-		$	-		$	1	$	-	$	1	$	-	$	-
Equity investments		115		-		-		-		-		-			-			-		-		115		-		-
Assets of consolidated VIEs:
Loans receivable-   residential		78		7		-		-		-		(2	)		-			-		-		83		5		-
Other		23		2		-		-		-		-			(16	)		-		-		9		1		-
Total assets	$	216	$	9	$	-	$	-	$	-	$	(2	)	$	(16	)	$	1	$	-	$	208	$	6	$	-

Changes In Level 3 Liabilities Measured At Fair Value On A Recurring Basis

																								Change in			Change in
																								Unrealized			Unrealized
																								(Gains)			(Gains)
																								Losses for			Losses for
																								the Period			the Period
																								Included in			Included in
			Total			Unrealized																		Earnings for			OCI for
			(Gains) /			(Gains) /																		Liabilities			Liabilities
			Losses			Losses																		still held			still held
	Balance,		Included			Included												Transfers		Transfers				as of			as of
	Beginning		in			in												into		out of		Ending		March 31,			March 31,
In millions	of Period		Earnings			in OCI(2)			Purchases		Issuances		Settlements			Sales		Level 3		Level 3		Balance		2024			2024(2)
Liabilities:
Medium-term notes	$	40	$	(2	)	$	(2	)	$	-	$	-	$	-		$	-	$	-	$	-	$	36	$	(2	)	$	(2	)
Liabilities of consolidated VIEs:
VIE notes		78		25			(20	)		-		-		(37	)		-		-		-		46		-			(1	)
Currency derivatives		14		1			-			-		-		-			-		-		-		15		1			-
Total liabilities	$	132	$	24		$	(22	)	$	-	$	-	$	(37	)	$	-	$	-	$	-	$	97	$	(1	)	$	(3	)

(1) - Reported within the "Unrealized gains (losses) on available-for-sale securities" on MBIA's Consolidated Statement of Comprehensive Income/Loss.

(2) - Reported within the "Instrument-specific credit risk of liabilities measured at fair value" on MBIA's Consolidated Statement of Comprehensive Income/Loss.

(3) - Includes loans carried at fair value of $6 million.

																								Change in		Change in
																								Unrealized		Unrealized
																								(Gains)		(Gains)
																								Losses for		Losses for
																								the Period		the Period
																								Included in		Included in
			Total																					Earnings for		OCI for
			(Gains) /		Unrealized																			Liabilities		Liabilities
			Losses		(Gains) /																			still held		still held
	Balance,		Included		Losses													Transfers		Transfers				as of		as of
	Beginning		in		Included													into		out of		Ending		March 31,		March 31,
In millions	of Period		Earnings		in OCI(2)			Purchases		Issuances		Settlements			Sales			Level 3		Level 3		Balance		2023		2023(2)
Liabilities:
Medium-term notes	$	41	$	3	$	(2	)	$	-	$	-	$	-		$	-		$	-	$	-	$	42	$	3	$	(2	)
Liabilities of consolidated VIEs:
VIE notes		172		15		(14	)		-		-		(1	)		(18	)		-		-		154		1		-
Currency   derivatives		6		5		-			-		-		-			-			-		-		11		5		-
Total liabilities	$	219	$	23	$	(16	)	$	-	$	-	$	(1	)	$	(18	)	$	-	$	-	$	207	$	9	$	(2	)

(1) - Reported within the "Unrealized gains (losses) on available-for-sale securities" on MBIA's Consolidated Statement of Comprehensive Income/Loss.

(2) - Reported within the "Instrument-specific credit risk of liabilities measured at fair value" on MBIA's Consolidated Statement of Comprehensive Income/Loss.

Gains And Losses (Realized And Unrealized) Included In Earnings Pertaining To Level 3 Assets And Liabilities

Gains and losses (realized and unrealized) included in earnings related to Level 3 assets and liabilities for the three months ended March 31, 2024 and 2023 are reported on the Company’s consolidated statements of operations as follows:

		Three Months Ended March 31, 2024						Three Months Ended March 31, 2023
					Change in						Change in
					Unrealized						Unrealized
					Gains (Losses)						Gains (Losses)
					for the						for the
					Period Included						Period Included
					in Earnings						in Earnings
					for Assets						for Assets
					and						and
		Total Gains			Liabilities still			Total Gains			Liabilities still
		(Losses)			held as of			(Losses)			held as of
		Included			March 31,			Included			March 31,
In millions		in Earnings			2024			in Earnings			2023
Revenues:
	Net gains (losses) on financial instruments   at fair value and foreign exchange	$	(4	)	$	(4	)	$	(3	)	$	(3	)
	Revenues of consolidated VIEs:
	Net gains (losses) on financial instruments      at fair value and foreign exchange		(24	)		1			3			-
	Other net realized gains (losses)		-			-			(14	)		-
Total		$	(28	)	$	(3	)	$	(14	)	$	(3	)

Effects Of Derivative Instruments On Consolidated Statements Of Operations

The following table presents the effects of derivative instruments on the Company's consolidated statements of operations for the three months ended March 31, 2024 and 2023:

In millions
Derivatives Not Designated		Three Months Ended March 31,
as Hedging Instruments	Location of Gain (Loss) Recognized in Income on Derivative	2024			2023
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange	$	-		$	(9	)
Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(1	)		(4	)
Total		$	(1	)	$	(13	)

Changes In Fair Value Included In The Company's Consolidated Statements Of Operations

The following table presents the gains and (losses) included in the Company's consolidated statements of operations for the three months ended March 31, 2024 and 2023 for financial instruments for which the fair value option was elected:

		Three Months Ended March 31,
In millions		2024			2023
Investments carried at fair value (1)		$	(4	)	$	3
Fixed-maturity securities held at fair value-VIE (2)			-			(4	)
Loans receivable and other instruments at fair value:
	Residential mortgage loans (2)		2			7
Other assets-VIE (2)			-			2
Medium-term notes (1)			2			(3	)
Variable interest entity notes (2)			(25	)		(15	)

(1) - Reported within "Net gains (losses) on financial instruments at fair value and foreign exchange" on MBIA's consolidated statements of operations.

(2) - Reported within "Net gains (losses) on financial instruments at fair value and foreign exchange-VIE" and "Other net realized gains (losses)-VIE" on MBIA's consolidated statements

of operations.

Difference Between Aggregate Fair Value And The Aggregate Remaining Contractual Principal Balance Outstanding

The following table reflects the difference between the aggregate fair value and the aggregate remaining contractual principal balance outstanding as of March 31, 2024 and December 31, 2023 for loans and notes for which the fair value option was elected:

		As of March 31, 2024						As of December 31, 2023
		Contractual						Contractual
		Outstanding		Fair				Outstanding		Fair
In millions		Principal		Value		Difference		Principal		Value		Difference
Loans receivable at fair value:
	Residential mortgage loans - current	$	17	$	17	$	-	$	18	$	18	$	-
	Residential mortgage loans (90 days or more past due)		59		19		40		58		17		41
Total loans receivable and other instruments at fair value		$	76	$	36	$	40	$	76	$	35	$	41
Variable interest entity notes		$	292	$	46	$	246	$	328	$	78	$	250
Medium-term notes		$	54	$	36	$	18	$	55	$	40	$	15