Fair Value Measurement (Tables)

6 Months Ended

Jun. 30, 2012

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

In millions

Fair Value
as of June
30, 2012

Valuation Techniques

Unobservable Input

Range
(Weighted Average)

Assets of consolidated VIEs:

Loans receivable at fair value

1,903

Quoted market prices adjusted for financial guarantees provided to VIE obligations

Impact of financial guarantee

0% -111% (6%)

Loan repurchase commitments

1,032

Discounted cash flow

Recovery rates

9% -96% (42%)

Breach rates

65% -94% (77%)

Liabilities of consolidated VIEs:

Variable interest entity notes

1,867

Quoted market prices of VIE assets adjusted for financial guarantees provided

Impact of financial guarantee

0% - 24% (6%)

Credit derivative liabilities, net:

CMBS

1,488

BET Model

Recovery rates

23% -90% (51%)

Nonperformance risk

11% -61% (55%)

Weighted average life (in years)

0.5 - 6.1 (4.9)

CMBS spreads

2% - 20% (12%)

Multi-sector CDO

691

Direct Price Model

Nonperformance risk

61% -61% (61%)

Other

1,106

BET Model

Recovery rates

42% -75% (47%)

Nonperformance risk

11% -61% (42%)

Weighted average life (in years)

0.3 - 14.7 (3.2)

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


	Fair Value Measurements at Reporting Date Using
In millions	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)			Counterparty and Cash Collateral Netting		Balance as of June 30, 2012
Assets:
Investments:
Fixed-maturity investments:
Taxable bonds:
U.S. Treasury and government agency	$	851	$	261	$	-		$	-	$	1,112
Foreign governments		263		77		12	⁽¹⁾		-		352
Corporate obligations		-		1,143		98	⁽¹⁾		-		1,241
Mortgage-backed securities:
Residential mortgage-backed agency		-		1,112		4	⁽¹⁾		-		1,116
Residential mortgage-backed non-agency		-		154		30	⁽¹⁾		-		184
Commercial mortgage-backed		-		20		27	⁽¹⁾		-		47
Asset-backed securities:
Collateralized debt obligations		-		73		29	⁽¹⁾		-		102
Other asset-backed		-		128		72	⁽¹⁾		-		200
State and municipal bonds		-		939		-			-		939

Total taxable bonds		1,114		3,907		272			-		5,293
Tax-exempt bonds:
State and municipal bonds		-		1,045		25	⁽¹⁾		-		1,070
Other fixed-maturity investments		-		10		-			-		10

Total fixed-maturity investments		1,114		4,962		297			-		6,373
Money market securities		641		-		-			-		641
Perpetual preferred securities		-		46		3	⁽¹⁾		-		49
Other		20		-		10	⁽¹⁾		-		30

Total		1,775		5,008		310			-		7,093
Cash and cash equivalents		269		-		-			-		269
Derivative assets:
Insured derivative assets:
Credit derivatives		-		-		3			-		3
Non-insured derivative assets:
Interest rate derivatives		-		96		4	⁽¹⁾		(98)		2

Total derivative assets		-		96		7			(98)		5


	Fair Value Measurements at Reporting Date Using
In millions	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)			Counterparty and Cash Collateral Netting		Balance as of June 30, 2012
Assets of consolidated VIEs:
Corporate obligations		-		216		95	⁽¹⁾		-		311
Mortgage-backed securities:
Residential mortgage-backed non-agency		-		811		10	⁽¹⁾		-		821
Commercial mortgage-backed		-		405		12	⁽¹⁾		-		417
Asset-backed securities:
Collateralized debt obligations		-		229		140	⁽¹⁾		-		369
Other asset-backed		-		161		42	⁽¹⁾		-		203

Total fixed maturity securities at fair value		-		1,822		299			-		2,121
Cash		145		-		-			-		145
State and municipal taxable bonds		-		40		-			-		40
Money market securities		109		-		-			-		109
Loans receivable		-		-		1,903			-		1,903
Loan repurchase commitments		-		-		1,032			-		1,032
Derivative assets:
Interest rate derivatives		-		1		-			-		1

Total assets	$	2,298	$	6,967	$	3,551		$	(98)	$	12,718

Liabilities:
Medium-term notes	$	-	$	-	$	151	⁽¹⁾	$	-	$	151
Derivative liabilities:
Insured derivatives:
Credit derivatives		-		14		3,288			-		3,302
Non-insured derivatives:
Interest rate derivatives		-		124		-			(98)		26
Currency derivatives		-		1		-			-		1
Other liabilities:
Warrants		-		25		-			-		25
Liabilities of consolidated VIEs:
Variable interest entity notes		-		1,771		1,867			-		3,638
Derivative liabilities:
Interest rate derivatives		-		165		-			-		165
Currency derivatives		-		-		21	⁽¹⁾		-		21

Total liabilities	$	-	$	2,100	$	5,327		$	(98)	$	7,329

(1) - Unobservable inputs are either not developed by the Company or do not significantly impact the overall fair values of the aggregate financial assets and liabilities.


	Fair Value Measurements at Reporting Date Using
In millions	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Counterparty and Cash Collateral Netting		Balance as of December 31, 2011
Assets:
Investments:
Fixed-maturity investments:
Taxable bonds:
U.S. Treasury and government agency	$	1,038	$	103	$	-	$	-	$	1,141
Foreign governments		277		62		11		-		350
Corporate obligations		1		1,531		207		-		1,739
Mortgage-backed securities:
Residential mortgage-backed agency		-		1,276		8		-		1,284
Residential mortgage-backed non-agency		-		350		17		-		367
Commercial mortgage-backed		-		34		24		-		58
Asset-backed securities:
Collateralized debt obligations		-		78		60		-		138
Other asset-backed		-		130		317		-		447
State and municipal bonds		-		924		-		-		924

Total taxable bonds		1,316		4,488		644		-		6,448
Tax-exempt bonds:
State and municipal bonds		-		1,137		28		-		1,165
Other fixed-maturity investments		-		15		-		-		15

Total fixed-maturity investments		1,316		5,640		672		-		7,628
Money market securities		912		-		-		-		912
Perpetual preferred securities		-		106		1		-		107
Other		25		-		10		-		35

Total		2,253		5,746		683		-		8,682
Cash and cash equivalents		473		-		-		-		473
Derivative assets:
Non-insured derivative assets:
Credit derivatives		-		1		-		-		1
Interest rate derivatives		-		91		3		-		94
Other		-		-		-		(93)		(93)

Total derivative assets		-		92		3		(93)		2


	Fair Value Measurements at Reporting Date Using
In millions	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Counterparty and Cash Collateral Netting		Balance as of December 31, 2011
Assets of consolidated VIEs:
Corporate obligations		-		170		69		-		239
Mortgage-backed securities:
Residential mortgage-backed agency		-		3		-		-		3
Residential mortgage-backed non-agency		-		1,437		21		-		1,458
Commercial mortgage-backed		-		559		22		-		581
Asset-backed securities:
Collateralized debt obligations		-		330		203		-		533
Other asset-backed		-		236		67		-		303

Total fixed maturity securities at fair value		-		2,735		382		-		3,117
Cash		160		-		-		-		160
Money market securities		199		-		-		-		199
Loans receivable		-		-		2,046		-		2,046
Loan repurchase commitments		-		-		1,077		-		1,077
Derivative assets:
Credit derivatives		-		-		447		-		447
Interest rate derivatives		-		3		-		-		3

Total assets	$	3,085	$	8,576	$	4,638	$	(93)	$	16,206

Liabilities:
Medium-term notes	$	-	$	-	$	165	$	-	$	165
Derivative liabilities:
Insured derivatives:
Credit derivatives		-		18		4,790		-		4,808
Non-insured derivatives:
Interest rate derivatives		-		445		-		-		445
Currency derivatives		-		4		-		-		4
Other		-		-		-		(93)		(93)
Other liabilities:
Warrants		-		38		-		-		38
Liabilities of consolidated VIEs:
Variable interest entity notes		-		1,865		2,889		-		4,754
Derivative liabilities:
Credit derivatives		-		-		527		-		527
Interest rate derivatives		-		281		-		-		281
Currency derivatives		-		-		17		-		17

Total liabilities	$	-	$	2,651	$	8,388	$	(93)	$	10,946

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


	Fair Value Measurements at Reporting Date Using
In millions	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Balance as of June 30, 2012		Carry Value Balance as of June 30, 2012
Assets:
Other investments	$	-	$	-	$	11	$	11	$	11
Accrued investment income⁽¹⁾		57		-		-		57		57
Receivable for investments sold⁽¹⁾		60		-		-		60		60
Assets of consolidated VIEs:
Investments held-to-maturity		-		-		2,896		2,896		3,051

Total assets	$	117	$	-	$	2,907	$	3,024	$	3,179

Liabilities:
Investment agreements	$	-	$	-	$	1,445	$	1,445	$	1,171
Medium-term notes		-		-		982		982		1,415
Long-term debt		-		1,119		-		1,119		1,837
Payable for investments purchased⁽²⁾		43		-		-		43		43
Liabilities of consolidated VIEs:
Variable interest entity notes		-		-		3,216		3,216		3,589

Total liabilities	$	43	$	1,119	$	5,643	$	6,805	$	8,055

Financial Guarantees:
Gross	$	-	$	-	$	975	$	975	$	831
Ceded		-		-		92		92		95

(1) - Reported within “Other assets” on MBIA’s consolidated balance sheets.

(2) - Reported within “Other liabilities” on MBIA’s consolidated balance sheets.


	Fair Value Measurements at Reporting Date Using
In millions	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Balance as of December 31, 2011		Carry Value Balance as of December 31, 2011
Assets:
Other investments	$	-	$	-	$	11	$	11	$	11
Accrued investment income⁽¹⁾		63		-		-		63		63
Receivable for investments sold⁽¹⁾		32		-		-		32		32
Assets of consolidated VIEs:
Investments held-to-maturity		-		-		3,489		3,489		3,843

Total assets	$	95	$	-	$	3,500	$	3,595	$	3,949

Liabilities:
Investment agreements	$	-	$	-	$	1,853	$	1,853	$	1,578
Medium-term notes		-		-		1,187		1,187		1,491
Securities sold under agreements to repurchase		-		286		-		286		287
Long-term debt		-		1,117		-		1,117		1,840
Payable for investments purchased⁽²⁾		3		-		-		3		3
Liabilities of consolidated VIEs:
Variable interest entity notes		-		-		3,297		3,297		3,943
Long-term debt		-		-		368		368		360

Total liabilities	$	3	$	1,403	$	6,705	$	8,111	$	9,502

Financial Guarantees:
Gross	$	-	$	-	$	1,451	$	1,451	$	1,305
Ceded		-		-		94		94		104

(1) - Reported within “Other assets” on MBIA’s consolidated balance sheets.

(2) - Reported within “Other liabilities” on MBIA’s consolidated balance sheets.

Changes In Level 3 Assets And Liabilities 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 June 30, 2012


In millions	Balance, Beginning of Period		Realized Gains / (Losses)		Unrealized Gains / (Losses) Included in Earnings		Unrealized Gains / (Losses) Included in OCI		Foreign Exchange Recognized in OCI or Earnings		Purchases		Issuances		Settlements		Sales		Transfers into Level 3⁽¹⁾		Transfers out of Level 3⁽¹⁾		Ending Balance		Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets still held as of June 30, 2012
Assets:
Foreign governments	$	12	$	-	$	-	$	-	$	(1)	$	7	$	-	$	(3)	$	(3)	$	-	$	-	$	12	$	-
Corporate obligations		185		-		2		13		(2)		16		-		(15)		(115)		14		-		98		2
Residential mortgage-backed agency		9		-		-		-		-		-		-		-		-		4		(9)		4		-
Residential mortgage-backed non-agency		14		-		-		(4)		-		-		-		(5)		(1)		26		-		30		-
Commercial mortgage-backed		25		-		-		2		-		-		-		-		-		-		-		27		-
Collateralized debt obligations		35		(1)		-		3		-		-		-		(4)		(7)		4		(1)		29		-
Other asset-backed		115		(2)		-		10		-		2		-		(2)		(50)		4		(5)		72		-
State and municipal tax-exempt bonds		27		-		-		-		-		-		-		(2)		-		-		-		25		-
Perpetual preferred securities		-		-		-		-		-		-		-		-		-		3		-		3		-
Other investments		10		-		-		-		-		-		-		-		-		-		-		10		-
Assets of consolidated VIEs:
Corporate obligations		75		-		(6)		(6)		-		28		-		(2)		-		6		-		95		-
Residential mortgage-backed non-agency		25		-		1		-		-		-		-		(2)		(15)		1		-		10		-
Commercial mortgage-backed		15		-		1		-		-		-		-		(1)		(8)		5		-		12		1
Collateralized debt obligations		218		-		(2)		(3)		-		-		-		-		(75)		2		-		140		6
Other asset-backed		71		-		3		-		-		4		-		(3)		(36)		3		-		42		2
Loans receivable		2,025		-		(49)		-		-		-		-		(71)		(2)		-		-		1,903		(49)
Loan repurchase commitments		1,076		-		(44)		-		-		-		-		-		-		-		-		1,032		(44)

Total assets	$	3,937	$	(3)	$	(94)	$	15	$	(3)	$	57	$	-	$	(110)	$	(312)	$	72	$	(15)	$	3,544	$	(82)


In millions	Balance, Beginning of Period		Realized (Gains) / Losses		Unrealized (Gains) / Losses Included in Earnings		Unrealized (Gains) / Losses Included in OCI		Foreign Exchange Recognized in OCI or Earnings		Purchases		Issuances		Settlements		Sales		Transfers into Level 3⁽¹⁾		Transfers out of Level 3⁽¹⁾		Ending Balance		Change in Unrealized (Gains) Losses for the Period Included in Earnings for Liabilities still held as of June 30, 2012
Liabilities:
Medium-term notes	$	174	$	-	$	(16)	$	-	$	(7)	$	-	$	-	$	-	$	-	$	-	$	-	$	151	$	(16)
Credit derivatives, net		4,487		443		(1,202)		-		-		-		-		(443)		-		-		-		3,285		(641)
Interest rate derivatives, net		(4)		-		-		-		-		-		-		-		-		-		-		(4)		-
Liabilities of consolidated VIEs:
VIE notes		2,864		-		62		-		-		-		-		(76)		(983)		-		-		1,867		62
Credit derivatives, net		82		-		-		-		-		-		-		-		(82)		-		-		-		-
Currency derivatives, net		19		-		2		-		-		-		-		-		-		-		-		21		2

Total liabilities	$	7,622	$	443	$	(1,154)	$	-	$	(7)	$	-	$	-	$	(519)	$	(1,065)	$	-	$	-	$	5,320	$	(593)

(1) - Transferred in and out at the end of the period.

Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Three Months Ended June 30, 2011


In millions	Balance, Beginning of Period		Realized Gains / (Losses)		Unrealized Gains / (Losses) Included in Earnings		Unrealized Gains / (Losses) Included in OCI		Foreign Exchange Recognized in OCI or Earnings		Purchases		Issuances		Settlements		Sales		Transfers into Level 3⁽¹⁾		Transfers out of Level 3⁽¹⁾		Ending Balance		Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets still held as of June 30, 2011
Assets:
Foreign governments	$	19	$	-	$	-	$	-	$	-	$	4	$	-	$	(3)	$	-	$	-	$	(7)	$	13	$	-
Corporate obligations		212		-		-		-		1		1		-		(2)		-		82		-		294		-
Residential mortgage-backed non-agency		43		(1)		-		5		(2)		4		-		(6)		(18)		3		-		28		-
Commercial mortgage-backed		51		-		-		-		-		1		-		-		(2)		-		-		50		-
Collateralized debt obligations		123		(1)		-		8		(9)		5		-		(4)		(6)		46		-		162		-
Other asset-backed		322		-		-		(7)		(1)		8		-		(1)		(1)		11		-		331		-
State and municipal taxable bonds		12		-		-		1		-		-		-		-		-		-		-		13		-
State and municipal tax-exempt bonds		34		-		-		-		-		2		-		(3)		(1)		-		-		32		-
Assets of consolidated VIEs:
Corporate obligations		84		-		(13)		-		-		-		-		(2)		-		-		(7)		62		-
Residential mortgage-backed non-agency		18		-		1		-		-		-		-		(2)		-		-		-		17		1
Commercial mortgage-backed		29		-		1		-		-		-		-		(2)		(1)		-		-		27		(1)
Collateralized debt obligations		219		-		(26)		-		-		-		-		-		-		22		(14)		201		5
Other asset-backed		79		-		(6)		-		-		-		-		(1)		-		1		-		73		2
Loans receivable		2,327		-		68		-		-		-		-		(73)		(2)		-		-		2,320		68
Loan repurchase commitments		867		-		38		-		-		-		-		-		-		-		-		905		38

Total assets	$	4,439	$	(2)	$	63	$	7	$	(11)	$	25	$	-	$	(99)	$	(31)	$	165	$	(28)	$	4,528	$	113


In millions	Balance, Beginning of Period		Realized (Gains) / Losses		Unrealized (Gains) / Losses Included in Earnings		Unrealized (Gains) / Losses Included in OCI		Foreign Exchange Recognized in OCI or Earnings		Purchases		Issuances		Settlements		Sales		Transfers into Level 3⁽¹⁾		Transfers out of Level 3⁽¹⁾		Ending Balance		Change in Unrealized (Gains) Losses for the Period Included in Earnings for Liabilities still held as of June 30, 2011
Liabilities:
Medium-term notes	$	163	$	-	$	39	$	-	$	4	$	-	$	-	$	-	$	-	$	-	$	-	$	206	$	39
Credit derivatives, net		5,772		218		(116)		-		-		-		-		(218)		-		-		-		5,656		897
Interest rate derivatives, net		(4)		-		(1)		-		-		-		-		-		-		1		-		(4)		2
Liabilities of consolidated VIEs:
VIE notes		4,953		-		2		-		-		-		-		(262)		(180)		-		-		4,513		2
Credit derivatives, net		926		-		(6)		-		-		-		-		-		-		-		-		920		(7)
Currency derivatives, net		12		-		4		-		-		-		-		-		-		-		-		16		4

Total liabilities	$	11,822	$	218	$	(78)	$	-	$	4	$	-	$	-	$	(480)	$	(180)	$	1	$	-	$	11,307	$	937

(1) - Transferred in and out at the end of the period.

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


	Three Months Ended June 30, 2012
							Consolidated VIEs
In millions	Unrealized Gains (Losses) on Insured Derivatives		Net Realized Gains (Losses)		Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange		Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange
Total gains (losses) included in earnings	$	1,202	$	(446)	$	18	$	(160)

Change in unrealized gains (losses) for the period included in earnings for assets and liabilities still held as of June 30, 2012	$	641	$	-	$	18	$	(148)


	Three Months Ended June 30, 2011
							Consolidated VIEs
In millions	Unrealized Gains (Losses) on Insured Derivatives		Net Realized Gains (Losses)		Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange		Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange
Total gains (losses) included in earnings	$	116	$	(220)	$	(38)	$	63

Change in unrealized gains (losses) for the period included in earnings for assets and liabilities still held as of June 30, 2011	$	(897)	$	-	$	(41)	$	114

Gains and losses (realized and unrealized) included in earnings relating to Level 3 assets and liabilities for the six months ended June 30, 2012 and 2011 are reported on the Company’s consolidated statements of operations as follows:


	Six Months Ended June 30, 2012
							Consolidated VIEs
In millions	Unrealized Gains (Losses) on Insured Derivatives		Net Realized Gains (Losses)		Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange		Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange
Total gains (losses) included in earnings	$	1,505	$	(543)	$	17	$	(274)

Change in unrealized gains (losses) for the period included in earnings for assets and liabilities still held as of June 30, 2012	$	571	$	-	$	9	$	(206)


	Six Months Ended June 30, 2011
							Consolidated VIEs
In millions	Unrealized Gains (Losses) on Insured Derivatives		Net Realized Gains (Losses)		Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange		Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange
Total gains (losses) included in earnings	$	(1,307)	$	(608)	$	(78)	$	(409)

Change in unrealized gains (losses) for the period included in earnings for assets and liabilities still held as of June 30, 2011	$	(2,128)	$	-	$	(79)	$	(359)

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


	Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange
	Three Months Ended June 30,				Six Months Ended June 30,
In millions	2012		2011		2012		2011
Fixed-maturity securities held at fair value	$	(56)	$	(265)	$	(57)	$	(52)
Loans receivable at fair value:
Residential mortgage loans		(117)		29		(99)		130
Other loans		(2)		(35)		(41)		7
Loan repurchase commitments		44		39		43		70
Other assets		-		18		-		(22)
Long-term debt		135		252		128		(115)

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


	As of June 30, 2012						As of December 31, 2011
In millions	Contractual Outstanding Principal		Fair Value		Difference		Contractual Outstanding Principal		Fair Value		Difference
Loans receivable at fair value:
Residential mortgage loans	$	2,533	$	1,755	$	778	$	2,769	$	1,895	$	874
Residential mortgage loans (90 days or more past due)		258		41		217		259		-		259
Other loans		88		32		56		129		43		86
Other loans (90 days or more past due)		203		75		128		324		108		216

Total loans receivable at fair value	$	3,082	$	1,903	$	1,179	$	3,481	$	2,046	$	1,435
Variable interest entity notes	$	9,362	$	3,638	$	5,724	$	13,583	$	4,754	$	8,829

- Definition

Tabular disclosure of the amount of gains or losses for the period included in earnings or resulted in a change to net assets, have arisen from the use of significant unobservable inputs (level 3) to measure the fair value of assets, liabilities, and financial instruments classified in shareholders' equity.

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- Definition

The entire disclosure of the fair value measurement of assets and liabilities, which includes financial instruments measured at fair value that are classified in shareholders' equity, which may be measured on a recurring or nonrecurring basis.

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- Definition

Tabular disclosure of the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined) which are not recognized in the financial statements (off-balance sheet) because they fail to meet some other criterion for recognition.

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