Fair Value Of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2012

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

In millions

Fair Value
as of
December 31,
2012

Valuation Techniques

Unobservable Input

Range
(Weighted
Average)

Assets of consolidated VIEs:

Loans receivable at fair value

1,881

Quoted market prices adjusted for financial guarantees provided to VIE obligations

Impact of financial guarantee

0% – 14%(3%

)

Loan repurchase commitments

1,086

Discounted cash flow

Recovery rates

10% – 75%(47%

)

Breach rates

66% – 94%(78%)

Liabilities of consolidated VIEs:

Variable interest entity notes

1,932

Quoted market prices of VIE assets adjusted for financial guarantees provided

Impact of financial guarantee

0% – 23%(6%

)

Credit derivative liabilities, net:

CMBS

1,590

BET Model

Recovery rates

21% – 90%(51%

)

Nonperformance risk

19% – 59%(58%)

Weighted average life (in years)

0.1 – 5.6(4.4)

CMBS spreads

1% – 23%(13%)

Multi-sector CDO

525

Direct Price Model

Nonperformance risk

59% – 59%(59%

)

Other

806

BET Model

Recovery rates

42% – 75%(47%

)

Nonperformance risk

42% – 59%(58%)

Weighted average life (in years)

0.1 – 19.6(3.0)

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 December 31, 2012
Assets:
Fixed-maturity investments:
U.S. Treasury and government agency	$	784	$	100	$	—		$	—	$	884
State and municipal bonds		—		1,429		103	⁽¹⁾		—		1,532
Foreign governments		86		107		3	⁽¹⁾		—		196
Corporate obligations		—		1,140		76	⁽¹⁾		—		1,216
Mortgage-backed securities:
Residential mortgage-backed agency		—		988		—			—		988
Residential mortgage-backed non-agency		—		94		4	⁽¹⁾		—		98
Commercial mortgage-backed		—		20		28	⁽¹⁾		—		48
Asset-backed securities:
Collateralized debt obligations		—		65		31	⁽¹⁾		—		96
Other asset-backed		—		119		26	⁽¹⁾		—		145

Total fixed-maturity investments		870		4,062		271			—		5,203
Money market securities		585		8		—			—		593
Equity securities		23		20		14	⁽¹⁾		—		57
Cash and cash equivalents		814		—		—			—		814
Derivative assets:
Non-insured derivative assets:
Interest rate derivatives		—		89		5	⁽¹⁾		(90)		4

Total derivative assets		—		89		5			(90)		4


	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, 2012
Assets of consolidated VIEs:
State and municipal bonds		—		41		—			—		41
Corporate obligations		—		215		78	⁽¹⁾		—		293
Mortgage-backed securities:
Residential mortgage-backed non-agency		—		869		6	⁽¹⁾		—		875
Commercial mortgage-backed		—		410		7	⁽¹⁾		—		417
Asset-backed securities:
Collateralized debt obligations		—		215		125	⁽¹⁾		—		340
Other asset-backed		—		120		64	⁽¹⁾		—		184
Money market securities		210		—		—			—		210
Cash		176		—		—			—		176
Loans receivable		—		—		1,881			—		1,881
Loan repurchase commitments		—		—		1,086			—		1,086

Total assets	$	2,678	$	6,049	$	3,537		$	(90)	$	12,174

Liabilities:
Medium-term notes	$	—	$	—	$	165	⁽¹⁾	$	—	$	165
Derivative liabilities:
Insured derivatives:
Credit derivatives		—		13		2,921			—		2,934
Non-insured derivatives:
Interest rate derivatives		—		287		4	⁽¹⁾		(293)		(2)
Currency derivatives		—		1		1	⁽¹⁾		—		2
Other liabilities:
Warrants		—		6		—			—		6
Liabilities of consolidated VIEs:
Variable interest entity notes		—		1,727		1,932			—		3,659
Derivative liabilities:
Interest rate derivatives		—		141		—			—		141
Currency derivatives		—		—		21	⁽¹⁾		—		21

Total liabilities	$	—	$	2,175	$	5,044		$	(293)	$	6,926

(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:
Fixed-maturity investments:
U.S. Treasury and government agency	$	1,038	$	103	$	—	$	—	$	1,141
State and municipal bonds		—		2,061		28		—		2,089
Foreign governments		277		62		11		—		350
Corporate obligations		1		1,531		207		—		1,739
Mortgage-backed securities:
Residential mortgage-backed agency		—		1,276		—		—		1,276
Residential mortgage-backed non-agency		—		350		17		—		367
Commercial mortgage-backed		—		34		32		—		66
Asset-backed securities:
Collateralized debt obligations		—		78		60		—		138
Other asset-backed		—		130		317		—		447

Total fixed-maturity investments		1,316		5,625		672		—		7,613
Money market securities		912		—		—		—		912
Equity securities		25		121		11		—		157
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
Money market securities		199		—		—		—		199
Cash		160		—		—		—		160
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 And Carrying Value Of Assets And Liabilities That Are Disclosed At Fair Value But Not Reported At Fair Value On Company'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)		Fair Value Balance as of December 31, 2012		Carry Value Balance as of December 31, 2012
Assets:
Other investments	$	—	$	—	$	9	$	9	$	9
Accrued investment income⁽¹⁾		43		—		—		43		43
Receivable for investments sold⁽¹⁾		17		—		—		17		17
Net cash collateral pledged⁽¹⁾		66		—		—		66		66
Assets of consolidated VIEs:
Investments held-to-maturity		—		—		2,674		2,674		2,829

Total assets	$	126	$	—	$	2,683	$	2,809	$	2,964

Liabilities:
Investment agreements	$	—	$	—	$	1,175	$	1,175	$	944
Medium-term notes		—		—		1,026		1,026		1,598
Long-term debt		—		692		—		692		1,662
Payable for investments purchased⁽²⁾		50		—		—		50		50
Accrued interest expense⁽²⁾		9		10		—		19		70
Liabilities of consolidated VIEs:
Variable interest entity notes		—		—		3,147		3,147		3,465

Total liabilities	$	59	$	702	$	5,348	$	6,109	$	7,789

Financial Guarantees:
Gross	$	—	$	—	$	650	$	650	$	143
Ceded		—		—		97		97		91

(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)		Fair Value 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
Accrued interest payable⁽²⁾		10		61		—		71		71
Liabilities of consolidated VIEs:
Variable interest entity notes		—		—		3,297		3,297		3,943
Long-term debt		—		—		368		368		360

Total liabilities	$	13	$	1,464	$	6,705	$	8,182	$	9,573

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 Recurring Basis

Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Year Ended December 31, 2012


In millions	Balance, Beginning of Year		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 December 31, 2012
Assets:
Foreign governments	$	11	$	—	$	—	$	—	$	1	$	21	$	—	$	(29)	$	(4)	$	3	$	—	$	3	$	—
Corporate obligations		207		(15)		10		27		—		17		—		(29)		(141)		25		(25)		76		9
Residential mortgage— backed agency		—		—		—		—		—		—		—		—		—		4		(4)		—		—
Residential mortgage— backed non-agency		17		(1)		—		—		—		—		—		(13)		(5)		31		(25)		4		—
Commercial mortgage-backed		32		—		—		6		—		1		—		—		—		1		(12)		28		—
Collateralized debt obligations		60		(9)		—		20		—		1		—		(15)		(10)		18		(34)		31		—
Other asset-backed		317		(46)		—		73		—		3		—		(29)		(285)		4		(11)		26		—
State and municipal bonds		28		—		—		(1)		—		—		—		(7)		—		83		—		103		—
Equity securities		11		—		1		2		—		—		—		—		—		3		(3)		14		—
Assets of consolidated VIEs:
Corporate obligations		69		—		(19)		(6)		—		27		—		(5)		—		15		(3)		78		3
Residential mortgage— backed non-agency		21		—		6		—		—		—		—		(7)		(16)		6		(4)		6		3
Commercial mortgage-backed		22		—		4		—		—		—		—		(4)		(9)		5		(11)		7		1
Collateralized debt obligations		203		—		(25)		2		—		—		—		(12)		(74)		56		(25)		125		5
Other asset-backed		67		—		6		—		—		4		—		(11)		(36)		34		—		64		7
Loans receivable		2,046		—		114		—		—		—		—		(277)		(2)		—		—		1,881		114
Loan repurchase commitments		1,077		—		9		—		—		—		—		—		—		—		—		1,086		9

Total assets	$	4,188	$	(71)	$	106	$	123	$	1	$	74	$	—	$	(438)	$	(582)	$	288	$	(157)	$	3,532	$	151


In millions	Balance, Beginning of Year		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 December 31, 2012
Liabilities:
Medium-term notes	$	165	$	—	$	(3)	$	—	$	3	$	—	$	—	$	—	$	—	$	—	$	—	$	165	$	(3)
Credit derivatives, net		4,790		464		(1,869)		—		—		—		—		(464)		—		—		—		2,921		(927)
Interest rate derivatives, net		(3)		—		(2)		—		—		—		—		—		—		4		—		(1)		18
Currency derivatives, net		—		—		—		—		—		—		—		—		—		1		—		1		—
Liabilities of consolidated VIEs:
VIE notes		2,889		—		465		—		—		—		—		(439)		(983)		—		—		1,932		409
Credit derivatives, net		80		—		2		—		—		—		—		—		(82)		—		—		—		—
Currency derivatives, net		17		—		4		—		—		—		—		—		—		—		—		21		4

Total liabilities	$	7,938	$	464	$	(1,403)	$	—	$	3	$	—	$	—	$	(903)	$	(1,065)	$	5	$	—	$	5,039	$	(499)

(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 Year Ended December 31, 2011


In millions	Balance, Beginning of Year		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 December 31, 2011
Assets:
Foreign governments	$	11	$	—	$	—	$	—	$	(7)	$	13	$	—	$	(5)	$	(1)	$	7	$	(7)	$	11	$	—
Corporate obligations		246		(4)		—		(8)		7		20		—		(127)		(61)		166		(32)		207		—
Residential mortgage— backed agency		41		—		—		1		—		2		—		(1)		(2)		—		(41)		—		—
Residential mortgage— backed non-agency		48		(2)		—		10		2		12		—		(22)		(18)		10		(23)		17		—
Commercial mortgage-backed		41		(2)		—		—		1		9		—		(3)		(21)		8		(1)		32		—
Collateralized debt obligations		192		(4)		—		25		2		6		3		(114)		(4)		50		(96)		60		—
Other asset-backed		349		(62)		—		32		—		9		—		(22)		(2)		78		(65)		317		—
State and municipal bonds		50		1		—		—		—		2		—		(24)		(1)		—		—		28		—
Equity securities		—		—		—		—		—		10		—		—		—		1		—		11		—
Assets of consolidated VIEs:
Corporate obligations		82		—		(17)		—		—		—		—		(6)		—		17		(7)		69		(2)
Residential mortgage— backed non-agency		40		—		(3)		3		—		—		—		(6)		(6)		13		(20)		21		—
Commercial mortgage-backed		23		—		9		—		—		—		—		(2)		(13)		7		(2)		22		3
Collateralized debt obligations		245		—		(25)		(7)		—		60		—		(7)		(39)		71		(95)		203		5
Other asset-backed		81		—		(10)		—		—		—		—		(2)		(19)		19		(2)		67		(4)
Loans receivable		2,183		—		132		—		—		24		—		(291)		(2)		—		—		2,046		132
Loan repurchase commitments		835		—		230		—		—		—		12		—		—		—		—		1,077		230

Total assets	$	4,467	$	(73)	$	316	$	56	$	5	$	167	$	15	$	(632)	$	(189)	$	447	$	(391)	$	4,188	$	364


In millions	Balance, Beginning of Year		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 December 31, 2011
Liabilities:
Medium-term notes	$	116	$	—	$	78	$	—	$	(4)	$	—	$	—	$	(25)	$	—	$	—	$	—	$	165	$	78
Credit derivatives, net		4,350		2,477		440		—		—		(8)		—		(2,477)		—		8		—		4,790		2,702
Interest rate derivatives, net		(5)		—		1		—		—		—		—		—		—		1		—		(3)		12
Liabilities of consolidated VIEs:
VIE notes		4,673		—		94		—		—		—		—		(554)		(1,324)		—		—		2,889		94
Credit derivatives, net		768		—		(11)		—		—		—		—		—		(677)		—		—		80		(80)
Currency derivatives, net		14		—		3		—		—		—		—		—		—		—		—		17		3

Total liabilities	$	9,916	$	2,477	$	605	$	—	$	(4)	$	(8)	$	—	$	(3,056)	$	(2,001)	$	9	$	—	$	7,938	$	2,809

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

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


	Year Ended December 31, 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	$	1,869	$	(547)	$	28	$	(376)

Change in unrealized gains (losses) for the period included in earnings for assets and liabilities still held as of December 31, 2012	$	927	$	—	$	(6)	$	(271)


	Year Ended December 31, 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	$	(440)	$	(2,550)	$	(79)	$	230

Change in unrealized gains (losses) for the period included in earnings for assets and liabilities still held as of December 31, 2011	$	(2,702)	$	—	$	(90)	$	347


	Year Ended December 31, 2010
							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	$	(609)	$	(282)	$	(11)	$	(340)

Change in unrealized gains (losses) for the period included in earnings for assets and liabilities still held as of December 31, 2010	$	(1,338)	$	—	$	(3)	$	(395)

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


	Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange
In millions	2012		2011		2010
Fixed-maturity securities held at fair value	$	(55)	$	(484)	$	374
Loans receivable at fair value:
Residential mortgage loans		(107)		(143)		295
Other loans		(56)		(19)		(26)
Loan repurchase commitments		9		242		336
Other assets		—		—		26
Long-term debt		107		594		(661)

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


	As of December 31, 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	$	2,307	$	1,735	$	572	$	2,769	$	1,895	$	874
Residential mortgage loans (90 days or more past due)		244		54		190		259		—		259
Other loans		22		22		—		129		43		86
Other loans (90 days or more past due)		197		70		127		324		108		216

Total loans receivable at fair value	$	2,770	$	1,881	$	889	$	3,481	$	2,046	$	1,435
Variable interest entity notes	$	9,021	$	3,659	$	5,362	$	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.

+ References+ Details

- 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.

+ References

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+ Details

- 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.

+ References

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+ Details