Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2013

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

In millions

Fair Value as of
March 31, 2013

Valuation Techniques

Unobservable Input

Range
(Weighted Average)

Assets of consolidated VIEs:

Loans receivable at fair value

1,819

Quoted market prices adjusted for financial guarantees provided to VIE obligations

Impact of financial guarantee

0% - 21% (4%)

Loan repurchase commitments

1,176

Discounted cash flow

Recovery rates Breach rates

10% - 75% (46%)
67% - 94% (78%)

Liabilities of consolidated VIEs:

Variable interest entity notes

1,901

Quoted market prices of VIE assets adjusted for financial guarantees provided

Impact of financial guarantee

0% - 34% (8%)

Credit derivative liabilities, net:

CMBS

1,851

BET Model

Recovery rates

21% - 90% (51%)

Nonperformance risk

20% - 48% (48%)

Weighted average life (in years)

0.1 - 33.5 (4.3)

CMBS spreads

0.6% - 23.5% (13.1%)

Multi-sector CDO

594

Direct Price Model

Nonperformance risk

48% - 48% (48%)

Other

549

BET Model

Recovery rates

42% - 70% (47%)

Nonperformance risk

37% - 48% (48%)

Weighted average life (in years)

0.4 - 19.6 (2.8)

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 March 31, 2013
Assets:
Fixed-maturity investments:
U.S. Treasury and government agency	$	641	$	99	$	-		$	-	$	740
State and municipal bonds		-		1,504		23	⁽¹⁾		-		1,527
Foreign governments		110		91		8	⁽¹⁾		-		209
Corporate obligations		-		1,087		57	⁽¹⁾		-		1,144
Mortgage-backed securities:
Residential mortgage-backed agency		-		931		-			-		931
Residential mortgage-backed non-agency		-		89		1	⁽¹⁾		-		90
Commercial mortgage-backed		-		24		13	⁽¹⁾		-		37
Asset-backed securities:
Collateralized debt obligations		-		61		37	⁽¹⁾		-		98
Other asset-backed		-		78		67	⁽¹⁾		-		145

Total fixed-maturity investments		751		3,964		206			-		4,921
Money market securities		693		7		-			-		700
Perpetual debt and equity securities		27		12		10	⁽¹⁾		-		49
Cash and cash equivalents		862		-		-			-		862
Derivative assets:
Non-insured derivative assets:
Interest rate derivatives		-		81		4	⁽¹⁾		(81)		4

Total derivative assets		-		81		4			(81)		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 March 31, 2013
Assets of consolidated VIEs:
State and municipal bonds		-		37		-			-		37
Corporate obligations		-		209		79	⁽¹⁾		-		288
Mortgage-backed securities:
Residential mortgage-backed non-agency		-		893		6	⁽¹⁾		-		899
Commercial mortgage-backed		-		416		28	⁽¹⁾		-		444
Asset-backed securities:
Collateralized debt obligations		-		207		117	⁽¹⁾		-		324
Other asset-backed		-		117		47	⁽¹⁾		-		164
Money market securities		220		-		-			-		220
Cash		72		-		-			-		72
Loans receivable		-		-		1,819			-		1,819
Loan repurchase commitments		-		-		1,176			-		1,176

Total assets	$	2,625	$	5,943	$	3,492		$	(81)	$	11,979

Liabilities:
Medium-term notes	$	-	$	-	$	181	⁽¹⁾	$	-	$	181
Derivative liabilities:
Insured derivatives:
Credit derivatives		-		12		2,994			-		3,006
Non-insured derivatives:
Interest rate derivatives		-		265		3	⁽¹⁾		(269)		(1)
Currency derivatives		-		-		1	⁽¹⁾		-		1
Other liabilities:
Warrants		-		12		-			-		12
Liabilities of consolidated VIEs:
Variable interest entity notes		-		1,677		1,901			-		3,578
Derivative liabilities:
Interest rate derivatives		-		126		-			-		126
Currency derivatives		-		-		23	⁽¹⁾		-		23

Total liabilities	$	-	$	2,092	$	5,103		$	(269)	$	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, 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
Perpetual debt and 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 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 March 31, 2013		Carry Value Balance as of March 31, 2013
Assets:
Other investments	$	-	$	-	$	9	$	9	$	9
Accrued investment income⁽¹⁾		40		-		-		40		40
Receivable for investments sold⁽¹⁾		3		-		-		3		3
Net cash collateral pledged⁽¹⁾		58		-		-		58		58
Assets of consolidated VIEs:
Investments held-to-maturity		-		-		2,759		2,759		2,826

Total assets	$	101	$	-	$	2,768	$	2,869	$	2,936

Liabilities:
Investment agreements	$	-	$	-	$	1,126	$	1,126	$	915
Medium-term notes		-		-		944		944		1,396
Long-term debt		-		801		-		801		1,661
Payable for investments purchased⁽²⁾		51		-		-		51		51
Accrued interest expense⁽²⁾		13		21		-		34		103
Liabilities of consolidated VIEs:
Variable interest entity notes		-		-		3,253		3,253		3,461

Total liabilities	$	64	$	822	$	5,323	$	6,209	$	7,587

Financial Guarantees:
Gross	$	-	$	-	$	466	$	466	$	(318)
Ceded		-		-		100		100		87

(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, 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		-		-		860		860		1,433
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	$	5,182	$	5,943	$	7,624

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.

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 Three Months Ended March 31, 2013


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 March 31, 2013
Assets:
Foreign governments	$	3	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	8	$	(3)	$	8	$	-
Corporate obligations		76		2		4		1		(2)		-		-		(1)		(23)		-		-		57		4
Residential mortgage- backed non-agency		4		-		-		-		-		-		-		(3)		-		-		-		1		-
Commercial mortgage-backed		28		-		-		4		-		-		-		-		(19)		1		(1)		13		-
Collateralized debt obligations		31		(1)		-		3		-		-		-		(4)		-		9		(1)		37		-
Other asset-backed		26		-		-		1		-		-		-		(2)		-		42		-		67		-
State and municipal bonds		103		2		-		-		-		-		-		(1)		(13)		-		(68)		23		-
Perpetual debt and equity securities		14		-		-		-		(1)		-		-		-		-		-		(3)		10		-
Assets of consolidated VIEs:
Corporate obligations		78		-		(2)		-		-		-		-		-		-		3		-		79		-
Residential mortgage- backed non-agency		6		-		6		-		-		-		-		(6)		-		1		(1)		6		1
Commercial mortgage-backed		7		-		1		-		-		-		-		-		-		20		-		28		1
Collateralized debt obligations		125		-		(8)		-		-		-		-		-		-		1		(1)		117		(4)
Other asset-backed		64		-		(14)		-		-		-		-		(3)		-		-		-		47		(9)
Loans receivable		1,881		-		8		-		-		-		-		(70)		-		-		-		1,819		8
Loan repurchase commitments		1,086		-		90		-		-		-		-		-		-		-		-		1,176		90

Total assets	$	3,532	$	3	$	85	$	9	$	(3)	$	-	$	-	$	(90)	$	(55)	$	85	$	(78)	$	3,488	$	91


	Balance,		Realized		Unrealized (Gains) / Losses Included		Unrealized (Gains) / Losses		Foreign Exchange Recognized										Transfers		Transfers				Change in Unrealized (Gains) Losses for the Period Included in Earnings for Liabilities still held as of
	Beginning		(Gains) /		in		Included		in OCI or										into		out of		Ending		March 31,
In millions	of Period		Losses		Earnings		in OCI		Earnings		Purchases		Issuances		Settlements		Sales		Level 3⁽¹⁾		Level 3⁽¹⁾		Balance		2013
Liabilities:
Medium-term notes	$	165	$	-	$	21	$	-	$	(5)	$	-	$	-	$	-	$	-	$	-	$	-	$	181	$	16
Credit derivatives, net		2,921		1		73		-		-		-		-		(1)		-		-		-		2,994		131
Interest rate derivatives, net		(1)		-		1		-		(1)		-		-		-		-		-		-		(1)		-
Currency derivatives, net		1		-		1		-		(1)		-		-		-		-		-		-		1		-
Liabilities of consolidated VIEs:
VIE notes		1,932		-		122		-		-		-		-		(153)		-		-		-		1,901		122
Currency derivatives, net		21		-		(1)		-		3		-		-		-		-		-		-		23		2

Total liabilities	$	5,039	$	1	$	217	$	-	$	(4)	$	-	$	-	$	(154)	$	-	$	-	$	-	$	5,099	$	271

(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 March 31, 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 March 31, 2012
Assets:
Foreign governments	$	11	$	-	$	-	$	-	$	1	$	6	$	-	$	(6)	$	-	$	-	$	-	$	12	$	-
Corporate obligations		206		(13)		-		17		-		-		-		(1)		(24)		-		-		185		-
Residential mortgage- backed agency		8		-		-		1		-		-		-		-		-		-		-		9		-
Residential mortgage- backed non-agency		17		-		-		1		-		-		-		(1)		-		-		(3)		14		-
Commercial mortgage-backed		24		-		-		2		-		-		-		-		-		-		(1)		25		-
Collateralized debt obligations		60		(3)		-		6		-		-		-		(5)		(2)		6		(27)		35		-
Other asset-backed		318		(116)		-		121		-		1		-		(7)		(202)		2		(2)		115		-
State and municipal bonds		28		-		-		-		-		-		-		(1)		-		-		-		27		-
Perpetual debt and equity securities		11		-		-		1		-		-		-		-		-		-		(2)		10		-
Assets of consolidated VIEs:
Corporate obligations		69		-		1		-		-		-		-		(1)		-		6		-		75		2
Residential mortgage- backed non-agency		21		-		5		-		-		-		-		(2)		-		2		(1)		25		4
Commercial mortgage-backed		22		-		1		-		-		-		-		(2)		-		-		(6)		15		-
Collateralized debt obligations		203		-		3		1		-		-		-		-		-		11		-		218		2
Other asset-backed		67		-		3		-		-		-		-		-		-		1		-		71		3
Loans receivable		2,046		-		39		-		-		-		-		(60)		-		-		-		2,025		39
Loan repurchase commitments		1,077		-		(1)		-		-		-		-		-		-		-		-		1,076		(1)

Total assets	$	4,188	$	(132)	$	51	$	150	$	1	$	7	$	-	$	(86)	$	(228)	$	28	$	(42)	$	3,937	$	49


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 March 31, 2012
Liabilities:
Medium-term notes	$	165	$	-	$	5	$	-	$	4	$	-	$	-	$	-	$	-	$	-	$	-	$	174	$	5
Credit derivatives, net		4,790		20		(303)		-		-		-		-		(20)		-		-		-		4,487		(286)
Interest rate derivatives, net		(3)		-		(1)		-		-		-		-		-		-		-		-		(4)		7
Liabilities of consolidated VIEs:
VIE notes		2,889		-		158		-		-		-		-		(183)		-		-		-		2,864		158
Credit derivatives, net		80		-		2		-		-		-		-		-		-		-		-		82		2
Currency derivatives, net		17		-		2		-		-		-		-		-		-		-		-		19		2

Total liabilities	$	7,938	$	20	$	(137)	$	-	$	4	$	-	$	-	$	(203)	$	-	$	-	$	-	$	7,622	$	(112)

(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


	Three Months Ended March 31, 2013
In millions	Total Gains (Losses) Included in Earnings		Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets and Liabilities still held as of March 31, 2013
Revenues:
Unrealized gains (losses) on insured derivatives	$	(73)	$	(131)
Realized gains (losses) and other settlements on insured derivatives		(1)		-
Net gains (losses) on financial instruments at fair value and foreign exchange		(16)		(12)
Revenues of consolidated VIEs:
Net gains (losses) on financial instruments at fair value and foreign exchange		(40)		(37)

Total	$	(130)	$	(180)


	Three Months Ended March 31, 2012
In millions	Total Gains (Losses) included in Earnings		Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets and Liabilities still held as of March 31, 2012
Revenues:
Net investment income	$	(5)	$	-
Unrealized gains (losses) on insured derivatives		303		286
Realized gains (losses) and other settlements on insured derivatives		(20)		-
Net gains (losses) on financial instruments at fair value and foreign exchange		(36)		(12)
Net investment losses related to other-than-temporary impairments		(95)		-
Revenues of consolidated VIEs:
Net gains (losses) on financial instruments at fair value and foreign exchange		(111)		(113)

Total	$	36	$	161

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


	Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange
	Three Months Ended March 31,
In millions	2013		2012
Fixed-maturity securities held at fair value	$	18	$	(1)
Loans receivable at fair value:
Residential mortgage loans		(74)		18
Other loans		13		(39)
Loan repurchase commitments		90		-
Long-term debt		81		(7)

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


	As of March 31, 2013						As of December 31, 2012
In millions	Contractual Outstanding Principal		Fair Value		Difference		Contractual Outstanding Principal		Fair Value		Difference
Loans receivable at fair value:
Residential mortgage loans	$	2,220	$	1,660	$	560	$	2,307	$	1,735	$	572
Residential mortgage loans (90 days or more past due)		244		54		190		244		54		190
Other loans		22		11		11		22		22		-
Other loans (90 days or more past due)		196		94		102		197		70		127

Total loans receivable at fair value	$	2,682	$	1,819	$	863	$	2,770	$	1,881	$	889
Variable interest entity notes	$	8,813	$	3,578	$	5,235	$	9,021	$	3,659	$	5,362

- 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