XML 69 R29.htm IDEA: XBRL DOCUMENT

Investments (Tables)

9 Months Ended

Sep. 30, 2013

Amortized Cost And Fair Value Of Available-For-Sale And Held-To-Maturity Investment Portfolios

				September 30, 2013
						Gross		Gross				Other-Than-
				Amortized		Unrealized		Unrealized		Fair		Temporary
In millions				Cost		Gains		Losses		Value		Impairments⁽¹⁾
AFS Investments
Fixed-maturity investments:
	U.S. Treasury and government agency			$	526	$	19	$	(8)	$	537	$	0
	State and municipal bonds				1,632		30		(52)		1,610		0
	Foreign governments				192		9		0		201		0
	Corporate obligations				1,616		32		(26)		1,622		0
	Mortgage-backed securities:
		Residential mortgage-backed agency			942		10		(18)		934		0
		Residential mortgage-backed non-agency			67		13		(6)		74		3
		Commercial mortgage-backed			34		1		(1)		34		0
	Asset-backed securities:
		Collateralized debt obligations			210		2		(57)		155		(12)
		Other asset-backed			148		2		(17)		133		0
			Total fixed-maturity investments		5,367		118		(185)		5,300		(9)
Money market securities					911		0		0		911		0
Perpetual debt and equity securities					9		1		0		10		0
Assets of consolidated VIEs:
	Money market securities				156		0		0		156		0
Total AFS investments				$	6,443	$	119	$	(185)	$	6,377	$	(9)

HTM Investments
Assets of consolidated VIEs:
	Corporate obligations			$	2,809	$	8	$	(251)	$	2,566	$	0
Total HTM investments				$	2,809	$	8	$	(251)	$	2,566	$	0
_______________
(1) - Represents unrealized gains or losses on other than temporarily impaired securities recognized in AOCI, which includes the non-credit component of impairments, as well as all subsequent changes in fair value of such impaired securities reported in AOCI.

				December 31, 2012
						Gross		Gross				Other-Than-
				Amortized		Unrealized		Unrealized		Fair		Temporary
In millions				Cost		Gains		Losses		Value		Impairments⁽¹⁾
AFS Investments
Fixed-maturity investments:
	U.S. Treasury and government agency			$	819	$	40	$	(1)	$	858	$	0
	State and municipal bonds				1,446		97		(12)		1,531		0
	Foreign governments				183		13		0		196		0
	Corporate obligations				1,058		54		(20)		1,092		5
	Mortgage-backed securities:
		Residential mortgage-backed agency			939		19		(1)		957		0
		Residential mortgage-backed non-agency			86		11		(8)		89		0
		Commercial mortgage-backed			46		0		(4)		42		0
	Asset-backed securities:
		Collateralized debt obligations			161		1		(71)		91		(25)
		Other asset-backed			145		3		(11)		137		0
			Total fixed-maturity investments		4,883		238		(128)		4,993		(20)
Money market securities					580		0		0		580		0
Perpetual debt and equity securities					22		1		0		23		0
Assets of consolidated VIEs:
	State and municipal bonds				38		3		0		41		0
	Corporate obligations				177		9		(6)		180		0
	Mortgage-backed securities:
		Residential mortgage-backed non-agency			92		0		(10)		82		0
	Asset-backed securities:
		Collateralized debt obligations			97		0		(8)		89		0
		Other asset-backed			23		0		0		23		0
	Money market securities				210		0		0		210		0
Total AFS investments				$	6,122	$	251	$	(152)	$	6,221	$	(20)

HTM Investments
Assets of consolidated VIEs:
	Corporate obligations			$	2,829	$	2	$	(157)	$	2,674	$	0
Total HTM investments				$	2,829	$	2	$	(157)	$	2,674	$	0
_______________
(1) - Represents unrealized gains or losses on other than temporarily impaired securities recognized in AOCI, which includes the non-credit component of impairments, as well as all subsequent changes in fair value of such impaired securities reported in AOCI.

Distribution By Contractual Maturity Of Available-For-Sale and Held-To-Maturity Investments

	AFS Securities				HTM Securities
					Consolidated VIEs
	Amortized				Amortized
In millions	Cost		Fair Value		Cost		Fair Value
Due in one year or less	$	551	$	552	$	0	$	0
Due after one year through five years		913		929		0		0
Due after five years through ten years		926		925		0		0
Due after ten years		1,576		1,564		2,809		2,566
Mortgage-backed and asset-backed		1,401		1,330		0		0
Total fixed-maturity investments	$	5,367	$	5,300	$	2,809	$	2,566

Gross Unrealized Losses Related To Available-For-Sale And Held-To-Maturity Investments

				September 30, 2013
				Less than 12 Months				12 Months or Longer				Total
				Fair		Unrealized		Fair		Unrealized		Fair		Unrealized
In millions				Value		Losses		Value		Losses		Value		Losses
AFS Investments
Fixed-maturity investments:
	U.S. Treasury and government agency			$	208	$	(8)	$	2	$	0	$	210	$	(8)
	State and municipal bonds				730		(48)		58		(4)		788		(52)
	Foreign governments				12		0		0		0		12		0
	Corporate obligations				610		(23)		20		(3)		630		(26)
	Mortgage-backed securities:
		Residential mortgage-backed agency			528		(18)		32		0		560		(18)
		Residential mortgage-backed non-agency			5		0		23		(6)		28		(6)
		Commercial mortgage-backed			22		(1)		1		0		23		(1)
	Asset-backed securities:
		Collateralized debt obligations			9		(1)		128		(56)		137		(57)
		Other asset-backed			22		0		56		(17)		78		(17)
			Total fixed-maturity investments		2,146		(99)		320		(86)		2,466		(185)
Perpetual debt and equity securities					4		0		0		0		4		0
Total AFS investments				$	2,150	$	(99)	$	320	$	(86)	$	2,470	$	(185)

HTM Investments
Assets of consolidated VIEs:
	Corporate obligations			$	0	$	0	$	1,174	$	(251)	$	1,174	$	(251)
Total HTM investments				$	0	$	0	$	1,174	$	(251)	$	1,174	$	(251)

				December 31, 2012
				Less than 12 Months				12 Months or Longer				Total
				Fair		Unrealized		Fair		Unrealized		Fair		Unrealized
In millions				Value		Losses		Value		Losses		Value		Losses
AFS Investments
Fixed-maturity investments:
	U.S. Treasury and government agency			$	234	$	(1)	$	0	$	0	$	234	$	(1)
	State and municipal bonds				69		0		87		(12)		156		(12)
	Foreign governments				11		0		1		0		12		0
	Corporate obligations				202		(2)		57		(18)		259		(20)
	Mortgage-backed securities:
		Residential mortgage-backed agency			173		(1)		38		0		211		(1)
		Residential mortgage-backed non-agency			4		0		28		(8)		32		(8)
		Commercial mortgage-backed			3		0		27		(4)		30		(4)
	Asset-backed securities:
		Collateralized debt obligations			1		0		80		(71)		81		(71)
		Other asset-backed			4		0		65		(11)		69		(11)
			Total fixed-maturity investments		701		(4)		383		(124)		1,084		(128)
Perpetual debt and equity securities					1		0		1		0		2		0
Assets of consolidated VIEs:
	Corporate obligations				0		0		31		(6)		31		(6)
	Mortgage-backed securities:
		Residential mortgage-backed non-agency			0		0		82		(10)		82		(10)
	Asset-backed securities:
		Collateralized debt obligations			0		0		85		(8)		85		(8)
Total AFS investments				$	702	$	(4)	$	582	$	(148)	$	1,284	$	(152)

HTM Investments
Assets of consolidated VIEs:
	Corporate obligations			$	297	$	(19)	$	1,287	$	(138)	$	1,584	$	(157)
Total HTM investments				$	297	$	(19)	$	1,287	$	(138)	$	1,584	$	(157)

Distribution Of Securities By Percentage Of Fair Value Below Book Value By More Than 5%

	AFS Securities					HTM Securities
Percentage of Fair Value	Number of	Book Value		Fair Value		Number of	Book Value		Fair Value
Below Book Value	Securities	(in millions)		(in millions)		Securities	(in millions)		(in millions)
> 5% to 15%	13	$	110	$	101	-	$	0	$	0
> 15% to 25%	12		66		52	-		0		0
> 25% to 50%	5		53		36	1		575		345
> 50%	8		52		9	-		0		0
Total	38	$	281	$	198	1	$	575	$	345

Fair Values And Gross Unrealized Losses By Credit Rating Category Of ABS, MBS and Corporate Obligations

																		Below
In millions		Aaa				Aa				A				Baa				Investment Grade				Not Rated				Total
		Fair		Unrealized		Fair		Unrealized		Fair		Unrealized		Fair		Unrealized		Fair		Unrealized		Fair		Unrealized		Fair		Unrealized
Asset Type		Value		Loss		Value		Loss		Value		Loss		Value		Loss		Value		Loss		Value		Loss		Value		Loss
ABS		$	13	$	0	$	59	$	(5)	$	1	$	0	$	3	$	0	$	135	$	(69)	$	4	$	0	$	215	$	(74)
MBS			558		(18)		8		0		4		0		17		(1)		9		(1)		15		(5)		611		(25)
Corporate obligations			129		(1)		205		(8)		205		(12)		74		(4)		17		(1)		0		0		630		(26)
	Total	$	700	$	(19)	$	272	$	(13)	$	210	$	(12)	$	94	$	(5)	$	161	$	(71)	$	19	$	(5)	$	1,456	$	(125)

Average Credit Ratings and Fair Value and Percentage Of Guaranteed ABS MBS and Corporate Obligations Below Investment Grade

			Insured Securities Rated Below
			Investment Grade without the
			Effect of Guarantee
	Average Credit Rating with the	Average Credit Rating without the	(in millions)
Asset Type	Effect of Guarantee	Effect of Guarantee	Fair Value		Percentage
ABS	Below investment grade	Below investment grade	$	101	64	%
MBS	Baa	Below investment grade		20	99	%
Corporate obligations	A	A		0	0	%

Significant Inputs Used In Measurement Of Credit Losses On Securities

		Nine Months Ended September 30,
Asset-backed Securities		2012
Expected size of losses^(1):
	Range⁽²⁾	12.13% to 97.70%
	Weighted average⁽³⁾	88.48%
Current subordination levels^(4):
	Range⁽²⁾	0.00% to 0.00%
	Weighted average⁽³⁾	0.00%
Prepayment speed (annual constant prepayment rate)^(5):
	Range⁽²⁾	0.00% to 30.91%
	Weighted average⁽³⁾	12.16%
_______________
(1) - Represents future expected credit losses on impaired assets expressed as a percentage of total outstanding balance.
(2) - Represents the range of inputs/assumptions based upon the individual securities within each category.
(3) - Calculated by weighting the relevant input/assumption for each individual security by the outstanding notional of the security.
(4) - Represents current level of credit protection (subordination) for the securities, expressed as a percentage of the balance of the collateral group backing the bond.
(5) - Values represent high and low points of lifetime vectors of constant prepayment rates.

Securities Held In Unrealized Loss Position And Insured By Financial Guarantor and The Related Insurance Loss Reserve On Company Insured Investments

					Unrealized		Insurance Loss
In millions			Fair Value		Loss		Reserve ⁽²⁾
Asset-backed:
	MBIA⁽¹⁾		$	148	$	(58)	$	15
	Other			9		(5)		0
		Total asset-backed		157		(63)		15
Mortgage-backed:
	MBIA⁽¹⁾			5		0		0
	Other			15		0		0
		Total mortgage-backed		20		0		0
Corporate obligations:
	Other			6		(2)		0
		Total corporate obligations		6		(2)		0
Other:
	MBIA⁽¹⁾			104		(6)		0
	Other			19		0		0
		Total other		123		(6)		0
Total			$	306	$	(71)	$	15
_______________
(1) - Includes investments insured by MBIA Corp. and National.
(2) - Insurance loss reserve estimates are based on the proportion of par value owned to the total amount of par value insured.

Credit Losses Recognized In Earnings Related To OTTI Losses Recognized In Accumulated Other Comprehensive Income (Loss)

In millions		Three Months Ended September 30,				Nine Months Ended September 30,
Credit Losses Recognized in Earnings Related to Other-Than-Temporary Impairments		2013			2012	2013			2012
Beginning balance		$	186	$	269	$	197	$	341
Additions for credit loss impairments recognized in the current period on securities
	previously impaired		0		5		0		8
Reductions for credit loss impairments previously recognized on securities sold during
	the period		(4)		(2)		(14)		(18)
Reductions for credit loss impairments previously recognized on securities impaired to
	fair value during the period⁽¹⁾		0		(52)		0		(111)
Reductions for increases in cash flows expected to be collected over the remaining
	life of the security		(4)		0		(5)		0
Ending balance		$	178	$	220	$	178	$	220
_______________
(1) - Represents circumstances where the Company determined in the current period that it intends to sell the security or it is more likely than not that it will be required to sell the security
before recovery of the security's amortized cost.

Gross Realized Gains and Losses From Sales Of Available-For-Sale Securities

	Three Months Ended September 30,				Nine Months Ended September 30,
In millions	2013		2012		2013		2012
Proceeds from sales	$	695	$	1,163	$	3,009	$	5,697

Gross realized gains	$	4	$	42	$	52	$	100

Gross realized losses	$	(15)	$	(6)	$	(25)	$	(101)