Fair Value of Financial Instruments (Tables)
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3 Months Ended |
Mar. 31, 2018 |
Text Block [Abstract] |
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Quantitative Information Regarding The Significant Unobservable Inputs For Certain Assets And Liabilities Measured At Fair Value On A Recurring Basis |
| | | Fair Value | | | | | | | | | | as of | | | | | | Range | | | | March 31, | | | | | | (Weighted | In millions | | 2018 | | Valuation Techniques | | Unobservable Input | | Average) | Assets of consolidated VIEs: | | | | | | | | | | | Loans receivable at fair value | | $ | 1,662 | | Market prices adjusted for financial | | Impact of financial guarantee(1) | | -15% - 39% (-2%) | | | | | | | guarantees provided to VIE obligations | | | | | | | | | | | Multiples of EBITDA | | Multiples(2) | | | | | | | | | | | | | | | Loan repurchase commitments | | | 407 | | Discounted cash flow | | Recovery rates(3) | | | | | | | | | | | Breach rates(3) | | | | | | | | | | | | | | Liabilities of consolidated VIEs: | | | | | | | | | | | Variable interest entity notes | | | 400 | | Market prices of VIE assets adjusted for | | Impact of financial guarantee | | 0% - 63% (37%) | | | | | | | financial guarantees provided | | | | | | | | | | | | | | | | Credit derivative liabilities: | | | | | | | | | | | CMBS | | | 49 | | Direct Price Model | | Nonperformance risk | | 54% - 54% (54%) | | | | | | | | | | | | Other derivative liabilities | | | 4 | | Discounted cash flow | | Cash flows | | $0 - $49 ($25)(4) | | | | | | | | | | | | ____________ | | | | | | (1) - Negative percentage represents financial guarantee policies in a receivable position. | (2) - Unobservable inputs are primarily based on comparable companies' EBITDA multiples. | (3) - Recovery rates and breach rates include estimates about potential variations in the outcome of litigation with a counterparty. | (4) - Midpoint of cash flows are used for the weighted average. |
| | | Fair Value | | | | | | | | | | as of | | | | | | Range | | | | December 31, | | | | | | (Weighted | In millions | | 2017 | | Valuation Techniques | | Unobservable Input | | Average) | Assets of consolidated VIEs: | | | | | | | | | | | Loans receivable at fair value | | $ | 1,679 | | Market prices adjusted for financial | | Impact of financial guarantee(1) | | -25% - 35% (-2%) | | | | | | | guarantees provided to VIE obligations | | | | | | | | | | | Multiples of EBITDA | | Multiples(2) | | | | | | | | | | | | | | | Loan repurchase commitments | | | 407 | | Discounted cash flow | | Recovery rates(3) | | | | | | | | | | | Breach rates(3) | | | | | | | | | | | | | | Liabilities of consolidated VIEs: | | | | | | | | | | | Variable interest entity notes | | | 406 | | Market prices of VIE assets | | Impact of financial guarantee | | 0% - 60% (36%) | | | | | | | adjusted for financial guarantees provided | | | | | | | | | | | | | | | | Credit derivative liabilities: | | | | | | | | | | | CMBS | | | 63 | | Direct Price Model | | Nonperformance risk | | 54% - 54% (54%) | | | | | | | | | | | | | | | | | | | | | | | Other derivative liabilities | | | 4 | | Discounted cash flow | | Cash flows | | $0 - $49 ($25)(4) | | ____________ | | | | | | (1) - Negative percentage represents financial guarantee policies in a receivable position. | | (2) - Unobservable inputs are primarily based on comparable companies' EBITDA multiples. | | (3) - Recovery rates and breach rates include estimates about potential variations in the outcome of litigation with a counterparty. | | (4) - Midpoint of cash flows are used for the weighted average. |
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Company's Assets And Liabilities Measured At Fair Value On Recurring Basis |
| | | | | | 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) | | | 2018 | | Assets: | | | | | | | | | | | | | | | Fixed-maturity investments: | | | | | | | | | | | | | | | | U.S. Treasury and government agency | | $ | 897 | | $ | 94 | | $ | - | | | $ | 991 | | | State and municipal bonds | | | - | | | 843 | | | - | | | | 843 | | | Foreign governments | | | - | | | 10 | | | - | | | | 10 | | | Corporate obligations | | | - | | | 1,651 | | | - | | | | 1,651 | | | Mortgage-backed securities: | | | | | | | | | | | | | | | | | Residential mortgage-backed agency | | | - | | | 304 | | | - | | | | 304 | | | | Residential mortgage-backed non-agency | | | - | | | 31 | | | - | | | | 31 | | | | Commercial mortgage-backed | | | - | | | 58 | | | 7 | (1) | | | 65 | | | Asset-backed securities: | | | | | | | | | | | | | | | | | Collateralized debt obligations | | | - | | | 116 | | | - | | | | 116 | | | | Other asset-backed | | | - | | | 219 | | | 4 | (1) | | | 223 | | | | | Total fixed-maturity investments | | | 897 | | | 3,326 | | | 11 | | | | 4,234 | | Money market securities | | | 91 | | | - | | | - | | | | 91 | | Perpetual debt and equity securities | | | 26 | | | 37 | | | - | | | | 63 | | Fixed-income fund | | | - | | | - | | | - | | | | 77 | (2) | Cash and cash equivalents | | | 120 | | | - | | | - | | | | 120 | | Derivative assets: | | | | | | | | | | | | | | | | Non-insured derivative assets: | | | | | | | | | | | | | | | | | Interest rate derivatives | | | - | | | 2 | | | - | | | | 2 | | | | | | | | | | | | | | | | | | | | | | | | | | | 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) | | | 2018 | | Assets of consolidated VIEs: | | | | | | | | | | | | | | | | Corporate obligations | | | - | | | 15 | | | 3 | (1) | | | 18 | | | Mortgage-backed securities: | | | | | | | | | | | | | | | | | Residential mortgage-backed non-agency | | | - | | | 104 | | | - | | | | 104 | | | | Commercial mortgage-backed | | | - | | | 30 | | | 6 | (1) | | | 36 | | | Asset-backed securities: | | | | | | | | | | | | | | | | | Collateralized debt obligations | | | - | | | 8 | | | 1 | (1) | | | 9 | | | | Other asset-backed | | | - | | | 9 | | | - | | | | 9 | | | Cash | | | 21 | | | - | | | - | | | | 21 | | | Loans receivable at fair value: | | | | | | | | | | | | | | | | | Residential loans receivable | | | - | | | - | | | 737 | | | | 737 | | | | Corporate loans receivable | | | - | | | - | | | 925 | | | | 925 | | | Loan repurchase commitments | | | - | | | - | | | 407 | | | | 407 | | | Other assets: | | | | | | | | | | | | | | | | Currency derivatives | | | - | | | - | | | 13 | (1) | | | 13 | | | | Other | | | - | | | - | | | 14 | (1) | | | 14 | | Total assets | | $ | 1,155 | | $ | 3,531 | | $ | 2,117 | | | $ | 6,880 | | Liabilities: | | | | | | | | | | | | | | | Medium-term notes | | $ | - | | $ | - | | $ | 146 | (1) | | $ | 146 | | Derivative liabilities: | | | | | | | | | | | | | | | | Insured derivatives: | | | | | | | | | | | | | | | | | Credit derivatives | | | - | | | 2 | | | 49 | | | | 51 | | | Non-insured derivatives: | | | | | | | | | | | | | | | | | Interest rate derivatives | | | - | | | 164 | | | - | | | | 164 | | | | Other | | | - | | | - | | | 4 | | | | 4 | | Other liabilities: | | | | | | | | | | | | | | | | Warrants | | | - | | | 8 | | | - | | | | 8 | | | Other payable | | | - | | | - | | | 5 | (1) | | | 5 | | Liabilities of consolidated VIEs: | | | | | | | | | | | | | | | | Variable interest entity notes | | | - | | | 631 | | | 400 | | | | 1,031 | | Total liabilities | | $ | - | | $ | 805 | | $ | 604 | | | $ | 1,409 | | ____________ | | | | | | | | | | | | | | | (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. | | (2) - Investment that was measured at fair value by applying the net asset value per share practical expedient, and was required not to be classified in the fair value hierarchy. | |
| | | | | | 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) | | | 2017 | | Assets: | | | | | | | | | | | | | | | Fixed-maturity investments: | | | | | | | | | | | | | | | | U.S. Treasury and government agency | | $ | 1,256 | | $ | 96 | | $ | - | | | $ | 1,352 | | | State and municipal bonds | | | - | | | 858 | | | - | | | | 858 | | | Foreign governments | | | - | | | 10 | | | - | | | | 10 | | | Corporate obligations | | | - | | | 1,338 | | | 2 | (1) | | | 1,340 | | | Mortgage-backed securities: | | | | | | | | | | | | | | | | | Residential mortgage-backed agency | | | - | | | 368 | | | - | | | | 368 | | | | Residential mortgage-backed non-agency | | | - | | | 32 | | | - | | | | 32 | | | | Commercial mortgage-backed | | | - | | | 60 | | | 7 | (1) | | | 67 | | | Asset-backed securities: | | | | | | | | | | | | | | | | | Collateralized debt obligations | | | - | | | 118 | | | - | | | | 118 | | | | Other asset-backed | | | - | | | 178 | | | 5 | (1) | | | 183 | | | | | Total fixed-maturity investments | | | 1,256 | | | 3,058 | | | 14 | | | | 4,328 | | Money market securities | | | 180 | | | - | | | - | | | | 180 | | Perpetual debt and equity securities | | | 26 | | | 37 | | | - | | | | 63 | | Fixed-income fund | | | - | | | - | | | - | | | | 82 | (2) | Cash and cash equivalents | | | 122 | | | - | | | - | | | | 122 | | Derivative assets: | | | | | | | | | | | | | | | | Non-insured derivative assets: | | | | | | | | | | | | | | | | | Interest rate derivatives | | | - | | | 2 | | | - | | | | 2 | | | | | | | | | | | | | | | | | | | | | | | | | | | 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) | | | 2017 | | Assets of consolidated VIEs: | | | | | | | | | | | | | | | | Corporate obligations | | | - | | | 19 | | | - | | | | 19 | | | Mortgage-backed securities: | | | | | | | | | | | | | | | | | Residential mortgage-backed non-agency | | | - | | | 108 | | | - | | | | 108 | | | | Commercial mortgage-backed | | | - | | | 30 | | | 6 | (1) | | | 36 | | | Asset-backed securities: | | | | | | | | | | | | | | | | | Collateralized debt obligations | | | - | | | 8 | | | 1 | (1) | | | 9 | | | | Other asset-backed | | | - | | | 10 | | | - | | | | 10 | | | Cash | | | 24 | | | - | | | - | | | | 24 | | | Loans receivable at fair value: | | | | | | | | | | | | | | | | | Residential loans receivable | | | - | | | - | | | 759 | | | | 759 | | | | Corporate loans receivable | | | - | | | - | | | 920 | | | | 920 | | | Loan repurchase commitments | | | - | | | - | | | 407 | | | | 407 | | | Other assets: | | | | | | | | | | | | | | | | Currency derivatives | | | - | | | - | | | 19 | (1) | | | 19 | | | | Other | | | - | | | - | | | 14 | (1) | | | 14 | | Total assets | | $ | 1,608 | | $ | 3,272 | | $ | 2,140 | | | $ | 7,102 | | Liabilities: | | | | | | | | | | | | | | | Medium-term notes | | $ | - | | $ | - | | $ | 115 | (1) | | $ | 115 | | Derivative liabilities: | | | | | | | | | | | | | | | | Insured derivatives: | | | | | | | | | | | | | | | | | Credit derivatives | | | - | | | 2 | | | 63 | | | | 65 | | | Non-insured derivatives: | | | | | | | | | | | | | | | | | Interest rate derivatives | | | - | | | 193 | | | - | | | | 193 | | | | Other | | | - | | | - | | | 4 | | | | 4 | | Other liabilities: | | | | | | | | | | | | | | | | Warrants | | | - | | | 6 | | | - | | | | 6 | | | Other payable | | | - | | | - | | | 7 | (1) | | | 7 | | Liabilities of consolidated VIEs: | | | | | | | | | | | | | | | | Variable interest entity notes | | | - | | | 663 | | | 406 | | | | 1,069 | | Total liabilities | | $ | - | | $ | 864 | | $ | 595 | | | $ | 1,459 | | ____________ | | | | | | | | | | | | | | | (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. | | (2) - Investment that was measured at fair value by applying the net asset value per share practical expedient, and was required not to be classified in the fair value hierarchy. | |
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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) | | 2018 | | 2018 | | Assets: | | | | | | | | | | | | | | | | | | Other investments | | $ | - | | $ | 1 | | $ | - | | $ | 1 | | $ | 1 | | Assets of consolidated VIEs: | | | | | | | | | | | | | | | | | | Investments held-to-maturity | | | - | | | - | | | 901 | | | 901 | | | 890 | | Total assets | | $ | - | | $ | 1 | | $ | 901 | | $ | 902 | | $ | 891 | | Liabilities: | | | | | | | | | | | | | | | | | | Long-term debt | | $ | - | | $ | 929 | | $ | - | | $ | 929 | | $ | 2,154 | | | Medium-term notes | | | - | | | - | | | 408 | | | 408 | | | 644 | | | Investment agreements | | | - | | | - | | | 411 | | | 411 | | | 330 | | Liabilities of consolidated VIEs: | | | | | | | | | | | | | | | | | | Variable interest entity notes | | | - | | | 354 | | | 901 | | | 1,255 | | | 1,229 | | Total liabilities | | $ | - | | $ | 1,283 | | $ | 1,720 | | $ | 3,003 | | $ | 4,357 | | Financial Guarantees: | | | | | | | | | | | | | | | | | | Gross | | $ | - | | $ | - | | $ | 1,630 | | $ | 1,630 | | $ | 1,188 | | | Ceded | | | - | | | - | | | 56 | | | 56 | | | 39 | |
| | | 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) | | 2017 | | 2017 | Assets: | | | | | | | | | | | | | | | | | Other investments | | $ | - | | $ | 2 | | $ | - | | $ | 2 | | $ | 2 | Assets of consolidated VIEs: | | | | | | | | | | | | | | | | | Investments held-to-maturity | | | - | | | - | | | 916 | | | 916 | | | 890 | Total assets | | $ | - | | $ | 2 | | $ | 916 | | $ | 918 | | $ | 892 | Liabilities: | | | | | | | | | | | | | | | | | Long-term debt | | $ | - | | $ | 1,002 | | $ | - | | $ | 1,002 | | $ | 2,121 | | Medium-term notes | | | - | | | - | | | 406 | | | 406 | | | 650 | | Investment agreements | | | - | | | - | | | 433 | | | 433 | | | 337 | Liabilities of consolidated VIEs: | | | | | | | | | | | | | | | | | Variable interest entity notes | | | - | | | 352 | | | 916 | | | 1,268 | | | 1,220 | Total liabilities | | $ | - | | $ | 1,354 | | $ | 1,755 | | $ | 3,109 | | $ | 4,328 | Financial Guarantees: | | | | | | | | | | | | | | | | | Gross | | $ | - | | $ | - | | $ | 1,785 | | $ | 1,785 | | $ | 1,220 | | Ceded | | | - | | | - | | | 61 | | | 61 | | | 39 |
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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, 2018 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Unrealized | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Gains | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (Losses) for | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | the Period | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Included in | | | | | | | | | Unrealized | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Earnings | | | | | | | | | Gains / | | Unrealized | | Foreign | | | | | | | | | | | | | | | | | | | | | | | for Assets | | | | | | | | | (Losses) | | Gains / | | Exchange | | | | | | | | | | | | | | | | | | | | | | | still held | | | Balance, | | Realized | | Included | | (Losses) | | Recognized | | | | | | | | | | | | | | Transfers | | Transfers | | | | | 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 | | 2018 | Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Corporate obligations | | $ | 2 | | | - | | $ | - | | $ | - | | $ | - | | $ | - | | $ | - | | $ | - | | $ | - | | $ | - | | $ | (2) | | $ | - | | $ | - | Commercial | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | mortgage-backed | | | 7 | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | 7 | | | - | Other asset-backed | | | 5 | | | - | | | - | | | - | | | - | | | 2 | | | - | | | (1) | | | (2) | | | - | | | - | | | 4 | | | - | Assets of | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | consolidated VIEs: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Corporate obligations | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | 3 | | | - | | | 3 | | | - | Commercial | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | mortgage-backed | | | 6 | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | 6 | | | - | Collateralized debt | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | obligations | | | 1 | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | 1 | | | - | Loans receivable- | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | residential | | | 759 | | | - | | | 20 | | | - | | | - | | | - | | | - | | | (42) | | | - | | | - | | | - | | | 737 | | | 20 | Loans receivable- | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | corporate | | | 920 | | | - | | | 11 | | | - | | | - | | | - | | | - | | | (6) | | | - | | | - | | | - | | | 925 | | | 11 | Loan repurchase | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | commitments | | | 407 | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | 407 | | | - | Currency | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | derivatives | | | 19 | | | - | | | (3) | | | - | | | (3) | | | - | | | - | | | - | | | - | | | - | | | - | | | 13 | | | (6) | Other | | | 14 | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | 14 | | | - | Total assets | | $ | 2,140 | | $ | - | | $ | 28 | | $ | - | | $ | (3) | | $ | 2 | | $ | - | | $ | (49) | | $ | (2) | | $ | 3 | | $ | (2) | | $ | 2,117 | | $ | 25 |
Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Three Months Ended March 31, 2017 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Unrealized | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Gains | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (Losses) for | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | the Period | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Included in | | | | | | | | | Unrealized | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Earnings for | | | | | | | | | Gains / | | Unrealized | | Foreign | | | | | | | | | | | | | | | | | | | | | | | Assets | | | | | | | | | (Losses) | | Gains / | | Exchange | | | | | | | | | | | | | | | | | | | | | | | still held | | | Balance, | | Realized | | Included | | (Losses) | | Recognized | | | | | | | | | | | | | | Transfers | | Transfers | | | | | 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 | | 2017 | Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Corporate obligations | | $ | 2 | | $ | - | | $ | - | | $ | - | | $ | - | | $ | - | | $ | - | | $ | - | | $ | - | | $ | - | | $ | (2) | | $ | - | | $ | - | Collateralized debt | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | obligations | | | 15 | | | - | | | - | | | - | | | - | | | - | | | - | | | (2) | | | - | | | - | | | - | | | 13 | | | - | Other asset-backed | | | 44 | | | - | | | - | | | 2 | | | - | | | - | | | - | | | (41) | | | - | | | - | | | - | | | 5 | | | - | State and municipal | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | bonds | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | 1 | | | - | | | 1 | | | - | Assets of | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | consolidated VIEs: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Corporate obligations | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | 6 | | | - | | | 6 | | | - | Collateralized debt | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | obligations | | | 1 | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | 1 | | | - | Other asset-backed | | | 1 | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | 1 | | | (1) | | | 1 | | | - | Loans receivable- | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | residential | | | 916 | | | - | | | (4) | | | - | | | - | | | - | | | - | | | (68) | | | - | | | - | | | - | | | 844 | | | (3) | Loans receivable- | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | corporate | | | 150 | | | - | | | 3 | | | - | | | - | | | 719 | | | - | | | - | | | - | | | - | | | - | | | 872 | | | 3 | Loan repurchase commitments | | | 404 | | | - | | | 5 | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | 409 | | | 5 | Currency derivatives | | | 19 | | | - | | | (3) | | | - | | | (3) | | | - | | | - | | | - | | | - | | | - | | | - | | | 13 | | | (6) | Total assets | | $ | 1,552 | | $ | - | | $ | 1 | | $ | 2 | | $ | (3) | | $ | 719 | | $ | - | | $ | (111) | | $ | - | | $ | 8 | | $ | (3) | | $ | 2,165 | | $ | (1) |
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Changes In Level 3 Liabilities Measured At Fair Value On A Recurring Basis |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Unrealized | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (Gains) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Losses for | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | the Period | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Included in | | | | | | | | | Unrealized | | Unrealized | | | | | | | | | | | | | | | | | | | | | | | | | | Earnings for | | | | | | | | | (Gains) / | | (Gains) / | | Foreign | | | | | | | | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | Losses | | Losses | | Exchange | | | | | | | | | | | | | | | | | | | | | | | still held | | | Balance, | | Realized | | Included | | Included in | | Recognized | | | | | | | | | | | | | | Transfers | | Transfers | | | | | as of | | | Beginning | | (Gains) / | | in | | Credit Risk | | 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 | | 2018 | Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Medium-term notes | | $ | 115 | | $ | - | | $ | - | | $ | 25 | | $ | 6 | | $ | - | | $ | - | | $ | - | | $ | - | | $ | - | | $ | - | | $ | 146 | | $ | 6 | Credit derivatives | | | 63 | | | 19 | | | (14) | | | - | | | - | | | - | | | - | | | (19) | | | - | | | - | | | - | | | 49 | | | (14) | Other derivatives | | | 4 | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | 4 | | | - | Other payable | | | 7 | | | - | | | 2 | | | - | | | - | | | - | | | - | | | (4) | | | - | | | - | | | - | | | 5 | | | 2 | Liabilities of | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | consolidated VIEs: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | VIE notes | | | 406 | | | 8 | | | (3) | | | (8) | | | 5 | | | - | | | 5 | | | (13) | | | - | | | - | | | - | | | 400 | | | 2 | Total liabilities | | $ | 595 | | $ | 27 | | $ | (15) | | $ | 17 | | $ | 11 | | $ | - | | $ | 5 | | $ | (36) | | $ | - | | $ | - | | $ | - | | $ | 604 | | $ | (4) | _______________ | | | | | | | | | | | | | | | | | | | | | | | | | | | (1) - Transferred in and out at the end of the period. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Unrealized | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (Gains) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Losses for | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | the Period | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Included in | | | | | | | | | Unrealized | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Earnings for | | | | | | | | | (Gains) / | | Unrealized | | Foreign | | | | | | | | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | Losses | | (Gains) / | | Exchange | | | | | | | | | | | | | | | | | | | | | | | still held | | | Balance, | | Realized | | Included | | Losses | | Recognized | | | | | | | | | | | | | | Transfers | | Transfers | | | | | 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 | | 2017 | Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Medium-term notes | | $ | 101 | | $ | - | | $ | 1 | | $ | - | | $ | 2 | | $ | - | | $ | - | | $ | - | | $ | - | | $ | - | | $ | - | | $ | 104 | | $ | 3 | Credit derivatives | | | 64 | | | 31 | | | 22 | | | - | | | - | | | - | | | - | | | (31) | | | - | | | - | | | - | | | 86 | | | 22 | Other derivatives | | | 20 | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | - | | | 20 | | | - | Liabilities of | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | consolidated VIEs: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | VIE notes | | | 476 | | | - | | | 34 | | | - | | | - | | | - | | | - | | | (19) | | | - | | | - | | | - | | | 491 | | | 34 | Total liabilities | | $ | 661 | | $ | 31 | | $ | 57 | | $ | - | | $ | 2 | | $ | - | | $ | - | | $ | (50) | | $ | - | | $ | - | | $ | - | | $ | 701 | | $ | 59 | _______________ | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (1) - Transferred in and out at the end of the period. |
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Gains And Losses (Realized And Unrealized) Included In Earnings Pertaining To Level 3 Assets And Liabilities |
| | | | | | | | | | | | | | | | | Three Months Ended March 31, 2018 | | Three Months Ended March 31, 2017 | | | | | | | 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 | | 2018 | | in Earnings | | 2017 | Revenues: | | | | | | | | | | | | | | Unrealized gains (losses) on | | | | | | | | | | | | | | insured derivatives | | $ | 14 | | $ | 14 | | $ | (22) | | $ | (22) | | Realized gains (losses) and other | | | | | | | | | | | | | | settlements on insured derivatives | | | (19) | | | - | | | (31) | | | - | | Net gains (losses) on financial instruments | | | | | | | | | | | | | | at fair value and foreign exchange | | | (6) | | | (6) | | | (3) | | | (3) | | Other net realized gains (losses) | | | (2) | | | (2) | | | - | | | - | | Revenues of consolidated VIEs: | | | | | | | | | | | | | | Net gains (losses) on financial instruments | | | | | | | | | | | | | | at fair value and foreign exchange | | | 15 | | | 23 | | | (36) | | | (35) | Total | | $ | 2 | | $ | 29 | | $ | (92) | | $ | (60) |
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Changes In Fair Value Included In The Company's Consolidated Statements Of Operations |
| | | | | | | | | | | | | | | | Three Months Ended March 31, | | | | In millions | | 2018 | | | 2017 | | | | Investments carried at fair value(1) | | $ | (2) | | | $ | 3 | | | | Fixed-maturity securities held at fair value- VIE(2) | | | (6) | | | | (8) | | | | Loans receivable at fair value: | | | | | | | | | | | | Residential mortgage loans(2) | | | (21) | | | | (72) | | | | | Other loans(2) | | | 11 | | | | 3 | | | | Loan repurchase commitments(2) | | | - | | | | 6 | | | | Medium-term notes(1) | | | (6) | | | | (3) | | | | Other liabilities(3) | | | (2) | | | | - | | | | Variable interest entity notes (2) | | | 27 | | | | 45 | (4) | | | _____________ | | | | | | | | | | | (1) - Reported within "Net gains (losses) of financial instruments at fair value and foreign exchange" on MBIA's consolidated statements of operations. | | (2) - Reported within "Net gains (losses) of financial instruments at fair value and foreign exchange-VIE" on MBIA's consolidated statements of operations. | | (3) - Reported within "Other net realized gains (losses)" on MBIA's consolidated statements of operations. | | | | | (4) - The Company revised its previously reported amount of a loss of $(45) million to a gain of $45 million. | | | |
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Difference Between Aggregate Fair Value And The Aggregate Remaining Contractual Principal Balance Outstanding |
| | | As of March 31, 2018 | | | As of December 31, 2017 | | | | Contractual | | | | | | | | Contractual | | | | | | | | | | Outstanding | | Fair | | | | | Outstanding | | Fair | | | | In millions | | Principal | | Value | | Difference | | Principal | | Value | | Difference | Loans receivable at fair value: | | | | | | | | | | | | | | | | | | | | Residential mortgage loans | | $ | 687 | | $ | 686 | | $ | 1 | | $ | 732 | | $ | 727 | | $ | 5 | | Residential mortgage loans (90 days or more past due) | | | 189 | | | 51 | | | 138 | | | 170 | | | 32 | | | 138 | | Corporate loans (90 days or more past due) | | | 1,394 | | | 925 | | | 469 | | | 1,394 | | | 920 | | | 474 | Total loans receivable at fair value | | | 2,270 | | | 1,662 | | | 608 | | | 2,296 | | | 1,679 | | | 617 | | | | | | | | | | | | | | | | | | | | | Variable interest entity notes | | | 1,848 | | | 1,031 | | | 817 | | | 1,882 | | | 1,069 | | | 813 | | | | | | | | | | | | | | | | | | | | | Medium-term notes | | | 184 | | | 146 | | | 39 | | | 180 | | | 115 | | | 65 |
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