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Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2018

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
		September 30,				(Weighted
In millions		2018		Valuation Techniques	Unobservable Input	Average)
Assets of consolidated VIEs:
	Loans receivable at fair value	$	428	Market prices adjusted for financial	Impact of financial guarantee⁽¹⁾	-18% - 63% (-5%)
				guarantees provided to VIE obligations

	Loan repurchase commitments		415	Discounted cash flow	Recovery rates⁽²⁾
					Breach rates⁽²⁾

Liabilities of consolidated VIEs:
	Variable interest entity notes		382	Market prices of VIE assets adjusted for	Impact of financial guarantee	0% - 65% (40%)
				financial guarantees provided

Credit derivative liabilities:
	CMBS		27	Direct Price Model	Nonperformance risk	54% - 54% (54%)

Other derivative liabilities			7	Discounted cash flow	Cash flows	$0 - $49 ($25)⁽³⁾

____________
(1) - Negative percentage represents financial guarantee policies in a receivable position.
(2) - Recovery rates and breach rates include estimates about potential variations in the outcome of litigation with a counterparty.
(3) - 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.

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			September 30,
In millions				(Level 1)		(Level 2)		(Level 3)			2018
Assets:
Fixed-maturity investments:
	U.S. Treasury and government agency			$	765	$	89	$	-		$	854
	State and municipal bonds				-		757		-			757
	Foreign governments				-		11		-			11
	Corporate obligations				20		1,603		-			1,623
	Mortgage-backed securities:
		Residential mortgage-backed agency			-		220		-			220
		Residential mortgage-backed non-agency			-		30		-			30
		Commercial mortgage-backed			-		50		7	⁽¹⁾		57
	Asset-backed securities:
		Collateralized debt obligations			-		146		-			146
		Other asset-backed			-		217		4	⁽¹⁾		221
			Total fixed-maturity investments		785		3,123		11			3,919
Money market securities					147		-		-			147
Perpetual debt and equity securities					26		38		-			64
Fixed-income fund					-		-		-			75	⁽²⁾
Cash and cash equivalents					167		-		-			167
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			September 30,
In millions				(Level 1)		(Level 2)		(Level 3)			2018
Assets of consolidated VIEs:
	Corporate obligations				-		9		5	⁽¹⁾		14
	Mortgage-backed securities:
		Residential mortgage-backed non-agency			-		98		-			98
		Commercial mortgage-backed			-		35		-			35
	Asset-backed securities:
		Collateralized debt obligations			-		6		1	⁽¹⁾		7
		Other asset-backed			-		9		-			9
	Cash				12		-		-			12
	Loans receivable at fair value:
		Residential loans receivable			-		-		428			428
	Loan repurchase commitments				-		-		415			415
	Other assets:
		Currency derivatives			-		-		14	⁽¹⁾		14
		Other			-		-		15	⁽¹⁾		15
Total assets				$	1,137	$	3,320	$	889		$	5,421
Liabilities:
Medium-term notes				$	-	$	-	$	123	⁽¹⁾	$	123
Derivative liabilities:
	Insured derivatives:
		Credit derivatives			-		2		27			29
	Non-insured derivatives:
		Interest rate derivatives			-		137		-			137
		Other			-		-		7			7
Other liabilities:
	Other payable				-		-		5	⁽¹⁾		5
Liabilities of consolidated VIEs:
	Variable interest entity notes				-		327		382			709
Total liabilities				$	-	$	466	$	544		$	1,010
____________
(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.

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		September 30,		September 30,
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	$	-	$	1,132	$	-	$	1,132	$	2,218
	Medium-term notes		-		-		416		416		615
	Investment agreements		-		-		381		381		314
Liabilities of consolidated VIEs:
	Variable interest entity notes		-		382		900		1,282		1,251
Total liabilities		$	-	$	1,514	$	1,697	$	3,211	$	4,398
Financial Guarantees:
	Gross	$	-	$	-	$	1,231	$	1,231	$	100
	Ceded		-		-		68		68		38

		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

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 September 30, 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		September 30,
In millions	of Period		(Losses)		Earnings		in OCI		Earnings		Purchases		Issuances		Settlements		Sales		Level 3⁽¹⁾		Level 3⁽¹⁾			Balance		2018
Assets:
Commercial
mortgage-backed	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	7	$	-	$		7	$	-
Other asset-backed		6		-		-		-		-		-		-		-		-		-		(2)			4		-
Assets of
consolidated VIEs:
Corporate obligations		5		-		-		-		-		-		-		-		-		-		-			5		-
Collateralized debt
obligations		1		-		-		-		-		-		-		-		-		-		-			1		-
Loans receivable-
residential		683		-		20		-		-		-		-		(24)		(251)		-		-			428		21
Loan repurchase
commitments		415		-		-		-		-		-		-		-		-		-		-			415		-
Currency
derivatives		14		-		2		-		(2)		-		-		-		-		-		-			14		-
Other		14		-		1		-		-		-		-		-		-		-		-			15		1
Total assets	$	1,138	$	-	$	23	$	-	$	(2)	$	-	$	-	$	(24)	$	(251)	$	7	$	(2)		$	889	$	22

Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Three Months Ended September 30, 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		September 30,
In millions	of Period		(Losses)		Earnings		in OCI		Earnings		Purchases		Issuances		Settlements		Sales		Level 3⁽¹⁾		Level 3⁽¹⁾		Balance		2017
Assets:
Commercial
mortgage-backed	$	7	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	(7)	$	-	$	-
Other asset-backed		5		-		-		-		-		-		-		-		-		-		-		5		-
Assets of
consolidated VIEs:
Commercial
mortgage-backed		3		-		-		-		-		-		-		-		(3)		-		-		-		-
Collateralized debt
obligations		1		-		-		-		-		-		-		-		-		-		-		1		-
Loans receivable-
residential		815		-		2		-		-		-		-		(58)		-		-		-		759		2
Loans receivable-
corporate		875		-		4		-		-		-		-		(6)		-		-		-		873		4
Loan repurchase commitments		407		-		(1)		-		-		-		-		-		-		-		-		406		(1)
Currency derivatives		9		-		3		-		1		-		-		-		-		-		-		13		4
Other		-		-		-		-		-		17		-		-		-		-		-		17		-
Total assets	$	2,122	$	-	$	8	$	-	$	1	$	17	$	-	$	(64)	$	(3)	$	-	$	(7)	$	2,074	$	9

Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Nine Months Ended September 30, 2018
																									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		September 30,
In millions	of Year		(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		(7)		7		-
Other asset-backed		5		-		-		-		-		5		-		(2)		(2)		-		(2)		4		-
Assets of
consolidated VIEs:
Corporate obligations		-		-		-		-		-		-		-		(1)		-		6		-		5		-
Commercial
mortgage-backed		6		-		-		-		-		-		-		-		-		-		(6)		-		-
Collateralized debt
obligations		1		-		-		-		-		-		-		-		-		-		-		1		-
Loans receivable-
residential		759		-		26		-		-		-		-		(106)		(251)		-		-		428		23
Loans receivable-
corporate		920		-		11		-		-		-		-		(6)		(925)		-		-		-		-
Loan repurchase
commitments		407		-		8		-		-		-		-		-		-		-		-		415		8
Currency
derivatives		19		-		(3)		-		(2)		-		-		-		-		-		-		14		(5)
Other		14		-		1		-		-		-		-		-		-		-		-		15		1
Total assets	$	2,140	$	-	$	43	$	-	$	(2)	$	5	$	-	$	(115)	$	(1,178)	$	13	$	(17)	$	889	$	27

Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Nine Months Ended September 30, 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		September 30,
In millions	of Year		(Losses)		Earnings		in OCI		Earnings		Purchases		Issuances		Settlements		Sales		Level 3⁽¹⁾		Level 3⁽¹⁾		Balance		2017
Assets:
Corporate obligations	$	2	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	(2)	$	-	$	-
Commercial
mortgage-backed		-		-		-		-		-		-		-		-		-		7		(7)		-		-
Collateralized debt
obligations		15		-		-		-		-		-		-		(7)		-		-		(8)		-		-
Other asset-backed		44		-		-		2		-		-		-		(41)		-		-		-		5		-
State and municipal
bonds		-		-		-		-		-		-		-		-		-		1		(1)		-		-
Assets of
consolidated VIEs:
Corporate obligations		-		-		-		-		-		-		-		(2)		-		6		(4)		-		-
Commercial
mortgage-backed		-		-		-		-		-		-		-		-		(3)		3		-		-		-
Collateralized debt
obligations		1		-		-		-		-		-		-		-		-		-		-		1		-
Other asset-backed		1		-		-		-		-		-		-		-		-		1		(2)		-		-
Loans receivable-
residential		916		-		29		-		-		-		-		(186)		-		-		-		759		29
Loans receivable-
corporate		150		-		36		-		-		719		-		(32)		-		-		-		873		36
Loan repurchase
commitments		404		-		2		-		-		-		-		-		-		-		-		406		2
Currency derivatives		19		-		(2)		-		(4)		-		-		-		-		-		-		13		(6)
Other		-		-		-		-		-		17		-		-		-		-		-		17		-
Total assets	$	1,552	$	-	$	65	$	2	$	(4)	$	736	$	-	$	(268)	$	(3)	$	18	$	(24)	$	2,074	$	61

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		September 30,
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	$	149	$	(5)	$	(1)	$	11	$	(1)	$	-	$	-	$	(30)	$	-	$	-	$	-	$	123	$	(2)
Credit derivatives		31		6		(4)		-		-		-		-		(6)		-		-		-		27		(4)
Other derivatives		4		-		3		-		-		-		-		-		-		-		-		7		3
Other payable		5		-		-		-		-		-		-		-		-		-		-		5		-
Liabilities of
consolidated VIEs:
VIE notes		389		10		3		(11)		5		-		1		(15)		-		-		-		382		8
Total liabilities	$	578	$	11	$	1	$	-	$	4	$	-	$	1	$	(51)	$	-	$	-	$	-	$	544	$	5
_______________
(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		September 30,
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	$	123	$	-	$	(1)	$	-	$	5	$	-	$	-	$	-	$	-	$	-	$	-	$	127	$	4
Credit derivatives		80		7		(6)		-		-		-		-		(7)		-		-		-		74		(6)
Other derivatives		4		-		-		-		-		-		-		-		-		-		-		4		-
Other payable		-		-		1		-		-		6		-		-		-		-		-		7		1
Liabilities of
consolidated VIEs:
VIE notes		491		-		4		-		-		-		-		(14)		(51)		-		-		430		4
Total liabilities	$	698	$	7	$	(2)	$	-	$	5	$	6	$	-	$	(21)	$	(51)	$	-	$	-	$	642	$	3
_______________
(1) - Transferred in and out at the end of the period.

																									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		September 30,
In millions	of Year		Losses		Earnings		in OCI		Earnings		Purchases		Issuances		Settlements		Sales		Level 3⁽¹⁾		Level 3⁽¹⁾		Balance		2018
Liabilities:
Medium-term notes	$	115	$	(5)	$	(1)	$	51	$	(7)	$	-	$	-	$	(30)	$	-	$	-	$	-	$	123	$	(8)
Credit derivatives		63		49		(36)		-		-		-		-		(49)		-		-		-		27		(36)
Other derivatives		4		-		3		-		-		-		-		-		-		-		-		7		3
Other payable		7		-		2		-		-		-		-		(4)		-		-		-		5		2
Liabilities of
consolidated VIEs:
VIE notes		406		22		(12)		(10)		3		-		7		(34)		-		-		-		382		(9)
Total liabilities	$	595	$	66	$	(44)	$	41	$	(4)	$	-	$	7	$	(117)	$	-	$	-	$	-	$	544	$	(48)
_______________
(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		September 30,
In millions	of Year		Losses		Earnings		in OCI		Earnings		Purchases		Issuances		Settlements		Sales		Level 3⁽¹⁾		Level 3⁽¹⁾		Balance		2017
Liabilities:
Medium-term notes	$	101	$	-	$	13	$	-	$	13	$	-	$	-	$	-	$	-	$	-	$	-	$	127	$	26
Credit derivatives		64		41		10		-		-		-		-		(41)		-		-		-		74		12
Other derivatives		20		-		18		-		-		-		-		(34)		-		-		-		4		18
Other payable		-		-		1		-		-		6		-		-		-		-		-		7		1
Liabilities of
consolidated VIEs:
VIE notes		476		-		56		-		-		-		-		(51)		(51)		-		-		430		56
Total liabilities	$	661	$	41	$	98	$	-	$	13	$	6	$	-	$	(126)	$	(51)	$	-	$	-	$	642	$	113
_______________
(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 September 30, 2018				Three Months Ended September 30, 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		September 30,		Included		September 30,
In millions		in Earnings		2018		in Earnings		2017
Revenues:
	Unrealized gains (losses) on
	insured derivatives	$	4	$	4	$	6	$	6
	Realized gains (losses) and other
	settlements on insured derivatives		(6)		-		(7)		-
	Net gains (losses) on financial instruments
	at fair value and foreign exchange		4		(1)		(4)		(4)
	Other net realized gains (losses)		-		-		(1)		(1)
	Revenues of consolidated VIEs:
	Net gains (losses) on financial instruments
	at fair value and foreign exchange		3		14		5		5
Total		$	5	$	17	$	(1)	$	6


		Nine Months Ended September 30, 2018				Nine Months Ended September 30, 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		September 30,		Included		September 30,
In millions		in Earnings		2018		in Earnings		2017
Revenues:
	Unrealized gains (losses) on
	insured derivatives	$	36	$	36	$	(10)	$	(12)
	Realized gains (losses) and other
	settlements on insured derivatives		(49)		-		(41)		-
	Net gains (losses) on financial instruments
	at fair value and foreign exchange		10		5		(44)		(44)
	Other net realized gains (losses)		(2)		(2)		(1)		(1)
	Revenues of consolidated VIEs:
	Net gains (losses) on financial instruments
	at fair value and foreign exchange		28		36		5		5
Total		$	23	$	75	$	(91)	$	(52)

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

		Three Months Ended September 30,				Nine Months Ended September 30,
In millions		2018		2017		2018		2017
Investments carried at fair value⁽¹⁾		$	1	$	2	$	(4)	$	8
Fixed-maturity securities held at fair value-VIE⁽²⁾			(7)		(2)		(19)		(16)
Loans receivable at fair value:
	Residential mortgage loans⁽²⁾		(3)		(55)		(79)		(157)
	Corporate loans⁽²⁾		-		(2)		11		4
Loan repurchase commitments⁽²⁾			-		(1)		9		3
Other assets-VIE⁽²⁾			1		-		1		-
Medium-term notes⁽¹⁾			7		(4)		14		(26)
Variable interest entity notes ⁽²⁾			23		70		106		160
Other liabilities⁽³⁾			-		(1)		(2)		(1)
___________
(1) - Reported within "Net gains (losses) on financial instruments at fair value and foreign exchange" on MBIA's consolidated statements of operations.
(2) - Reported within "Net gains (losses) on 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.

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

		As of September 30, 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	$	390	$	389	$	1	$	732	$	727	$	5
	Residential mortgage loans (90 days or more past due)		165		39		126		170		32		138
	Corporate loans (90 days or more past due)		-		-		-		1,394		920		474
Total loans receivable at fair value		$	555	$	428	$	127	$	2,296	$	1,679	$	617

Variable interest entity notes		$	1,525	$	709	$	816	$	1,882	$	1,069	$	813

Medium-term notes		$	139	$	123	$	16	$	180	$	115	$	65

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References + Details

- Definition

Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, provide the aggregate carrying amount of ineligible items included in each line item in the balance sheet, if any; (b) the difference between the aggregate fair value and the aggregate unpaid principal balance (assuming contractual principal amounts and fair value option elected) of: (i) loans and long-term receivables (other than securities otherwise reported at fair value) and (ii) long-term debt instruments; (c) for loans held as assets for which the fair value option has been elected: (i) the aggregate fair value of loans that are 90 days or more past due, (ii) if the policy is to recognize interest income separately from other changes in fair value, the aggregate fair value of loans in nonaccrual status, and (iii) the difference between the aggregate fair value and the aggregate unpaid principal balance for loans that are 90 days or more past due, in nonaccrual status, or both; (2) for items included in the income statement: (a) the amounts of gains and losses from fair value changes included in earnings and in which line in the income statement those gains and losses are reported whether or not combined with gains and losses from items required to be accounted for at fair value; (b) for loans and other receivables held as assets, the estimated amount of gains or losses included in earnings attributable to changes in instrument-specific credit risk; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk, the estimated amount of gains and losses from fair value changes included in earnings that are attributable to changes in the instrument-specific credit risk; and (3) certain other disclosures as required or determined to be provided.

+ References + Details