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Fair Value of Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2019
Text Block [Abstract]  
Quantitative Information Regarding The Significant Unobservable Inputs For Certain Assets And Liabilities Measured At Fair Value On A Recurring Basis
In millions
 
Fair Value as of
June 30, 2019
   
Valuation Techniques
 
Unobservable Input
   
Range
(Weighted Average)
 
Assets of consolidated
VIEs:
        
     
   
        
 
Loans receivable at
fair value
   $
154
    
Market prices adjusted for
financial guarantees
provided to VIE obligations
    
Impact of financial guarantee
(1)
      
-10% - 59% (
16
%)
  
Loan repurchase commitments
    
428
    
Discounted cash flow
    
Recovery rates
(2)
      
 
    
   
   
Breach rates
(2)
      
 
Liabilities of
consolidated VIEs:
    
   
   
     
 
Variable interest
entity notes
    
342
    
Market prices of VIE assets adjusted for financial guarantees provided
    
Impact of financial guarantee
      
30% - 65% (
53
%)
  
Credit derivative
liabilities:
    
   
   
     
 
CMBS
    
18
    
Direct Price Model
    
Nonperformance risk
      
54% - 54% (
54
%)
  
Other derivative
liabilities
    
16
    
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.
 
 
In millions
 
Fair Value 
as of

December 31, 
2018
    
Valuation Techniques
      
Unobservable Input
   
Range
(Weighted Average)
 
Asset
s of consolidated
VIEs:
       
        
   
       
 
Loans receivable at 
fair 
value
  
$
172
     
Market prices adjusted for
financial guarantees
provided to VIE
obligations
    
Impact of financial guarantee
(1)
      
-
17
%
 -
 
75
% (
7%)
  
Loan repurchase
commitments
   
418
   
Discounted cash flow
   
Recovery 
rates
(2)
      
 
    
   
   
Breach rates
(2)
      
 
Liabilities of
consolidated VIEs:
   
   
   
     
 
Variable interest entity notes
   
366
   
Market prices of VIE assets adjusted for financial guarantees provided
    
Impact of financial guarantee
      
0
%
 -
 
63
% (
39%)
  
Credit derivative liabilities:
   
   
   
     
 
CMBS
   
33
   
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.
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
June 30,
2019
 
Assets:
   
     
     
     
     
 
Fixed-maturity investments:
   
     
     
     
     
 
U.S. Treasury and government

agency
 
$
1,041
   
$
96
   
$
- 
    
$
- 
    
$
1,137
 
State and municipal bonds
   
-
      
384
     
- 
      
- 
      
384
 
Foreign governments
   
-
      
10
     
- 
      
- 
      
10
 
Corporate obligations
   
-
      
1,307
     
- 
      
- 
      
1,307
 
Mortgage-backed securities:
   
     
     
     
     
 
Residential mortgage-backed
agency
   
-
      
315
     
- 
      
- 
      
315
 
Residential mortgage-backed
non-agency
   
-
      
24
     
- 
      
- 
      
24
 
Commercial mortgage-
backed
   
-
      
27
     
4
     
- 
      
31
 
Asset-backed securities:
   
     
     
     
     
 
Collateralized debt
obligations
   
-
      
113
     
-
      
- 
      
113
 
Other asset-backed
   
-
      
237
     
1
     
- 
      
238
 
                                         
Total fixed-maturity
investments
   
1,041
     
2,513
     
5
     
- 
      
3,559
 
Money market securities
   
137
     
-
      
- 
      
- 
      
137
  
Perpetual debt and equity
securities
   
27
     
35
     
- 
      
- 
      
62
 
Fixed-income fund
   
-
      
-
      
- 
      
- 
      
66
(1)
 
Cash and cash equivalents
   
409
     
-
      
- 
      
- 
      
409
 
Derivative assets:
   
     
     
     
     
 
Non-insured
derivative assets:
    
     
     
     
     
 
Interest rate derivatives
   
-
      
2
     
- 
      
- 
      
2
 
  
Fair Value Measurements at Reporting Date Using
   
   
In millions
 
Quoted Prices in
Active Markets for
Identical Assets
(Level 1)
   
Significant
Other
Observable
Inputs
(Level 2)
   
Significant
Unobservable
Inputs
(Level 3)
   
Counterparty
and Cash
Collateral
Netting
   
Balance as of
June 30,
2019
 
Assets of consolidated VIEs:
   
     
     
     
     
 
State and municipal bonds
   
-
      
534
     
-
      
-
      
534
 
Corporate obligations
   
-
      
8
     
-
     
-
      
8
 
Mortgage-backed securities:
   
     
     
     
     
 
Residential mortgage-backed
non-agency
   
-
      
47
     
-
      
-
      
47
 
Commercial mortgage-backed
   
-
      
19
     
-
      
-
      
19
 
Asset-backed securities:
   
     
     
     
     
 
Collateralized debt obligations
   
-
      
6
     
-
     
-
      
6
 
Other asset-backed
   
-
      
10
     
-
      
-
      
10
 
Cash
   
69
     
-
      
-
      
-
      
69
 
Loans receivable at fair value:
   
     
     
     
     
 
Residential loans receivable
   
-
      
-
      
154
     
-
      
154
 
Loan repurchase commitments
   
-
      
-
      
428
     
-
      
428
 
Other assets:
   
     
     
     
     
 
Currency derivatives
   
-
      
-
      
11
     
-
      
11
 
Other
   
-
      
-
      
15
     
-
      
15
 
                                         
Total assets
 
$              
1,683
   
$
3,174
   
$
613
   
$
-
    
$
5,536
 
                                         
Liabilities:
   
     
     
     
     
 
Medium-term notes
 
$
-
    
$
-
    
$
110
   
$
-
    
$
110
 
Derivative liabilities:
   
     
     
     
     
 
Insured derivatives:
   
     
     
     
     
 
Credit derivatives
   
-
      
2
     
18
     
-
      
20
 
Non-insured
derivatives:
    
     
     
     
     
 
Interest rate derivatives
   
-
      
199
     
-
      
(13)
      
186
 
Other
   
-
      
-
      
16
     
-
      
16
 
Other liabilities:
   
     
     
     
     
 
Other payable
   
-
      
-
      
3
     
-
      
3
 
Liabilities of consolidated VIEs:
   
     
     
     
     
 
Variable interest entity notes
   
-
      
778
     
342
     
-
      
1,120
 
                                         
Total liabilities
 
$
-
    
$
979
   
$
489
   
$
(13)
    
$
1,455
 
                                         
(1) -
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
   
   
   
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
June 30,

2019
   
Carry Value

Balance as 
of
June 30,

2019
 
Assets:
   
     
     
     
     
 
Other investments
 
$
-
    
$
-
    
$
1
   
$
1
   
$
1
 
Assets of consolidated VIEs:
   
     
     
     
     
 
Investments
held-to-maturity
   
-
      
-
      
967
     
967
     
890
 
                                         
Total assets
 
$
-
    
$
-
    
$
968
   
$
968
   
$
891
 
                                         
Liabilities:
   
     
     
     
     
 
Long-term debt
 
$
-
    
$
1,219
   
$
-
    
$
1,219
   
$
2,315
 
Medium-term notes
   
-
      
-
      
393
     
393
     
569
 
Investment agreements
   
-
      
-
      
398
     
398
     
305
 
Liabilities of consolidated VIEs:
   
     
     
     
     
 
Variable interest entity notes
   
-
      
336
     
967
     
1,303
     
1,220
 
                                         
Total liabilities
 
$
-
    
$
1,555
   
$
1,758
   
$
3,313
   
$
4,409
 
                                         
Financial Guarantees:
   
     
     
     
     
 
Gross liability (recoverable)
 
$
-
    
$
-
    
$
1,317
   
$
1,317
   
$
(105)
  
Ceded
   
-
      
-
      
79
     
79
     
30
 
 
 
 
 
 
 
 
 
 
 
                                         
 
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,
2018
   
Carry Value
Balance as of
December 31,
2018
 
Assets:
   
     
     
     
     
 
Other investments
 
$
-
    
$
1
   
$
-
    
$
1
   
$
1
 
Assets of consolidated VIEs:
   
     
     
     
     
 
Investments
held-to-maturity
   
-
      
-
      
925
     
925
     
890
 
                                         
Total assets
 
$
-
    
$
1
   
$
925
   
$
926
   
$
891
 
                                         
Liabilities:
   
     
     
     
     
 
Long-term debt
 
$
-
    
$
1,101
   
$
-
    
$
1,101
   
$
2,249
 
Medium-term notes
   
-
      
-
      
422
     
422
     
620
 
Investment agreements
   
-
      
-
      
388
     
388
     
311
 
Liabilities of consolidated VIEs:
   
     
     
     
     
 
Variable interest entity notes
   
-
      
378
     
925
     
1,303
     
1,264
 
                                         
Total liabilities
 
$
-
    
$
1,479
   
$
1,735
   
$
3,214
   
$
4,444
 
                                         
Financial Guarantees:
   
     
     
     
     
 
Gross liability (recoverable)
 
$
-
    
$
-
    
$
993
   
$
993
   
$
(43)
  
Ceded
   
-
      
-
      
65
     
65
     
35
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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
June 30, 2018
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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
June 30,
2018
  
Assets:
   
     
     
     
     
     
     
     
     
     
     
     
     
 
Commercial
mortgage-backed
  $
7
    $
-
    $
-
    $
-
    $
-
    $
-
    $
-
    $
-
    $
-
    $
-
    $
(7)
     $
-
    $
-
 
Other asset-backed
   
4
     
-
     
-
     
-
     
-
     
2
     
-
     
-
      
-
      
-
     
-
     
6
     
-
 
Assets of
consolidated
VIEs:
   
     
     
     
     
     
     
     
     
     
     
     
     
 
Corporate
obligations
   
3
     
-
     
-
     
-
     
-
     
-
     
-
     
(1)
      
-
     
3
     
-
     
5
     
-
 
Commercial
mortgage-backed
   
6
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
(6)
      
-
     
-
 
Collateralized debt
obligations
   
1
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
1
     
-
 
Loans receivable-
residential
   
737
     
-
     
(14)
      
-
     
-
     
-
     
-
     
(40)
      
-
     
-
     
-
     
683
     
(14)
  
Loans receivable-
corporate
   
925
     
-
     
-
     
-
     
-
     
-
     
-
     
-
      
(925)
      
-
     
-
     
-
     
-
 
Loan repurchase
commitments
   
407
     
-
     
8
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
415
     
8
 
Currency derivatives
   
13
     
-
     
(2)
      
-
     
3
      
-
     
-
     
-
     
-
     
-
     
-
     
14
     
1
  
Other
   
14
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
14
     
-
 
                                                                                                         
Total assets
 
$
    2,117
   
$
         -
   
$
(8)
    
$
-
   
$
3
    
$
2
   
$
          -
   
$
(41)
    
$
    (925)
    
$
         3
   
$
     (13)
    
$
    1,138
   
$
(5)
  
                                                                                                         
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
                                                                                                         
Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Six Months Ended
June 30, 2019
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
In millions
 
Balance,
Beginning
of Year
   
Realized
Gains /
(Losses)
   
Unrealized
Gains /
(Losses)
Included
in
Earnings
   
Unrealized
Gains /
(Losses)
Included
in OCI
   
Foreign
Exchange
Recognized
in OCI or
Earnings
   
Purchases
   
Issuances
   
Settlements
   
Sales
   
Transfers
into
Level 3
(1)
    
Transfers
out of
Level 3
(1)
    
Ending
Balance
   
Change in
Unrealized
Gains
(Losses)
for
the Period
Included in
Earnings
for Assets
still held
as of
June 30,
2019
 
Assets:
   
     
     
     
     
     
     
     
     
     
     
     
     
 
Commercial
mortgage-backed
  $
7
    $
-
    $
-
    $
-
    $
-
    $
-
    $
-
    $
(3)
     $
-
    $
-
    $
-
    $
4
    $
-
 
Other asset-backed
   
3
     
(1)
      
-
     
-
     
-
     
-
     
-
     
(1)
      
-
     
-
     
-
     
1
     
-
 
Assets of
consolidated VIEs:
   
     
     
     
     
     
     
     
     
     
     
     
     
 
Corporate
obligations
   
5
     
-
     
-
     
-
     
-
     
-
     
-
     
(2)
      
-
     
-
     
(3)
      
-
     
-
 
Collateralized debt
obligations
   
1
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
(1)
      
-
     
-
     
-
     
-
 
Loans receivable-
residential
   
172
     
-
     
43
     
-
     
-
     
-
     
-
     
(13)
      
(48)
      
-
     
-
     
154
     
38
 
Loan repurchase commitments
   
418
     
-
     
10
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
428
     
10
 
Currency derivatives
   
17
     
-
     
(5)
      
-
     
(1)
      
-
     
-
     
-
     
-
     
-
     
-
     
11
     
(6)
  
Other
   
14
     
-
     
1
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
15
     
1
 
                                                                                                         
Total assets
 
$
637
   
$
(1)
    
$
49
   
$
-
   
$
(1)
    
$
-
   
$
-
   
$
(19)
    
$      
(49)
    
$
-
   
$
(3)
    
$
613
   
$
43
 
                                                                                                         
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
                                                                                                         
Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Six Months Ended
June 30, 2018
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
In millions
 
Balance,
Beginning
of Year
   
Realized
Gains /
(Losses)
   
Unrealized
Gains /
(Losses)
Included
in
Earnings
   
Unrealized
Gains /
(Losses)
Included
in OCI
   
Foreign
Exchange
Recognized
in OCI or
Earnings
   
Purchases
   
Issuances
   
Settlements
   
Sales
   
Transfers
into
Level 3
(1)
    
Transfers
out of
Level 3
(1)
    
Ending
Balance
   
Change in
Unrealized
Gains
(Losses)
for
the Period
Included in
Earnings
for Assets
still held
as of
June 30,
2018
 
Assets:
   
     
     
     
     
     
     
     
     
     
     
     
     
 
Corporate
obligations
 
$
2
   
$
-
   
$
-
   
$
-
   
$
-
   
$
-
   
$
-
   
$
-
   
$
-
   
$
-
   
$
(2)
    
$
-
   
$
-
 
Commercial
mortgage-backed
   
7
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
(7)
      
-
     
-
 
Other asset-backed
   
5
     
-
     
-
     
-
     
-
     
5
     
-
     
(1)
      
(3)
      
-
     
-
     
6
     
-
 
Assets of
consolidated VIEs:
   
     
     
     
     
     
     
     
     
     
     
     
     
 
Corporate
obligations
   
-
     
-
     
-
     
-
     
-
     
-
     
-
     
(1)
      
-
     
6
     
-
     
5
     
-
 
Commercial
mortgage-backed
   
6
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
(6)
      
-
     
-
 
Collateralized debt obligations
   
1
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
1
     
-
 
Loans receivable-residential
   
759
     
-
     
6
     
-
     
-
     
-
     
-
     
(82)
      
-
     
-
     
-
     
683
     
6
 
Loans receivable-corporate
   
920
     
-
     
11
     
-
     
-
     
-
     
-
     
(6)
      
(925)
      
-
     
-
     
-
     
-
 
Loan repurchase commitments
   
407
     
-
     
8
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
415
     
8
 
Currency derivatives
   
19
     
-
     
(5)
      
-
     
-
      
-
     
-
     
-
     
-
     
-
     
-
     
14
     
(5)
  
Other
   
14
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
14
     
-
 
                                                                                                         
Total assets
 
$
   2,140
   
$
-
   
$
20
   
$
-
   
$
-
    
$
          5
   
$
           -
   
$
(90)
    
$
    (928)
    
$
         6
   
$
     (15)
    
$
   1,138
   
$
9
 
                                                                                                         
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Changes In Level 3 Liabilities Measured At Fair Value On A Recurring Basis
                                                                                                         
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
June 30,
2018
  
Liabilities:
   
     
     
     
     
     
     
     
     
     
     
     
     
 
Medium-term notes
 
$
146
   
$
-
   
$
(1)
    
$
15
   
$
(11)
    
$
-
   
$
-
   
$
-
   
$
-
   
$
-
   
$
-
   
$
149
   
$
(12)
  
Credit derivatives
   
49
     
25
     
(18)
      
-
     
-
     
-
     
-
     
(25)
      
-
     
-
     
-
     
31
     
(18)
  
Other derivatives
   
4
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
4
     
-
 
Other payable
   
5
     
-
     
-
     
-
     
-
     
-
     
-
     
-
      
-
     
-
     
-
     
5
     
-
 
Liabilities of
consolidated VIEs:
   
     
     
     
     
     
     
     
     
     
     
     
     
 
VIE notes
   
400
     
4
     
(12)
      
9
      
(7)
      
-
     
1
     
(6)
      
-
     
-
     
-
     
389
     
(19)
  
                                                                                                         
Total liabilities
 
$
604
   
$
29
   
$
(31)
    
$
24
   
$
(18)
    
$
-
   
$
1
   
$
(31)
    
$         
-
   
$          
-
   
$          
-
   
$
      578
   
$
(49)
  
                                                                                                         
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(1) -
Transferred in and out at the end of the period.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
                                                                                                         
In millions
 
Balance,
Beginning
of Year
 
 
Realized
(Gains)
/ Losses
 
 
Unrealized
(Gains) /
Losses
Included
in
Earnings
 
 
Unrealized
(Gains) /
Losses
Included
in Credit
Risk 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
June 30,
2019
 
Liabilities:
   
     
     
     
     
     
     
     
     
     
     
     
     
 
Medium-term notes
 
$
102
   
$
-
   
$
5
   
$
6
    
$
-
    
$
-
   
$
-
   
$
(3)
    
$
-
   
$
-
   
$
-
   
$
110
   
$
4
 
Credit
derivatives
   
33
     
1
     
(14)
      
-
     
-
     
-
     
-
     
(2)
      
-
     
-
     
-
     
18
     
(14)
  
Other
derivatives
   
7
     
-
     
9
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
16
     
9
 
Other payable
   
5
     
-
     
1
     
-
     
-
     
-
     
-
     
(3)
      
-
     
-
     
-
     
3
     
1
 
Liabilities of consolidated VIEs:
   
     
     
     
     
     
     
     
     
     
     
     
     
 
VIE notes
   
366
     
7
     
42
     
(7)
      
1
     
-
     
4
     
(11)
      
(60)
      
-
     
-
     
342
     
43
 
                                                                                                         
Total liabilities
 
$
513
   
$
8
   
$
43
   
$
(1)
    
$
1
    
$
-
   
$
4
   
$
(19)
    
$    
(60
 )  
$
-
   
$
-
   
$
489
   
$
43
 
                                                                                                         
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(1) - Transferred in and out at the end of the period.
                                                                                                         
In millions
 
Balance,
Beginning
of Year
   
Realized
(Gains)
/ Losses
   
Unrealized
(Gains) /
Losses
Included
in
Earnings
   
Unrealized
(Gains) /
Losses
Included
in OCI
   
Foreign
Exchange
Recognized
in OCI or
Earnings
   
Purchases
   
Issuances
   
Settlements
   
Sales
   
Transfers
into
Level 3
(1)
    
Transfers
out of
Level 3
(1)
    
Ending
Balance
   
Change in
Unrealized
(Gains)
Losses for
the Period
Included in
Earnings
for
Liabilities
still held
as of
June 30,
2018
 
Liabilities:
   
     
     
     
     
     
     
     
     
     
     
     
     
 
Medium-term
notes
 
$
115
   
$
-
   
$
-
   
$
40
   
$
(6)
    
$
-
   
$
-
   
$
-
   
$
-
   
$
-
   
$
-
   
$
149
   
$
(6)
  
Credit
derivatives
   
63
     
44
     
(32)
      
-
     
-
     
-
     
-
     
(44)
      
-
     
-
     
-
     
31
     
(32)
  
Other
derivatives
   
4
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
-
     
4
     
-
 
Other payable
   
7
     
-
     
2
     
-
     
-
     
-
     
-
     
(4)
      
-
     
-
     
-
     
5
     
2
 
Liabilities of consolidated
VIEs:
   
     
     
     
     
     
     
     
     
     
     
     
     
 
VIE notes
   
406
     
12
     
(16)
      
1
      
(2)
      
-
     
6
     
(18)
      
-
     
-
     
-
     
389
     
(18)
  
                                                                                                         
Total liabilities
 
$
595
   
$
56
   
$
(46)
    
$
41
   
$
(8)
    
$
-
   
$
6
   
$
(66)
    
$
      -
   
$
          -
   
$
          -
   
$
      578
   
$
(54)
  
                                                                                                         
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(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 June 30, 
2019
   
Three Months Ended June 30, 
2018
 
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

June 30,
2019
   
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
June 30,
2018
  
Revenues:
   
     
     
     
 
Unrealized gains (losses) on insured
derivatives
 
$  
-
   
$
-
   
$
18
   
$
18
 
Realized gains (losses) and other settlements on insured derivatives
    
(1)
      
-
     
(25)
      
-
 
Net gains (losses) on financial instruments at fair value and foreign exchange
   
(6)
      
(7)
      
12
      
12
  
Net investment losses related to other-than-temporary impairments 
    
(1)
      
-
      
-
      
-
  
Revenues of consolidated VIEs:
   
     
     
     
 
Net gains (losses) on financial instruments at fair value and foreign exchange
    
(3
 )    
(6)
      
10
     
14
 
                                 
Total
 
$        
(11
 )  
$
(13)
    
$        
15
   
$             
44
 
                                 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
                                 
 
Six Months Ended June 30, 
2019
   
Six Months Ended June 30, 
2018
 
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

June 30,
2019
   
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

June 30,
2018
 
Revenues:
    
     
     
     
 
Unrealized gains (losses) on insured derivatives
  
$
14
 
 
$
14
 
 
$
32
 
 
$
32
  
Realized gains (losses) and other settlements on insured derivatives
  
 
(1)
 
 
 
-
 
 
 
(44
)
 
 
-
  
Net gains (losses) on financial instruments at fair value and foreign exchange
  
 
(14)
 
 
 
(13)
 
 
 
6
 
 
 
6
  
Net investment losses related to other-than-temporary impairments
 
 
(1)
 
 
 
-
 
 
 
-
 
 
 
-
 
Other net realized gains (losses)
  
 
(1)
 
 
 
(1)
 
 
 
(2)
 
 
 
(2)
  
Revenues of consolidated VIEs:
  
 
 
 
 
 
 
 
 
 
 
 
Net gains (losses) on financial instruments at fair value and foreign exchange
  
 
(2
)
 
 
-
 
 
 
26
 
 
 
27
  
   
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
Total
  
$
(5
)
 
$
-
 
 
$
18
 
 
$
63
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Changes In Fair Value Included In The Company's Consolidated Statements Of Operations
                                 
 
Three Months Ended 
June 30,
   
Six Months Ended 
June 30,
 
In millions
 
2019
   
2018
   
2019
   
2018
 
Investments carried at fair value
(1)
  
$          
4
 
 
$          
(3
)
 
$          
11
 
 
$         
(5
)
Fixed-maturity securities held at fair value-VIE
(2)
    
26
 
 
 
(6
)
 
 
56
 
 
 
(12
)
Loans receivable at fair value:
    
 
 
 
 
 
 
 
 
 
 
Residential mortgage loans
(2)
    
1
 
 
 
(54
)
 
 
43
 
 
 
(76
)
Corporate loans
(2)
    
-
 
 
 
-
 
 
 
-
 
 
 
11
 
Loan repurchase commitments
(2)
    
9
 
 
 
9
 
 
 
10
 
 
 
9
 
Medium-term notes
(1)
    
3
 
 
 
12
 
 
 
(5
)
 
 
6
 
Other liabilities
(3)
    
(1
)
 
 
-
 
 
 
(1
)
 
 
(2
)
Variable interest entity notes
(2)
    
(24
)
 
 
56
 
 
 
(80
)
 
 
83
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(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 June 30, 2019
   
As of December 31, 2018
 
In millions
 
Contractual

Outstanding

Principal
   
Fair

Value
   
Difference
   
Contractual

Outstanding

Principal
   
Fair

Value
   
 Difference 
  
Loans receivable at fair value:
   
     
     
     
     
     
 
Residential mortgage loans
 
$
115
   
$
115
   
$
-
   
$
168
   
$       
164
   
$
4
 
Residential mortgage loans (90 days or more past due)
   
152
     
39
     
113
     
153
     
8
     
145
 
                                                 
Total loans receivable and other instruments at fair value
 
$
267
   
$
154
   
$
113
   
$
321
   
$
172
   
$
149
 
Variable interest entity notes
 
$      
1,854
   
$   
1,120
   
$
734
    
$
1,295
   
$
480
   
$
815
 
Medium-term notes
 
$
113
   
$
110
   
$
3
   
$
114
   
$
102
   
$
12