Fair Value of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2019

Text Block [Abstract]

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

The following tables provide quantitative information regarding the significant unobservable inputs used by the Company for assets and liabilities measured at fair value on a recurring basis as of December 31, 2019 and 2018:

In millions	Fair Value as of December 31, 2019		Valuation Techniques	Unobservable Input	Range (Weighted Average)
Assets of consolidated VIEs:
Loans receivable at fair value	$	136	Market prices adjusted for financial guarantees provided to VIE obligations	Impact of financial guarantee(1)	-20%—99% (22%)
Loan repurchase commitments		486	Discounted cash flow	Recovery rates(2)
				Breach rates(2)
Liabilities of consolidated VIEs:
Variable interest entity notes		347	Market prices of VIE assets adjusted for financial guarantees provided	Impact of financial guarantee	37%—76% (61%)
Credit derivative liabilities:
CMBS		7	Direct Price Model	Nonperformance risk	54%—54% (54%)
Other derivative liabilities		34	Discounted cash flow	Cash flows	$0—$49 ($25)(3)

(1)—Negative percentage represents financial guarantee policies in a receivable position.

(2)—Recovery rates include assumptions about legal risk in the enforcement of the Company's contract and breach rates represent estimates of the percentage of ineligible loans.

(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)
Assets 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 include assumptions about legal risk in the enforcement of the Company’s contract and breach rates represent estimates of the percentage of ineligible loans.

(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)		Balance as of December 31, 2019
Assets:
Fixed-maturity investments:
U.S. Treasury and government agency	$	791	$	97	$	—	$	888
State and municipal bonds		—		200		—		200
Foreign governments		—		10		—		10
Corporate obligations		—		1,266		—		1,266
Mortgage-backed securities:
Residential mortgage-backed agency		—		330		—		330
Residential mortgage-backed non-agency		—		19		—		19
Commercial mortgage-backed		—		22		—		22
Asset-backed securities:
Collateralized debt obligations		—		140		—		140
Other asset-backed		—		326		1		327
Total fixed-maturity investments		791		2,410		1		3,202
Money market securities		154		—		—		154
Perpetual debt and equity securities		30		25		—		55
Fixed-income fund		—		—		—		51	(1)
Cash and cash equivalents		75		—		—		75
Derivative assets:
Non-insured derivative assets:
Interest rate derivatives		—		1		—		1

	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)		Balance as of December 31, 2019
Assets of consolidated VIEs:
Corporate obligations		—		8		—		8
Mortgage-backed securities:
Residential mortgage-backed non-agency		—		45		—		45
Commercial mortgage-backed		—		16		—		16
Asset-backed securities:
Collateralized debt obligations		—		6		—		6
Other asset-backed		—		8		—		8
Cash		8		—		—		8
Loans receivable at fair value:
Residential loans receivable		—		—		136		136
Loan repurchase commitments		—		—		486		486
Other assets:
Currency derivatives		—		—		8		8
Other		—		—		18		18
Total assets	$	1,058	$	2,519	$	649	$	4,277
Liabilities:
Medium-term notes	$	—	$	—	$	108	$	108
Derivative liabilities:
Insured derivatives:
Credit derivatives		—		2		7		9
Non-insured derivatives:
Interest rate derivatives		—		132		—		132
Other		—		—		34		34
Other liabilities:
Other payable		—		—		4		4
Liabilities of consolidated VIEs:
Variable interest entity notes		—		56		347		403
Total liabilities	$	—	$	190	$	500	$	690

(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 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)		Balance as of December 31, 2018
Assets:
Fixed-maturity investments:
U.S. Treasury and government agency	$	1,028	$	90	$	—	$	1,118
State and municipal bonds		—		728		—		728
Foreign governments		—		9		—		9
Corporate obligations		—		1,410		—		1,410
Mortgage-backed securities:
Residential mortgage-backed agency		—		219		—		219
Residential mortgage-backed non-agency		—		28		—		28
Commercial mortgage-backed		—		47		7		54
Asset-backed securities:
Collateralized debt obligations		—		121		—		121
Other asset-backed		—		181		3		184
Total fixed-maturity investments		1,028		2,833		10		3,871
Money market securities		—		—		—		67	(1)
Perpetual debt and equity securities		23		35		—		58
Fixed-income fund		—		—		—		75	(1)
Cash and cash equivalents		222		—		—		222
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)		Balance as of December 31, 2018
Assets of consolidated VIEs:
Corporate obligations		—		9		5		14
Mortgage-backed securities:
Residential mortgage-backed non-agency		—		92		—		92
Commercial mortgage-backed		—		34		—		34
Asset-backed securities:
Collateralized debt obligations		—		6		1		7
Other asset-backed		—		10		—		10
Cash		58		—		—		58
Loans receivable at fair value:
Residential loans receivable		—		—		172		172
Loan repurchase commitments		—		—		418		418
Other assets:
Currency derivatives		—		—		17		17
Other		—		—		14		14
Total assets	$	1,331	$	3,021	$	637	$	5,131
Liabilities:
Medium-term notes	$	—	$	—	$	102	$	102
Derivative liabilities:
Insured derivatives:
Credit derivatives		—		2		33		35
Non-insured derivatives:
Interest rate derivatives		—		157		—		157
Other		—		—		7		7
Other liabilities:
Other payable		—		—		5		5
Liabilities of consolidated VIEs:
Variable interest entity notes		—		114		366		480
Total liabilities	$	—	$	273	$	513	$	786

(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.

Level 3 assets at fair value as of December 31, 2019 and 2018 represented approximately 15% and 12%, respectively, of total assets measured at fair value. Level 3 liabilities at fair value as of December 31, 2019 and 2018 represented approximately 72% and 65%, respectively, of total liabilities measured at fair value.

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 December 31, 2019		Carry Value Balance as of December 31, 2019
Assets:
Assets of consolidated VIEs:
Investments held-to-maturity	$	—	$	—	$	892	$	892	$	890
Total assets	$	—	$	—	$	892	$	892	$	890
Liabilities:
Long-term debt	$	—	$	1,073	$	—	$	1,073	$	2,228
Medium-term notes		—		—		396		396		570
Investment agreements		—		—		394		394		304
Liabilities of consolidated VIEs:
Variable interest entity notes		—		261		892		1,153		1,136
Total liabilities	$	—	$	1,334	$	1,682	$	3,016	$	4,238
Financial Guarantees:
Gross liability (recoverable)	$	—	$	—	$	556	$	556	$	(311	)
Ceded		—		—		56		56		24

	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

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 December 31, 2019
Assets:
Commercial mortgage-backed	$	7	$	—		$	—		$	—		$	—		$	—	$	—	$	(4	)	$	—		$	—	$	(3	)	$	—	$	—
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		—			35			—			—			—		—		(23	)		(48	)		—		—			136		26
Loan repurchase commitments		418		—			68			—			—			—		—		—			—			—		—			486		68
Currency derivatives		17		—			(7	)		—			(2	)		—		—		—			—			—		—			8		(9	)
Other		14		—			4			—			—			—		—		—			—			—		—			18		4
Total assets	$	637	$	(1	)	$	100		$	(1	)	$	(2	)	$	—	$	—	$	(29	)	$	(49	)	$	—	$	(6	)	$	649	$	89

Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Year Ended December 31, 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 December 31, 2018
Assets:
Corporate obligations	$	2	$	—	$	—		$	—		$	—	$	—	$	—	$	—		$	—		$	—	$	(2	)	$	—	$	—
Commercial mortgage-backed		7		—		—			—			—		—		—		—			—			7		(7	)		7		—
Other asset-backed		5		—		—			(1	)		—		5		—		(1	)		(3	)		—		(2	)		3		—
Assets of consolidated VIEs:
Corporate obligations		—		—		—			—			—		—		—		(1	)		—			6		—			5		—
Commercial mortgage-backed		6		—		—			—			—		—		—		—			—			—		(6	)		—		—
Collateralized debt obligations		1		—		—			—			—		—		—		—			—			—		—			1		—
Loans receivable-residential		759		—		14			—			—		—		—		(114	)		(487	)		—		—			172		(22	)
Loans receivable and other instruments-corporate		920		—		11			—			—		—		—		(6	)		(925	)		—		—			—		—
Loan repurchase commitments		407		—		11			—			—		—		—		—			—			—		—			418		11
Currency derivatives		19		—		(2	)		—			—		—		—		—			—			—		—			17		(2	)
Other		14		—		—			—			—		—		—		—			—			—		—			14		—
Total assets	$	2,140	$	—	$	34		$	(1	)	$	—	$	5	$	—	$	(122	)	$	(1,415	)	$	13	$	(17	)	$	637	$	(13	)

Changes In Level 3 Liabilities Measured At Fair Value On A Recurring Basis

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 December 31, 2019
Liabilities:
Medium-term notes	$	102	$	—	$	2		$	6	$	(2	)	$	—	$	—	$	—		$	—		$	—	$	—	$	108	$	—
Credit derivatives		33		10		(25	)		—		—			—		—		(11	)		—			—		—		7		(25	)
Other derivatives		7		—		27			—		—			—		—		—			—			—		—		34		27
Other payable		5		—		2			—		—			—		—		(3	)		—			—		—		4		2
Liabilities of consolidated VIEs:
VIE notes		366		24		18			11		3			—		10		(25	)		(60	)		—		—		347		21
Total liabilities	$	513	$	34	$	24		$	17	$	1		$	—	$	10	$	(39	)	$	(60	)	$	—	$	—	$	500	$	25

(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 December 31, 2018
Liabilities:
Medium-term notes	$	115	$	(9	)	$	(1	)	$	55		$	(10	)	$	—	$	—	$	(48	)	$	—	$	—	$	—	$	102	$	(11	)
Credit derivatives		63		56			(30	)		—			—			—		—		(56	)		—		—		—		33		(30	)
Other derivatives		4		—			3			—			—			—		—		—			—		—		—		7		3
Other payable		7		—			1			—			—			—		—		(3	)		—		—		—		5		1
Liabilities of consolidated VIEs:
VIE notes		406		39			(30	)		(20	)		—			—		8		(37	)		—		—		—		366		(30	)
Total liabilities	$	595	$	86		$	(57	)	$	35		$	(10	)	$	—	$	8	$	(144	)	$	—	$	—	$	—	$	513	$	(67	)

(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

										Change in Unrealized Gains (Losses)
										for the Period Included in Earnings
	Total Gains (Losses)									for Assets and Liabilities still held as
In millions	Included in Earnings									of December 31,
	2019			2018			2017			2019			2018			2017
Revenues:
Unrealized gains (losses) on insured derivatives	$	25		$	30		$	1		$	25		$	30		$	(1	)
Realized gains (losses) and other settlements on insured derivatives		(10	)		(56	)		(51	)		—			—			—
Net gains (losses) on financial instruments at fair value and foreign exchange		(26	)		17			(32	)		(27	)		8			(32	)
Net investment losses related to other-than-temporary impairments		(1	)		—			—			—			—			—
Other net realized gains (losses)		(2	)		(1	)		—			(2	)		(1	)		—
Revenues of consolidated VIEs:
Net gains (losses) on financial instruments at fair value and foreign exchange		53			25			131			68			17			131
Total	$	39		$	15		$	49		$	64		$	54		$	98

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

	Years Ended December 31,
In millions	2019			2018			2017
Investments carried at fair value(1)	$	15		$	(11	)	$	8
Fixed-maturity securities held at fair value-VIE(2)		95			(25	)		(22	)
Loans receivable and other instruments at fair value:
Residential mortgage loans(2)		35			(100	)		(158	)
Corporate loans and other instruments(2)		—			11			52
Loan repurchase commitments(2)		68			12			3
Other assets-VIE(2)		4			—			(3	)
Medium-term notes(1)		1			19			(14	)
Other liabilities(3)		(2	)		(2	)		—
Variable interest entity notes(2)		(89	)		118			230

(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 December 31, 2019						As of December 31, 2018
	Contractual						Contractual
	Outstanding		Fair				Outstanding		Fair
In millions	Principal		Value		Difference		Principal		Value		Difference
Loans receivable at fair value:
Residential mortgage loans	$	107	$	107	$	—	$	168	$	164	$	4
Residential mortgage loans (90 days or more past due)		154		29		125		153		8		145
Total loans receivable and other instruments at fair value	$	261	$	136	$	125	$	321	$	172	$	149
Variable interest entity notes	$	1,126	$	403	$	723	$	1,295	$	480	$	815
Medium-term notes	$	112	$	108	$	4	$	114	$	102	$	12