Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2020

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 March 31, 2020 and December 31, 2019:

In millions	Fair Value as of  March 31, 2020		Valuation Techniques	Unobservable Input	Range (Weighted Average)
Assets of consolidated VIEs:
Loans receivable at fair value	$	98	Market prices adjusted for financial guarantees provided to VIE obligations	Impact of financial guarantee(2)		-28% - 161% (19%)(1)
Loan repurchase commitments		506	Discounted cash flow	Recovery rates(3) Breach rates(3)
Liabilities of consolidated VIEs:
Variable interest entity notes		281	Market prices of VIE assets adjusted for financial guarantees provided	Impact of financial guarantee		34% - 74% (60%)(1)
Credit derivative liabilities – CMBS		8	Direct Price Model	Nonperformance risk		54% - 54% (54%)
Other derivative liabilities		37	Discounted cash flow	Cash flows		$0 - $49 ($25)(4)

(1) - Weighted average represents the total MBIA guarantees as a percentage of total instrument fair value.

(2) - Negative percentage represents financial guarantee policies in a receivable position.

(3) - 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.

(4) - Midpoint of cash flows are used for the weighted average.

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.

Company's Assets And Liabilities Measured At Fair Value On Recurring Basis

The following tables present the fair value of the Company’s assets (including short-term investments) and liabilities measured and reported at fair value on a recurring basis as of March 31, 2020 and December 31, 2019:

	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 March 31, 2020
Assets:
Fixed-maturity investments:
U.S. Treasury and government agency	$	763	$	105	$	-	$	-	$	868
State and municipal bonds		-		192		-		-		192
Foreign governments		-		11		-		-		11
Corporate obligations		-		1,234		-		-		1,234
Mortgage-backed securities:
Residential mortgage-backed agency		-		283		-		-		283
Residential mortgage-backed non-agency		-		22		-		-		22
Commercial mortgage-backed		-		21		-		-		21
Asset-backed securities:
Collateralized debt obligations		-		114		-		-		114
Other asset-backed		-		279		1		-		280
Total fixed-maturity investments		763		2,261		1		-		3,025
Money market securities		35		-		-		-		35
Perpetual debt and equity securities		27		21		-		-		48
Fixed-income fund		-		-		-		-		45	(1)
Cash and cash equivalents		212		-		-		-		212
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)		Counterparty and Cash Collateral Netting			Balance as of March 31, 2020
Assets of consolidated VIEs:
Corporate obligations		-		8		-		-			8
Mortgage-backed securities:
Residential mortgage-backed non-agency		-		38		-		-			38
Commercial mortgage-backed		-		15		-		-			15
Asset-backed securities:
Collateralized debt obligations		-		7		-		-			7
Other asset-backed		-		7		-		-			7
Cash		5		-		-		-			5
Loans receivable at fair value:
Residential loans receivable		-		-		98		-			98
Loan repurchase commitments		-		-		506		-			506
Other assets:
Currency derivatives		-		-		18		-			18
Other		-		-		15		-			15
Total assets	$	1,042	$	2,358	$	638	$	-		$	4,083
Liabilities:
Medium-term notes	$	-	$	-	$	98	$	-		$	98
Derivative liabilities:
Insured derivatives:
Credit derivatives		-		2		8		-			10
Non-insured derivatives:
Interest rate derivatives		-		190		-		(31	)		159
Other		-		-		37		-			37
Liabilities of consolidated VIEs:
Variable interest entity notes		-		50		281		-			331
Total liabilities	$	-	$	242	$	424	$	(31	)	$	635

(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
	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)		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.

Level 3 assets at fair value as of March 31, 2020 and December 31, 2019 represented approximately 16% and 15%, respectively, of total assets measured at fair value. Level 3 liabilities at fair value as of March 31, 2020 and December 31, 2019 represented approximately 67% and 72%, 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 March 31, 2020		Carry Value Balance as of March 31, 2020
Assets:
Assets of consolidated VIEs:
Investments held-to-maturity	$	-	$	-	$	572	$	572	$	529
Total assets	$	-	$	-	$	572	$	572	$	529
Liabilities:
Long-term debt	$	-	$	856	$	-	$	856	$	2,261
Medium-term notes		-		-		377		377		563
Investment agreements		-		-		415		415		295
Liabilities of consolidated VIEs:
Variable interest entity notes		-		261		570		831		829
Total liabilities	$	-	$	1,117	$	1,362	$	2,479	$	3,948
Financial Guarantees:
Gross liability (recoverable)	$	-	$	-	$	723	$	723	$	(177	)
Ceded		-		-		51		51		15

	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

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, 2020

In millions	Balance, Beginning of Period		Total Gains / (Losses) Included in Earnings			Unrealized Gains / (Losses) Included in OCI(1)		Purchases		Issuances		Settlements			Sales		Transfers into Level 3		Transfers out of Level 3		Ending Balance		Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets still held as of March 31, 2020			Change in Unrealized Gains (Losses) for the Period Included in OCI for Assets still held as of March 31, 2020(1)
Assets:
Other asset-backed	$	1	$	-		$	-	$	-	$	-	$	-		$	-	$	-	$	-	$	1	$	-		$	-
Assets of consolidated VIEs:
Loans receivable- residential		136		(35	)		-		-		-		(3	)		-		-		-		98		(35	)		-
Loan repurchase commitments		486		20			-		-		-		-			-		-		-		506		20			-
Currency derivatives		8		10			-		-		-		-			-		-		-		18		10			-
Other		18		(3	)		-		-		-		-			-		-		-		15		(3	)		-
Total assets	$	649	$	(8	)	$	-	$	-	$	-	$	(3	)	$	-	$	-	$	-	$	638	$	(8	)	$	-

Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Three Months Ended March 31, 2019

In millions	Balance, Beginning of Period		Total Gains / (Losses) Included in Earnings			Unrealized Gains / (Losses) Included in OCI		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 March 31, 2019
Assets:
Commercial mortgage-backed	$	7	$	-		$	-	$	-	$	-	$	(1	)	$	-	$	-	$	-	$	6	$	-
Other asset-backed		3		-			-		-		-		(1	)		-		-		-		2		-
Assets of consolidated VIEs:
Corporate obligations		5		-			-		-		-		-			-		-		-		5		-
Collateralized debt obligations		1		-			-		-		-		-			-		-		-		1		-
Loans receivable-residential		172		42			-		-		-		(8	)		-		-		-		206		42
Loan repurchase commitments		418		2			-		-		-		-			-		-		-		420		2
Currency derivatives		17		(3	)		-		-		-		-			-		-		-		14		(3	)
Other		14		1			-		-		-		-			-		-		-		15		1
Total assets	$	637	$	42		$	-	$	-	$	-	$	(10	)	$	-	$	-	$	-	$	669	$	42

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

In millions	Balance, Beginning of Period		Total (Gains) / Losses Included in Earnings			Unrealized (Gains) / Losses Included in in OCI(2)			Purchases		Issuances		Settlements			Sales		Transfers into Level 3		Transfers out of Level 3		Ending Balance		Change in Unrealized (Gains) Losses for the Period Included in Earnings for Liabilities still held as of March 31, 2020			Change in Unrealized (Gains) Losses for the Period Included in OCI for Liabilities still held as of March 31, 2020(2)
Liabilities:
Medium-term notes	$	108	$	2		$	(12	)	$	-	$	-	$	-		$	-	$	-	$	-	$	98	$	2		$	(12	)
Credit derivatives		7		1			-			-		-		-			-		-		-		8		1			-
Other derivatives		34		3			-			-		-		-			-		-		-		37		3			-
Other payable		4		-			-			-		-		(4	)		-		-		-		-		-			-
Liabilities of consolidated VIEs:
VIE notes		347		(25	)		(36	)		-		-		(5	)		-		-		-		281		(28	)		(34	)
Total liabilities	$	500	$	(19	)	$	(48	)	$	-	$	-	$	(9	)	$	-	$	-	$	-	$	424	$	(22	)	$	(46	)

(1) - Reported within the “Unrealized gains (losses) on available-for-sale securities” on MBIA’s Consolidated Statement of Comprehensive Income/Loss.

(2) - Reported within the “Instrument-specific credit risk of liabilities measured at fair value” on MBIA’s Consolidated Statement of Comprehensive Income/Loss.

In millions	Balance, Beginning of Period		Total (Gains) / Losses Included in Earnings			Unrealized (Gains) / Losses Included in OCI			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 March 31, 2019
Liabilities:
Medium-term notes	$	102	$	8		$	(4	)	$	-	$	-	$	-		$	-	$	-	$	-	$	106	$	7
Credit derivatives		33		(14	)		-			-		-		-			-		-		-		19		(14	)
Other derivatives		7		-			-			-		-		-			-		-		-		7		-
Other payable		5		1			-			-		-		(3	)		-		-		-		3		1
Liabilities of consolidated VIEs:
VIE notes		366		41			(7	)		-		5		(8	)		-		-		-		397		32
Total liabilities	$	513	$	36		$	(11	)	$	-	$	5	$	(11	)	$	-	$	-	$	-	$	532	$	26

(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 March 31, 2020						Three Months Ended March 31, 2019
				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			2020			in Earnings			2019
Revenues:
Unrealized gains (losses) on insured derivatives	$	(1	)	$	(1	)	$	14		$	14
Net gains (losses) on financial instruments at fair value and foreign exchange		(5	)		(5	)		(7	)		(7	)
Other net realized gains (losses)		-			-			(1	)		(1	)
Revenues of consolidated VIEs:
Net gains (losses) on financial instruments at fair value and foreign exchange		17			20			1			10
Total	$	11		$	14		$	7		$	16

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

	Three Months Ended March 31,
In millions	2020			2019
Investments carried at fair value(1)	$	(20	)	$	6
Fixed-maturity securities held at fair value-VIE(2)		(6	)		26
Loans receivable at fair value:
Residential mortgage loans(2)		(35	)		34
Loan repurchase commitments(2)		20			2
Other assets-VIE(2)		(3	)		-
Medium-term notes(1)		(2	)		(7	)
Other liabilities(3)		-			(1	)
Variable interest entity notes(2)		27			84

(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.

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

	As of March 31, 2020						As of December 31, 2019
	Contractual						Contractual
	Outstanding		Fair				Outstanding		Fair
In millions	Principal		Value		Difference		Principal		Value		Difference
Loans receivable at fair value:
Residential mortgage loans	$	96	$	87	$	9	$	107	$	107	$	-
Residential mortgage loans (90 days or more past due)		123		11		112		154		29		125
Total loans receivable and other instruments at fair value	$	219	$	98	$	121	$	261	$	136	$	125
Variable interest entity notes	$	1,097	$	331	$	766	$	1,126	$	403	$	723
Medium-term notes	$	110	$	98	$	12	$	112	$	108	$	4