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Fair Value of Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 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 September 
3
0, 2020 and December 31, 2019:
 
          
          
          
          
In millions
  
Fair Value as of
September 30,
2020
  
Valuation Techniques
  
Unobservable Input
  
Range
(Weighted Average)
Assets of consolidated VIEs:
  
  
  
  
Loans receivable at fair value
  
$
114
 
  
Market prices adjusted for financial guarantees provided to VIE obligations
  
Impact of financial guarantee
(2)
  
 
-28% -110% (20%)
(1)
 
Loan repurchase commitments
  
 
530
 
  
Discounted cash flow
  
Recovery rates
(3)
Breach rates
(3)
  
Liabilities of consolidated VIEs:
  
  
  
  
Variable interest entity notes
  
 
294
 
  
Market prices of VIE assets adjusted for financial guarantees provided
  
Impact of financial guarantee
  
 
29% - 74% (59%)
(1)
 
Credit derivative liabilities – CMBS
  
 
8
 
  
Direct Price Model
  
Nonperformance risk
  
 
54% - 54% (54%)
 
Other derivative liabilities
  
 
38
 
  
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 September 30, 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)
  
Balance as of
September 30,
2020
Assets:
  
  
  
  
Fixed-maturity investments:
  
  
  
  
U.S. Treasury and government agency
  
$
901
 
  
$
109
 
  
$
-
 
  
$
1,010
 
State and municipal bonds
  
 
-
 
  
 
191
 
  
 
-
 
  
 
191
 
Foreign governments
  
 
-
 
  
 
16
 
  
 
-
 
  
 
16
 
Corporate obligations
  
 
-
 
  
 
1,019
 
  
 
-
 
  
 
1,019
 
Mortgage-backed securities:
  
  
  
  
Residential mortgage-backed agency
  
 
-
 
  
 
296
 
  
 
-
 
  
 
296
 
Residential mortgage-backed
non-agency
  
 
-
 
  
 
26
 
  
 
-
 
  
 
26
 
Commercial mortgage-backed
  
 
-
 
  
 
19
 
  
 
-
 
  
 
19
 
Asset-backed securities:
  
  
  
  
Collateralized debt obligations
  
 
-
 
  
 
124
 
  
 
-
 
  
 
124
 
Other asset-backed
  
 
-
 
  
 
109
 
  
 
-
 
  
 
109
 
  
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
Total fixed-maturity investments
  
 
901
 
  
 
1,909
 
  
 
-
 
  
 
2,810
 
Money market securities
  
 
20
 
  
 
-
 
  
 
-
 
  
 
20
 
Perpetual debt and equity securities
  
 
33
 
  
 
20
 
  
 
-
 
  
 
53
 
Fixed-income fund
  
 
-
 
  
 
-
 
  
 
-
 
  
 
49
(1)
 
 
Cash and cash equivalents
  
 
107
 
  
 
-
 
  
 
-
 
  
 
107
 
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
September 30,
2020
Assets of consolidated VIEs:
  
  
  
  
Corporate obligations
  
 
-
 
  
 
7
 
  
 
-
 
  
 
7
 
Mortgage-backed securities:
  
  
  
  
Residential mortgage-backed
non-agency
  
 
-
 
  
 
41
 
  
 
-
 
  
 
41
 
Commercial mortgage-backed
  
 
-
 
  
 
16
 
  
 
-
 
  
 
16
 
Asset-backed securities:
  
  
  
  
Collateralized debt obligations
  
 
-
 
  
 
7
 
  
 
-
 
  
 
7
 
Other asset-backed
  
 
-
 
  
 
7
 
  
 
-
 
  
 
7
 
Cash
  
 
4
 
  
 
-
 
  
 
-
 
  
 
4
 
Loans receivable at fair value:
  
  
  
  
Residential loans receivable
  
 
-
 
  
 
-
 
  
 
114
 
  
 
114
 
Loan repurchase commitments
  
 
-
 
  
 
-
 
  
 
530
 
  
 
530
 
Other assets:
  
  
  
  
Currency derivatives
  
 
-
 
  
 
-
 
  
 
12
 
  
 
12
 
Other
  
 
-
 
  
 
-
 
  
 
13
 
  
 
13
 
  
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
Total assets
  
$
1,065
 
  
$
2,008
 
  
$
669
 
  
$
3,791
 
  
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
Liabilities:
  
  
  
  
Medium-term notes
  
$
-
 
  
$
-
 
  
$
101
 
  
$
101
 
Derivative liabilities:
  
  
  
  
Insured derivatives:
  
  
  
  
Credit derivatives
  
 
-
 
  
 
2
 
  
 
8
 
  
 
10
 
Non-insured
derivatives:
  
  
  
  
Interest rate derivatives
  
 
-
 
  
 
180
 
  
 
-
 
  
 
180
 
Other
  
 
-
 
  
 
-
 
  
 
38
 
  
 
38
 
Liabilities of consolidated VIEs:
  
  
  
  
Variable interest entity notes
  
 
-
 
  
 
49
 
  
 
294
 
  
 
343
 
  
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
Total liabilities
  
$
-
 
  
$
231
 
  
$
441
 
  
$
672
 
  
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
 
(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,
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 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
September 30,
2020
  
Carry Value
Balance as of
September 30,
2020
Assets:
  
  
  
  
  
Assets of consolidated VIEs:
  
  
  
  
  
Investments
held-to-maturity
  
$
-
 
  
$
-
 
  
$
575
 
  
$
575
 
  
$
575
 
  
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
Total assets
  
$
-
 
  
$
-
 
  
$
575
 
  
$
575
 
  
$
575
 
  
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
Liabilities:
  
  
  
  
  
Long-term debt
  
$
-
 
  
$
724
 
  
$
-
 
  
$
724
 
  
$
2,318
 
Medium-term notes
  
 
-
 
  
 
-
 
  
 
379
 
  
 
379
 
  
 
583
 
Investment agreements
  
 
-
 
  
 
-
 
  
 
408
 
  
 
408
 
  
 
293
 
Liabilities of consolidated VIEs:
  
  
  
  
  
Variable interest entity notes
  
 
-
 
  
 
264
 
  
 
575
 
  
 
839
 
  
 
844
 
  
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
Total liabilities
  
$
-
 
  
$
988
 
  
$
1,362
 
  
$
2,350
 
  
$
4,038
 
  
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
Financial Guarantees:
  
  
  
  
  
Gross liability (recoverable)
  
$
-
 
  
$
-
 
  
$
595
 
  
$
595
 
  
$
(378
) 
Ceded recoverable (liability)
  
 
-
 
  
 
-
 
  
 
41
 
  
 
41
 
  
 
(18
) 
          
          
          
          
          
  
  
  
  
  
 
  
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 recoverable (liability)
  
 
-
 
  
 
-
 
  
 
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 September 30, 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
September 30,
2020
 
Change in
Unrealized
Gains
(Losses) for
the Period
Included in
OCI for
Assets still
held as of
September 30,
2020
(1)
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
Other asset-backed
 
 
$
1
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
(1
) 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
Assets of consolidated VIEs:
 
 
 
 
 
 
 
 
 
 
 
 
Loans receivable- residential
 
 
116
 
 
 
2
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
(4
) 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
114
 
 
 
1
 
 
 
-
 
Loan repurchase commitments
 
 
524
 
 
 
6
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
530
 
 
 
6
 
 
 
-
 
Currency derivatives
 
 
14
 
 
 
(2
) 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
12
 
 
 
(2
) 
 
 
-
 
Other
 
 
14
 
 
 
(1
) 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
13
 
 
 
(1
) 
 
 
-
 
 
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Total assets
 
$
669
 
 
$
5
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
(5
) 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
669
 
 
$
4
 
 
$
-
 
 
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Three Months Ended September 30, 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
September 30, 2019
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
Commercial mortgage-backed
 
$
4
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
(1
) 
 
$
-
 
 
$
-
 
 
$
(3
) 
 
$
-
 
 
$
-
 
Other asset-backed
 
 
1
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
1
 
 
 
-
 
Assets of consolidated VIEs:
 
 
 
 
 
 
 
 
 
 
 
Loans receivable- residential
 
 
154
 
 
 
(3
) 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
(5
) 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
146
 
 
 
(3
) 
Loan repurchase
commitments
 
 
428
 
 
 
50
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
478
 
 
 
50
 
Currency derivatives
 
 
11
 
 
 
(3
) 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
8
 
 
 
(4
) 
Other
 
 
15
 
 
 
2
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
17
 
 
 
2
 
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Total assets
 
$
613
 
 
$
46
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
(6
) 
 
$
-
 
 
$
-
 
 
$
(3
) 
 
$
650
 
 
$
45
 
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Nine Months Ended September 30, 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
September
30, 2020
 
Change in
Unrealized
Gains
(Losses) for
the Period
Included in
OCI for
Assets still
held as of
September
30, 2200
(1)
Assets:
  
  
 
  
  
  
 
  
  
  
  
 
Other asset-backed
  
$
1
 
  
$
-
 
 
$
-
 
  
$
-
 
  
$
-
 
  
$
(1
) 
 
$
-
 
  
$
-
 
  
$
-
 
  
$
-
 
  
$
-
 
 
$
-
 
Assets of consolidated VIEs:
 
 
 
 
 
 
 
 
 
 
 
 
Loans receivable-
 
residential
  
 
136
 
  
 
(11
) 
 
 
-
 
  
 
-
 
  
 
-
 
  
 
(11
) 
 
 
-
 
  
 
-
 
  
 
-
 
  
 
114
 
  
 
(13
) 
 
 
-
 
Loan repurchase commitments
  
 
486
 
  
 
44
 
 
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
 
 
-
 
  
 
-
 
  
 
-
 
  
 
530
 
  
 
44
 
 
 
-
 
Currency derivatives
  
 
8
 
  
 
4
 
 
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
 
 
-
 
  
 
-
 
  
 
-
 
  
 
12
 
  
 
4
 
 
 
-
 
Other
  
 
18
 
  
 
(5
) 
 
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
 
 
-
 
  
 
-
 
  
 
-
 
  
 
13
 
  
 
(5
) 
 
 
-
 
  
 
 
 
   
 
 
 
  
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
  
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
  
 
 
 
Total assets
  
$
649
 
  
$
32
 
 
$
-
 
  
$
-
 
  
$
-
 
  
$
(12
) 
 
$
-
 
  
$
-
 
  
$
-
 
  
$
669
 
  
$
30
 
 
$
-
 
 
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Nine Months Ended September 30, 2019
 
     
          
      
          
      
          
      
          
      
          
      
          
      
          
      
          
      
          
      
          
      
          
  
In millions
 
 
 
Balance,

Beginning

of Year
 
 
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

September 30,

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
 
  
 
40
 
 
 
-
 
  
 
-
 
  
 
-
 
  
 
(18
) 
 
 
(48
) 
 
 
-
 
  
 
-
 
 
 
146
 
  
 
35
 
Loan repurchase commitments
  
 
418
 
  
 
60
 
 
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
 
 
-
 
 
 
-
 
  
 
-
 
 
 
478
 
  
 
60
 
Currency derivatives
  
 
17
 
  
 
(9
) 
 
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
 
 
-
 
 
 
-
 
  
 
-
 
 
 
8
 
  
 
(9
) 
Other
  
 
14
 
  
 
3
 
 
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
 
 
-
 
 
 
-
 
  
 
-
 
 
 
17
 
  
 
3
 
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Total assets
  
$
637
 
  
$
93
 
 
$
-
 
  
$
-
 
  
$
-
 
  
$
(25
) 
 
$
(49
) 
 
$
-
 
  
$
(6
) 
 
$
650
 
  
$
89
 
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
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
September 30,
2020
 
Change in
Unrealized
(Gains)
Losses for the
Period
Included in
OCI for
Liabilities still
held as of
September 30,
2020
(2)
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
Medium-term notes
 
 
$
96
 
 
$
8
 
 
$
(3
) 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
101
 
 
$
8
 
 
$
(3
) 
Credit derivatives
 
 
8
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
8
 
 
 
-
 
 
 
-
 
Other derivatives
 
 
37
 
 
 
1
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
38
 
 
 
1
 
 
 
-
 
Liabilities of consolidated VIEs:
 
 
 
 
 
 
 
 
 
 
 
 
VIE notes
 
 
291
 
 
 
10
 
 
 
(3
) 
 
 
-
 
 
 
-
 
 
 
(4
) 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
294
 
 
 
8
 
 
 
(2
) 
 
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Total liabilities
 
$
432
 
 
$
19
 
 
$
(6
) 
 
$
-
 
 
$
-
 
 
$
(4
) 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
441
 
 
$
17
 
 
$
(5
) 
 
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(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
September 30, 2019
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
Medium-term notes
 
$
110
 
 
$
1
 
 
$
(5
) 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
106
 
 
$
1
 
Credit derivatives
 
 
18
 
 
 
1
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
(9
) 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
10
 
 
 
(9
) 
Other derivatives
 
 
16
 
 
 
14
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
30
 
 
 
14
 
Other payable
 
 
3
 
 
 
1
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
4
 
 
 
1
 
Liabilities of consolidated VIEs:
 
 
 
 
 
 
 
 
 
 
 
VIE notes
 
 
342
 
 
 
3
 
 
 
10
 
 
 
-
 
 
 
3
 
 
 
(10
) 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
348
 
 
 
(11
) 
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Total liabilities
 
$
489
 
 
$
20
 
 
$
5
 
 
$
-
 
 
$
3
 
 
$
(19
) 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
498
 
 
$
(4
) 
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
 
(1)  -
Transferred in and out at the end of the period.
     
          
      
          
      
          
      
          
      
          
      
          
      
          
      
          
      
          
      
          
      
          
      
          
  
In millions
 
Balance,
Beginning
of Period
 
Total
Gains /
(Losses)
Included
in
Earnings
 
Unrealized
Gains /
(Losses)
Included
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
September
30, 2020
 
Change in
Unrealized
Gains
(Losses) for
the Period
Included in
OCI for
Liabilities
still held as
of
September
30, 2200
(12
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
Medium-term notes
 
$
108
 
 
$
8
 
 
$
(15
) 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
101
 
 
$
8
 
 
$
(15
) 
Credit derivatives
 
 
7
 
 
 
1
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
8
 
 
 
1
 
 
 
-
 
Other derivatives
 
 
34
 
 
 
4
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
38
 
 
 
4
 
 
 
-
 
Other payable
 
 
4
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
(4
) 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
Liabilities of consolidated VIEs:
 
 
 
 
 
 
 
 
 
 
 
 
VIE notes
 
 
347
 
 
 
2
 
 
 
(41
) 
 
 
-
 
 
 
-
 
 
 
(14
) 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
294
 
 
 
(4
) 
 
 
(39
) 
 
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Total liabilities
 
$
500
 
 
$
15
 
 
$
(56
) 
 
$
-
 
 
$
-
 
 
$
(18
) 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
441
 
 
$
9
 
 
$
(54
) 
 
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
 
(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 Year
 
 
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
September 30,
2019
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
Medium-term notes
 
$
102
 
 
$
6
 
 
$
1
 
 
$
-
 
 
$
-
 
 
$
(3
) 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
106
 
 
$
1
 
Credit derivatives
 
 
33
 
 
 
(12
) 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
(11
) 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
10
 
 
 
(23
) 
Other derivatives
 
 
7
 
 
 
23
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
30
 
 
 
23
 
Other payable
 
 
5
 
 
 
2
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
(3
) 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
4
 
 
 
2
 
Liabilities of consolidated VIEs:
 
 
 
 
 
 
 
 
 
 
 
VIE notes
 
 
366
 
 
 
53
 
 
 
3
 
 
 
-
 
 
 
7
 
 
 
(21
) 
 
 
(60
) 
 
 
-
 
 
 
-
 
 
 
348
 
 
 
32
 
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Total liabilities
 
$
513
 
 
$
72
 
 
$
4
 
 
$
-
 
 
$
7
 
 
$
(38
) 
 
$
(60
) 
 
$
-
 
 
$
-
 
 
$
498
 
 
$
35
 
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
(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, 2020
 
 
Three Months Ended September 30, 2019
 
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 September 30,
2020
 
 
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 September 30,
2019
 
Revenues:
 
 
 
 
Unrealized gains (losses) on insured derivatives
 
$
-
 
 
$
-
 
 
$
9
 
 
$
9
 
Realized gains (losses) and other settlements on insured derivatives
 
 
-
 
 
 
-
 
 
 
(10
) 
 
 
-
 
Net gains (losses) on financial instruments at fair value and foreign exchange
 
 
(9
) 
 
 
(9
) 
 
 
(15
) 
 
 
(15
) 
Other net realized gains (losses)
 
 
-
 
 
 
-
 
 
 
(1
) 
 
 
(1
) 
Revenues of consolidated VIEs:
 
 
 
 
Net gains (losses) on financial instruments at fair value and foreign exchange
 
 
(5
) 
 
 
(4
) 
 
 
43
 
 
 
56
 
 
 
 
    
 
 
    
 
 
    
 
 
  
Total
 
$
(14
) 
 
$
(13
) 
 
$
26
 
 
$
49
 
 
 
 
    
 
 
    
 
 
    
 
 
  
Gains and losses (realized and unrealized) included in earnings relating to Level 3 assets and liabilities for the nine months ended September 30, 2020 and 2019 are reported on the Company’s consolidated statements of operations as follows:
 
     
          
      
          
      
          
      
          
  
 
 
Nine Months Ended September 30, 2020
 
 
Nine Months Ended September 30, 2019
 
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
September 30, 2020
 
 
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
September 30, 2019
 
Revenues:
 
 
 
 
Unrealized gains (losses) on insured derivatives
 
$
(1
) 
 
$
(1
) 
 
$
23
 
 
$
23
 
Realized gains (losses) and other settlements on insured derivatives
 
 
-
 
 
 
-
 
 
 
(11
) 
 
 
-
 
Net gains (losses) on financial instruments at fair value and foreign exchange
 
 
(12
) 
 
 
(12
) 
 
 
(24
) 
 
 
(24
) 
Net investment losses related to other-than-temporary impairments
 
 
-
 
 
 
-
 
 
 
(1
) 
 
 
-
 
Other net realized gains (losses)
 
 
-
 
 
 
-
 
 
 
(2
) 
 
 
(2
) 
Revenues of consolidated VIEs:
 
 
 
 
Net gains (losses) on financial instruments at fair value and foreign exchange
 
 
30
 
 
 
34
 
 
 
41
 
 
 
57
 
 
 
 
    
 
 
    
 
 
    
 
 
  
Total
 
$
17
 
 
$
21
 
 
$
26
 
 
$
54
 
 
 
 
    
 
 
    
 
 
    
 
 
  
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
  
2020
  
2019
  
2020
  
2019
Investments carried at fair value
(1)
  
$
4
 
  
$
2
 
  
$
(3
) 
  
$
13
 
Fixed-maturity securities held at fair
value-VIE
(2)
  
 
4
 
  
 
38
 
  
 
2
 
  
 
94
 
Loans receivable at fair value:
  
  
  
  
Residential mortgage loans
(2)
  
 
2
 
  
 
(3
) 
  
 
(11
) 
  
 
40
 
Loan repurchase commitments
(2)
  
 
6
 
  
 
50
 
  
 
44
 
  
 
60
 
Other
assets-VIE
(2)
  
 
(1
) 
  
 
2
 
  
 
(5
) 
  
 
3
 
Medium-term notes
(1)
  
 
(8
) 
  
 
(1
) 
  
 
(8
) 
  
 
(1
) 
Other liabilities
(3)
  
 
-
 
  
 
-
 
  
 
-
 
  
 
(2
) 
Variable interest entity notes
(2)
  
 
(11
) 
  
 
3
 
  
 
(1
) 
  
 
(77
) 
 
(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, 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 - current
  
$
88
 
  
$
88
 
  
$
-
 
  
$
107
 
  
$
107
 
  
$
-
 
Residential mortgage loans (90 days or more past due)
  
 
134
 
  
 
26
 
  
 
108
 
  
 
154
 
  
 
29
 
  
 
125
 
  
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
Total loans receivable and other instruments at fair value
  
$
222
 
  
$
114
 
  
$
108
 
  
$
261
 
  
$
136
 
  
$
125
 
Variable interest entity notes
  
$
1,107
 
  
$
343
 
  
$
764
 
  
$
1,126
 
  
$
403
 
  
$
723
 
Medium-term notes
  
$
117
 
  
$
101
 
  
$
16
 
  
$
112
 
  
$
108
 
  
$
4