Fair Value of Financial Instruments (Tables)

12 Months Ended

Dec. 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 December 31, 2020 and 2019:

In millions	Fair Value as of December 31, 2020		Valuation Techniques	Unobservable Input	Range (Weighted Average)
Assets of consolidated VIEs:
Loans receivable at fair value	$	120	Market prices adjusted for financial guarantees provided to VIE obligations	Impact of financial guarantee(2)	-28%—109% (22%)(1)
Loan repurchase commitments		604	Discounted cash flow	Recovery value(3)
Liabilities of consolidated VIEs:
Variable interest entity notes		303	Market prices of VIE assets adjusted for financial guarantees provided	Impact of financial guarantee	30%—73% (57%)(1)
Other derivative liabilities		49	Discounted cash flow	Cash flows	$49—$49 ($49)

(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 value reflects an estimate of the amount to be awarded to the Company as part of litigation seeking to enforce its contractual rights.

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 December 31, 2020 and 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 December 31, 2020
Assets:
Fixed-maturity investments:
U.S. Treasury and government agency	$	750	$	105	$	—	$	855
State and municipal bonds		—		195		—		195
Foreign governments		—		15		—		15
Corporate obligations		—		975		—		975
Mortgage-backed securities:
Residential mortgage-backed agency		—		319		—		319
Residential mortgage-backed non-agency		—		32		—		32
Commercial mortgage-backed		—		20		—		20
Asset-backed securities:
Collateralized debt obligations		—		121		—		121
Other asset-backed		—		141		—		141
Total fixed-maturity investments		750		1,923		—		2,673
Money market securities		1		—		—		1
Perpetual debt and equity securities		37		25		—		62
Cash and cash equivalents		158		—		—		158
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, 2020
Assets of consolidated VIEs:
Corporate obligations		—		6		—		6
Mortgage-backed securities:
Residential mortgage-backed non-agency		—		40		—		40
Commercial mortgage-backed		—		16		—		16
Asset-backed securities:
Collateralized debt obligations		—		8		—		8
Other asset-backed		—		7		—		7
Cash		9		—		—		9
Loans receivable at fair value:
Residential loans receivable		—		—		120		120
Loan repurchase commitments		—		—		604		604
Other assets:
Currency derivatives		—		—		6		6
Other		—		—		14		14
Total assets	$	955	$	2,026	$	744	$	3,725
Liabilities:
Medium-term notes	$	—	$	—	$	110	$	110
Derivative liabilities:
Insured derivatives:
Credit derivatives		—		2		—		2
Non-insured derivatives:
Interest rate derivatives		—		164		—		164
Other		—		—		49		49
Liabilities of consolidated VIEs:
Variable interest entity notes		—		47		303		350
Total liabilities	$	—	$	213	$	462	$	675

	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 December 31, 2020		Carry Value Balance as of December 31, 2020
Liabilities:
Long-term debt	$	—	$	631	$	—	$	631	$	2,229
Medium-term notes		—		—		396		396		598
Investment agreements		—		—		376		376		269
Liabilities of consolidated VIEs:
Variable interest entity notes		—		276		—		276		273
Total liabilities	$	—	$	907	$	772	$	1,679	$	3,369
Financial Guarantees:
Gross liability (recoverable)	$	—	$	—	$	811	$	811	$	(282)
Ceded recoverable (liability)		—		—		45		45		(17)

	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

In millions	Balance, Beginning of Year		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 December 31, 2020		Change in Unrealized Gains (Losses) for the Period Included in OCI for Assets still held as of December 31, 2020(1)
Assets:
Other asset-backed	$	1	$	—	$	—	$	—	$	—	$	(1)	$	—	$	—	$	—	$	—	$	—	$	—
Assets of consolidated VIEs:
Loans receivable-residential		136		—		—		—		—		(16)		—		—		—		120		(4)		—
Loan repurchase commitments		486		118		—		—		—		—		—		—		—		604		118		—
Currency derivatives		8		(2)		—		—		—		—		—		—		—		6		(2)		—
Other		18		(4)		—		—		—		—		—		—		—		14		(4)		—
Total assets	$	649	$	112	$	—	$	—	$	—	$	(17)	$	—	$	—	$	—	$	744	$	108	$	—

In millions	Balance, Beginning of Year		Total (Gains) / Losses Included in Earnings		Unrealized (Gains) / Losses Included in Credit Risk 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 December 31, 2020		Change in Unrealized (Gains) Losses for the Period Included in OCI for Liabilities still held as of December 31, 2020(2)
Liabilities:
Medium-term notes	$	108	$	15	$	(13)	$	—	$	—	$	—	$	—	$	—	$	—	$	110	$	15	$	(13)
Credit derivatives		7		(6)		—		—		—		(1)		—		—		—		—		—		—
Other derivatives		34		15		—		—		—		—		—		—		—		49		15		—
Other payable		4		—		—		—		—		(4)		—		—		—		—		—		—
Liabilities of consolidated VIEs:
VIE notes		347		11		(40)		—		—		(15)		—		—		—		303		5		(38)
Total liabilities	$	500	$	35	$	(53)	$	—	$	—	$	(20)	$	—	$	—	$	—	$	462	$	35	$	(51)

(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.

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

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 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		(9)		—		—		—		—		—		—		—		8		(9)
Other		14		4		—		—		—		—		—		—		—		18		4
Total assets	$	637	$	97	$	(1)	$	—	$	—	$	(29)	$	(49)	$	—	$	(6)	$	649	$	89

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 December 31, 2019
Liabilities:
Medium-term notes	$	102	$	—	$	6	$	—	$	—	$	—	$	—	$	—	$	—	$	108	$	—
Credit derivatives		33		(15)		—		—		—		(11)		—		—		—		7		(25)
Other derivatives		7		27		—		—		—		—		—		—		—		34		27
Other payable		5		2		—		—		—		(3)		—		—		—		4		2
Liabilities of consolidated VIEs:
VIE notes		366		45		11		—		10		(25)		(60)		—		—		347		21
Total liabilities	$	513	$	59	$	17	$	—	$	10	$	(39)	$	(60)	$	—	$	—	$	500	$	25

(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

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 December 31,
	2020		2019		2018		2020		2019		2018
Revenues:
Unrealized gains (losses) on insured derivatives	$	7	$	25	$	30	$	—	$	25	$	30
Realized gains (losses) and other settlements on insured derivatives		(1)		(10)		(56)		—		—		—
Net gains (losses) on financial instruments at fair value and foreign exchange		(30)		(26)		17		(30)		(27)		8
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		101		53		25		103		68		17
Total	$	77	$	39	$	15	$	73	$	64	$	54

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

	Years Ended  December 31,
In millions	2020		2019		2018
Investments carried at fair value(1)	$	2	$	15	$	(11)
Fixed-maturity securities held at fair value-VIE(2)		4		95		(25)
Loans receivable and other instruments at fair value:
Residential mortgage loans(2)		—		35		(100)
Corporate loans and other instruments(2)		—		—		11
Loan repurchase commitments(2)		118		68		12
Other assets-VIE(2)		(4)		4		—
Medium-term notes(1)		(15)		1		19
Other liabilities(3)		—		(2)		(2)
Variable interest entity notes(2)		(12)		(89)		118

(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, 2020						As of December 31, 2019
In millions	Contractual Outstanding Principal		Fair Value		Difference		Contractual Outstanding Principal		Fair Value		Difference
Loans receivable at fair value:
Residential mortgage loans—current	$	89	$	89	$	—	$	107	$	107	$	—
Residential mortgage loans (90 days or more past due)		147		31		116		154		29		125
Total loans receivable and other instruments at fair value	$	236	$	120	$	116	$	261	$	136	$	125
Variable interest entity notes	$	1,117	$	350	$	767	$	1,126	$	403	$	723
Medium-term notes	$	122	$	110	$	12	$	112	$	108	$	4