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Fair Value of Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2021
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 30, 2021 and December 31, 2020:
 
                                           
In millions
   
Fair Value as of
September 30,
2021
   
Valuation Techniques
   
Unobservable Input
   
Range
(Weighted Average)
Assets of consolidated VIEs:
                            
Loans receivable at fair value
   
$
77
 
   
Market prices of similar liabilities adjusted for
 
financial guarantees
 
provided to VIE obligations
   
Impact of financial guarantee
   
 
23%- 72% (55%)
(1)
 
Liabilities of consolidated VIEs:
                            
Variable interest entity notes
   
 
292
 
   
Market prices of VIE assets adjusted for financial guarantees provided or market prices of similar liabilities
   
Impact of financial guarantee
   
 
32%- 74% (60%)
(1)
 
 
(1) - 
Weighted average represents the total MBIA guarantees as a percentage of total instrument fair value.
 
                                           
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.
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
, 2021
and December 31
, 2020
:
 
                                                                     
    
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,
2021
Assets:
                                    
Fixed-maturity investments:
                                    
U.S. Treasury and government agency
   
$
687
 
   
$
95
 
   
$
-
 
   
$
782
 
State and municipal bonds
   
 
-
 
   
 
179
 
   
 
-
 
   
 
179
 
Foreign governments
   
 
-
 
   
 
14
 
   
 
-
 
   
 
14
 
Corporate obligations
   
 
-
 
   
 
1,032
 
   
 
-
 
   
 
1,032
 
Mortgage-backed securities:
                                    
Residential mortgage-backed agency
   
 
-
 
   
 
203
 
   
 
-
 
   
 
203
 
Residential mortgage-backed
non-agency
   
 
-
 
   
 
98
 
   
 
-
 
   
 
98
 
Commercial mortgage-backed
   
 
-
 
   
 
13
 
   
 
-
 
   
 
13
 
Asset-backed securities:
                                    
Collateralized debt obligations
   
 
-
 
   
 
154
 
   
 
-
 
   
 
154
 
Other asset-backed
   
 
-
 
   
 
108
 
   
 
-
 
   
 
108
 
    
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
Total fixed-maturity investments
   
 
687
 
   
 
1,896
 
   
 
-
 
   
 
2,583
 
Money market securities
   
 
60
 
   
 
-
 
   
 
-
 
   
 
60
 
Perpetual debt and equity securities
   
 
44
 
   
 
23
 
   
 
-
 
   
 
67
 
Cash and cash equivalents
   
 
108
 
   
 
-
 
   
 
-
 
   
 
108
 
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,
2021
Assets of consolidated VIEs:
                                    
Corporate obligations
   
 
-
 
   
 
5
 
   
 
-
 
   
 
5
 
Mortgage-backed securities:
                                    
Residential mortgage-backed
non-agency
   
 
-
 
   
 
27
 
   
 
-
 
   
 
27
 
Commercial mortgage-backed
   
 
-
 
   
 
11
 
   
 
4
 
   
 
15
 
Asset-backed securities:
                                    
Collateralized debt obligations
   
 
-
 
   
 
8
 
   
 
-
 
   
 
8
 
Other asset-backed
   
 
-
 
   
 
8
 
   
 
-
 
   
 
8
 
Cash
   
 
4
 
   
 
-
 
   
 
-
 
   
 
4
 
Loans receivable at fair value:
                                    
Residential loans receivable
   
 
-
 
   
 
-
 
   
 
77
 
   
 
77
 
Other assets:
                                    
Currency derivatives
   
 
-
 
   
 
-
 
   
 
9
 
   
 
9
 
Other
   
 
-
 
   
 
-
 
   
 
15
 
   
 
15
 
    
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
Total assets
   
$
903
 
   
$
1,979
 
   
$
105
 
   
$
2,987
 
    
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
Liabilities:
                                    
Medium-term notes
   
$
-
 
   
$
-
 
   
$
102
 
   
$
102
 
Derivative liabilities:
                                    
Insured derivatives:
                                    
Credit derivatives
   
 
-
 
   
 
1
 
   
 
-
 
   
 
1
 
Non-insured
derivatives:
                                    
Interest rate derivatives
   
 
-
 
   
 
132
 
   
 
-
 
   
 
132
 
Liabilities of consolidated VIEs:
                                    
Variable interest entity notes
   
 
-
 
   
 
-
 
   
 
292
 
   
 
292
 
    
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
Total liabilities
   
$
-
 
   
$
133
 
   
$
394
 
   
$
527
 
    
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
                                                                     
    
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 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,
2021
   
Carry Value
Balance as of
September 30,
2021
Liabilities:
                                             
Long-term debt
   
$
-
 
   
$
425
 
   
$
-
 
   
$
425
 
   
$
2,308
 
Medium-term notes
   
 
-
 
   
 
-
 
   
 
302
 
   
 
302
 
   
 
489
 
Investment agreements
   
 
-
 
   
 
-
 
   
 
355
 
   
 
355
 
   
 
271
 
    
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
Total liabilities
   
$
-
 
   
$
425
 
   
$
657
 
   
$
1,082
 
   
$
3,068
 
    
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
Financial Guarantees:
                                             
Gross liability (recoverable)
   
$
-
 
   
$
-
 
   
$
508
 
   
$
508
 
   
$
(354
) 
Ceded recoverable (liability)
   
 
-
 
   
 
-
 
   
 
32
 
   
 
32
 
   
 
(39
) 
 
                                                      
    
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
) 
Changes In Level 3 Assets 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 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,
2021
  
Change in
Unrealized
Gains
(Losses) for
the Period
Included in
OCI for
Assets
still held as
of
September 30,
2021
(1)
Assets:
                        
Assets of consolidated VIEs:
                        
Commercial mortgage-backed
  
$
-
 
  
$
-
 
  
$
-
 
  
$
-
 
  
$
-
 
  
$
-
 
  
$
-
 
  
$
4
 
  
$
-
 
  
$
4
 
  
$
-
 
  
$
-
 
Loans receivable- residential
  
 
129
 
  
 
(3
) 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
(2
) 
  
 
(47
) 
  
 
-
 
  
 
-
 
  
 
77
 
  
 
(4
) 
  
 
-
 
Currency derivatives
  
 
8
 
  
 
1
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
9
 
  
 
1
 
  
 
-
 
Other
  
 
13
 
  
 
2
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
15
 
  
 
2
 
  
 
-
 
   
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Total assets
  
$
150
 
  
$
-
 
  
$
-
 
  
$
-
 
  
$
-
 
  
$
(2
) 
  
$
(47
) 
  
$
4
 
  
$
-
 
  
$
105
 
  
$
(1
) 
  
$
-
 
   
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
 
     
          
      
          
      
          
      
          
      
          
      
          
      
          
      
          
      
          
      
          
      
          
      
          
  
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
 
  
$
-
 
   
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
                                                                                                                                                                                                             
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

September 30,

2021
  
Change in
Unrealized
Gains
(Losses)
for the

Period

Included in
OCI for
Assets still
held as of
September 30,

2021
(1)
Assets:
                                                                                                
Assets of consolidated VIEs:
                                                                                                
Commercial mortgage-backed
  
$
-
 
  
$
-
 
  
$
-
 
  
$
-
 
  
$
-
 
  
$
-
 
  
$
-
 
  
$
4
 
  
$
-
 
  
$
4
 
  
$
-
 
  
$
-
 
Loans receivable- residential
  
 
120
 
  
 
31
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
(13
) 
  
 
(61
) 
  
 
-
 
  
 
-
 
  
 
77
 
  
 
21
 
  
 
-
 
Loan repurchase commitments
  
 
604
 
  
 
(4
) 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
(600
) 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
Currency derivatives
  
 
6
 
  
 
3
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
9
 
  
 
3
 
  
 
-
 
Other
  
 
14
 
  
 
1
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
15
 
  
 
1
 
  
 
-
 
   
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Total assets
  
$
744
 
  
$
31
 
  
$
-
 
  
$
-
 
  
$
-
 
  
$
(613
) 
  
$
(61
) 
  
$
4
 
  
$
-
 
  
$
105
 
  
$
25
 
  
$
-
 
   
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
                                                                                                                                                                                                             
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
September 30,
2020
  
Change in
Unrealized
Gains
(Losses)
for the

Period
Included in
Earnings
for Assets
still held

as of
September 30,
2020
(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 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,
2021
  
Change in
Unrealized
(Gains)
Losses for the
Period
Included in
OCI for
Liabilities still
held as of
September 30,
2021
(2)
Liabilities:
                                                                                                         
Medium-term notes
  
$
105
 
  
$
(4
) 
  
$
1
 
  
$
-
 
  
$
-
 
  
$
-
 
  
$
-
 
  
$
-
 
  
$
-
 
  
$
102
 
  
$
(4
) 
  
$
1
 
Liabilities of consolidated VIEs:
                                                                                                
VIE notes
  
 
290
 
  
 
(3
) 
  
 
9
 
  
 
-
 
  
 
-
 
  
 
(4
) 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
292
 
  
 
(5
) 
  
 
9
 
   
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Total liabilities
  
$
395
 
  
$
(7
) 
  
$
10
 
  
$
-
 
  
$
-
 
  
$
(4
) 
  
$
-
 
  
$
-
 
  
$
-
 
  
$
394
 
  
$
(9
) 
  
$
10
 
   
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
 
(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
(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 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
September 30,
2021
  
Change in
Unrealized
(Gains)
Losses for
the Period
Included in
OCI for
Liabilities still
held as of
September 30,
2021
(2)
Liabilities:
                                                                                                
Medium-term notes
  
$
110
 
  
$
(13
) 
  
$
5
 
  
$
-
 
  
$
-
 
  
$
-
 
  
$
-
 
  
$
-
 
  
$
-
 
  
$
102
 
  
$
(13
) 
  
$
5
 
Other derivatives
  
 
49
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
(49
) 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
Liabilities of consolidated VIEs:
                                                                                                
VIE notes
  
 
303
 
  
 
44
 
  
 
(15
) 
  
 
-
 
  
 
-
 
  
 
(35
) 
  
 
(5
) 
  
 
-
 
  
 
-
 
  
 
292
 
  
 
23
 
  
 
4
 
   
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Total liabilities
  
$
462
 
  
$
31
 
  
$
(10
) 
  
$
-
 
  
$
-
 
  
$
(84
) 
  
$
(5
) 
  
$
-
 
  
$
-
 
  
$
394
 
  
$
10
 
  
$
9
 
   
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
 
(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
(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
  
$
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.
Gains And Losses (Realized And Unrealized) Included In Earnings Pertaining To Level 3 Assets And Liabilities
Gains and losses (realized and unrealized) included in earnings related to Level 3 assets and liabilities for the three months ended September 30, 2021 and 2020 are reported on the Company’s consolidated statements of operations as follows:
 
                                                                     
    
Three Months Ended September 30, 2021
   
Three Months Ended September 30, 2020
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,

2021
   
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
Revenues:
                                    
Net gains (losses) on financial instruments at fair value and foreign exchange
   
$
4
 
   
$
4
 
   
$
(9
) 
   
$
(9
) 
Revenues of consolidated VIEs:
                                    
Net gains (losses) on financial instruments at fair value and foreign exchange
   
 
3
 
   
 
4
 
   
 
(5
) 
   
 
(4
) 
    
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
Total
   
$
7
 
   
$
8
 
   
$
(14
) 
   
$
(13
) 
    
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
Gains and losses (realized and unrealized) included in earnings relating to Level 3 assets and liabilities for the nine months ended September 30, 2021 and 2020 are reported on the Company’s consolidated statements of operations as follows:
 
                                                                     
    
Nine Months Ended September 30, 2021
   
Nine Months Ended September 30, 2020
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,

2021
   
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
Revenues:
                    
Unrealized gains (losses) on insured derivatives
   
$
-
 
   
$
-
 
   
$
(1
) 
   
$
(1
) 
Net gains (losses) on financial instruments at fair value and foreign exchange
   
 
13
 
   
 
13
 
   
 
(12
) 
   
 
(12
) 
Revenues of consolidated VIEs:
                                    
Net gains (losses) on financial instruments at fair value and foreign exchange
   
 
(13
) 
   
 
2
 
   
 
30
 
   
 
34
 
    
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
Total
   
$
-
 
   
$
15
 
   
$
17
 
   
$
21
 
    
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
Changes In Fair Value Included In The Company's Consolidated Statements Of Operations
The following table presents the gains and (losses) included in the Company’s consolidated statements of operations for the three and nine months ended September 30, 2021 and 2020 for financial instruments for which the fair value option was elected:
 
                                                                     
    
Three Months Ended September 30,
  
Nine Months Ended September 30,
In millions
   
2021
  
2020
  
2021
  
2020
Investments carried at fair value
(1)
   
$
(1
) 
  
$
4
 
  
$
5
 
  
$
(3
) 
Fixed-maturity securities held at fair
value-VIE
(2)
   
 
1
 
  
 
4
 
  
 
3
 
  
 
2
 
Loans receivable at fair value:
                                 
Residential mortgage loans
(2)
   
 
(3
) 
  
 
2
 
  
 
31
 
  
 
(11
) 
Loan repurchase commitments
(2)
   
 
-
 
  
 
6
 
  
 
(4
) 
  
 
44
 
Other
assets-VIE
(2)
   
 
2
 
  
 
(1
) 
  
 
1
 
  
 
(5
) 
Medium-term notes
(1)
   
 
4
 
  
 
(8
) 
  
 
13
 
  
 
(8
) 
Variable interest entity notes
(2)
   
 
3
 
  
 
(11
) 
  
 
(47
) 
  
 
(1
) 
 
(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.
Difference Between Aggregate Fair Value And The Aggregate Remaining Contractual Principal Balance Outstanding
 
                                                                                                       
    
As of September 30, 2021
   
As of December 31, 2020
    
Contractual
Outstanding
   
Fair
        
Contractual
Outstanding
   
Fair
     
In millions
   
Principal
   
Value
   
Difference
   
Principal
   
Value
   
Difference
Loans receivable at fair value:
                                                      
Residential mortgage loans - current
   
$
40
 
   
$
40
 
   
$
-
 
   
$
89
 
   
$
89
 
   
$
-
 
Residential mortgage loans (90 days or more past due)
   
 
138
 
   
 
37
 
   
 
101
 
   
 
147
 
   
 
31
 
   
 
116
 
    
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
Total loans receivable and other instruments at fair value
   
$
178
 
   
$
77
 
   
$
101
 
   
$
236
 
   
$
120
 
   
$
116
 
Variable interest entity notes
   
$
918
 
   
$
292
 
   
$
626
 
   
$
1,117
 
   
$
350
 
   
$
767
 
Medium-term notes
   
$
116
 
   
$
102
 
   
$
14
 
   
$
122
 
   
$
110
 
   
$
12