QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
(State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer Identification No.) | |
(Address of principal executive offices) |
(Zip Code) |
Title of each class |
Trading Symbol(s) |
Name of each exchange on which registered | ||
Large accelerated filer | ☐ |
☒ | ||||
Non-accelerated filer | ☐ |
Smaller reporting company | ||||
Emerging growth company |
PAGE |
||||||
PART I FINANCIAL INFORMATION |
| |||||
Item 1. |
Financial Statements MBIA Inc. and Subsidiaries (Unaudited) | |||||
1 | ||||||
2 | ||||||
3 | ||||||
4 | ||||||
5 | ||||||
6 | ||||||
6 | ||||||
10 | ||||||
10 | ||||||
11 | ||||||
12 | ||||||
18 | ||||||
31 | ||||||
36 | ||||||
38 | ||||||
39 | ||||||
43 | ||||||
44 | ||||||
45 | ||||||
Item 2. |
50 | |||||
Item 3. |
78 | |||||
Item 4. |
78 | |||||
PART II OTHER INFORMATION |
| |||||
Item 1. |
Legal Proceedings | 79 | ||||
Item 1A. |
Risk Factors | 79 | ||||
Item 2. |
Unregistered Sales of Equity Securities and Use of Proceeds | 84 | ||||
Item 6. |
Exhibits | 84 | ||||
85 |
• | increased credit losses or impairments on public finance obligations that National Public Finance Guarantee Corporation (“National”) insures issued by state, local and territorial governments and finance authorities and other providers of public services, located in the U.S. or abroad, that are experiencing fiscal stress; |
• | the possibility that loss reserve estimates are not adequate to cover potential claims; |
• | a disruption in the cash flow from National or an inability to access the capital markets and our exposure to significant fluctuations in liquidity and asset values in the global credit markets as a result of collateral posting requirements; |
• | our ability to fully implement our strategic plan; |
• | the possibility that MBIA Insurance Corporation will have inadequate liquidity or resources to timely pay claims as a result of higher than expected losses on certain insured transactions or as a result of a delay or failure in collecting expected recoveries, which could lead the New York State Department of Financial Services (“NYSDFS”) to put MBIA Insurance Corporation into a rehabilitation or liquidation proceeding under Article 74 of the New York Insurance Law and/or take such other actions as the NYSDFS may deem necessary to protect the interests of MBIA Insurance Corporation’s policyholders; |
• | the impact on our insured portfolios or business operations caused by the global spread of the novel coronavirus COVID-19; |
• | deterioration in the economic environment and financial markets in the United States or abroad, real estate market performance, credit spreads, interest rates and foreign currency levels; and |
• | the effects of changes to governmental regulation, including insurance laws, securities laws, tax laws, legal precedents and accounting rules. |
September 30, 2021 |
December 31, 2020 | |||||||
Assets |
||||||||
Investments: |
||||||||
Fixed-maturity securities held as available-for-sale, |
$ |
$ |
||||||
Investments carried at fair value |
||||||||
Investments pledged as collateral, at fair value (amortized cost $ |
||||||||
Short-term investments, at fair value (amortized cost $ |
||||||||
|
|
|
|
|
| |||
Total investments |
||||||||
Cash and cash equivalents |
||||||||
Premiums receivable (net of allowance for credit losses $ |
||||||||
Deferred acquisition costs |
||||||||
Insurance loss recoverable |
||||||||
Other assets |
||||||||
Assets of consolidated variable interest entities: |
||||||||
Cash |
||||||||
Investments carried at fair value |
||||||||
Loans receivable at fair value |
||||||||
Loan repurchase commitments |
||||||||
Other assets |
||||||||
|
|
|
|
|
| |||
Total assets |
$ |
$ |
||||||
|
|
|
|
|
| |||
Liabilities and Equity |
||||||||
Liabilities: |
||||||||
Unearned premium revenue |
$ |
$ |
||||||
Loss and loss adjustment expense reserves |
||||||||
Long-term debt |
||||||||
Medium-term notes (includes financial instruments carried at fair value of $ |
||||||||
Investment agreements |
||||||||
Derivative liabilities |
||||||||
Other liabilities |
||||||||
Liabilities of consolidated variable interest entities: |
||||||||
Variable interest entity notes (includes financial instruments carried at fair value of $ |
||||||||
|
|
|
|
|
| |||
Total liabilities |
||||||||
|
|
|
|
|
| |||
Commitments and contingencies (Refer to Note 13: Commitments and Contingencies) |
||||||||
Equity: |
||||||||
Preferred stock, par value $ |
||||||||
Common stock, par value $ |
||||||||
Additional paid-in capital |
||||||||
Retained earnings (deficit) |
( |
) | ( |
) | ||||
Accumulated other comprehensive income (loss), net of tax of $ |
||||||||
Treasury stock, at cost and |
( |
) |
( |
) | ||||
|
|
|
|
|
| |||
Total shareholders’ equity of MBIA Inc. |
( |
) | ||||||
Preferred stock of subsidiary |
||||||||
|
|
|
|
|
| |||
Total equity |
( |
) |
||||||
|
|
|
|
|
| |||
Total liabilities and equity |
$ |
$ |
||||||
|
|
|
|
|
|
Three Months Ended September 30, |
Nine Months Ended September 30, | |||||||||||||||
2021 |
2020 |
2021 |
2020 | |||||||||||||
Revenues |
||||||||||||||||
Premiums earned: |
||||||||||||||||
Scheduled premiums earned |
$ |
$ |
$ |
$ |
||||||||||||
Refunding premiums earned |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Premiums earned (net of ceded premiums of $ |
||||||||||||||||
Net investment income |
||||||||||||||||
Fees and reimbursements |
||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
( |
) | ||||||||||||||
Net gains (losses) on extinguishment of debt |
||||||||||||||||
Revenues of consolidated variable interest entities: |
||||||||||||||||
Net investment income |
||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
( |
) |
( |
) |
||||||||||||
Other net realized gains (losses) |
( |
) |
( |
) |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total revenues |
||||||||||||||||
Expenses |
||||||||||||||||
Losses and loss adjustment |
||||||||||||||||
Amortization of deferred acquisition costs |
||||||||||||||||
Operating |
||||||||||||||||
Interest |
||||||||||||||||
Expenses of consolidated variable interest entities: |
||||||||||||||||
Operating |
||||||||||||||||
Interest |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total expenses |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Income (loss) before income taxes |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||
Provision (benefit) for income taxes |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Net income (loss) |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) | ||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Net income (loss) per common share |
||||||||||||||||
Basic |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) | ||||
Diluted |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) | ||||
Weighted average number of common shares outstanding |
||||||||||||||||
Basic |
||||||||||||||||
Diluted |
Three Months Ended September 30, |
Nine Months Ended September 30, | |||||||||||||||
2021 |
2020 |
2021 |
2020 | |||||||||||||
Net income (loss) |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) | ||||
Other comprehensive income (loss): |
||||||||||||||||
Available-for-sale |
||||||||||||||||
Unrealized gains (losses) arising during the period |
( |
) |
( |
) |
||||||||||||
Reclassification adjustments for (gains) losses included in net income (loss) |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||
Foreign currency translation: |
||||||||||||||||
Foreign currency translation gains (losses) |
( |
) |
( |
) | ||||||||||||
Instrument-specific credit risk of liabilities measured at fair value: |
||||||||||||||||
Unrealized gains (losses) arising during the period |
( |
) |
( |
) |
||||||||||||
Reclassification adjustments for (gains) losses included in net income (loss) |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total other comprehensive income (loss) |
( |
) |
( |
) |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Comprehensive income (loss) |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) | ||||
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended September 30, |
Nine Months Ended September 30, | |||||||||||||||
2021 |
2020 |
2021 |
2020 | |||||||||||||
Common shares |
|
|||||||||||||||
Balance at beginning and end of period |
||||||||||||||||
Common stock amount |
||||||||||||||||
Balance at beginning and end of period |
$ |
$ |
$ |
$ |
||||||||||||
Additional paid-in capital |
||||||||||||||||
Balance at beginning of period |
$ |
$ |
$ |
$ |
||||||||||||
Period change |
( |
) |
( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Balance at end of period |
$ |
$ |
$ |
$ |
||||||||||||
Retained earnings |
||||||||||||||||
Balance at beginning of period |
$ |
( |
) |
$ |
$ |
( |
) |
$ |
||||||||
ASU 2016-13 transition adjustment |
( |
) | ||||||||||||||
Net income (loss) |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Balance at end of period |
$ |
( |
) |
$ |
$ |
( |
) |
$ |
||||||||
Accumulated other comprehensive income (loss) |
||||||||||||||||
Balance at beginning of period |
$ |
$ |
$ |
$ |
( |
) | ||||||||||
Other comprehensive income (loss) |
( |
) |
( |
) |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Balance at end of period |
$ |
$ |
$ |
$ |
||||||||||||
Treasury shares |
||||||||||||||||
Balance at beginning of period |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||
Treasury shares acquired under share repurchase program |
( |
) |
( |
) | ||||||||||||
Other |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Balance at end of perio d |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||
Treasury stock amount |
||||||||||||||||
Balance at beginning of period |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) | ||||
Treasury shares acquired under share repurchase program |
( |
) |
( |
) | ||||||||||||
Other |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Balance at end of period |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) | ||||
Total shareholders’ equity of MBIA Inc. |
||||||||||||||||
Balance at beginning of period |
$ |
( |
) |
$ |
$ |
$ |
||||||||||
Period change |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Balance at end of period |
$ |
( |
) |
$ |
$ |
( |
) |
$ |
||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Preferred stock of subsidiary shares |
||||||||||||||||
Balance at beginning and end of period |
||||||||||||||||
Preferred stock of subsidiary amount |
||||||||||||||||
Balance at beginning and end of period |
$ |
$ |
$ |
$ |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total equity |
$ |
( |
) |
$ |
$ |
( |
) |
$ |
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Nine Months Ended September 30, | ||||||||
2021 |
2020 | |||||||
Cash flows from operating activities: |
||||||||
Premiums, fees and reimbursements received |
$ |
$ |
||||||
Investment income received |
||||||||
Financial guarantee losses and loss adjustment expenses paid |
( |
) |
( |
) | ||||
Proceeds from recoveries and reinsurance |
||||||||
Proceeds from loan repurchase commitments |
||||||||
Operating and employee related expenses paid |
( |
) |
( |
) | ||||
Interest paid, net of interest converted to principal |
( |
) |
( |
) | ||||
Income taxes (paid) received |
||||||||
|
|
|
|
|
| |||
Net cash provided (used) by operating activities |
( |
) | ||||||
|
|
|
|
|
| |||
Cash flows from investing activities: |
||||||||
Purchases of available-for-sale |
( |
) |
( |
) | ||||
Sales of available-for-sale |
||||||||
Paydowns and maturities of available-for-sale |
||||||||
Purchases of investments at fair value |
( |
) |
( |
) | ||||
Sales, paydowns, maturities and other proceeds of investments at fair value |
||||||||
Sales, paydowns and maturities (purchases) of short-term investments, net |
( |
) |
||||||
Sales, paydowns and maturities of held-to-maturity |
||||||||
Paydowns and maturities of loans receivable |
||||||||
(Payments) proceeds for derivative settlements |
( |
) |
( |
) | ||||
|
|
|
|
|
| |||
Net cash provided (used) by investing activities |
||||||||
|
|
|
|
|
| |||
Cash flows from financing activities: |
||||||||
Proceeds from investment agreements |
||||||||
Principal paydowns of investment agreements |
( |
) |
( |
) | ||||
Principal paydowns of medium-term notes |
( |
) |
||||||
Principal paydowns of variable interest entity notes |
( |
) |
( |
) | ||||
Principal paydowns of long-term debt |
( |
) |
||||||
Purchases of treasury stock |
( |
) |
( |
) | ||||
Other financing |
( |
) | ||||||
|
|
|
|
|
| |||
Net cash provided (used) by financing activities |
( |
) |
( |
) | ||||
|
|
|
|
|
| |||
Net increase (decrease) in cash and cash equivalents |
( |
) |
||||||
Cash and cash equivalents - beginning of period |
||||||||
|
|
|
|
|
| |||
Cash and cash equivalents - end of period |
$ |
$ |
||||||
|
|
|
|
|
| |||
Reconciliation of net income (loss) to net cash provided (used) by operating activities: |
||||||||
Net income (loss) |
$ |
( |
) |
$ |
( |
) | ||
Adjustments to reconcile net income (loss) to net cash provided (used) by operating activities: |
||||||||
Change in: |
||||||||
Premiums receivable |
||||||||
Unearned premium revenue |
( |
) |
( |
) | ||||
Loss and loss adjustment expense reserves |
( |
) |
||||||
Insurance loss recoverable |
( |
) | ||||||
Loan repurchase commitments |
||||||||
Accrued interest payable |
||||||||
Accrued expenses |
||||||||
Net (gains) losses on financial instruments at fair value and foreign exchange |
( |
) |
( |
) | ||||
Other net realized (gains) losses |
( |
) | ||||||
Other operating |
||||||||
|
|
|
|
|
| |||
Total adjustments to net income (loss) |
||||||||
|
|
|
|
|
| |||
Net cash provided (used) by operating activities |
$ |
$ |
( |
) | ||||
|
|
|
|
|
|
September 30, 2021 |
||||||||||||||||||||||||
Carrying Value of Assets |
Carrying Value of Liabilities |
|||||||||||||||||||||||
In millions |
Maximum Exposure to Loss |
Investments |
Premiums Receivable |
Insurance Loss Recoverable |
Unearned Premium Revenue |
Loss and Loss Adjustment Expense Reserves |
||||||||||||||||||
Insurance: |
||||||||||||||||||||||||
Global structured finance: |
||||||||||||||||||||||||
Mortgage-backed residential |
$ |
$ |
$ |
$ |
$ |
$ |
||||||||||||||||||
Consumer asset-backed |
||||||||||||||||||||||||
Corporate asset-backed |
||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total global structured finance |
||||||||||||||||||||||||
Global public finance |
||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total insurance |
$ |
$ |
$ |
$ |
$ |
$ |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2020 |
||||||||||||||||||||||||
Carrying Value of Assets |
Carrying Value of Liabilities |
|||||||||||||||||||||||
In millions |
Maximum Exposure to Loss |
Investments |
Premiums Receivable |
Insurance Loss Recoverable |
Unearned Premium Revenue |
Loss and Loss Adjustment Expense Reserves |
||||||||||||||||||
Insurance: |
||||||||||||||||||||||||
Global structured finance: |
||||||||||||||||||||||||
Mortgage-backed residential |
$ |
$ |
$ |
$ |
$ |
$ |
||||||||||||||||||
Consumer asset-backed |
||||||||||||||||||||||||
Corporate asset-backed |
||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total global structured finance |
||||||||||||||||||||||||
Global public finance |
||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total insurance |
$ |
$ |
$ |
$ |
$ |
$ |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
As of September 30, 2021 |
As of December 31, 2020 | |||||||||||||||
In millions |
Balance Sheet Line Item |
Balance Sheet Line Item | ||||||||||||||
Insurance loss recoverable |
Loss and LAE reserves (2) |
Insurance loss recoverable |
Loss and LAE reserves (2) | |||||||||||||
U.S. Public Finance Insurance |
$ |
$ |
$ |
$ |
||||||||||||
International and Structured Finance Insurance: |
||||||||||||||||
Before VIE eliminations (1) |
||||||||||||||||
VIE eliminations (1) |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total international and structured finance insurance |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total |
$ |
$ |
$ |
$ |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
In millions |
Changes in Loss and LAE Reserves for the Nine Months Ended September 30, 2021 |
|||||||||||||
Gross Loss and LAE Reserves as of December 31, 2020 (1) |
Loss Payments |
Accretion of Claim Liability Discount |
Changes in Discount Rates |
Changes in Assumptions |
Changes in Unearned Premium Revenue |
Other |
Gross Loss and LAE Reserves as of September 30, 2021 (1) | |||||||
$ |
$( |
$ |
$( |
$ |
$ |
$( |
$ | |||||||
|
|
|
|
|
|
|
|
Changes in Insurance Loss Recoverable |
||||||||||||||||||||||||||||
for the Nine Months Ended September 30, 2021 |
||||||||||||||||||||||||||||
In millions |
Gross Reserve as of December 31, 2020 |
Collections for Cases |
Accretion of Recoveries |
Changes in Discount Rates |
Changes in Assumptions (1) |
Other (2) |
Gross Reserve as of September 30, 2021 | |||||||||||||||||||||
Insurance loss recoverable |
$ |
$ |
( |
) |
$ |
$ |
$ |
( |
) |
$ |
( |
) | $ |
|||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Surveillance Categories |
||||||||||||||||||||
$ in millions |
Caution List Low |
Caution List Medium |
Caution List High |
Classified List |
Total |
|||||||||||||||
Number of policies |
||||||||||||||||||||
Number of issues (1) |
||||||||||||||||||||
Remaining weighted average contract period (in years) |
- |
|||||||||||||||||||
Gross insured contractual payments outstanding: (2) |
||||||||||||||||||||
Principal |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
Interest |
||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Gross Claim Liability (3) |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
Less: |
||||||||||||||||||||
Gross Potential Recoveries (4) |
||||||||||||||||||||
Discount, net (5) |
( |
) |
( |
) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net claim liability (recoverable) |
$ |
$ |
$ |
$ |
( |
) |
$ |
( |
) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Unearned premium revenue |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
Reinsurance recoverable on paid and unpaid losses (6) |
$ |
Surveillance Categories |
||||||||||||||||||||
$ in millions |
Caution List Low |
Caution List Medium |
Caution List High |
Classified List |
Total |
|||||||||||||||
Number of policies |
||||||||||||||||||||
Number of issues (1) |
||||||||||||||||||||
Remaining weighted average contract period (in years) |
- |
|||||||||||||||||||
Gross insured contractual payments outstanding: (2) |
||||||||||||||||||||
Principal |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
Interest |
||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Gross Claim Liability (3) |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
Less: |
||||||||||||||||||||
Gross Potential Recoveries (4) |
||||||||||||||||||||
Discount, net (5) |
( |
) |
( |
) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net claim liability (recoverable) |
$ |
$ |
$ |
$ |
( |
) |
$ |
( |
) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Unearned premium revenue |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
Reinsurance recoverable on paid and unpaid losses (6) |
$ |
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 |
$ |
Market prices of similar liabilities adjusted for |
Impact of financial guarantee |
(1) |
||||||||
Liabilities of consolidated VIEs: |
||||||||||||
Variable interest entity notes |
Market prices of VIE assets adjusted for financial guarantees provided or market prices of similar liabilities |
Impact of financial guarantee |
(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 |
$ | Market prices adjusted for financial guarantees provided to VIE obligations |
Impact of financial guarantee (2) |
- (1) |
||||||||
Loan repurchase commitments |
Discounted cash flow | Recovery value (3) |
||||||||||
Liabilities of consolidated VIEs: |
||||||||||||
Variable interest entity notes |
Market prices of VIE assets adjusted for financial guarantees provided |
Impact of financial guarantee | (1) |
|||||||||
Other derivative liabilities |
Discounted cash flow | Cash flows | $ |
(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. |
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 |
$ |
$ |
$ |
$ |
||||||||||||
State and municipal bonds |
||||||||||||||||
Foreign governments |
||||||||||||||||
Corporate obligations |
||||||||||||||||
Mortgage-backed securities: |
||||||||||||||||
Residential mortgage-backed agency |
||||||||||||||||
Residential mortgage-backed non-agency |
||||||||||||||||
Commercial mortgage-backed |
||||||||||||||||
Asset-backed securities: |
||||||||||||||||
Collateralized debt obligations |
||||||||||||||||
Other asset-backed |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total fixed-maturity investments |
||||||||||||||||
Money market securities |
||||||||||||||||
Perpetual debt and equity securities |
||||||||||||||||
Cash and cash equivalents |
||||||||||||||||
Derivative assets: |
||||||||||||||||
Non-insured derivative assets: |
||||||||||||||||
Interest rate derivatives |
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 |
||||||||||||||||
Mortgage-backed securities: |
||||||||||||||||
Residential mortgage-backed non-agency |
||||||||||||||||
Commercial mortgage-backed |
||||||||||||||||
Asset-backed securities: |
||||||||||||||||
Collateralized debt obligations |
||||||||||||||||
Other asset-backed |
||||||||||||||||
Cash |
||||||||||||||||
Loans receivable at fair value: |
||||||||||||||||
Residential loans receivable |
||||||||||||||||
Other assets: |
||||||||||||||||
Currency derivatives |
||||||||||||||||
Other |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total assets |
$ |
$ |
$ |
$ |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Liabilities: |
||||||||||||||||
Medium-term notes |
$ |
$ |
$ |
$ |
||||||||||||
Derivative liabilities: |
||||||||||||||||
Insured derivatives: |
||||||||||||||||
Credit derivatives |
||||||||||||||||
Non-insured derivatives: |
||||||||||||||||
Interest rate derivatives |
||||||||||||||||
Liabilities of consolidated VIEs: |
||||||||||||||||
Variable interest entity notes |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total liabilities |
$ |
$ |
$ |
$ |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
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 |
$ |
$ |
$ |
$ |
||||||||||||
State and municipal bonds |
||||||||||||||||
Foreign governments |
||||||||||||||||
Corporate obligations |
||||||||||||||||
Mortgage-backed securities: |
||||||||||||||||
Residential mortgage-backed agency |
||||||||||||||||
Residential mortgage-backed non-agency |
||||||||||||||||
Commercial mortgage-backed |
||||||||||||||||
Asset-backed securities: |
||||||||||||||||
Collateralized debt obligations |
||||||||||||||||
Other asset-backed |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total fixed-maturity investments |
||||||||||||||||
Money market securities |
||||||||||||||||
Perpetual debt and equity securities |
||||||||||||||||
Cash and cash equivalents |
||||||||||||||||
Derivative assets: |
||||||||||||||||
Non-insured derivative assets: |
||||||||||||||||
Interest rate derivatives |
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 |
||||||||||||||||
Mortgage-backed securities: |
||||||||||||||||
Residential mortgage-backed non-agency |
||||||||||||||||
Commercial mortgage-backed |
||||||||||||||||
Asset-backed securities: |
||||||||||||||||
Collateralized debt obligations |
||||||||||||||||
Other asset-backed |
||||||||||||||||
Cash |
||||||||||||||||
Loans receivable at fair value: |
||||||||||||||||
Residential loans receivable |
||||||||||||||||
Loan repurchase commitments |
||||||||||||||||
Other assets: |
||||||||||||||||
Currency derivatives |
||||||||||||||||
Other |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total assets |
$ |
$ |
$ |
$ |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Liabilities: |
||||||||||||||||
Medium-term notes |
$ |
$ |
$ |
$ |
||||||||||||
Derivative liabilities: |
||||||||||||||||
Insured derivatives: |
||||||||||||||||
Credit derivatives |
||||||||||||||||
Non-insured derivatives: |
||||||||||||||||
Interest rate derivatives |
||||||||||||||||
Other |
||||||||||||||||
Liabilities of consolidated VIEs: |
||||||||||||||||
Variable interest entity notes |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total liabilities |
$ |
$ |
$ |
$ |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
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 |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
Medium-term notes |
||||||||||||||||||||
Investment agreements |
||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total liabilities |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Financial Guarantees: |
||||||||||||||||||||
Gross liability (recoverable) |
$ |
$ |
$ |
$ |
$ |
( |
) | |||||||||||||
Ceded recoverable (liability) |
( |
) |
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 |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
Medium-term notes |
||||||||||||||||||||
Investment agreements |
||||||||||||||||||||
Liabilities of consolidated VIEs: |
||||||||||||||||||||
Variable interest entity notes |
||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total liabilities |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Financial Guarantees: |
||||||||||||||||||||
Gross liability (recoverable) |
$ |
$ |
$ |
$ |
$ |
( |
) | |||||||||||||
Ceded recoverable (liability) |
( |
) |
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 |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
||||||||||||||||||||||||||||||||||||
Loans receivable- residential |
( |
) |
( |
) |
( |
) |
( |
) |
||||||||||||||||||||||||||||||||||||||||
Currency derivatives |
||||||||||||||||||||||||||||||||||||||||||||||||
Other |
||||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total assets |
$ |
$ |
$ |
$ |
$ |
$ |
( |
) |
$ |
( |
) |
$ |
$ |
$ |
$ |
( |
) |
$ |
||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
$ |
$ |
( |
) |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
( |
) |
$ |
||||||||||||||||||||||||||||||||
Liabilities of consolidated VIEs: |
||||||||||||||||||||||||||||||||||||||||||||||||
VIE notes |
( |
) |
( |
) |
( |
) |
||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total liabilities |
$ |
$ |
( |
) |
$ |
$ |
$ |
$ |
( |
) |
$ |
$ |
$ |
$ |
$ |
( |
) |
$ |
||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
$ |
$ |
$ |
$ |
$ |
$ |
( |
) |
$ |
$ |
$ |
$ |
$ |
$ |
||||||||||||||||||||||||||||||||||
Assets of consolidated VIEs: |
||||||||||||||||||||||||||||||||||||||||||||||||
Loans receivable- residential |
( |
) |
||||||||||||||||||||||||||||||||||||||||||||||
Loan repurchase commitments |
||||||||||||||||||||||||||||||||||||||||||||||||
Currency derivatives |
( |
) |
( |
) |
||||||||||||||||||||||||||||||||||||||||||||
Other |
( |
) |
( |
) |
||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total assets |
$ |
$ |
$ |
$ |
$ |
$ |
( |
) |
$ |
$ |
$ |
$ |
$ |
$ |
||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
$ |
$ |
$ |
( |
) |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
( |
) | ||||||||||||||||||||||||||||||||
Credit derivatives |
||||||||||||||||||||||||||||||||||||||||||||||||
Other derivatives |
||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities of consolidated VIEs: |
||||||||||||||||||||||||||||||||||||||||||||||||
VIE notes |
( |
) |
( |
) |
( |
) | ||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total liabilities |
$ |
$ |
$ |
( |
) |
$ |
$ |
$ |
( |
) |
$ |
$ |
$ |
$ |
$ |
$ |
( |
) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
||||||||||||||||||||||||||||||||||||
Loans receivable- residential |
( |
) |
( |
) |
||||||||||||||||||||||||||||||||||||||||||||
Loan repurchase commitments |
( |
) |
( |
) |
||||||||||||||||||||||||||||||||||||||||||||
Currency derivatives |
||||||||||||||||||||||||||||||||||||||||||||||||
Other |
||||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total assets |
$ |
$ |
$ |
$ |
$ |
$ |
( |
) |
$ |
( |
) |
$ |
$ |
$ |
$ |
$ |
||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
$ |
$ |
( |
) |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
( |
) |
$ |
||||||||||||||||||||||||||||||||
Other derivatives |
( |
) |
||||||||||||||||||||||||||||||||||||||||||||||
Liabilities of consolidated VIEs: |
||||||||||||||||||||||||||||||||||||||||||||||||
VIE notes |
( |
) |
( |
) |
( |
) |
||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total liabilities |
$ |
$ |
$ |
( |
) |
$ |
$ |
$ |
( |
) |
$ |
( |
) |
$ |
$ |
$ |
$ |
$ |
||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) - | Reported within the “Unrealized gains (losses) on available-for-sale |
(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 (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 |
$ |
$ |
$ |
$ |
$ |
$ |
( |
) |
$ |
$ |
$ |
$ |
$ |
$ |
||||||||||||||||||||||||||||||||||
Assets of consolidated VIEs: |
||||||||||||||||||||||||||||||||||||||||||||||||
Loans receivable- residential |
( |
) |
( |
) |
( |
) |
||||||||||||||||||||||||||||||||||||||||||
Loan repurchase commitments |
||||||||||||||||||||||||||||||||||||||||||||||||
Currency derivatives |
||||||||||||||||||||||||||||||||||||||||||||||||
Other |
( |
) |
( |
) |
||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total assets |
$ |
$ |
$ |
$ |
$ |
$ |
( |
) |
$ |
$ |
$ |
$ |
$ |
$ |
||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
$ |
$ |
$ |
( |
) |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
( |
) | ||||||||||||||||||||||||||||||||
Credit derivatives |
||||||||||||||||||||||||||||||||||||||||||||||||
Other derivatives |
||||||||||||||||||||||||||||||||||||||||||||||||
Other payable |
( |
) |
||||||||||||||||||||||||||||||||||||||||||||||
Liabilities of consolidated VIEs: |
||||||||||||||||||||||||||||||||||||||||||||||||
VIE notes |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total liabilities |
$ |
$ |
$ |
( |
) |
$ |
$ |
$ |
( |
) |
$ |
$ |
$ |
$ |
$ |
$ |
( |
) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) - | Reported within the “Unrealized gains (losses) on available-for-sale |
(2) - | Reported within the “Instrument-specific credit risk of liabilities measured at fair value” on MBIA’s Consolidated Statement of Comprehensive Income/Loss. |
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 |
$ |
$ |
$ |
( |
) |
$ |
( |
) | ||||||||
Revenues of consolidated VIEs: |
||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
( |
) |
( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total |
$ |
$ |
$ |
( |
) |
$ |
( |
) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
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 |
$ |
$ |
$ |
( |
) |
$ |
( |
) | ||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
( |
) |
( |
) | ||||||||||||
Revenues of consolidated VIEs: |
||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
( |
) |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total |
$ |
$ |
$ |
$ |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended September 30, |
Nine Months Ended September 30, | |||||||||||||||
In millions |
2021 |
2020 |
2021 |
2020 | ||||||||||||
Investments carried at fair value (1) |
$ |
( |
) |
$ |
$ |
$ |
( |
) | ||||||||
Fixed-maturity securities held at fair value-VIE (2) |
||||||||||||||||
Loans receivable at fair value: |
||||||||||||||||
Residential mortgage loans (2) |
( |
) |
( |
) | ||||||||||||
Loan repurchase commitments (2) |
( |
) |
||||||||||||||
Other assets-VIE (2) |
( |
) |
( |
) | ||||||||||||
Medium-term notes (1) |
( |
) |
( |
) | ||||||||||||
Variable interest entity notes (2) |
( |
) |
( |
) |
( |
) |
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 |
$ |
$ |
$ |
$ |
$ |
$ |
||||||||||||||||||
Residential mortgage loans (90 days or more past due) |
||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total loans receivable and other instruments at fair value |
$ |
$ |
$ |
$ |
$ |
$ |
||||||||||||||||||
Variable interest entity notes |
$ |
$ |
$ |
$ |
$ |
$ |
||||||||||||||||||
Medium-term notes |
$ |
$ |
$ |
$ |
$ |
$ |
September 30, 2021 | ||||||||||||||||||||
In millions |
Amortized Cost |
Allowance for Credit Losses |
Gross Unrealized Gains |
Gross Unrealized Losses |
Fair Value | |||||||||||||||
AFS Investments |
||||||||||||||||||||
Fixed-maturity investments: |
||||||||||||||||||||
U.S. Treasury and government agency |
$ |
$ |
$ |
$ |
( |
) |
$ |
|||||||||||||
State and municipal bonds |
||||||||||||||||||||
Foreign governments |
||||||||||||||||||||
Corporate obligations |
( |
) |
||||||||||||||||||
Mortgage-backed securities: |
||||||||||||||||||||
Residential mortgage-backed agency |
( |
) |
||||||||||||||||||
Residential mortgage-backed non-agency |
||||||||||||||||||||
Commercial mortgage-backed |
||||||||||||||||||||
Asset-backed securities: |
||||||||||||||||||||
Collateralized debt obligations |
( |
) |
||||||||||||||||||
Other asset-backed |
||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total AFS investments |
$ |
$ |
$ |
$ |
( |
) |
$ |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2020 | ||||||||||||||||||||
In millions |
Amortized Cost |
Allowance for Credit Losses |
Gross Unrealized Gains |
Gross Unrealized Losses |
Fair Value | |||||||||||||||
AFS Investments |
||||||||||||||||||||
Fixed-maturity investments: |
||||||||||||||||||||
U.S. Treasury and government agency |
$ |
$ |
$ |
$ |
( |
) |
$ |
|||||||||||||
State and municipal bonds |
||||||||||||||||||||
Foreign governments |
||||||||||||||||||||
Corporate obligations |
( |
) |
||||||||||||||||||
Mortgage-backed securities: |
||||||||||||||||||||
Residential mortgage-backed agency |
( |
) |
||||||||||||||||||
Residential mortgage-backed non-agency |
||||||||||||||||||||
Commercial mortgage-backed |
||||||||||||||||||||
Asset-backed securities: |
- |
|||||||||||||||||||
Collateralized debt obligations |
( |
) |
||||||||||||||||||
Other asset-backed |
||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total AFS investments |
$ |
$ |
$ |
$ |
( |
) |
$ |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AFS Securities | ||||||||
In millions |
Net Amortized Cost |
Fair Value | ||||||
Due in one year or less |
$ |
$ |
||||||
Due after one year through five years |
||||||||
Due after five years through ten years |
||||||||
Due after ten years |
||||||||
Mortgage-backed and asset-backed |
||||||||
|
|
|
|
|
| |||
Total fixed-maturity investments |
$ |
$ |
||||||
|
|
|
|
|
|
September 30, 2021 | ||||||||||||||||||||||||
Less than 12 Months |
12 Months or Longer |
Total | ||||||||||||||||||||||
In millions |
Fair Value |
Unrealized Losses |
Fair Value |
Unrealized Losses |
Fair Value |
Unrealized Losses | ||||||||||||||||||
AFS Investments |
||||||||||||||||||||||||
Fixed-maturity investments: |
||||||||||||||||||||||||
U.S. Treasury and government agency |
$ |
$ |
( |
) |
$ |
$ |
( |
) |
$ |
$ |
( |
) | ||||||||||||
State and municipal bonds |
||||||||||||||||||||||||
Foreign governments |
||||||||||||||||||||||||
Corporate obligations |
( |
) |
( |
) | ||||||||||||||||||||
Mortgage-backed securities: |
||||||||||||||||||||||||
Residential mortgage-backed agency |
( |
) |
( |
) | ||||||||||||||||||||
Residential mortgage-backed non-agency |
||||||||||||||||||||||||
Commercial mortgage-backed |
||||||||||||||||||||||||
Asset-backed securities: |
||||||||||||||||||||||||
Collateralized debt obligations |
( |
) |
( |
) | ||||||||||||||||||||
Other asset-backed |
||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total AFS investments |
$ |
$ |
( |
) |
$ |
$ |
( |
) |
$ |
$ |
( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2020 | ||||||||||||||||||||||||
Less than 12 Months |
12 Months or Longer |
Total | ||||||||||||||||||||||
In millions |
Fair Value |
Unrealized Losses |
Fair Value |
Unrealized Losses |
Fair Value |
Unrealized Losses | ||||||||||||||||||
AFS Investments |
||||||||||||||||||||||||
Fixed-maturity investments: |
||||||||||||||||||||||||
U.S. Treasury and government agency |
$ |
$ |
( |
) |
$ |
$ |
$ |
$ |
( |
) | ||||||||||||||
Foreign governments |
||||||||||||||||||||||||
Corporate obligations |
( |
) |
( |
) | ||||||||||||||||||||
Mortgage-backed securities: |
||||||||||||||||||||||||
Residential mortgage-backed agency |
( |
) |
( |
) | ||||||||||||||||||||
Residential mortgage-backed non-agency |
||||||||||||||||||||||||
Commercial mortgage-backed |
||||||||||||||||||||||||
Asset-backed securities: |
||||||||||||||||||||||||
Collateralized debt obligations |
( |
) |
( |
) | ||||||||||||||||||||
Other asset-backed |
||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total AFS investments |
$ |
$ |
( |
) |
$ |
$ |
( |
) |
$ |
$ |
( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AFS Securities | ||||||||||||
Percentage of Fair Value Below Book Value |
Number of Securities |
Book Value (in millions) |
Fair Value (in millions) | |||||||||
> |
$ |
$ |
||||||||||
> |
||||||||||||
> |
||||||||||||
|
|
|
|
|
|
|
|
| ||||
Total |
$ |
$ |
||||||||||
|
|
|
|
|
|
|
|
|
In millions |
Fair Value |
Unrealized Loss |
Insurance Loss Reserve (1) |
|||||||||
Mortgage-backed |
$ |
$ |
$ |
|||||||||
Corporate obligations |
( |
|||||||||||
|
|
|
|
|
|
|||||||
Total |
$ |
$ |
( |
$ |
||||||||
|
|
|
|
|
|
(1) - | Insurance loss reserve estimates are based on the proportion of par value owned to the total amount of par value insured and are discounted using a discount rate equal to the risk-free rate applicable to the currency and weighted average remaining life of the insurance contract and may differ from the fair value. |
Three Months Ended September 30, 2020 |
||||||||||||||||||||||||
In millions |
Balance, Beginning of Period |
Current period provision for expected credit losses |
Initial allowance recognized for PCD assets |
Write-Offs |
Recoveries |
Balance as of September 30, 2020 | ||||||||||||||||||
HTM Investments |
||||||||||||||||||||||||
Assets of consolidated VIEs: |
||||||||||||||||||||||||
Corporate obligations |
$ |
$ |
( |
) |
$ |
$ |
$ |
$ |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total Allowance on HTM investments |
$ |
$ |
( |
) |
$ |
$ |
$ |
$ |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Nine Months Ended September 30, 2020 |
||||||||||||||||||||||||
In millions |
Balance as of January 1, 2020 (1) |
Current period provision for expected credit losses |
Initial allowance recognized for PCD assets |
Write-Offs |
Recoveries |
Balance as of September 30, 2020 | ||||||||||||||||||
HTM Investments |
||||||||||||||||||||||||
Assets of consolidated VIEs: |
||||||||||||||||||||||||
Corporate obligations |
$ |
$ |
( |
) |
$ |
$ |
$ |
$ |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total Allowance on HTM investments |
$ |
$ |
( |
) |
$ |
$ |
$ |
$ |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) - | Represents transition adjustment upon adoption of ASU 2016-13. |
Three Months Ended September 30, |
Nine Months Ended September 30, | |||||||||||||||
In millions |
2021 |
2020 |
2021 |
2020 | ||||||||||||
Proceeds from sales |
$ |
$ |
$ |
$ |
||||||||||||
Gross realized gains |
$ |
$ |
$ |
$ |
||||||||||||
Gross realized losses |
$ |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) |
Three Months Ended September 30, |
Nine Months Ended September 30, | |||||||||||||||
In millions |
2021 |
2020 |
2021 |
2020 | ||||||||||||
Net gains (losses) recognized during the period on equity securities |
$ |
$ |
$ |
$ |
( |
) | ||||||||||
Less: |
||||||||||||||||
Net gains (losses) recognized during the period on equity securities sold during the period |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Unrealized gains (losses) recognized during the period on equity securities still held at the reporting date |
$ |
( |
) |
$ |
$ |
$ |
( |
) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
$ in millions |
As of September 30, 2021 | |||||||||||||||||||||||||||||||
Notional Value |
||||||||||||||||||||||||||||||||
Credit Derivatives Sold |
Weighted Average Remaining Expected Maturity |
AAA |
AA |
A |
BBB |
Below Investment Grade |
Total Notional |
Fair Value Asset (Liability) | ||||||||||||||||||||||||
Insured swaps |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
( |
) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total notional |
$ |
$ |
$ |
$ |
$ |
$ |
||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total fair value |
$ |
$ |
$ |
( |
) |
$ |
$ |
$ |
( |
) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ in millions |
As of December 31, 2020 | |||||||||||||||||||||||||||||||
Notional Value |
||||||||||||||||||||||||||||||||
Credit Derivatives Sold |
Weighted Average Remaining Expected Maturity |
AAA |
AA |
A |
BBB |
Below Investment Grade |
Total Notional |
Fair Value Asset (Liability) | ||||||||||||||||||||||||
Insured swaps |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
( |
) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total notional |
$ |
$ |
$ |
$ |
$ |
$ |
||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total fair value |
$ |
$ |
$ |
( |
) |
$ |
( |
) |
$ |
$ |
( |
) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
In millions |
Derivative Assets (1) |
Derivative Liabilities (1) | ||||||||||||||
Derivative Instruments |
Notional Amount Outstanding |
Balance Sheet Location |
Fair Value |
Balance Sheet Location |
Fair Value | |||||||||||
Not designated as hedging instruments: |
||||||||||||||||
Insured swaps |
$ |
Other assets |
$ |
Derivative liabilities |
$ |
( |
) | |||||||||
Interest rate swaps |
Other assets |
Derivative liabilities |
( |
) | ||||||||||||
Interest rate swaps-embedded |
Medium-term notes |
Medium-term notes |
( |
) | ||||||||||||
Currency swaps-VIE |
Other assets-VIE |
Derivative liabilities-VIE |
||||||||||||||
Total non-designated derivatives |
$ |
$ |
$ |
( |
) | |||||||||||
(1) - | In accordance with the accounting guidance for derivative instruments and hedging activities, the balance sheet location of the Company’s embedded derivative instruments is determined by the location of the related host contract. |
In millions |
Derivative Assets (1) |
Derivative Liabilities (1) | ||||||||||||||
Derivative Instruments |
Notional Amount Outstanding |
Balance Sheet Location |
Fair Value |
Balance Sheet Location |
Fair Value | |||||||||||
Not designated as hedging instruments: |
||||||||||||||||
Insured swaps |
$ |
Other assets |
$ |
Derivative liabilities |
$ |
( |
) | |||||||||
Interest rate swaps |
Other assets |
Derivative liabilities |
( |
) | ||||||||||||
Interest rate swaps-embedded |
Medium-term notes |
Medium-term notes |
( |
) | ||||||||||||
Currency swaps-VIE |
Other assets-VIE |
Derivative liabilities-VIE |
||||||||||||||
All other |
Other assets |
Derivative liabilities |
( |
) | ||||||||||||
Total non-designated derivatives |
$ |
$ |
$ |
( |
) | |||||||||||
(1) - | In accordance with the accounting guidance for derivative instruments and hedging activities, the balance sheet location of the Company’s embedded derivative instruments is determined by the location of the related host contract. |
In millions |
||||||||||
Derivatives Not Designated as |
Three Months Ended September 30, | |||||||||
Hedging Instruments |
Location of Gain (Loss) Recognized in Income on Derivative |
2021 |
2020 | |||||||
Interest rate swaps |
Net gains (losses) on financial instruments at fair value and foreign exchange | $ | $ | |||||||
Currency swaps-VIE |
Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |
( |
) | |||||||
All other |
Net gains (losses) on financial instruments at fair value and foreign exchange | ( |
) | |||||||
Total |
$ | $ | ||||||||
In millions |
||||||||||
Derivatives Not Designated as |
Nine Months Ended September 30, | |||||||||
Hedging Instruments |
Location of Gain (Loss) Recognized in Income on Derivative |
2021 |
2020 | |||||||
Insured credit default swaps |
Unrealized gains (losses) on insured derivatives | $ | $ | ( |
) | |||||
Interest rate swaps |
Net gains (losses) on financial instruments at fair value and foreign exchange | ( |
) | |||||||
Currency swaps-VIE |
Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |
|||||||||
All other |
Net gains (losses) on financial instruments at fair value and foreign exchange | ( |
) | |||||||
Total |
$ | $ | ( |
) | ||||||
Three Months Ended September 30, |
Nine Months Ended September 30, | |||||||||||||||
In millions |
2021 |
2020 |
2021 |
2020 | ||||||||||||
Income (loss) before income taxes |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) | ||||
Provision (benefit) for income taxes |
$ |
$ |
$ |
$ |
||||||||||||
Effective tax rate |
• | MBIA Inc.; |
• | GFL; |
• | IMC; |
• | MZ Funding LLC; and |
• | LaCrosse Financial Products, LLC, a wholly-owned affiliate, to which MBIA Insurance Corporation had written insurance policies guaranteeing the obligations under CDS. Certain policies covered payments potentially due under CDS, including termination payments that may become due in certain circumstances, including the occurrence of certain insolvency or payment defaults under the CDS or derivative contracts by the insured counterparty or by the guarantor. The Company no longer insures new CDS contracts except for potential transactions related to the restructuring of existing exposures. |
Three Months Ended September 30, 2021 | ||||||||||||||||||||
In millions |
U.S. Public Finance Insurance |
Corporate |
International and Structured Finance Insurance |
Eliminations |
Consolidated | |||||||||||||||
Revenues (1) |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
( |
) |
||||||||||||||||||
Net gains (losses) on extinguishment of debt |
||||||||||||||||||||
Revenues of consolidated VIEs |
( |
) |
( |
) | ||||||||||||||||
Inter-segment revenues (2) |
( |
) |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total revenues |
( |
) |
||||||||||||||||||
Losses and loss adjustment |
||||||||||||||||||||
Operating |
||||||||||||||||||||
Interest |
||||||||||||||||||||
Expenses of consolidated VIEs |
||||||||||||||||||||
Inter-segment expenses (2) |
( |
) |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total expense s |
( |
) |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Income (loss) before income taxes |
$ |
( |
) |
$ |
$ |
( |
) |
$ |
$ |
( |
) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Identifiable assets |
$ |
$ |
$ |
$ |
( |
) (3) |
$ |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) - | Represents the sum of third-party financial guarantee net premiums earned, net investment income, insurance-related fees and reimbursements and other fees. |
(2) - | Primarily represents intercompany service charges and intercompany net investment income and expense. |
(3) - | Consists principally of intercompany reinsurance balances. |
Three Months Ended September 30, 2020 | ||||||||||||||||||||
In millions |
U.S. Public Finance Insurance |
Corporate |
International and Structured Finance Insurance |
Eliminations |
Consolidated | |||||||||||||||
Revenues (1) |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
( |
) |
( |
) |
||||||||||||||||
Revenues of consolidated VIEs |
||||||||||||||||||||
Inter-segment revenues (2) |
( |
) |
( |
) |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total revenues |
( |
) |
||||||||||||||||||
Losses and loss adjustment |
||||||||||||||||||||
Operating |
||||||||||||||||||||
Interest |
||||||||||||||||||||
Expenses of consolidated VIEs |
||||||||||||||||||||
Inter-segment expenses (2) |
( |
) |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total expenses |
( |
) |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Income (loss) before income taxes |
$ |
$ |
( |
) |
$ |
( |
) |
$ |
$ |
( |
) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) - | Represents the sum of third-party financial guarantee net premiums earned, net investment income, insurance-related fees and reimbursements and other fees. |
(2) - | Primarily represents intercompany service charges and intercompany net investment income and expense. |
Nine Months Ended September 30, 2021 | ||||||||||||||||||||
In millions |
U.S. Public Finance Insurance |
Corporate |
International and Structured Finance Insurance |
Eliminations |
Consolidated | |||||||||||||||
Revenues (1) |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
( |
) |
||||||||||||||||||
Net gains (losses) on extinguishment of debt |
||||||||||||||||||||
Revenues of consolidated VIEs |
( |
) |
( |
) | ||||||||||||||||
Inter-segment revenues (2) |
( |
) |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total revenues |
( |
) |
||||||||||||||||||
Losses and loss adjustment |
||||||||||||||||||||
Operating |
||||||||||||||||||||
Interest |
||||||||||||||||||||
Expenses of consolidated VIEs |
||||||||||||||||||||
Inter-segment expenses (2) |
( |
) |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total expense s |
( |
) |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Income (loss) before income taxes |
$ |
( |
) |
$ |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Identifiable assets |
$ |
$ |
$ |
$ |
( |
) (3) |
$ |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) - | Represents the sum of third-party financial guarantee net premiums earned, net investment income, insurance-related fees and reimbursements and other fees. |
(2) - | Primarily represents intercompany service charges and intercompany net investment income and expense. |
(3) - | Consists principally of intercompany reinsurance balances. |
Nine Months Ended September 30, 2020 | ||||||||||||||||||||
In millions |
U.S. Public Finance Insurance |
Corporate |
International and Structured Finance Insurance |
Eliminations |
Consolidated | |||||||||||||||
Revenues (1) |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
( |
) |
( |
) | ||||||||||||||||
Revenues of consolidated VIEs |
||||||||||||||||||||
Inter-segment revenues (2) |
( |
) |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total revenues |
( |
) |
||||||||||||||||||
Losses and loss adjustment |
||||||||||||||||||||
Operating |
||||||||||||||||||||
Interest |
||||||||||||||||||||
Expenses of consolidated VIEs |
||||||||||||||||||||
Inter-segment expenses (2) |
( |
) |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total expenses |
( |
) |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Income (loss) before income taxes |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) |
$ |
$ |
( |
) | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) - | Represents the sum of third-party financial guarantee net premiums earned, net investment income, insurance-related fees and reimbursements and other fees. |
(2) - | Primarily represents intercompany service charges and intercompany net investment income and expense. |
Three Months Ended September 30, |
Nine Months Ended September 30, | |||||||||||||||
In millions except per share amounts |
2021 |
2020 |
2021 |
2020 | ||||||||||||
Basic earnings per share: |
||||||||||||||||
Net income (loss) |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) | ||||
Less: undistributed earnings allocated to participating securities |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
Net income (loss) available to common shareholders |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) | ||||
Basic weighted average shares (1) |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
Net income (loss) per basic common share |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) | ||||
Diluted earnings per share: |
||||||||||||||||
Net income (loss) |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) | ||||
Less: undistributed earnings allocated to participating securities |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
Net income (loss) available to common shareholders |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) | ||||
Diluted weighted average shares |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
Net income (loss) per diluted common share |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) |
$ |
( |
) | ||||
Potentially dilutive securities excluded from the calculation of diluted EPS because of antidilutive affect |
(1) - | Includes |
In millions |
Unrealized Gains (Losses) on AFS Securities, Net |
Foreign Currency Translation, Net |
Instrument-Specific Credit Risk of Liabilities Measured at Fair Value, Net |
Total | ||||||||||||
Balance, December 31, 2020 |
$ |
$ |
( |
) |
$ |
( |
) |
$ |
||||||||
Other comprehensive income (loss) before reclassifications |
( |
) |
( |
) |
( |
) | ||||||||||
Amounts reclassified from AOCI |
( |
) |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Net period other comprehensive income (loss) |
( |
) |
( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Balance, September 30, 2021 |
$ |
$ |
( |
) |
$ |
( |
) |
$ |
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
In millions |
Amounts Reclassified from AOCI |
|||||||||||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||||
Details about AOCI Components |
2021 |
2020 |
2021 |
2020 |
Affected Line Item on the Consolidated Statements of Operations | |||||||||||||
Unrealized gains (losses) on AFS securities: |
||||||||||||||||||
Realized gains (losses) on sale of securities |
$ |
$ |
$ |
$ |
Net gains (losses) on financial instruments at fair value and foreign exchange | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Total unrealized gains (losses) on AFS securities |
||||||||||||||||||
Instrument-specific credit risk of liabilities: |
||||||||||||||||||
Settlement of liabilities |
( |
) |
( |
) |
( |
) |
( |
) |
Net gains (losses) on financial instruments at fair value and foreign exchange | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Total reclassifications for the period |
$ |
( |
) |
$ |
$ |
( |
) |
$ |
Net income (loss) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
$ in millions |
As of September 30, 2021 |
Balance Sheet Location |
||||||
Right-of-use |
$ |
Other assets |
||||||
Lease liability |
$ |
|||||||
Weighted average remaining lease term (years) |
||||||||
Discount rate used for operating leases |
||||||||
Total future minimum lease payments |
$ |
• | On January 1, 2021 and July 1, 2021, the Commonwealth of Puerto Rico and certain of its instrumentalities (“Puerto Rico”) defaulted on scheduled debt service for National insured bonds and National paid gross claims in the aggregate of $277 million. As of September 30, 2021, National had $2.6 billion of debt service outstanding related to Puerto Rico. |
• | In January of 2021, the reconstitution of the Oversight Board with the reappointment of three existing members and appointment of four new members for three year terms, including the newly elected Governor sitting as an ex officio member, was confirmed. |
• | On February 22, 2021, National agreed to join a plan support agreement, dated as of February 22, 2021 (the “GO PSA”), among the Financial Oversight and Management Board for Puerto Rico (the “Oversight Board”), certain holders of GO Bonds and PBA Bonds, Assured Guaranty Corp. and Assured Guaranty Municipal Corp, and Syncora Guarantee Inc. in connection with the GO and PBA Title III cases. The GO PSA provides that, among other things, National shall receive a pro rata share of allocable cash, newly issued General Obligation bonds, a contingent value instrument and certain fees. On April 12, 2021, National, Assured Guaranty Corp., Assured Guaranty Municipal Corp. and the Oversight Board reached an agreement in principle settling certain clawback claims and providing for a distribution of cash, bonds and a contingent value instrument to Puerto Rico Highway and Transportation Authority (“HTA”) bondholders subject to completing negotiations on a plan support agreement in respect of an HTA plan of adjustment (the “HTA PSA”). On May 5, 2021, National, Assured Guaranty Corp., Assured Guaranty Municipal Corp. and the Oversight Board entered into the HTA PSA. The Oversight Board has committed to filing a plan of adjustment for HTA by January 31, 2022. The GO PSA contemplates a Commonwealth plan becoming effective on or before December 15, 2021; however there can be no assurance that such plans will become effective, or on the contemplated timeline. |
• | On July 12, 2021, the Oversight Board filed the Fifth Amended Title III Plan of Adjustment and Disclosure Statement, incorporating certain changes in connection with the disclosure statement objections. The Disclosure Statement hearing for the Fifth Amended Plan began on July 13, 2021, and on July 14, 2021, the Bankruptcy Court (i) continued the hearing until July 27, 2021 for the sole purpose of considering a possible settlement of objections by Ambac Assurance Corporation and Financial Guaranty Insurance Company, and (ii) overruled all other objections to the Disclosure Statement but required the Oversight Board to include certain additional disclosure on financial and legislative risks. The Court also approved confirmation procedures, subject to the approval of the Disclosure Statement at the continued hearing, including commencing the confirmation hearing on November 8, 2021 and concluding on November 23, 2021. On July 27, 2021, the Oversight Board filed the Sixth Amended Plan and Disclosure Statement, and on July 29, 2021 the Court approved the amended Disclosure Statement for distribution to claimholders of record. On July 30, 2021, the Oversight Board filed the Seventh Amended Plan of Adjustment. |
• | On July 30, 2021, the Oversight Board filed the Seventh Amended Plan of Adjustment. Bondholders were required to choose between commuting their insurance policy with National or having their insurance policy accelerated and receiving a one-time payment of par and accrued interest from National. Approximately 27% of bondholders voted by the deadline of October 18, 2021 to commute their insurance policies with National. The expected commutation and acceleration should occur shortly after Plan effectiveness and will reduce National’s insured Puerto Rico Commonwealth GO (“GO”) exposure to zero. |
• | In October of 2021, National sold certain bankruptcy claims in a private transaction through the transfer of ownership of $199 million face amount of bonds, representing approximately 16% of the principal amount of the current bond claims in the Puerto Rico Electric Power Authority (“PREPA”) Title III case. The bonds included in this transaction had been fully satisfied by National’s insurance claim payments. This transaction monetizes a portion of National’s salvage asset at a discount to National’s previous carrying value, and reduces potential volatility and ongoing risk of remediation around the PREPA credit. Subsequent to the sale of these PREPA bankruptcy claims, National has approximately $230 million of additional par claims to PREPA that have matured and can be sold. |
• | On October 25, 2021, Judge Swain held an emergency hearing in light of the failure of the Puerto Rico legislature to agree by Friday, October 22 to enabling legislation authorizing the distributions under the Plan. Judge Swain ruled at this hearing that mediation with the interested parties commence in order to resolve the legislation needed by the Plan. On October 26, 2021, the Governor of Puerto Rico signed the enabling legislation after it was adopted by both houses of the Puerto Rico legislature. On October 28, 2021, the mediation team filed its statement with the court that the interested parties had engaged in good faith best efforts and it reasonably believed that the Confirmation Hearing can be expected to move forward as currently scheduled, commencing November 8, 2021. |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
In millions except per share amounts |
2021 |
2020 |
2021 |
2020 |
||||||||||||
Net income (loss) |
$ |
(123) |
$ |
(58) |
$ |
(290) |
$ |
(497) |
||||||||
Net income (loss) per diluted share |
$ |
(2.49) |
$ |
(1.11) |
$ |
(5.87) |
$ |
(7.97) |
||||||||
Adjusted net income (loss) (1) |
$ |
(76) |
$ |
(18) |
$ |
(155) |
$ |
(137) |
||||||||
Adjusted net income (loss) per diluted share (1) |
$ |
(1.54) |
$ |
(0.34) |
$ |
(3.14) |
$ |
(2.20) |
||||||||
Cost of shares repurchased |
$ |
— |
$ |
62 |
$ |
— |
$ |
198 |
(1) - | Adjusted net income (loss) and adjusted net income (loss) per diluted share are non-GAAP measures. Refer to the following “Results of Operations” section for a discussion of adjusted net income (loss) and adjusted net income (loss) per diluted share and a reconciliation of GAAP net income (loss) to adjusted net income (loss) and GAAP net income (loss) per diluted share to adjusted net income (loss) per diluted share. |
Three Months Ended September 30, |
Nine Months Ended September 30, | |||||||||||||||
In millions except for per share amounts |
2021 |
2020 |
2021 |
2020 | ||||||||||||
Total revenues |
$ |
72 |
$ |
71 |
$ |
162 |
$ |
179 |
||||||||
Total expenses |
195 |
129 |
452 |
676 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Income (loss) before income taxes |
(123 |
) |
(58 |
) |
(290 |
) |
(497 |
) | ||||||||
Provision (benefit) for income taxes |
- |
- |
- |
- |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Net income (loss) |
$ |
(123 |
) |
$ |
(58 |
) |
$ |
(290 |
) |
$ |
(497 |
) | ||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Net income (loss) per common share: |
||||||||||||||||
Basic |
$ |
(2.49 |
) |
$ |
(1.11 |
) |
$ |
(5.87 |
) |
$ |
(7.97 |
) | ||||
Diluted |
$ |
(2.49 |
) |
$ |
(1.11 |
) |
$ |
(5.87 |
) |
$ |
(7.97 |
) | ||||
Weighted average number of common shares outstanding: |
||||||||||||||||
Basic |
49.6 |
52.6 |
49.4 |
62.4 |
||||||||||||
Diluted |
49.6 |
52.6 |
49.4 |
62.4 |
• | Mark-to-market gains (losses) on financial instruments |
• | Foreign exchange gains (losses) |
• | Net gains (losses) on sales of investments, impaired securities and extinguishment of debt |
• | Income taxes |
Three Months Ended September 30, |
Nine Months Ended September 30, | |||||||||||||||
In millions except share and per share amounts |
2021 |
2020 |
2021 |
2020 | ||||||||||||
Net income (loss) |
$ |
(123 |
) |
$ |
(58 |
) |
$ |
(290 |
) |
$ |
(497 |
) | ||||
Less: adjusted net income (loss) adjustments: |
||||||||||||||||
Income (loss) before income taxes of our international and structured finance insurance segment and eliminations |
(80 |
) |
(59 |
) |
(223 |
) |
(338 |
) | ||||||||
Adjustments to income before income taxes of our U.S. public finance insurance and corporate segments: |
||||||||||||||||
Mark-to-market gains (losses) on financial instruments (1) |
10 |
13 |
39 |
(47 |
) | |||||||||||
Foreign exchange gains (losses) (1) |
5 |
(16 |
) |
18 |
(16 |
) | ||||||||||
Net gains (losses) on sales of investments (1) |
2 |
22 |
1 |
41 |
||||||||||||
Net gains (losses) on extinguishment of debt |
16 |
- |
30 |
- |
||||||||||||
Adjusted net income adjustment to the (provision) benefit for income tax (2) |
- |
- |
- |
- |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Adjusted net income (loss) |
$ |
(76 |
) |
$ |
(18 |
) |
$ |
(155 |
) |
$ |
(137 |
) | ||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Adjusted net income (loss) per diluted common share (3) |
$ |
(1.54 |
) |
$ |
(0.34 |
) |
$ |
(3.14 |
) |
$ |
(2.20 |
) |
• | Negative Book value of MBIA Corp. |
• | Net unrealized (gains) losses on available-for-sale (“AFS”) securities excluding MBIA Corp. |
• | Net unearned premium revenue in excess of expected losses of National |
In millions except share and per share amounts |
As of September 30, 2021 |
As of December 31, 2020 | ||||||
Total shareholders’ equity of MBIA Inc. |
$ |
(170 |
) |
$ |
136 |
|||
Common shares outstanding |
54,406,076 |
53,677,148 |
||||||
GAAP book value per share |
$ |
(3.12 |
) |
$ |
2.55 |
|||
Management’s adjustments described above: |
||||||||
Remove negative book value per share of MBIA Corp. |
(35.00 |
) |
(31.97 |
) | ||||
Remove net unrealized gains (losses) on available-for-sale securities included in other comprehensive income (loss) |
1.81 |
2.86 |
||||||
Include net unearned premium revenue in excess of expected losses |
3.71 |
4.29 |
Three Months Ended September 30, |
Percent Change |
Nine Months Ended September 30, |
Percent Change | |||||||||||||||||||||
In millions |
2021 |
2020 |
2021 |
2020 | ||||||||||||||||||||
Net premiums earned |
$ |
13 |
$ |
12 |
8% |
$ |
41 |
$ |
42 |
-2% |
||||||||||||||
Net investment income |
15 |
15 |
-% |
43 |
55 |
-22% |
||||||||||||||||||
Fees and reimbursements |
- |
1 |
-100% |
2 |
2 |
-% |
||||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
1 |
23 |
-96% |
1 |
30 |
-97% |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total revenues |
29 |
51 |
-43% |
87 |
129 |
-33% |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Losses and loss adjustment |
68 |
14 |
n/m |
135 |
134 |
1% |
||||||||||||||||||
Amortization of deferred acquisition costs |
2 |
- |
n/m |
9 |
7 |
29% |
||||||||||||||||||
Operating |
15 |
12 |
25% |
41 |
35 |
17% |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total expenses |
85 |
26 |
n/m |
185 |
176 |
5% |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Income (loss) before income taxes |
$ |
(56 |
) |
$ |
25 |
n/m |
$ |
(98 |
) |
$ |
(47 |
) |
109% |
|||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
In millions |
September 30, 2021 |
December 31, 2020 |
Percent Change | |||||||||
Assets: |
||||||||||||
Insurance loss recoverable |
$ |
1,286 |
$ |
1,220 |
5% |
|||||||
Reinsurance recoverable on paid and unpaid losses (1) |
3 |
6 |
-50% |
|||||||||
Liabilities: |
||||||||||||
Loss and LAE reserves |
386 |
469 |
-18% |
|||||||||
Insurance loss recoverable - ceded (2) |
53 |
48 |
10% |
|||||||||
|
|
|
|
|
|
|
|
| ||||
Net reserve (salvage) |
$ |
(850 |
) |
$ |
(709 |
) |
20% |
|||||
|
|
|
|
|
|
|
|
|
Three Months Ended September 30, |
Percent Change |
Nine Months Ended September 30, |
Percent Change | |||||||||||||||||||||
In millions |
2021 |
2020 |
2021 |
2020 | ||||||||||||||||||||
Gross expenses |
$ |
15 |
$ |
12 |
25% |
$ |
41 |
$ |
35 |
17% |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Amortization of deferred acquisition costs |
$ |
2 |
$ |
- |
n/m |
$ |
9 |
$ |
7 |
29% |
||||||||||||||
Operating |
15 |
12 |
25% |
41 |
35 |
17% |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total insurance operating expenses |
$ |
17 |
$ |
12 |
42% |
$ |
50 |
$ |
42 |
19% |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross Par Outstanding |
||||||||||||||||
In millions |
September 30, 2021 |
December 31, 2020 |
||||||||||||||
Rating |
Amount |
% |
Amount |
% |
||||||||||||
AAA |
$ |
1,744 |
4.6% |
$ |
2,080 |
5.0% |
||||||||||
AA |
15,035 |
39.9% |
16,299 |
39.0% |
||||||||||||
A |
10,986 |
29.1% |
12,888 |
30.8% |
||||||||||||
BBB |
6,611 |
17.5% |
7,019 |
16.7% |
||||||||||||
Below investment grade |
3,339 |
8.9% |
3,570 |
8.5% |
||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ |
37,715 |
100.0% |
$ |
41,856 |
100.0% |
||||||||||
|
|
|
|
|
|
|
|
In millions |
Gross Par Outstanding |
Debt Service Outstanding |
National Internal Rating | |||||||||
Puerto Rico Electric Power Authority (PREPA) |
$ |
809 |
$ |
1,084 |
d |
|||||||
Puerto Rico Commonwealth GO |
224 |
295 |
d |
|||||||||
Puerto Rico Public Buildings Authority (PBA) (1) |
155 |
199 |
d |
|||||||||
Puerto Rico Highway and Transportation Authority Transportation Revenue (PRHTA) |
523 |
856 |
d |
|||||||||
Puerto Rico Highway and Transportation Authority—Subordinated Transportation Revenue (PRHTA) |
27 |
34 |
d |
|||||||||
Puerto Rico Highway and Transportation Authority Highway Revenue (PRHTA) |
39 |
(2) |
58 |
d |
||||||||
University of Puerto Rico System Revenue |
70 |
91 |
d |
|||||||||
Inter American University of Puerto Rico Inc. |
19 |
23 |
a3 |
|||||||||
|
|
|
|
|
|
|||||||
Total |
$ |
1,866 |
$ |
2,640 |
||||||||
|
|
|
|
|
|
In millions |
Three Months Ending December 31, 2021 |
2022 |
2023 |
2024 |
2025 |
Thereafter |
Total | |||||||||||||||||||||
Puerto Rico Electric Power Authority (PREPA) |
$ |
- |
$ |
140 |
$ |
137 |
$ |
137 |
$ |
105 |
$ |
565 |
$ |
1,084 |
||||||||||||||
Puerto Rico Commonwealth GO |
- |
19 |
14 |
13 |
75 |
174 |
295 |
|||||||||||||||||||||
Puerto Rico Public Buildings Authority (PBA) |
- |
9 |
27 |
43 |
36 |
84 |
199 |
|||||||||||||||||||||
Puerto Rico Highway and Transportation Authority Transportation Revenue (PRHTA) |
- |
27 |
36 |
33 |
36 |
724 |
856 |
|||||||||||||||||||||
Puerto Rico Highway and Transportation Authority—Subordinated Transportation Revenue (PRHTA) |
- |
9 |
1 |
1 |
1 |
22 |
34 |
|||||||||||||||||||||
Puerto Rico Highway and Transportation Authority Highway Revenue (PRHTA) |
- |
2 |
4 |
2 |
2 |
48 |
58 |
|||||||||||||||||||||
University of Puerto Rico System Revenue |
- |
7 |
12 |
11 |
16 |
45 |
91 |
|||||||||||||||||||||
Inter American University of Puerto Rico Inc. |
3 |
3 |
3 |
3 |
3 |
8 |
23 |
|||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
Total |
$ |
3 |
$ |
216 |
$ |
234 |
$ |
243 |
$ |
274 |
$ |
1,670 |
$ |
2,640 |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended September 30, |
Percent Change |
Nine Months Ended September 30, |
Percent Change | |||||||||||||||||||||
In millions |
2021 |
2020 |
2021 |
2020 | ||||||||||||||||||||
Net investment income |
$ |
7 |
$ |
7 |
-% |
$ |
21 |
$ |
23 |
-9% |
||||||||||||||
Fees |
13 |
13 |
-% |
42 |
43 |
-2% |
||||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
13 |
(6 |
) |
n/m |
50 |
(62 |
) |
n/m |
||||||||||||||||
Net gains (losses) on extinguishment of debt |
16 |
- |
n/m |
30 |
- |
n/m |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total revenues |
49 |
14 |
n/m |
143 |
4 |
n/m |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Operating |
15 |
17 |
-12% |
54 |
52 |
4% |
||||||||||||||||||
Interest |
19 |
21 |
-10% |
56 |
63 |
-11% |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total expenses |
34 |
38 |
-11% |
110 |
115 |
-4% |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Income (loss) before income taxes |
$ |
15 |
$ |
(24 |
) |
n/m |
$ |
33 |
$ |
(111 |
) |
-130% |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended September 30, |
Percent Change |
Nine Months Ended September 30, |
Percent Change | |||||||||||||||||||||
In millions |
2021 |
2020 |
2021 |
2020 | ||||||||||||||||||||
Net premiums earned |
$ |
17 |
$ |
5 |
n/m |
$ |
28 |
$ |
18 |
56% |
||||||||||||||
Net investment income |
1 |
1 |
-% |
4 |
3 |
33% |
||||||||||||||||||
Fees and reimbursements |
8 |
2 |
n/m |
15 |
9 |
67% |
||||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
(3 |
) |
(4 |
) |
-25% |
(9 |
) |
6 |
n/m |
|||||||||||||||
Revenues of consolidated VIEs: |
||||||||||||||||||||||||
Net investment income |
- |
5 |
-100% |
- |
18 |
-100% |
||||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
4 |
(4 |
) |
n/m |
(10 |
) |
34 |
-129% |
||||||||||||||||
Other net realized gains (losses) |
(9 |
) |
23 |
-139% |
(14 |
) |
37 |
-138% |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total revenues |
18 |
28 |
-36% |
14 |
125 |
-89% |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Losses and loss adjustment |
57 |
34 |
-% |
97 |
293 |
-67% |
||||||||||||||||||
Amortization of deferred acquisition costs |
3 |
4 |
-25% |
11 |
12 |
-8% |
||||||||||||||||||
Operating |
5 |
6 |
-17% |
18 |
20 |
-10% |
||||||||||||||||||
Interest |
26 |
27 |
-4% |
82 |
88 |
-7% |
||||||||||||||||||
Expenses of consolidated VIEs: |
||||||||||||||||||||||||
Operating |
2 |
1 |
100% |
5 |
4 |
25% |
||||||||||||||||||
Interest |
7 |
15 |
-53% |
24 |
47 |
-49% |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total expenses |
100 |
87 |
15% |
237 |
464 |
-49% |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Income (loss) before income taxes |
$ |
(82 |
) |
$ |
(59 |
) |
-% |
$ |
(223 |
) |
$ |
(339 |
) |
-34% |
||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended September 30, |
Percent Change |
Nine Months Ended September 30, |
Percent Change | |||||||||||||||||||||
In millions |
2021 |
2020 |
2021 |
2020 | ||||||||||||||||||||
Net premiums earned: |
||||||||||||||||||||||||
U.S. |
$ |
- |
$ |
1 |
-100% |
$ |
2 |
$ |
2 |
0% |
||||||||||||||
Non-U.S. |
17 |
4 |
n/m |
26 |
14 |
86% |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total net premiums earned |
$ |
17 |
$ |
5 |
n/m |
$ |
28 |
$ |
16 |
75% |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
VIEs (eliminated in consolidation) |
$ |
2 |
$ |
1 |
100% |
$ |
3 |
$ |
(2 |
) |
n/m |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
n/m - Percent | change not meaningful. |
In millions |
September 30, 2021 |
December 31, 2020 |
Percent Change |
|||||||||
Assets: |
||||||||||||
Insurance loss recoverable |
$ |
251 |
$ |
457 |
-45% |
|||||||
Reinsurance recoverable on paid and unpaid losses (1) |
4 |
5 |
-20% |
|||||||||
Liabilities: |
||||||||||||
Loss and LAE reserves |
464 |
521 |
-11% |
|||||||||
|
|
|
|
|
|
|||||||
Net reserve (salvage) |
$ |
209 |
$ |
59 |
n/m |
|||||||
|
|
|
|
|
|
(1) – Reported | with in “Other assets” on our consolidated balance sheets. |
n/m - | Percent change not meaningful. |
Three Months Ended September 30, |
Percent Change |
Nine Months Ended September 30, |
Percent Change | |||||||||||||||||||||
In millions |
2021 |
2020 |
2021 |
2020 | ||||||||||||||||||||
Gross expenses |
$ |
6 |
$ |
7 |
-14% |
$ |
19 |
$ |
21 |
-10% |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Amortization of deferred acquisition costs |
$ |
3 |
$ |
4 |
-25% |
$ |
11 |
$ |
12 |
-8% |
||||||||||||||
Operating |
5 |
6 |
-17% |
18 |
20 |
-10% |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total insurance operating expenses |
$ |
8 |
$ |
10 |
-20% |
$ |
29 |
$ |
32 |
-9% |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
In millions |
Gross Par Outstanding as of |
|||||||||||
Collateral Type |
September 30, 2021 |
December 31, 2020 |
Percent Change |
|||||||||
HELOC Second-lien |
$ |
10 |
$ |
269 |
-96% |
|||||||
CES Second-lien |
1 |
104 |
-99% |
|||||||||
Alt-A First-lien (1) |
768 |
825 |
-7% |
|||||||||
Subprime First-lien |
233 |
285 |
-18% |
|||||||||
Prime First-lien |
5 |
6 |
-17% |
|||||||||
|
|
|
|
|
|
|||||||
Total |
$ |
1,017 |
$ |
1,489 |
-32% |
|||||||
|
|
|
|
|
|
(1) - Includes | international exposure of $233 million and $237 million as of September 30, 2021 and December 31, 2020, respectively. |
Three Months Ended September 30, |
Nine Months Ended September 30, | |||||||||||||||
In millions |
2021 |
2020 |
2021 |
2020 | ||||||||||||
Income (loss) before income taxes |
$ |
(123 |
) |
$ |
(58 |
) |
$ |
(290 |
) |
$ |
(497 |
) | ||||
Provision (benefit) for income taxes |
$ |
- |
$ |
- |
$ |
- |
$ |
- |
||||||||
Effective tax rate |
0.0% |
0.0% |
0.0% |
0.0% |
As of September 30, |
As of December 31, |
|||||||
In millions |
2021 |
2020 |
||||||
Policyholders’ surplus |
$ |
1,615 |
$ |
1,526 |
||||
Contingency reserves |
410 |
445 |
||||||
|
|
|
|
|||||
Statutory capital |
2,025 |
1,971 |
||||||
Unearned premiums |
319 |
355 |
||||||
Present value of installment premiums (1) |
126 |
129 |
||||||
|
|
|
|
|||||
Premium resources (2) |
445 |
484 |
||||||
Net loss and LAE reserves (1) |
(577) |
(301) |
||||||
Salvage reserves on paid claims (1) |
1,126 |
961 |
||||||
|
|
|
|
|||||
Gross loss and LAE reserves |
549 |
660 |
||||||
|
|
|
|
|||||
Total claims-paying resources |
$ |
3,019 |
$ |
3,115 |
||||
|
|
|
|
As of September 30, |
As of December 31, |
|||||||
In millions |
2021 |
2020 |
||||||
Policyholders’ surplus |
$ |
106 |
$ |
106 |
||||
Contingency reserves |
37 |
167 |
||||||
|
|
|
|
|||||
Statutory capital |
143 |
273 |
||||||
Unearned premiums |
50 |
79 |
||||||
Present value of installment premiums (1) |
51 |
73 |
||||||
|
|
|
|
|||||
Premium resources (2) |
101 |
152 |
||||||
Net loss and LAE reserves (1) |
240 |
(478) |
||||||
Salvage reserves on paid claims (1) |
244 |
(3) |
1,045 |
(4) | ||||
|
|
|
|
|||||
Gross loss and LAE reserves |
484 |
567 |
||||||
|
|
|
|
|||||
Total claims-paying resources |
$ |
728 |
$ |
992 |
||||
|
|
|
|
• | principal and interest receipts on assets held in its investment portfolio, including proceeds from the sale of assets; |
• | recoveries associated with insurance loss payments; and |
• | installment premiums. |
• | loss payments and LAE on insured transactions; |
• | payments of dividends; and |
• | payments of operating expenses, taxes and investment portfolio asset purchases. |
• | dividends from National; |
• | available cash and liquid assets not subject to collateral posting requirements; |
• | principal and interest receipts on assets held in its investment portfolio, including proceeds from the sale of assets; and |
• | access to capital markets. |
• | servicing outstanding unsecured corporate debt obligations and MTNs; |
• | meeting collateral posting requirements under investment agreements and derivative arrangements; |
• | payments related to interest rate swaps; |
• | payments of operating expenses; and |
• | funding share repurchases and debt buybacks. |
• | recoveries associated with insurance loss payments; |
• | installment premiums and fees; and |
• | principal and interest receipts on assets held in its investment portfolio, including the proceeds from the sale of assets. |
• | loss and LAE or commutation payments on insured transactions; |
• | repayment of MZ Funding’s debt obligations; and |
• | payments of operating expenses. |
Nine Months Ended September 30, |
||||||||||||
In millions |
2021 |
2020 |
Percent Change | |||||||||
Statement of cash flow data: |
||||||||||||
Net cash provided (used) by: |
||||||||||||
Operating activities |
$ |
359 |
$ |
(388 |
) |
n/m |
||||||
Investing activities |
37 |
968 |
-96% |
|||||||||
Financing activities |
(451 |
) |
(552 |
) |
-18% |
|||||||
Cash and cash equivalents - beginning of period |
167 |
83 |
101% |
|||||||||
|
|
|
|
|
|
|
|
| ||||
Cash and cash equivalents - end of period |
$ |
112 |
$ |
111 |
1% |
|||||||
|
|
|
|
|
|
|
|
|
Total Number |
Maximum | |||||||||||||||
Total |
Average |
of Shares |
Amount That May | |||||||||||||
Number |
Price |
Purchased as |
Be Purchased | |||||||||||||
of Shares |
Paid Per |
Part of Publicly |
Under the Plan | |||||||||||||
Month |
Purchased (1) |
Share |
Announced Plan |
(in millions) | ||||||||||||
July |
75 |
$ |
12.03 |
- |
$ |
- |
||||||||||
August |
83 |
11.83 |
- |
- |
||||||||||||
September |
107 |
11.03 |
- |
- |
||||||||||||
|
|
|
|
|
|
|||||||||||
265 |
$ |
11.56 |
- |
$ |
- |
(1) | Represents shares repurchased in open market transactions as investments in the Company’s non-qualified deferred compensation plan. |
*31.1. | Chief Executive Officer - Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | |
*31.2. | Chief Financial Officer - Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | |
**32.1. | Chief Executive Officer - Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | |
**32.2. | Chief Financial Officer - Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | |
*101.INS. | XBRL Instance Document - the instance document does not appear in the Interactive Data File because iXBRL tags are embedded within the Inline XBRL document. | |
*101.SCH. | XBRL Taxonomy Extension Schema Document. | |
*101.CAL. | XBRL Taxonomy Extension Calculation Linkbase Document. | |
*101.DEF. | XBRL Taxonomy Extension Definition Linkbase Document. | |
*101.LAB. | XBRL Taxonomy Extension Label Linkbase Document. | |
*101.PRE. | XBRL Taxonomy Extension Presentation Linkbase Document. | |
*104. | Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101) |
* | Filed herewith. |
** | Furnished herewith. |
MBIA Inc. Registrant | ||
Date: November 3, 2021 | /s/ Anthony McKiernan | |
Anthony McKiernan | ||
Chief Financial Officer | ||
Date: November 3, 2021 | /s/ Joseph R. Schachinger | |
Joseph R. Schachinger | ||
Controller (Chief Accounting Officer) |