Fair Value of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2021

Text Block [Abstract]

Quantitative Information Regarding The Significant Unobservable Inputs For Certain Assets And Liabilities Measured At Fair Value On A Recurring Basis

In millions	Fair Value as of December 31, 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		291	Market prices of VIE assets adjusted for financial guarantees provided or market prices of similar liabilities	Impact of financial guarantee	33%—73%(59%)(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 December 31, 2021 and 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 December 31, 2021
Assets:
Fixed-maturity investments:
U.S. Treasury and government agency	$	750	$	95	$	—	$	845
State and municipal bonds		—		168		—		168
Foreign governments		—		17		—		17
Corporate obligations		—		1,050		—		1,050
Mortgage-backed securities:
Residential mortgage-backed agency		—		198		—		198
Residential mortgage-backed non-agency		—		98		—		98
Commercial mortgage-backed		—		13		—		13
Asset-backed securities:
Collateralized debt obligations		—		150		—		150
Other asset-backed		—		106		—		106
Total fixed-maturity investments		750		1,895		—		2,645
Money market securities		78		—		—		78
Perpetual debt and equity securities		47		23		—		70
Cash and cash equivalents		151		—		—		151
Derivative assets:
Non-insured interest rate derivatives		—		1		—		1
Assets of consolidated VIEs:
Corporate obligations		—		5		—		5
Mortgage-backed securities:
Residential mortgage-backed non-agency		—		27		—		27
Commercial mortgage-backed		—		10		—		10
Asset-backed securities:
Collateralized debt obligations		—		6		4		10
Other asset-backed		—		8		—		8
Cash		9		—		—		9
Loans receivable at fair value:
Residential loans receivable		—		—		77		77
Other assets:
Currency derivatives		—		—		9		9
Other		—		—		14		14
Total assets	$	1,035	$	1,975	$	104	$	3,114
Liabilities:
Medium-term notes	$	—	$	—	$	98	$	98
Derivative liabilities:
Insured credit derivatives		—		1		—		1
Non-insured interest rate derivatives		—		130		—		130
Liabilities of consolidated VIEs:
Variable interest entity notes		—		—		291		291
Total liabilities	$	—	$	131	$	389	$	520

	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 interest rate derivatives		—		1		—		1
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 credit derivatives		—		2		—		2
Non-insured interest rate derivatives		—		164		—		164
Other non-insured		—		—		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 December 31, 2021		Carry Value Balance as of December 31, 2021
Liabilities:
Long-term debt	$	—	$	433	$	—	$	433	$	2,331
Medium-term notes		—		—		322		322		490
Investment agreements		—		—		355		355		274
Total liabilities	$	—	$	433	$	677	$	1,110	$	3,095
Financial Guarantees:
Gross liability (recoverable)	$	—	$	—	$	848	$	848	$	(80)
Ceded recoverable (liability)		—		—		30		30		(42)

	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 Year		Total Gains / (Losses) Included in Earnings		Unrealized Gains / (Losses) Included in OCI(1)		Purchases		Issuances		Settlements		Sales		Transfers into Level 3		Transfers out of Level 3		Ending Balance		Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets still held as of December 31, 2021		Change in Unrealized Gains (Losses) for the Period Included in OCI for Assets still held as of December 31, 2021(1)
Assets:
Assets of consolidated VIEs:
Commercial mortgage-backed	$	—	$	—	$	—	$	—	$	—	$	(4)	$	—	$	4	$	—	$	—	$	—	$	—
Collateralized debt obligations		—		—		—		—		—		—		—		4		—		4		—		—
Loans receivable-residential		120		32		—		—		—		(15)		(60)		—		—		77		21		—
Loan repurchase commitments		604		(4)		—		—		—		(600)		—		—		—		—		—		—
Currency derivatives		6		3		—		—		—		—		—		—		—		9		3		—
Other		14		—		—		—		—		—		—		—		—		14		—		—
Total assets	$	744	$	31	$	—	$	—	$	—	$	(619)	$	(60)	$	8	$	—	$	104	$	24	$	—

In millions	Balance, Beginning of Year		Total (Gains) / Losses Included in Earnings		Unrealized (Gains) / Losses Included in Credit Risk in OCI(2)		Purchases		Issuances		Settlements		Sales		Transfers into Level 3		Transfers out of Level 3		Ending Balance		Change in Unrealized (Gains) Losses for the Period Included in Earnings for Liabilities still held as of December 31, 2021		Change in Unrealized (Gains) Losses for the Period Included in OCI for Liabilities still held as of December 31, 2021(2)
Liabilities:
Medium-term notes	$	110	$	(17)	$	10	$	—	$	—	$	(5)	$	—	$	—	$	—	$	98	$	(17)	$	10
Other derivatives		49		—		—		—		—		(49)		—		—		—		—		—		—
Liabilities of consolidated VIEs:
VIE notes		303		46		(15)		—		—		(38)		(5)		—		—		291		24		5
Total liabilities	$	462	$	29	$	(5)	$	—	$	—	$	(92)	$	(5)	$	—	$	—	$	389	$	7	$	15

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

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

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

In millions	Balance, Beginning of Year		Total Gains / (Losses) Included in Earnings		Unrealized Gains / (Losses) Included in OCI(1)		Purchases		Issuances		Settlements		Sales		Transfers into Level 3		Transfers out of Level 3		Ending Balance		Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets still held as of December 31, 2020		Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets still held as of December 31, 2020(1)
Assets:
Other asset-backed	$	1	$	—	$	—	$	—	$	—	$	(1)	$	—	$	—	$	—	$	—	$	—	$	—
Assets of consolidated VIEs:
Loans receivable-residential		136		—		—		—		—		(16)		—		—		—		120		(4)		—
Loan repurchase commitments		486		118		—		—		—		—		—		—		—		604		118		—
Currency derivatives		8		(2)		—		—		—		—		—		—		—		6		(2)		—
Other		18		(4)		—		—		—		—		—		—		—		14		(4)		—
Total assets	$	649	$	112	$	—	$	—	$	—	$	(17)	$	—	$	—	$	—	$	744	$	108	$	—

In millions	Balance, Beginning of Year		Total (Gains) / Losses Included in Earnings		Unrealized (Gains) / Losses Included in OCI(2)		Purchases		Issuances		Settlements		Sales		Transfers into Level 3		Transfers out of Level 3		Ending Balance		Change in Unrealized (Gains) Losses for the Period Included in Earnings for Liabilities still held as of December 31, 2020		Change in Unrealized (Gains) Losses for the Period Included in OCI for Liabilities still held as of December 31, 2020(2)
Liabilities:
Medium-term notes	$	108	$	15	$	(13)	$	—	$	—	$	—	$	—	$	—	$	—	$	110	$	15	$	(13)
Credit derivatives		7		(6)		—		—		—		(1)		—		—		—		—		—		—
Other derivatives		34		15		—		—		—		—		—		—		—		49		15		—
Other payable		4		—		—		—		—		(4)		—		—		—		—		—		—
Liabilities of consolidated VIEs:
VIE notes		347		11		(40)		—		—		(15)		—		—		—		303		5		(38)
Total liabilities	$	500	$	35	$	(53)	$	—	$	—	$	(20)	$	—	$	—	$	—	$	462	$	35	$	(51)

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

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

Gains And Losses (Realized And Unrealized) Included In Earnings Pertaining To Level 3 Assets And Liabilities

In millions	Total Gains (Losses) Included in Earnings						Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets and Liabilities still held as of December 31,
	2021		2020		2019		2021		2020		2019
Revenues:
Unrealized gains (losses) on insured derivatives	$	—	$	7	$	25	$	—	$	—	$	25
Realized gains (losses) and other settlements on insured derivatives		—		(1)		(10)		—		—		—
Net gains (losses) on financial instruments at fair value and foreign exchange		17		(30)		(26)		17		(30)		(27)
Net investment losses related to other-than-temporary impairments		—		—		(1)		—		—		—
Other net realized gains (losses)		—		—		(2)		—		—		(2)
Revenues of consolidated VIEs:
Net gains (losses) on financial instruments at fair value and foreign exchange		(15)		101		53		—		103		68
Total	$	2	$	77	$	39	$	17	$	73	$	64

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

	Years Ended December 31,
In millions	2021		2020		2019
Investments carried at fair value(1)	$	3	$	2	$	15
Fixed-maturity securities held at fair value-VIE(2)		4		4		95
Loans receivable and other instruments at fair value:
Residential mortgage loans(2)		32		—		35
Loan repurchase commitments(2)		(4)		118		68
Other assets-VIE(2)		—		(4)		4
Medium-term notes(1)		17		(15)		1
Other liabilities(3)		—		—		(2)
Variable interest entity notes (2)		(50)		(12)		(89)

(1)—Reported within “Net gains (losses) on financial instruments at fair value and foreign exchange” on MBIA’s consolidated statements of operations.

(2)—Reported within “Net gains (losses) on financial instruments at fair value and foreign exchange-VIE” on MBIA’s consolidated statements of operations.

(3)—Reported within “Other net realized gains (losses)” on MBIA’s consolidated statements of operations.

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

	As of December 31, 2021						As of December 31, 2020
In millions	Contractual Outstanding Principal		Fair Value		Difference		Contractual Outstanding Principal		Fair Value		Difference
Loans receivable at fair value:
Residential mortgage loans—current	$	40	$	40	$	—	$	89	$	89	$	—
Residential mortgage loans (90 days or more past due)		141		37		104		147		31		116
Total loans receivable and other instruments at fair value	$	181	$	77	$	104	$	236	$	120	$	116
Variable interest entity notes	$	922	$	291	$	631	$	1,117	$	350	$	767
Medium-term notes	$	108	$	98	$	10	$	122	$	110	$	12