Fair Value of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2022

Text Block [Abstract]

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

The following tables provide quantitative information regarding the significant unobservable inputs used by the Company for assets and liabilities measured at fair value on a recurring basis as of December 31, 2022 and 2021:

In millions	Fair Value as of December 31, 2022		Valuation Techniques	Unobservable Input	Range (Weighted Average)
Assets:
Equity Investments	$	115	Discounted cash flow Sum of the parts	EBITDA multiples(1) Discount rate(1) Hard asset values(1) Type certificate values(1)
Assets of consolidated VIEs:
Loans receivable at fair value		78	Market prices of similar liabilities or internal cash flow models adjusted for financial guarantees provided to VIE obligations	Impact of financial guarantee	12%—88% (52%)(2)
Liabilities of consolidated VIEs:
Variable interest entity notes		172	Market prices of VIE assets adjusted for financial guarantees provided or market prices of similar liabilities	Impact of financial guarantee	34%—82% (68%)(2)

(1)—Range for EBITDA multiples, discount rate, hard asset values and type certificate values reflects their potential variability.

(2)—Weighted average represents the total MBIA guarantees as a percentage of total instrument fair value.

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.

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, 2022 and 2021:

	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, 2022
Assets:
Fixed-maturity investments:
U.S. Treasury and government agency	$	463	$	54	$	—	$	517
State and municipal bonds		—		323		—		323
Foreign governments		—		21		—		21
Corporate obligations		—		797		—		797
Mortgage-backed securities:
Residential mortgage-backed agency		—		207		—		207
Residential mortgage-backed non-agency		—		95		—		95
Commercial mortgage-backed		—		24		—		24
Asset-backed securities:
Collateralized debt obligations		—		159		—		159
Other asset-backed		—		127		—		127
Total fixed-maturity investments		463		1,807		—		2,270
Money market securities		234		—		—		234
Equity investments		38		19		115		172
Cash and cash equivalents		50		—		—		50
Assets of consolidated VIEs:
Corporate obligations		—		4		—		4
Mortgage-backed securities:
Residential mortgage-backed non-agency		—		22		—		22
Commercial mortgage-backed		—		9		—		9
Asset-backed securities:
Collateralized debt obligations		—		5		—		5
Other asset-backed		—		7		—		7
Cash		16		—		—		16
Loans receivable at fair value:
Residential loans receivable		—		—		78		78
Other assets:
Other		—		—		23		23
Total assets	$	801	$	1,873	$	216	$	2,890
Liabilities:
Medium-term notes	$	—	$	—	$	41	$	41
Derivative liabilities:
Non-insured interest rate derivatives		—		49		—		49
Liabilities of consolidated VIEs:
Variable interest entity notes		—		—		172		172
Currency derivatives		—		—		6		6
Total liabilities	$	—	$	49	$	219	$	268

	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
Equity investments		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 Hierarchy Table Presents The Company's Assets And Liabilities Not Recorded At Fair Value On The Company's Consolidated Balance Sheet

The following tables present the fair values and carrying values of the Company’s assets and liabilities that are disclosed at fair value but not reported at fair value on the Company’s consolidated balance sheets as of December 31, 2022 and 2021. The majority of the financial assets and liabilities that the Company requires fair value reporting or disclosures are valued based on the Company’s or a third-party’s estimate of discounted cash flow model estimates, or quoted market values for identical or similar products.

	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, 2022		Carry Value Balance as of December 31, 2022
Liabilities:
Long-term debt	$	—	$	330	$	—	$	330	$	2,428
Medium-term notes		—		—		310		310		458
Investment agreements		—		—		257		257		233
Liabilities of consolidated VIEs:
Variable interest entity loans payable		—		—		2		2		2
Total liabilities	$	—	$	330	$	569	$	899	$	3,121
Financial Guarantees:
Gross liability (recoverable)	$	—	$	—	$	864	$	864	$	568
Ceded recoverable (liability)		—		—		21		21		15

	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)

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, 2022		Change in Unrealized Gains (Losses) for the Period Included in OCI for Assets still held as of December 31, 2022(1)
Assets:
Residential mortgage- backed non-agency	$	—	$	2	$	—	$	59	$	—	$	(11)	$	(50)	$	—	$	—	$	—	$	—	$	—
Equity investments		—		14		—		101		—		—		—		—		—		115		—		—
Assets of consolidated VIEs:
Collateralized debt obligations		4		—		—		—		—		(4)		—		—		—		—		—		—
Loans receivable -residential		77		10		—		—		—		(9)		—		—		—		78		5		—
Currency derivatives		9		(9)		—		—		—		—		—		—		—		—		(9)		—
Other		14		9		—		—		—		—		—		—		—		23		9		—
Total assets	$	104	$	26	$	—	$	160	$	—	$	(24)	$	(50)	$	—	$	—	$	216	$	5	$	—

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 Earnings 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	$	—

(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 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, 2022		Change in Unrealized (Gains) Losses for the Period Included in OCI for Liabilities still held as of December 31, 2022(2)
Liabilities:
Medium-term notes	$	98	$	(24)	$	16	$	—	$	—	$	(49)	$	—	$	—	$	—	$	41	$	(23)	$	17
Liabilities of consolidated VIEs:
VIE notes		291		14		(2)		—		—		(131)		—		—		—		172		(10)		14
Currency derivatives		—		6		—		—		—		—		—		—		—		6		6		—
Total liabilities	$	389	$	(4)	$	14	$	—	$	—	$	(180)	$	—	$	—	$	—	$	219	$	(27)	$	31

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, 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.

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,
	2022		2021		2020		2022		2021		2020
Revenues:
Net gains (losses) on financial instruments at fair value and foreign exchange	$	40	$	17	$	(24)	$	23	$	17	$	(30)
Revenues of consolidated VIEs:
Net gains (losses) on financial instruments at fair value and foreign exchange		(10)		(15)		101		9		—		103
Total	$	30	$	2	$	77	$	32	$	17	$	73

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

	Years Ended December 31,
In millions	2022		2021		2020
Investments carried at fair value(1)	$	(17)	$	3	$	2
Fixed-maturity securities held at fair value-VIE(2)		(5)		4		4
Loans receivable and other instruments at fair value:
Residential mortgage loans(2)		10		32		—
Loan repurchase commitments(2)		—		(4)		118
Other assets-VIE(2)		9		—		(4)
Medium-term notes(1)		24		17		(15)
Variable interest entity notes (2)		(20)		(50)		(12)

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

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

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

	As of December 31, 2022						As of December 31, 2021
In millions	Contractual Outstanding Principal		Fair Value		Difference		Contractual Outstanding Principal		Fair Value		Difference
Loans receivable at fair value:
Residential mortgage loans—current	$	39	$	39	$	—	$	40	$	40	$	—
Residential mortgage loans (90 days or more past due)		149		39		110		141		37		104
Total loans receivable and other instruments at fair value	$	188	$	78	$	110	$	181	$	77	$	104
Variable interest entity notes	$	780	$	172	$	608	$	922	$	291	$	631
Medium-term notes	$	53	$	41	$	12	$	108	$	98	$	10