☒ | 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 |
06-1185706 | |||
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) | ||
1 Manhattanville Road, Suite 301, Purchase, New York | 10577 | ||
(Address of principal executive offices) | (Zip Code) |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||
Common Stock | MBI | New York Stock Exchange |
Large accelerated filer | ☒ | Accelerated filer | ☐ | ||||||
Non-accelerated filer | ☐ | Smaller reporting company | ☐ | ||||||
Emerging growth company | ☐ |
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Item 3. | ||||||||||
Item 4. | ||||||||||
Item 1. | ||||||||||
Item 1A. | ||||||||||
Item 2. | ||||||||||
Item 6. | ||||||||||
March 31, 2020 | December 31, 2019 | |||||||
Assets | ||||||||
Investments: | ||||||||
Fixed-maturity securities held as available-for-sale, at fair value (amortized cost $2,559 and $2,705) | $ | 2,720 | $ | 2,820 | ||||
Investments carried at fair value | 187 | 209 | ||||||
Investments pledged as collateral, at fair value (amortized cost $6 and $15) | 1 | 10 | ||||||
Short-term investments, at fair value (amortized cost $247 and $423) | 245 | 423 | ||||||
Total investments | 3,153 | 3,462 | ||||||
Cash and cash equivalents | 212 | 75 | ||||||
Premiums receivable (net of allowance for credit losses $4 and $-) | 240 | 249 | ||||||
Deferred acquisition costs | 58 | 60 | ||||||
Insurance loss recoverable | 1,607 | 1,694 | ||||||
Other assets | 116 | 115 | ||||||
Assets of consolidated variable interest entities: | ||||||||
Cash | 5 | 8 | ||||||
Investments held-to-maturity, at amortized cost (net of allowance for credit losses $46 and $-, fair value $572 and $892) | 529 | 890 | ||||||
Investments carried at fair value | 75 | 83 | ||||||
Loans receivable at fair value | 98 | 136 | ||||||
Loan repurchase commitments | 506 | 486 | ||||||
Other assets | 33 | 26 | ||||||
Total assets | $ | 6,632 | $ | 7,284 | ||||
Liabilities and Equity | ||||||||
Liabilities: | ||||||||
Unearned premium revenue | $ | 464 | $ | 482 | ||||
Loss and loss adjustment expense reserves | 966 | 901 | ||||||
Long-term debt | 2,261 | 2,228 | ||||||
Medium-term notes (includes financial instruments carried at fair value of $98 and $108) | 663 | 680 | ||||||
Investment agreements | 295 | 304 | ||||||
Derivative liabilities | 206 | 175 | ||||||
Other liabilities | 120 | 136 | ||||||
Liabilities of consolidated variable interest entities: | ||||||||
Variable interest entity notes (includes financial instruments carried at fair value of $331 and $403) | 1,160 | 1,539 | ||||||
Total liabilities | 6,135 | 6,445 | ||||||
Commitments and contingencies (Refer to Note 13: Commitments and Contingencies) | ||||||||
Equity: | ||||||||
Preferred stock, par value $1 per share; authorized shares—10,000,000; issued and outstanding—0ne | — | — | ||||||
Common stock, par value $1 per share; authorized shares—400,000,000; issued shares—283,433,401 and 283,433,401 | 283 | 283 | ||||||
Additional paid-in capital | 2,961 | 2,999 | ||||||
Retained earnings | 232 | 607 | ||||||
Accumulated other comprehensive income (loss), net of tax of $8 and $8 | 91 | (2 | ) | |||||
Treasury stock, at cost—211,272,995 and 204,000,108 shares | (3,083 | ) | (3,061 | ) | ||||
Total shareholders’ equity of MBIA Inc. | 484 | 826 | ||||||
Preferred stock of subsidiary | 13 | 13 | ||||||
Total equity | 497 | 839 | ||||||
Total liabilities and equity | $ | 6,632 | $ | 7,284 | ||||
June 30, 2020 | December 31, 2019 | |||||||
Assets | ||||||||
Investments: | ||||||||
Fixed-maturity securities held as available-for-sale, at fair value (amortized cost $2,278 and $2,705) | $ | 2,473 | $ | 2,820 | ||||
Investments carried at fair value | 203 | 209 | ||||||
Investments pledged as collateral, at fair value (amortized cost $6 and $15) | 1 | 10 | ||||||
Short-term investments, at fair value (amortized cost $252 and $423) | 252 | 423 | ||||||
Total investments | 2,929 | 3,462 | ||||||
Cash and cash equivalents | 446 | 75 | ||||||
Premiums receivable (net of allowance for credit losses $4 and $-) | 232 | 249 | ||||||
Deferred acquisition costs | 55 | 60 | ||||||
Insurance loss recoverable | 1,543 | 1,694 | ||||||
Other assets | 104 | 115 | ||||||
Assets of consolidated variable interest entities: | ||||||||
Cash | 8 | 8 | ||||||
Investments held-to-maturity, at amortized cost (net of allowance for credit losses $23 and $-, fair value $574 and $892) | 552 | 890 | ||||||
Investments carried at fair value | 76 | 83 | ||||||
Loans receivable at fair value | 116 | 136 | ||||||
Loan repurchase commitments | 524 | 486 | ||||||
Other assets | 28 | 26 | ||||||
Total assets | $ | 6,613 | $ | 7,284 | ||||
Liabilities and Equity | ||||||||
Liabilities: | ||||||||
Unearned premium revenue | $ | 444 | $ | 482 | ||||
Loss and loss adjustment expense reserves | 1,018 | 901 | ||||||
Long-term debt | 2,289 | 2,228 | ||||||
Medium-term notes (includes financial instruments carried at fair value of $96 and $108) | 668 | 680 | ||||||
Investment agreements | 289 | 304 | ||||||
Derivative liabilities | 233 | 175 | ||||||
Other liabilities | 134 | 136 | ||||||
Liabilities of consolidated variable interest entities: | ||||||||
Variable interest entity notes (includes financial instruments carried at fair value of $342 and $403) | 1,178 | 1,539 | ||||||
Total liabilities | 6,253 | 6,445 | ||||||
Commitments and contingencies (Refer to Note 13: Commitments and Contingencies) | ||||||||
Equity: | ||||||||
Preferred stock, par value $1 per share; authorized shares—10,000,000; issued and outstanding—0ne | - | - | ||||||
Common stock, par value $1 per share; authorized shares—400,000,000; issued shares -- 283,433,401 and 283,433,401 | 283 | 283 | ||||||
Additional paid-in capital | 2,958 | 2,999 | ||||||
Retained earnings | 126 | 607 | ||||||
Accumulated other comprehensive income (loss), net of tax of $8 and $8 | 129 | (2 | ) | |||||
Treasury stock, at cost—220,924,081 and 204,000,108 shares | (3,149 | ) | (3,061 | ) | ||||
Total shareholders’ equity of MBIA Inc. | 347 | 826 | ||||||
Preferred stock of subsidiary | 13 | 13 | ||||||
Total equity | 360 | 839 | ||||||
Total liabilities and equity | $ | 6,613 | $ | 7,284 | ||||
Three Months Ended March 31, | ||||||||
2020 | 2019 | |||||||
Revenues: | ||||||||
Premiums earned: | ||||||||
Scheduled premiums earned | $ | 16 | $ | 18 | ||||
Refunding premiums earned | 4 | 5 | ||||||
Premiums earned (net of ceded premiums of $1 and $1) | 20 | 23 | ||||||
Net investment income | 23 | 32 | ||||||
Unrealized gains (losses) on insured derivatives | - | 14 | ||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | (63 | ) | 22 | |||||
Net investment losses related to other-than-temporary impairments: | ||||||||
Investment losses related to other-than-temporary impairments | - | - | ||||||
Other-than-temporary impairments recognized in accumulated other comprehensive income (loss) | - | (28 | ) | |||||
Net investment losses related to other-than-temporary impairments | - | (28 | ) | |||||
Other net realized gains (losses) | - | 1 | ||||||
Revenues of consolidated variable interest entities: | ||||||||
Net investment income | 8 | 10 | ||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 15 | 18 | ||||||
Other net realized gains (losses) | (9 | ) | (42 | ) | ||||
Total revenues | (6 | ) | 50 | |||||
Expenses: | ||||||||
Losses and loss adjustment | 243 | (38 | ) | |||||
Amortization of deferred acquisition costs | 2 | 4 | ||||||
Operating | 18 | 26 | ||||||
Interest | 47 | 52 | ||||||
Expenses of consolidated variable interest entities: | ||||||||
Operating | 2 | 3 | ||||||
Interest | 15 | 22 | ||||||
Total expenses | 327 | 69 | ||||||
Income (loss) before income taxes | (333 | ) | (19 | ) | ||||
Provision (benefit) for income taxes | - | 2 | ||||||
Net income (loss) | $ | (333 | ) | $ | (21 | ) | ||
Net income (loss) per common share: | ||||||||
Basic | $ | (4.62 | ) | $ | (0.24 | ) | ||
Diluted | $ | (4.62 | ) | $ | (0.24 | ) | ||
Weighted average number of common shares outstanding: | ||||||||
Basic | 72,089,016 | 85,554,236 | ||||||
Diluted | 72,089,016 | 85,554,236 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Revenues | ||||||||||||||||
Premiums earned: | ||||||||||||||||
Scheduled premiums earned | $ | 15 | $ | 17 | $ | 31 | $ | 35 | ||||||||
Refunding premiums earned | 4 | 5 | 8 | 10 | ||||||||||||
Premiums earned (net of ceded premiums of $1, $1, $2 and $2) | 19 | 22 | 39 | 45 | ||||||||||||
Net investment income | 20 | 30 | 43 | 62 | ||||||||||||
Fees and reimbursements | - | 1 | - | 1 | ||||||||||||
Change in fair value of insured derivatives: | ||||||||||||||||
Realized gains (losses) and other settlements on insured derivatives | - | (1 | ) | - | (1 | ) | ||||||||||
Unrealized gains (losses) on insured derivatives | - | - | - | 14 | ||||||||||||
Net change in fair value of insured derivatives | - | (1 | ) | - | 13 | |||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 24 | (26 | ) | (39 | ) | (4 | ) | |||||||||
Net investment losses related to other-than-temporary impairments: | ||||||||||||||||
Other-than-temporary impairments recognized in accumulated other comprehensive income (loss) | - | (9 | ) | - | (37 | ) | ||||||||||
Net investment losses related to other-than-temporary impairments | - | (9 | ) | - | (37 | ) | ||||||||||
Other net realized gains (losses) | - | 1 | - | 2 | ||||||||||||
Revenues of consolidated variable interest entities: | ||||||||||||||||
Net investment income | 5 | 10 | 13 | 20 | ||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 23 | 18 | 38 | 36 | ||||||||||||
Other net realized gains (losses) | 23 | (16 | ) | 14 | (58 | ) | ||||||||||
Total revenues | 114 | 30 | 108 | 80 | ||||||||||||
Expenses | ||||||||||||||||
Losses and loss adjustment | 136 | 140 | 379 | 102 | ||||||||||||
Amortization of deferred acquisition costs | 3 | 2 | 5 | 6 | ||||||||||||
Operating | 22 | 19 | 40 | 45 | ||||||||||||
Interest | 45 | 52 | 92 | 104 | ||||||||||||
Expenses of consolidated variable interest entities: | ||||||||||||||||
Operating | 1 | 1 | 3 | 4 | ||||||||||||
Interest | 13 | 23 | 28 | 45 | ||||||||||||
Total expenses | 220 | 237 | 547 | 306 | ||||||||||||
Income (loss) before income taxes | (106 | ) | (207 | ) | (439 | ) | (226 | ) | ||||||||
Provision (benefit) for income taxes | - | - | - | 2 | ||||||||||||
Net income (loss) | $ | (106 | ) | $ | (207 | ) | $ | (439 | ) | $ | (228 | ) | ||||
Net income (loss) per common share | ||||||||||||||||
Basic | $ | (1.69 | ) | $ | (2.45 | ) | $ | (6.51 | ) | $ | (2.68 | ) | ||||
Diluted | $ | (1.69 | ) | $ | (2.45 | ) | $ | (6.51 | ) | $ | (2.68 | ) | ||||
Weighted average number of common shares outstanding | ||||||||||||||||
Basic | 62,605,656 | 84,275,261 | 67,347,335 | 84,911,215 | ||||||||||||
Diluted | 62,605,656 | 84,275,261 | 67,347,335 | 84,911,215 |
Three Months Ended March 31, | |||||||||
2020 | 2019 | ||||||||
Net income (loss) | $ | (333 | ) | $ | (21 | ) | |||
Other comprehensive income (loss): | |||||||||
Available-for-sale securities with no credit losses: | |||||||||
Unrealized gains (losses) arising during the period | 48 | 79 | |||||||
Reclassification adjustments for (gains) losses included in net income (loss) | (3 | ) | (39 | ) | |||||
Available-for-sale securities with credit losses: | |||||||||
Unrealized gains (losses) arising during the period | - | 11 | |||||||
Reclassification adjustments for (gains) losses included in net income (loss) | - | 28 | |||||||
Foreign currency translation: | |||||||||
Foreign currency translation gains (losses) | - | 1 | |||||||
Instrument-specific credit risk of liabilities measured at fair value: | |||||||||
Unrealized gains (losses) arising during the period | 46 | 2 | |||||||
Reclassification adjustments for (gains) losses included in net income (loss) | 2 | 4 | |||||||
Total other comprehensive income (loss) | 93 | 86 | |||||||
Comprehensive income (loss) | $ | (240 | ) | $ | 65 | ||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Net income (loss) | $ | (106 | ) | $ | (207 | ) | $ | (439 | ) | $ | (228 | ) | ||||
Other comprehensive income (loss): | ||||||||||||||||
Available-for-sale securities with no credit losses: | ||||||||||||||||
Unrealized gains (losses) arising during the period | 40 | 46 | 88 | 125 | ||||||||||||
Provision (benefit) for income taxes | - | (1 | ) | - | (1 | ) | ||||||||||
Total | 40 | 47 | 88 | 126 | ||||||||||||
Reclassification adjustments for (gains) losses included in net income (loss) | (5 | ) | 16 | (8 | ) | (23 | ) | |||||||||
Available-for-sale securities with credit losses: | ||||||||||||||||
Unrealized gains (losses) arising during the period | - | 19 | - | 30 | ||||||||||||
Reclassification adjustments for (gains) losses included in net income (loss) | - | 9 | - | 37 | ||||||||||||
Foreign currency translation: | ||||||||||||||||
Foreign currency translation gains (losses) | (1 | ) | (1 | ) | (1 | ) | - | |||||||||
Instrument-specific credit risk of liabilities measured at fair value: | ||||||||||||||||
Unrealized gains (losses) arising during the period | 3 | (2 | ) | 49 | - | |||||||||||
Reclassification adjustments for (gains) losses included in net income (loss) | 1 | 19 | 3 | 23 | ||||||||||||
Total other comprehensive income (loss) | 38 | 107 | 131 | 193 | ||||||||||||
Comprehensive income (loss) | $ | (68 | ) | $ | (100 | ) | $ | (308 | ) | $ | (35 | ) | ||||
Three Months Ended March 31, | ||||||||
2020 | 2019 | |||||||
Common shares | ||||||||
Balance at beginning of period | 283,433,401 | 283,625,689 | ||||||
Common shares issued (cancelled), net | - | - | ||||||
Balance at end of period | 283,433,401 | 283,625,689 | ||||||
Common stock amount | ||||||||
Balance at beginning and end of period | $ | 283 | $ | 284 | ||||
Additional paid-in capital | ||||||||
Balance at beginning of period | $ | 2,999 | $ | 3,025 | ||||
Period change | (38 | ) | (29 | ) | ||||
Balance at end of period | $ | 2,961 | $ | 2,996 | ||||
Retained earnings | ||||||||
Balance at beginning of period | $ | 607 | $ | 966 | ||||
ASU 2016-13 transition adjustment | (42 | ) | - | |||||
Net income (loss) | (333 | ) | (21 | ) | ||||
Balance at end of period | $ | 232 | $ | 945 | ||||
Accumulated other comprehensive income (loss) | ||||||||
Balance at beginning of period | $ | (2 | ) | $ | (156 | ) | ||
Other comprehensive income (loss) | 93 | 86 | ||||||
Balance at end of period | $ | 91 | $ | (70 | ) | |||
Treasury shares | ||||||||
Balance at beginning of period | (204,000,108 | ) | (193,803,976 | ) | ||||
Treasury shares acquired under share repurchase program | (8,082,756 | ) | (487,606 | ) | ||||
Other | 809,869 | 845,414 | ||||||
Balance at end of period | (211,272,995 | ) | (193,446,168 | ) | ||||
Treasury stock amount | ||||||||
Balance at beginning of period | $ | (3,061 | ) | $ | (3,000 | ) | ||
Treasury shares acquired under share repurchase program | (65 | ) | (4 | ) | ||||
Other | 43 | 37 | ||||||
Balance at end of period | $ | (3,083 | ) | $ | (2,967 | ) | ||
Total shareholders’ equity of MBIA Inc. | ||||||||
Balance at beginning of period | $ | 826 | $ | 1,119 | ||||
Period change | (342 | ) | 69 | |||||
Balance at end of period | $ | 484 | $ | 1,188 | ||||
Preferred stock of subsidiary shares | ||||||||
Balance at beginning and end of period | 1,315 | 1,315 | ||||||
Preferred stock of subsidiary amount | ||||||||
Balance at beginning and end of period | $ | 13 | $ | 13 | ||||
Total equity | $ | 497 | $ | 1,201 | ||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Common shares | ||||||||||||||||
Balance at beginning and end of period | 283,433,401 | 283,625,689 | 283,433,401 | 283,625,689 | ||||||||||||
Common stock amount | ||||||||||||||||
Balance at beginning and end of period | $ | 283 | $ | 284 | $ | 283 | $ | 284 | ||||||||
Additional paid-in capital | ||||||||||||||||
Balance at beginning of period | $ | 2,961 | $ | 2,996 | $ | 2,999 | $ | 3,025 | ||||||||
Period change | (3 | ) | (1 | ) | (41 | ) | (30 | ) | ||||||||
Balance at end of period | $ | 2,958 | $ | 2,995 | $ | 2,958 | $ | 2,995 | ||||||||
Retained earnings | ||||||||||||||||
Balance at beginning of period | $ | 232 | $ | 945 | $ | 607 | $ | 966 | ||||||||
ASU 2016-13 transition adjustment | - | - | (42 | ) | - | |||||||||||
Net income (loss) | (106 | ) | (207 | ) | (439 | ) | (228 | ) | ||||||||
Balance at end of period | $ | 126 | $ | 738 | $ | 126 | $ | 738 | ||||||||
Accumulated other comprehensive income (loss) | ||||||||||||||||
Balance at beginning of period | $ | 91 | $ | (70 | ) | $ | (2 | ) | $ | (156 | ) | |||||
Other comprehensive income (loss) | 38 | 107 | 131 | 193 | ||||||||||||
Balance at end of period | $ | 129 | $ | 37 | $ | 129 | $ | 37 | ||||||||
Treasury shares | ||||||||||||||||
Balance at beginning of period | (211,272,995 | ) | (193,446,168 | ) | (204,000,108 | ) | (193,803,976 | ) | ||||||||
Treasury shares acquired under share repurchase program | (9,765,326 | ) | (5,445,053 | ) | (17,848,082 | ) | (5,932,659 | ) | ||||||||
Other | 114,240 | 66,528 | 924,109 | 911,942 | ||||||||||||
Balance at end of period | (220,924,081 | ) | (198,824,693 | ) | (220,924,081 | ) | (198,824,693 | ) | ||||||||
Treasury stock amount | ||||||||||||||||
Balance at beginning of period | $ | (3,083 | ) | $ | (2,967 | ) | $ | (3,061 | ) | $ | (3,000 | ) | ||||
Treasury shares acquired under share repurchase program | (71 | ) | (50 | ) | (136 | ) | (54 | ) | ||||||||
Other | 5 | 3 | 48 | 40 | ||||||||||||
Balance at end of period | $ | (3,149 | ) | $ | (3,014 | ) | $ | (3,149 | ) | $ | (3,014 | ) | ||||
Total shareholders’ equity of MBIA Inc. | ||||||||||||||||
Balance at beginning of period | $ | 484 | $ | 1,188 | $ | 826 | $ | 1,119 | ||||||||
Period change | (137 | ) | (148 | ) | (479 | ) | (79 | ) | ||||||||
Balance at end of period | $ | 347 | $ | 1,040 | $ | 347 | $ | 1,040 | ||||||||
Preferred stock of subsidiary shares | ||||||||||||||||
Balance at beginning and end of period | 1,315 | 1,315 | 1,315 | 1,315 | ||||||||||||
Preferred stock of subsidiary amount | ||||||||||||||||
Balance at beginning and end of period | $ | 13 | $ | 13 | $ | 13 | $ | 13 | ||||||||
Total equity | $ | 360 | $ | 1,053 | $ | 360 | $ | 1,053 | ||||||||
Three Months Ended March 31, | ||||||||
2020 | 2019 | |||||||
Cash flows from operating activities: | ||||||||
Premiums, fees and reimbursements received | $ | 3 | $ | 3 | ||||
Investment income received | 37 | 44 | ||||||
Financial guarantee losses and loss adjustment expenses paid | (75 | ) | (95 | ) | ||||
Proceeds from recoveries and reinsurance | 10 | 60 | ||||||
Operating and employee related expenses paid | (34 | ) | (34 | ) | ||||
Interest paid, net of interest converted to principal | (23 | ) | (46 | ) | ||||
Income taxes (paid) received | - | (2 | ) | |||||
Net cash provided (used) by operating activities | (82 | ) | (70 | ) | ||||
Cash flows from investing activities: | ||||||||
Purchases of available-for-sale investments | (242 | ) | (747 | ) | ||||
Sales of available-for-sale investments | 279 | 683 | ||||||
Paydowns and maturities of available-for-sale investments | 123 | 234 | ||||||
Purchases of investments at fair value | (33 | ) | (69 | ) | ||||
Sales, paydowns, maturities and other proceeds of investments at fair value | 34 | 122 | ||||||
Sales, paydowns and maturities (purchases) of short-term investments, net | 178 | (154 | ) | |||||
Sales, paydowns and maturities of held-to-maturity investments | 315 | - | ||||||
Paydowns and maturities of loans receivable | 3 | 7 | ||||||
Consolidation of variable interest entities | - | 72 | ||||||
(Payments) proceeds for derivative settlements | (3 | ) | (11 | ) | ||||
Collateral (to) from counterparties | (44 | ) | (9 | ) | ||||
Net cash provided (used) by investing activities | 610 | 128 | ||||||
Cash flows from financing activities: | ||||||||
Proceeds from investment agreements | 3 | 3 | ||||||
Principal paydowns of investment agreements | (12 | ) | - | |||||
Principal paydowns of variable interest entity notes | (323 | ) | (168 | ) | ||||
Purchases of treasury stock | (62 | ) | (10 | ) | ||||
Net cash provided (used) by financing activities | (394 | ) | (175 | ) | ||||
Net increase (decrease) in cash and cash equivalents | 134 | (117 | ) | |||||
Cash and cash equivalents - beginning of period | 83 | 280 | ||||||
Cash and cash equivalents - end of period | $ | 217 | $ | 163 | ||||
Reconciliation of net income (loss) to net cash provided (used) by operating activities: | ||||||||
Net income (loss) | $ | (333 | ) | $ | (21 | ) | ||
Adjustments to reconcile net income (loss) to net cash provided (used) by operating activities: | ||||||||
Change in: | ||||||||
Premiums receivable | 1 | 22 | ||||||
Deferred acquisition costs | 2 | 3 | ||||||
Unearned premium revenue | (19 | ) | (43 | ) | ||||
Loss and loss adjustment expense reserves | 84 | (58 | ) | |||||
Insurance loss recoverable | 86 | (20 | ) | |||||
Accrued interest payable | 35 | 30 | ||||||
Accrued expenses | (19 | ) | (11 | ) | ||||
Net investment losses related to other-than-temporary impairments | - | 28 | ||||||
Unrealized (gains) losses on insured derivatives | - | (14 | ) | |||||
Net (gains) losses on financial instruments at fair value and foreign exchange | 48 | (40 | ) | |||||
Other net realized (gains) losses | 9 | 41 | ||||||
Other operating | 24 | 13 | ||||||
Total adjustments to net income (loss) | 251 | (49 | ) | |||||
Net cash provided (used) by operating activities | $ | (82 | ) | $ | (70 | ) | ||
Six Months Ended June 30, | ||||||||
2020 | 2019 | |||||||
Cash flows from operating activities: | ||||||||
Premiums, fees and reimbursements received | $ | 12 | $ | 14 | ||||
Investment income received | 66 | 91 | ||||||
Insured derivative commutations and losses paid | - | (1 | ) | |||||
Financial guarantee losses and loss adjustment expenses paid | (115 | ) | (115 | ) | ||||
Proceeds from recoveries and reinsurance | 27 | 91 | ||||||
Operating and employee related expenses paid | (46 | ) | (44 | ) | ||||
Interest paid, net of interest converted to principal | (47 | ) | (91 | ) | ||||
Income taxes (paid) received | 14 | (2 | ) | |||||
Net cash provided (used) by operating activities | (89 | ) | (57 | ) | ||||
Cash flows from investing activities: | ||||||||
Purchases of available-for-sale investments | (574 | ) | (1,410 | ) | ||||
Sales of available-for-sale investments | 569 | 1,367 | ||||||
Paydowns and maturities of available-for-sale investments | 464 | 567 | ||||||
Purchases of investments at fair value | (85 | ) | (104 | ) | ||||
Sales, paydowns, maturities and other proceeds of investments at fair value | 88 | 237 | ||||||
Sales, paydowns and maturities (purchases) of short-term investments, net | 172 | (72 | ) | |||||
Sales, paydowns and maturities of held-to-maturity investments | 315 | - | ||||||
Paydowns and maturities of loans receivable | 7 | 64 | ||||||
Consolidation of variable interest entities | - | 72 | ||||||
Deconsolidation of variable interest entities | - | (2 | ) | |||||
(Payments) proceeds for derivative settlements | (7 | ) | (15 | ) | ||||
Collateral (to) from counterparties | (8 | ) | (21 | ) | ||||
Net cash provided (used) by investing activities | 941 | 683 | ||||||
Cash flows from financing activities: | ||||||||
Proceeds from investment agreements | 7 | 7 | ||||||
Principal paydowns of investment agreements | (20 | ) | (13 | ) | ||||
Principal paydowns of medium-term notes | - | (56 | ) | |||||
Principal paydowns of variable interest entity notes | (327 | ) | (301 | ) | ||||
Purchases of treasury stock | (134 | ) | (58 | ) | ||||
Other financing | (7 | ) | (7 | ) | ||||
Net cash provided (used) by financing activities | (481 | ) | (428 | ) | ||||
Net increase (decrease) in cash and cash equivalents | 371 | 198 | ||||||
Cash and cash equivalents - beginning of period | 83 | 280 | ||||||
Cash and cash equivalents - end of period | $ | 454 | $ | 478 | ||||
Reconciliation of net income (loss) to net cash provided (used) by operating activities: | ||||||||
Net income (loss) | $ | (439 | ) | $ | (228 | ) | ||
Adjustments to reconcile net income (loss) to net cash provided (used) by operating activities: | ||||||||
Change in: | ||||||||
Premiums receivable | 10 | 34 | ||||||
Deferred acquisition costs | 5 | 7 | ||||||
Unearned premium revenue | (38 | ) | (67 | ) | ||||
Loss and loss adjustment expense reserves | 133 | 103 | ||||||
Insurance loss recoverable | 151 | (28 | ) | |||||
Accrued interest payable | 68 | 56 | ||||||
Accrued expenses | (12 | ) | (3 | ) | ||||
Net investment losses related to other-than-temporary impairments | - | 37 | ||||||
Unrealized (gains) losses on insured derivatives | - | (14 | ) | |||||
Net (gains) losses on financial instruments at fair value and foreign exchange | 1 | (32 | ) | |||||
Other net realized (gains) losses | (14 | ) | 56 | |||||
Deferred income tax provision (benefit) | 13 | - | ||||||
Interest on variable interest entities, net | 3 | - | ||||||
Other operating | 30 | 22 | ||||||
Total adjustments to net income (loss) | 350 | 171 | ||||||
Net cash provided (used) by operating activities | $ | (89 | ) | $ | (57 | ) | ||
March 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 | $ | 2,122 | $ | 12 | $ | 17 | $ | 119 | $ | 16 | $ | 474 | ||||||||||||
Mortgage-backed commercial | 21 | - | - | - | - | - | ||||||||||||||||||
Consumer asset-backed | 363 | - | 1 | 1 | 1 | 17 | ||||||||||||||||||
Corporate asset-backed | 870 | - | 6 | 531 | 7 | 2 | ||||||||||||||||||
Total global structured finance | 3,376 | 12 | 24 | 651 | 24 | 493 | ||||||||||||||||||
Global public finance | 1,723 | - | 8 | - | 8 | - | ||||||||||||||||||
Total insurance | $ | 5,099 | $ | 12 | $ | 32 | $ | 651 | $ | 32 | $ | 493 | ||||||||||||
June 30, 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 | $ | 1,993 | $ | 13 | $ | 16 | $ | 115 | $ | 15 | $ | 481 | ||||||||||||
Consumer asset-backed | 335 | - | 1 | 1 | 1 | 17 | ||||||||||||||||||
Corporate asset-backed | 839 | - | 6 | 475 | 6 | 2 | ||||||||||||||||||
Total global structured finance | 3,167 | 13 | 23 | 591 | 22 | 500 | ||||||||||||||||||
Global public finance | 1,834 | - | 7 | - | 8 | - | ||||||||||||||||||
Total insurance | $ | 5,001 | $ | 13 | $ | 30 | $ | 591 | $ | 30 | $ | 500 | ||||||||||||
December 31, 2019 | ||||||||||||||||||||||||
Carrying Value of Assets | Carrying Value of Liabilities | |||||||||||||||||||||||
Loss and Loss | ||||||||||||||||||||||||
Maximum | Unearned | Adjustment | ||||||||||||||||||||||
Exposure | Premiums | Insurance Loss | Premium | Expense | ||||||||||||||||||||
In millions | to Loss | Investments | Receivable | Recoverable | Revenue | Reserves | ||||||||||||||||||
Insurance: | ||||||||||||||||||||||||
Global structured finance: | ||||||||||||||||||||||||
Mortgage-backed residential | $ | 2,253 | $ | 15 | $ | 19 | $ | 107 | $ | 16 | $ | 436 | ||||||||||||
Mortgage-backed commercial | 26 | - | - | - | - | - | ||||||||||||||||||
Consumer asset-backed | 384 | - | 1 | 1 | 1 | 11 | ||||||||||||||||||
Corporate asset-backed | 937 | - | 6 | 673 | 7 | - | ||||||||||||||||||
Total global structured finance | 3,600 | 15 | 26 | 781 | 24 | 447 | ||||||||||||||||||
Global public finance | 1,926 | - | 8 | - | 9 | - | ||||||||||||||||||
Total insurance | $ | 5,526 | $ | 15 | $ | 34 | $ | 781 | $ | 33 | $ | 447 | ||||||||||||
December 31, 2019 | ||||||||||||||||||||||||
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 | $ | 2,253 | $ | 15 | $ | 19 | $ | 107 | $ | 16 | $ | 436 | ||||||||||||
Mortgage-backed commercial | 26 | - | - | - | - | - | ||||||||||||||||||
Consumer asset-backed | 384 | - | 1 | 1 | 1 | 11 | ||||||||||||||||||
Corporate asset-backed | 937 | - | 6 | 673 | 7 | - | ||||||||||||||||||
Total global structured finance | 3,600 | 15 | 26 | 781 | 24 | 447 | ||||||||||||||||||
Global public finance | 1,926 | - | 8 | - | 9 | - | ||||||||||||||||||
Total insurance | $ | 5,526 | $ | 15 | $ | 34 | $ | 781 | $ | 33 | $ | 447 | ||||||||||||
As of March 31, 2020 | As of December 31, 2019 | ||||||||||||||||
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 | $ | 954 | $ | 451 | $ | 911 | $ | 432 | |||||||||
International and Structured Finance Insurance: | |||||||||||||||||
Before VIE eliminations (1) | 1,181 | 799 | 1,286 | 749 | |||||||||||||
VIE eliminations (1) | (528 | ) | (284 | ) | (503 | ) | (280 | ) | |||||||||
Total international and structured finance insurance | 653 | 515 | 783 | 469 | |||||||||||||
Total | $ | 1,607 | $ | 966 | $ | 1,694 | $ | 901 | |||||||||
As of June 30, 2020 | As of December 31, 2019 | |||||||||||||||
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 | $ | 950 | $ | 495 | $ | 911 | $ | 432 | ||||||||
International and Structured Finance Insurance: | ||||||||||||||||
Before VIE eliminations (1) | 1,140 | 782 | 1,286 | 749 | ||||||||||||
VIE eliminations (1) | (547 | ) | (259 | ) | (503 | ) | (280 | ) | ||||||||
Total international and structured finance insurance | 593 | 523 | 783 | 469 | ||||||||||||
Total | $ | 1,543 | $ | 1,018 | $ | 1,694 | $ | 901 | ||||||||
(1) - | Includes loan repurchase commitments of |
In millions | Changes in Loss and LAE Reserves for the Three Months Ended March 31, 2020 | |||||||||||||||||||||||||||||
Gross Loss and LAE Reserves as of December 31, 2019 (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 March 31, 2020 (1) | |||||||||||||||||||||||
$ | 901 | $ | (68 | ) | $ | 4 | $ | (98 | ) | $ | 222 | $ | 6 | (1 | ) | $ | 966 | |||||||||||||
In millions | Changes in Loss and LAE Reserves for the Six Months Ended June 30, 2020 | |||||||||||||||||||||||||||||
Gross Loss and LAE Reserves as of December 31, 2019 (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 June 30, 2020 (1) | |||||||||||||||||||||||
$ | 901 | $ | (97 | ) | $ | 6 | $ | (87 | ) | $ | 291 | $ | 7 | $ | (3 | ) | $ | 1,018 | ||||||||||||
Changes in Insurance Loss Recoverable | ||||||||||||||||||||||||||||
for the Three Months Ended March 31, 2020 | ||||||||||||||||||||||||||||
In millions | Gross Reserve as of December 31, 2019 | Collections for Cases | Accretion of Recoveries | Changes in Discount Rates | Changes in Assumptions (1) | Other (2) | Gross Reserve as of March 31, 2020 | |||||||||||||||||||||
Insurance loss recoverable | $ | 1,694 | $ | (8 | ) | $ | 7 | $ | 157 | $ | (241 | ) | $ | (2 | ) | $ | 1,607 | |||||||||||
Changes in Insurance Loss Recoverable | ||||||||||||||||||||||||
for the Six Months Ended June 30, 2020 | ||||||||||||||||||||||||
In millions | Gross Reserve as of December 31, 2019 | Collections for Cases | Accretion of Recoveries | Changes Discount Rates | Changes in Assumptions (1) | Gross Reserve as of June 30, 2020 | ||||||||||||||||||
Insurance loss recoverable | $ | 1,694 | $ | (25 | ) | $ | 9 | $ | 156 | $ | (291 | ) | $ | 1,543 | ||||||||||
Surveillance Categories | ||||||||||||||||||||
$ in millions | Caution List Low | Caution List Medium | Caution List High | Classified List | Total | |||||||||||||||
Number of policies | 42 | 18 | - | 219 | 279 | |||||||||||||||
Number of issues (1) | 12 | 5 | - | 99 | 116 | |||||||||||||||
Remaining weighted average contract period (in years) | 6.6 | 7.1 | - | 7.7 | 7.4 | |||||||||||||||
Gross insured contractual payments outstanding: (2) | ||||||||||||||||||||
Principal | $ | 1,192 | $ | 224 | $ | - | $ | 3,736 | $ | 5,152 | ||||||||||
Interest | 1,914 | 99 | - | 1,566 | 3,579 | |||||||||||||||
Total | $ | 3,106 | $ | 323 | $ | - | $ | 5,302 | $ | 8,731 | ||||||||||
Gross Claim Liability (3) | $ | - | $ | - | $ | - | $ | 1,068 | $ | 1,068 | ||||||||||
Less: | ||||||||||||||||||||
Gross Potential Recoveries (4) | - | - | - | 1,781 | 1,781 | |||||||||||||||
Discount, net (5) | - | - | - | (91 | ) | (91 | ) | |||||||||||||
Net claim liability (recoverable) | $ | - | $ | - | $ | - | $ | (622 | ) | $ | (622 | ) | ||||||||
Unearned premium revenue | $ | 6 | $ | 3 | $ | - | $ | 38 | $ | 47 | ||||||||||
Reinsurance recoverable on paid and unpaid losses (6) | $ | 13 |
Surveillance Categories | ||||||||||||||||||||
$ in millions | Caution List Low | Caution List Medium | Caution List High | Classified List | Total | |||||||||||||||
Number of policies | 54 | 17 | - | 223 | 294 | |||||||||||||||
Number of issues (1) | 19 | 4 | - | 102 | 125 | |||||||||||||||
Remaining weighted average contract period (in years) | 6.2 | 6.8 | - | 7.5 | 7.1 | |||||||||||||||
Gross insured contractual payments outstanding: (2) | ||||||||||||||||||||
Principal | $ | 1,628 | $ | 218 | $ | - | $ | 3,691 | $ | 5,537 | ||||||||||
Interest | 2,084 | 91 | - | 1,533 | 3,708 | |||||||||||||||
Total | $ | 3,712 | $ | 309 | $ | - | $ | 5,224 | $ | 9,245 | ||||||||||
Gross Claim Liability (3) | $ | - | $ | - | $ | - | $ | 1,102 | $ | 1,102 | ||||||||||
Less: | ||||||||||||||||||||
Gross Potential Recoveries (4) | - | - | - | 1,718 | 1,718 | |||||||||||||||
Discount, net (5) | - | - | - | (111 | ) | (111 | ) | |||||||||||||
Net claim liability (recoverable) | $ | - | $ | - | $ | - | $ | (505 | ) | $ | (505 | ) | ||||||||
Unearned premium revenue | $ | 11 | $ | 3 | $ | - | $ | 37 | $ | 51 | ||||||||||
Reinsurance recoverable on paid and unpaid losses (6) | $ | 13 |
Surveillance Categories | ||||||||||||||||||||
$ in millions | Caution List Low | Caution List Medium | Caution List High | Classified List | Total | |||||||||||||||
Number of policies | 45 | 19 | - | 212 | 276 | |||||||||||||||
Number of issues (1) | 13 | 5 | - | 94 | 112 | |||||||||||||||
Remaining weighted average contract period (in years) | 7.3 | 7.2 | - | 7.9 | 7.7 | |||||||||||||||
Gross insured contractual payments outstanding: (2) | ||||||||||||||||||||
Principal | $ | 1,546 | $ | 248 | $ | - | $ | 3,794 | $ | 5,588 | ||||||||||
Interest | 2,107 | 110 | - | 1,668 | 3,885 | |||||||||||||||
Total | $ | 3,653 | $ | 358 | $ | - | $ | 5,462 | $ | 9,473 | ||||||||||
Gross Claim Liability (3) | $ | - | $ | - | $ | - | $ | 965 | $ | 965 | ||||||||||
Less: | ||||||||||||||||||||
Gross Potential Recoveries (4) | - | - | - | 2,184 | 2,184 | |||||||||||||||
Discount, net (5) | - | - | - | (453 | ) | (453 | ) | |||||||||||||
Net claim liability (recoverable) | $ | - | $ | - | $ | - | $ | (766 | ) | $ | (766 | ) | ||||||||
Unearned premium revenue | $ | 6 | $ | 3 | $ | - | $ | 39 | $ | 48 | ||||||||||
Reinsurance recoverable on paid and unpaid losses (6) | $ | 19 |
Surveillance Categories | ||||||||||||||||||||
$ in millions | Caution List Low | Caution List Medium | Caution List High | Classified List | Total | |||||||||||||||
Number of policies | 45 | 19 | - | 212 | 276 | |||||||||||||||
Number of issues (1) | 13 | 5 | - | 94 | 112 | |||||||||||||||
Remaining weighted average contract period (in years) | 7.3 | 7.2 | - | 7.9 | 7.7 | |||||||||||||||
Gross insured contractual payments outstanding: (2) | ||||||||||||||||||||
Principal | $ | 1,546 | $ | 248 | $ | - | $ | 3,794 | $ | 5,588 | ||||||||||
Interest | 2,107 | 110 | - | 1,668 | 3,885 | |||||||||||||||
Total | $ | 3,653 | $ | 358 | $ | - | $ | 5,462 | $ | 9,473 | ||||||||||
Gross Claim Liability (3) | $ | - | $ | - | $ | - | $ | 965 | $ | 965 | ||||||||||
Less: | ||||||||||||||||||||
Gross Potential Recoveries (4) | - | - | - | 2,184 | 2,184 | |||||||||||||||
Discount, net (5) | - | - | - | (453 | ) | (453 | ) | |||||||||||||
Net claim liability (recoverable) | $ | - | $ | - | $ | - | $ | (766 | ) | $ | (766 | ) | ||||||||
Unearned premium revenue | $ | 6 | $ | 3 | $ | - | $ | 39 | $ | 48 | ||||||||||
Reinsurance recoverable on paid and unpaid losses (6) | $ | 19 |
In millions | Fair Value as of March 31, 2020 | Valuation Techniques | Unobservable Input | Range (Weighted Average) | |||||||||
Assets of consolidated VIEs: | |||||||||||||
Loans receivable at fair value | $ | 98 | Market prices adjusted for financial guarantees provided to VIE obligations | Impact of financial guarantee (2) | -28% - 161% (19%) (1) | ||||||||
Loan repurchase commitments | 506 | Discounted cash flow | Recovery rates (3) Breach rates(3) | ||||||||||
Liabilities of consolidated VIEs: | |||||||||||||
Variable interest entity notes | 281 | Market prices of VIE assets adjusted for financial guarantees provided | Impact of financial guarantee | 34% - 74% (60%)(1) | |||||||||
C CMBSredit d eri vative liabilit i es – | 8 | Direct Price Model | Nonperformance risk | 54% - 54% (54%) | |||||||||
Other derivative liabilities | 37 | Discounted cash flow | Cash flows | $0 - $49 ($25) (4) |
In millions | Fair Value as of June 30, 2020 | Valuation Techniques | Unobservable Input | Range (Weighted Average) | ||||||||
Assets of consolidated VIEs: | ||||||||||||
Loans receivable at fair value | $ | 116 | Market prices adjusted for financial guarantees provided to VIE obligations | Impact of financial guarantee (2) | -30% - 106% (14%) (1) | |||||||
Loan repurchase commitments | 524 | Discounted cash flow | Recovery rates (3) Breach rates (3) | |||||||||
Liabilities of consolidated VIEs: | ||||||||||||
Variable interest entity notes | 291 | Market prices of VIE assets adjusted for financial guarantees provided | Impact of financial guarantee | 31% - 72% (58%) (1) | ||||||||
Credit derivative liabilities – CMBS | 8 | Direct Price Model | Nonperformance risk | 54% - 54% (54%) | ||||||||
Other derivative liabilities | 37 | Discounted cash flow | Cash flows | $0 - $49 ($25) (4) |
(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 rates include assumptions about legal risk in the enforcement of the Company’s contract and breach rates represent estimates of the percentage of ineligible loans. |
(4) - | Midpoint of cash flows are used for the weighted average. |
In millions | Fair Value as of December 31, 2019 | Valuation Techniques | Unobservable Input | Range (Weighted Average) | ||||||||
Assets of consolidated VIEs: | ||||||||||||
Loans receivable at fair value | $ | 136 | Market prices adjusted for financial guarantees provided to VIE obligations | Impact of financial guarantee (1) | -20% - 99% (22%) | |||||||
Loan repurchase commitments | 486 | Discounted cash flow | Recovery rates (2) Breach rates(2) | |||||||||
Liabilities of consolidated VIEs: | ||||||||||||
Variable interest entity notes | 347 | Market prices of VIE assets adjusted for financial guarantees provided | Impact of financial guarantee | 37% - 76% (61%) | ||||||||
Credit d CMBSe rivative liabilities – | 7 | Direct Price Model | Nonperformance risk | 54% - 54% (54%) | ||||||||
Other derivative liabilities | 34 | Discounted cash flow | Cash flows | $0 - $49 ($25) (3) |
In millions | Fair Value as of December 31, 2019 | Valuation Techniques | Unobservable Input | Range (Weighted Average) | ||||||||
Assets of consolidated VIEs: | ||||||||||||
Loans receivable at fair value | $ | 136 | Market prices adjusted for financial guarantees provided to VIE obligations | Impact of financial guarantee (1) | -20% -99% (22%) | |||||||
Loan repurchase commitments | 486 | Discounted cash flow | Recovery rates (2) Breach rates (2) | |||||||||
Liabilities of consolidated VIEs: | ||||||||||||
Variable interest entity notes | 347 | Market prices of VIE assets adjusted for financial guarantees provided | Impact of financial guarantee | 37% - 76% (61%) | ||||||||
Credit derivative liabilities – CMBS | 7 | Direct Price Model | Nonperformance risk | 54% - 54% (54%) | ||||||||
Other derivative liabilities | 34 | Discounted cash flow | Cash flows | $0 - $49 ($25) (3) |
(1) - | Negative percentage represents financial guarantee policies in a receivable position. |
(2) - | Recovery rates include assumptions about legal risk in the enforcement of the Company’s contract and breach rates represent estimates of the percentage of ineligible loans. |
(3) - | Midpoint of cash flows are used for the weighted average. |
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) | Counterparty and Cash Collateral Netting | Balance as of March 31, 2020 | |||||||||||||||
Assets: | ||||||||||||||||||||
Fixed-maturity investments: | ||||||||||||||||||||
U.S. Treasury and government agency | $ | 763 | $ | 105 | $ | - | $ | - | $ | 868 | ||||||||||
State and municipal bonds | - | 192 | - | - | 192 | |||||||||||||||
Foreign governments | - | 11 | - | - | 11 | |||||||||||||||
Corporate obligations | - | 1,234 | - | - | 1,234 | |||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||
Residential mortgage-backed agency | - | 283 | - | - | 283 | |||||||||||||||
Residential mortgage-backed non-agency | - | 22 | - | - | 22 | |||||||||||||||
Commercial mortgage-backed | - | 21 | - | - | 21 | |||||||||||||||
Asset-backed securities: | ||||||||||||||||||||
Collateralized debt obligations | - | 114 | - | - | 114 | |||||||||||||||
Other asset-backed | - | 279 | 1 | - | 280 | |||||||||||||||
Total fixed-maturity investments | 763 | 2,261 | 1 | - | 3,025 | |||||||||||||||
Money market securities | 35 | - | - | - | 35 | |||||||||||||||
Perpetual debt and equity securities | 27 | 21 | - | - | 48 | |||||||||||||||
Fixed-income fund | - | - | - | - | 45 | (1) | ||||||||||||||
Cash and cash equivalents | 212 | - | - | - | 212 | |||||||||||||||
Derivative assets: | ||||||||||||||||||||
Non-insured derivative assets: | ||||||||||||||||||||
Interest rate derivatives | - | 1 | - | - | 1 |
Fair Value Measurements at Reporting Date Using | ||||||||||||||||||||
In millions | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Counterparty and Cash Collateral Netting | Balance as of June 30, 2020 | |||||||||||||||
Assets: | ||||||||||||||||||||
Fixed-maturity investments: | ||||||||||||||||||||
U.S. Treasury and government agency | $ | 771 | $ | 105 | $ | - | $ | - | $ | 876 | ||||||||||
State and municipal bonds | - | 192 | - | - | 192 | |||||||||||||||
Foreign governments | - | 15 | - | - | 15 | |||||||||||||||
Corporate obligations | - | 1,071 | - | - | 1,071 | |||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||
Residential mortgage-backed agency | - | 266 | - | - | 266 | |||||||||||||||
Residential mortgage-backed non-agency | - | 22 | - | - | 22 | |||||||||||||||
Commercial mortgage-backed | - | 25 | - | - | 25 | |||||||||||||||
Asset-backed securities: | ||||||||||||||||||||
Collateralized debt obligations | - | 125 | - | - | 125 | |||||||||||||||
Other asset-backed | - | 163 | 1 | - | 164 | |||||||||||||||
Total fixed-maturity investments | 771 | 1,984 | 1 | - | 2,756 | |||||||||||||||
Money market securities | 74 | - | - | - | 74 | |||||||||||||||
Perpetual debt and equity securities | 31 | 21 | - | - | 52 | |||||||||||||||
Fixed-income fund | - | - | - | - | 47 | (1) | ||||||||||||||
Cash and cash equivalents | 446 | - | - | - | 446 | |||||||||||||||
Derivative assets: | ||||||||||||||||||||
Non-insured derivative assets: | ||||||||||||||||||||
Interest rate derivatives | - | 1 | - | - | 1 |
Fair Value Measurements at Reporting Date Using | |||||||||||||||||||||
In millions | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Counterparty and Cash Collateral Netting | Balance as of March 31, 2020 | ||||||||||||||||
Assets of consolidated VIEs: | |||||||||||||||||||||
Corporate obligations | - | 8 | - | - | 8 | ||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||
Residential mortgage-backed non-agency | - | 38 | - | - | 38 | ||||||||||||||||
Commercial mortgage-backed | - | 15 | - | - | 15 | ||||||||||||||||
Asset-backed securities: | |||||||||||||||||||||
Collateralized debt obligations | - | 7 | - | - | 7 | ||||||||||||||||
Other asset-backed | - | 7 | - | - | 7 | ||||||||||||||||
Cash | 5 | - | - | - | 5 | ||||||||||||||||
Loans receivable at fair value: | |||||||||||||||||||||
Residential loans receivable | - | - | 98 | - | 98 | ||||||||||||||||
Loan repurchase commitments | - | - | 506 | - | 506 | ||||||||||||||||
Other assets: | |||||||||||||||||||||
Currency derivatives | - | - | 18 | - | 18 | ||||||||||||||||
Other | - | - | 15 | - | 15 | ||||||||||||||||
Total assets | $ | 1,042 | $ | 2,358 | $ | 638 | $ | - | $ | 4,083 | |||||||||||
Liabilities: | |||||||||||||||||||||
Medium-term notes | $ | - | $ | - | $ | 98 | $ | - | $ | 98 | |||||||||||
Derivative liabilities: | |||||||||||||||||||||
Insured derivatives: | |||||||||||||||||||||
Credit derivatives | - | 2 | 8 | - | 10 | ||||||||||||||||
Non-insured derivatives: | |||||||||||||||||||||
Interest rate derivatives | - | 190 | - | (31 | ) | 159 | |||||||||||||||
Other | - | - | 37 | - | 37 | ||||||||||||||||
Liabilities of consolidated VIEs: | |||||||||||||||||||||
Variable interest entity notes | - | 50 | 281 | - | 331 | ||||||||||||||||
Total liabilities | $ | - | $ | 242 | $ | 424 | $ | (31 | ) | $ | 635 | ||||||||||
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) | Counterparty and Cash Collateral Netting | Balance as of June 30, 2020 | |||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||
Corporate obligations | - | 6 | - | - | 6 | |||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||
Residential mortgage-backed non-agency | - | 40 | - | - | 40 | |||||||||||||||
Commercial mortgage-backed | - | 15 | - | - | 15 | |||||||||||||||
Asset-backed securities: | ||||||||||||||||||||
Collateralized debt obligations | - | 8 | - | - | 8 | |||||||||||||||
Other asset-backed | - | 7 | - | - | 7 | |||||||||||||||
Cash | 8 | - | - | - | 8 | |||||||||||||||
Loans receivable at fair value: | ||||||||||||||||||||
Residential loans receivable | - | - | 116 | - | 116 | |||||||||||||||
Loan repurchase commitments | - | - | 524 | - | 524 | |||||||||||||||
Other assets: | ||||||||||||||||||||
Currency derivatives | - | - | 14 | - | 14 | |||||||||||||||
Other | - | - | 14 | - | 14 | |||||||||||||||
Total assets | $ | 1,330 | $ | 2,082 | $ | 669 | $ | - | $ | 4,128 | ||||||||||
Liabilities: | ||||||||||||||||||||
Medium-term notes | $ | - | $ | - | $ | 96 | $ | - | $ | 96 | ||||||||||
Derivative liabilities: | ||||||||||||||||||||
Insured derivatives: | ||||||||||||||||||||
Credit derivatives | - | 2 | 8 | - | 10 | |||||||||||||||
Non-insured derivatives: | ||||||||||||||||||||
Interest rate derivatives | - | 189 | - | (3 | ) | 186 | ||||||||||||||
Other | - | - | 37 | - | 37 | |||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||
Variable interest entity notes | - | 51 | 291 | - | 342 | |||||||||||||||
Total liabilities | $ | - | $ | 242 | $ | 432 | $ | (3 | ) | $ | 671 | |||||||||
(1) - | Investment that was measured at fair value by applying the net asset value per share practical expedient, and was required not to be classified in the fair value hierarchy. |
Fair Value Measurements at Reporting Date Using | |||||||||||||||||
Quoted Prices in | Significant | ||||||||||||||||
Active Markets | Other | Significant | |||||||||||||||
for Identical | Observable | Unobservable | Balance as of | ||||||||||||||
Assets | Inputs | Inputs | December 31, | ||||||||||||||
In millions | (Level 1) | (Level 2) | (Level 3) | 2019 | |||||||||||||
Assets: | |||||||||||||||||
Fixed-maturity investments: | |||||||||||||||||
U.S. Treasury and government agency | $ | 791 | $ | 97 | $ | - | $ | 888 | |||||||||
State and municipal bonds | - | 200 | - | 200 | |||||||||||||
Foreign governments | - | 10 | - | 10 | |||||||||||||
Corporate obligations | - | 1,266 | - | 1,266 | |||||||||||||
Mortgage-backed securities: | |||||||||||||||||
Residential mortgage-backed agency | - | 330 | - | 330 | |||||||||||||
Residential mortgage-backed non-agency | - | 19 | - | 19 | |||||||||||||
Commercial mortgage-backed | - | 22 | - | 22 | |||||||||||||
Asset-backed securities: | |||||||||||||||||
Collateralized debt obligations | - | 140 | - | 140 | |||||||||||||
Other asset-backed | - | 326 | 1 | 327 | |||||||||||||
Total fixed-maturity investments | 791 | 2,410 | 1 | 3,202 | |||||||||||||
Money market securities | 154 | - | - | 154 | |||||||||||||
Perpetual debt and equity securities | 30 | 25 | - | 55 | |||||||||||||
Fixed-income fund | - | - | - | 51 | (1) | ||||||||||||
Cash and cash equivalents | 75 | - | - | 75 | |||||||||||||
Derivative assets: | |||||||||||||||||
Non-insured derivative assets: | |||||||||||||||||
Interest rate derivatives | - | 1 | - | 1 |
Fair Value Measurements at Reporting Date Using | ||||||||||||||||
Quoted Prices in | Significant | |||||||||||||||
Active Markets | Other | Significant | ||||||||||||||
for Identical | Observable | Unobservable | Balance as of | |||||||||||||
Assets | Inputs | Inputs | December 31, | |||||||||||||
In millions | (Level 1) | (Level 2) | (Level 3) | 2019 | ||||||||||||
Assets: | ||||||||||||||||
Fixed-maturity investments: | ||||||||||||||||
U.S. Treasury and government agency | $ | 791 | $ | 97 | $ | - | $ | 888 | ||||||||
State and municipal bonds | - | 200 | - | 200 | ||||||||||||
Foreign governments | - | 10 | - | 10 | ||||||||||||
Corporate obligations | - | 1,266 | - | 1,266 | ||||||||||||
Mortgage-backed securities: | ||||||||||||||||
Residential mortgage-backed agency | - | 330 | - | 330 | ||||||||||||
Residential mortgage-backed non-agency | - | 19 | - | 19 | ||||||||||||
Commercial mortgage-backed | - | 22 | - | 22 | ||||||||||||
Asset-backed securities: | ||||||||||||||||
Collateralized debt obligations | - | 140 | - | 140 | ||||||||||||
Other asset-backed | - | 326 | 1 | 327 | ||||||||||||
Total fixed-maturity investments | 791 | 2,410 | 1 | 3,202 | ||||||||||||
Money market securities | 154 | - | - | 154 | ||||||||||||
Perpetual debt and equity securities | 30 | 25 | - | 55 | ||||||||||||
Fixed-income fund | - | - | - | 51 | (1) | |||||||||||
Cash and cash equivalents | 75 | - | - | 75 | ||||||||||||
Derivative assets: | ||||||||||||||||
Non-insured derivative assets: | ||||||||||||||||
Interest rate derivatives | - | 1 | - | 1 |
Fair Value Measurements at Reporting Date Using | ||||||||||||||||
In millions | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Balance as of December 31, 2019 | ||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||
Corporate obligations | - | 8 | - | 8 | ||||||||||||
Mortgage-backed securities: | ||||||||||||||||
Residential mortgage-backed non-agency | - | 45 | - | 45 | ||||||||||||
Commercial mortgage-backed | - | 16 | - | 16 | ||||||||||||
Asset-backed securities: | ||||||||||||||||
Collateralized debt obligations | - | 6 | - | 6 | ||||||||||||
Other asset-backed | - | 8 | - | 8 | ||||||||||||
Cash | 8 | - | - | 8 | ||||||||||||
Loans receivable at fair value: | ||||||||||||||||
Residential loans receivable | - | - | 136 | 136 | ||||||||||||
Loan repurchase commitments | - | - | 486 | 486 | ||||||||||||
Other assets: | ||||||||||||||||
Currency derivatives | - | - | 8 | 8 | ||||||||||||
Other | - | - | 18 | 18 | ||||||||||||
Total assets | $ | 1,058 | $ | 2,519 | $ | 649 | $ | 4,277 | ||||||||
Liabilities: | ||||||||||||||||
Medium-term notes | $ | - | $ | - | $ | 108 | $ | 108 | ||||||||
Derivative liabilities: | ||||||||||||||||
Insured derivatives: | ||||||||||||||||
Credit derivatives | - | 2 | 7 | 9 | ||||||||||||
Non-insured derivatives: | ||||||||||||||||
Interest rate derivatives | - | 132 | - | 132 | ||||||||||||
Other | - | - | 34 | 34 | ||||||||||||
Other liabilities: | ||||||||||||||||
Other payable | - | - | 4 | 4 | ||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||
Variable interest entity notes | - | 56 | 347 | 403 | ||||||||||||
Total liabilities | $ | - | $ | 190 | $ | 500 | $ | 690 | ||||||||
Fair Value Measurements at Reporting Date Using | |||||||||||||||||
In millions | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Balance as of December 31, 2019 | |||||||||||||
Assets of consolidated VIEs: | |||||||||||||||||
Corporate obligations | - | 8 | - | 8 | |||||||||||||
Mortgage-backed securities: | |||||||||||||||||
Residential mortgage-backed non-agency | - | 45 | - | 45 | |||||||||||||
Commercial mortgage-backed | - | 16 | - | 16 | |||||||||||||
Asset-backed securities: | |||||||||||||||||
Collateralized debt obligations | - | 6 | - | 6 | |||||||||||||
Other asset-backed | - | 8 | - | 8 | |||||||||||||
Cash | 8 | - | - | 8 | |||||||||||||
Loans receivable at fair value: | |||||||||||||||||
Residential loans receivable | - | - | 136 | 136 | |||||||||||||
Loan repurchase commitments | - | - | 486 | 486 | |||||||||||||
Other assets: | |||||||||||||||||
Currency derivatives | - | - | 8 | 8 | |||||||||||||
Other | - | - | 18 | 18 | |||||||||||||
Total assets | $ | 1,058 | $ | 2,519 | $ | 649 | $ | 4,277 | |||||||||
Liabilities: | |||||||||||||||||
Medium-term notes | $ | - | $ | - | $ | 108 | $ | 108 | |||||||||
Derivative liabilities: | |||||||||||||||||
Insured derivatives: | |||||||||||||||||
Credit derivatives | - | 2 | 7 | 9 | |||||||||||||
Non-insured derivatives: | |||||||||||||||||
Interest rate derivatives | - | 132 | - | 132 | |||||||||||||
Other | - | - | 34 | 34 | |||||||||||||
Other liabilities: | |||||||||||||||||
Other payable | - | - | 4 | 4 | |||||||||||||
Liabilities of consolidated VIEs: | |||||||||||||||||
Variable interest entity notes | - | 56 | 347 | 403 | |||||||||||||
�� | |||||||||||||||||
Total liabilities | $ | - | $ | 190 | $ | 500 | $ | 690 | |||||||||
(1) - |
Fair Value Measurements at Reporting Date Using | 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 March 31, 2020 | Carry Value Balance as of March 31, 2020 | 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 June 30, 2020 | Carry Value Balance as of June 30, 2020 | ||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||
Investments held-to-maturity | $ | - | $ | - | $ | 572 | $ | 572 | $ | 529 | $ | - | $ | - | $ | 574 | $ | 574 | $ | 552 | ||||||||||||||||||||
Total assets | $ | - | $ | - | $ | 572 | $ | 572 | $ | 529 | $ | - | $ | - | $ | 574 | $ | 574 | $ | 552 | ||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||||
Long-term debt | $ | - | $ | 856 | $ | - | $ | 856 | $ | 2,261 | $ | - | $ | 749 | $ | - | $ | 749 | $ | 2,289 | ||||||||||||||||||||
Medium-term notes | - | - | 377 | 377 | 563 | - | - | 363 | 363 | 571 | ||||||||||||||||||||||||||||||
Investment agreements | - | - | 415 | 415 | 295 | - | - | 407 | 407 | 289 | ||||||||||||||||||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||
Variable interest entity notes | - | 261 | 570 | 831 | 829 | - | 223 | 573 | 796 | 836 | ||||||||||||||||||||||||||||||
Total liabilities | $ | - | $ | 1,117 | $ | 1,362 | $ | 2,479 | $ | 3,948 | $ | - | $ | 972 | $ | 1,343 | $ | 2,315 | $ | 3,985 | ||||||||||||||||||||
Financial Guarantees: | ||||||||||||||||||||||||||||||||||||||||
Gross liability (recoverable) | $ | - | $ | - | $ | 723 | $ | 723 | $ | (177 | ) | $ | - | $ | - | $ | 861 | $ | 861 | $ | (81 | ) | ||||||||||||||||||
Ceded | - | - | 51 | 51 | 15 | - | - | 48 | 48 | 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, 2019 | Carry Value Balance as of December 31, 2019 | |||||||||||||||
Assets: | ||||||||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||
Investments held-to-maturity | $ | - | $ | - | $ | 892 | $ | 892 | $ | 890 | ||||||||||
Total assets | $ | - | $ | - | $ | 892 | $ | 892 | $ | 890 | ||||||||||
Liabilities: | ||||||||||||||||||||
Long-term debt | $ | - | $ | 1,073 | $ | - | $ | 1,073 | $ | 2,228 | ||||||||||
Medium-term notes | - | - | 396 | 396 | 570 | |||||||||||||||
Investment agreements | - | - | 394 | 394 | 304 | |||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||
Variable interest entity notes | - | 261 | 892 | 1,153 | 1,136 | |||||||||||||||
Total liabilities | $ | - | $ | 1,334 | $ | 1,682 | $ | 3,016 | $ | 4,238 | ||||||||||
Financial Guarantees: | ||||||||||||||||||||
Gross liability (recoverable) | $ | - | $ | - | $ | 556 | $ | 556 | $ | (311 | ) | |||||||||
Ceded | - | - | 56 | 56 | 24 |
Fair Value Measurements at Reporting Date Using | ||||||||||||||||||||
In millions | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value Balance as of December 31, 2019 | Carry Value Balance as of December 31, 2019 | |||||||||||||||
Assets: | ||||||||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||
Investments held-to-maturity | $ | - | $ | - | $ | 892 | $ | 892 | $ | 890 | ||||||||||
Total assets | $ | - | $ | - | $ | 892 | $ | 892 | $ | 890 | ||||||||||
Liabilities: | ||||||||||||||||||||
Long-term debt | $ | - | $ | 1,073 | $ | - | $ | 1,073 | $ | 2,228 | ||||||||||
Medium-term notes | - | - | 396 | 396 | 570 | |||||||||||||||
Investment agreements | - | - | 394 | 394 | 304 | |||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||
Variable interest entity notes | - | 261 | 892 | 1,153 | 1,136 | |||||||||||||||
Total liabilities | $ | - | $ | 1,334 | $ | 1,682 | $ | 3,016 | $ | 4,238 | ||||||||||
Financial Guarantees: | ||||||||||||||||||||
Gross liability (recoverable) | $ | - | $ | - | $ | 556 | $ | 556 | $ | (311 | ) | |||||||||
Ceded | - | - | 56 | 56 | 24 |
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 June 30, 2020 | Change in Unrealized Gains (Losses) for the Period Included in OCI for Assets still held as of June 30, 2020 (1) | ||||||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Other asset-backed | $ | 1 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 1 | $ | - | $ | - | ||||||||||||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||
Loans receivable-residential | 98 | 22 | - | - | - | (4 | ) | - | - | - | 116 | 20 | - | |||||||||||||||||||||||||||||||||||
Loan repurchase commitments | 506 | 18 | - | - | - | - | - | - | - | 524 | 18 | - | ||||||||||||||||||||||||||||||||||||
Currency derivatives | 18 | (4 | ) | - | - | - | - | - | - | - | 14 | (4 | ) | - | ||||||||||||||||||||||||||||||||||
Other | 15 | (1 | ) | - | - | - | - | - | - | - | 14 | (1 | ) | - | ||||||||||||||||||||||||||||||||||
Total assets | $ | 638 | $ | 35 | $ | - | $ | - | $ | - | $ | (4 | ) | $ | - | $ | - | $ | - | $ | 669 | $ | 33 | $ | - | |||||||||||||||||||||||
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 June 30, 2020 | Change in Unrealized (Gains) Losses for the Period Included in OCI for Liabilities still held as of June 30, 2020 (2) | ||||||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||
Medium-term notes | $ | 98 | $ | (1 | ) | $ | (1 | ) | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 96 | $ | (1 | ) | $ | (1 | ) | ||||||||||||||||||||
Credit derivatives | 8 | - | - | - | - | - | - | - | - | 8 | - | - | ||||||||||||||||||||||||||||||||||||
Other derivatives | 37 | - | - | - | - | - | - | - | - | 37 | - | - | ||||||||||||||||||||||||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||
VIE notes | 281 | 16 | (3 | ) | - | - | (3 | ) | - | - | - | 291 | 15 | (3 | ) | |||||||||||||||||||||||||||||||||
Total liabilities | $ | 424 | $ | 15 | $ | (4 | ) | $ | - | $ | - | $ | (3 | ) | $ | - | $ | - | $ | - | $ | 432 | $ | 14 | $ | (4 | ) | |||||||||||||||||||||
(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 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 March 31, 2020 | Change in Unrealized Gains (Losses) for the Period Included in OCI for Assets still held as of March 31, 2020 (1) | Balance, Beginning of Period | Total Gains / (Losses) Included in Earnings | Unrealized Gains / (Losses) Included in OCI | Purchases | Issuances | Settlements | Sales | Transfers into Level 3 (1) | Transfers out of Level 3 (1) | Ending Balance | Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets still held as of June 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commercial mortgage-backed | $ | 6 | $ | - | $ | - | $ | - | $ | - | $ | (2 | ) | $ | - | $ | - | $ | - | $ | 4 | $ | - | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other asset-backed | $ | 1 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 1 | $ | - | $ | - | 2 | (1 | ) | - | - | - | - | - | - | - | 1 | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loans receivable- residential | 136 | (35 | ) | - | - | - | (3 | ) | - | - | - | 98 | (35 | ) | - | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate obligations | 5 | - | - | - | - | (2 | ) | - | - | (3 | ) | - | - | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Collateralized debt obligations | 1 | - | - | - | - | - | (1 | ) | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loans receivable-residential | 206 | 1 | - | - | - | (5 | ) | (48 | ) | - | - | 154 | (1 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loan repurchase commitments | 486 | 20 | - | - | - | - | - | - | - | 506 | 20 | - | 420 | 8 | - | - | - | - | - | - | - | 428 | 8 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Currency derivatives | 8 | 10 | - | - | - | - | - | - | - | 18 | 10 | - | 14 | (3 | ) | - | - | - | - | - | - | - | 11 | (3 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other | 18 | (3 | ) | - | - | - | - | - | - | - | 15 | (3 | ) | - | 15 | - | - | - | - | - | - | - | - | 15 | - | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets | $ | 649 | $ | (8 | ) | $ | - | $ | - | $ | - | $ | (3 | ) | $ | - | $ | - | $ | - | $ | 638 | $ | (8 | ) | $ | - | $ | 669 | $ | 5 | $ | - | $ | - | $ | - | $ | (9 | ) | $ | (49 | ) | $ | - | $ | (3 | ) | $ | 613 | $ | 4 | ||||||||||||||||||||||||||||||||||||||||
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 March 31, 2020 | Change in Unrealized (Gains) Losses for the Period Included in OCI for Liabilities still held as of March 31, 2020 (2) | ||||||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||
Medium-term notes | $ | 108 | $ | 2 | $ | (12 | ) | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 98 | $ | 2 | $ | (12 | ) | ||||||||||||||||||||||
Credit derivatives | 7 | 1 | - | - | - | - | - | - | - | 8 | 1 | - | ||||||||||||||||||||||||||||||||||||
Other derivatives | 34 | 3 | - | - | - | - | - | - | - | 37 | 3 | - | ||||||||||||||||||||||||||||||||||||
Other payable | 4 | - | - | - | - | (4 | ) | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||
VIE notes | 347 | (25 | ) | (36 | ) | - | - | (5 | ) | - | - | - | 281 | (28 | ) | (34 | ) | |||||||||||||||||||||||||||||||
Total liabilities | $ | 500 | $ | (19 | ) | $ | (48 | ) | $ | - | $ | - | $ | (9 | ) | $ | - | $ | - | $ | - | $ | 424 | $ | (22 | ) | $ | (46 | ) | |||||||||||||||||||
In millions | Balance, Beginning of Period | Total (Gains) / Losses Included in Earnings | Unrealized (Gains) / Losses Included in OCI | Purchases | Issuances | Settlements | Sales | Transfers into Level 3 (1) | Transfers out of Level 3 (1) | Ending Balance | Change in Unrealized (Gains) Losses for the Period Included in Earnings for Liabilities still held as of June 30, 2019 | |||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||
Medium-term notes | $ | 106 | $ | (3 | ) | $ | 10 | $ | - | $ | - | $ | (3 | ) | $ | - | $ | - | $ | - | $ | 110 | $ | (2 | ) | |||||||||||||||||||
Credit derivatives | 19 | 1 | - | - | - | (2 | ) | - | - | - | 18 | - | ||||||||||||||||||||||||||||||||
Other derivatives | 7 | 9 | - | - | - | - | - | - | - | 16 | 9 | |||||||||||||||||||||||||||||||||
Other payable | 3 | - | - | - | - | - | - | - | - | 3 | - | |||||||||||||||||||||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||
VIE notes | 397 | 9 | (1 | ) | - | - | (3 | ) | (60 | ) | - | - | 342 | 10 | ||||||||||||||||||||||||||||||
Total liabilities | $ | 532 | $ | 16 | $ | 9 | $ | - | $ | - | $ | (8 | ) | $ | (60 | ) | $ | - | $ | - | $ | 489 | $ | 17 | ||||||||||||||||||||
(1) - | Transferred in and out at the end of the period. |
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 June 30, 2020 | Change in Unrealized Gains (Losses) for the Period Included in OCI for Assets still held as of June 30, 2020 (1) | ||||||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Other asset-backed | $ | 1 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 1 | $ | - | $ | - | ||||||||||||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||
Loans receivable- residential | 136 | (13 | ) | - | - | - | (7 | ) | - | - | - | 116 | (14 | ) | - | |||||||||||||||||||||||||||||||||
Loan repurchase commitments | 486 | 38 | - | - | - | - | - | - | - | 524 | 38 | - | ||||||||||||||||||||||||||||||||||||
Currency derivatives | 8 | 6 | - | - | - | - | - | - | - | 14 | 6 | - | ||||||||||||||||||||||||||||||||||||
Other | 18 | (4 | ) | - | - | - | - | - | - | - | 14 | (4 | ) | - | ||||||||||||||||||||||||||||||||||
Total assets | $ | 649 | $ | 27 | $ | - | $ | - | $ | - | $ | (7 | ) | $ | - | $ | - | $ | - | $ | 669 | $ | 26 | $ | - | |||||||||||||||||||||||
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 June 30, 2020 | Change in Unrealized (Gains) Losses for the Period Included in OCI for Liabilities still held as of June 30, 2020 (2) | ||||||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||
Medium-term notes | $ | 108 | $ | 1 | $ | (13 | ) | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 96 | $ | 1 | $ | (13 | ) | ||||||||||||||||||||||
Credit derivatives | 7 | 1 | - | - | - | - | - | - | - | 8 | 1 | - | ||||||||||||||||||||||||||||||||||||
Other derivatives | 34 | 3 | - | - | - | - | - | - | - | 37 | 3 | - | ||||||||||||||||||||||||||||||||||||
Other payable | 4 | - | - | - | - | (4 | ) | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||
VIE notes | 347 | (9 | ) | (38 | ) | - | - | (9 | ) | - | - | - | 291 | (12 | ) | (37 | ) | |||||||||||||||||||||||||||||||
Total liabilities | $ | 500 | $ | (4 | ) | $ | (51 | ) | $ | - | $ | - | $ | (13 | ) | $ | - | $ | - | $ | - | $ | 432 | $ | (7 | ) | $ | (50 | ) | |||||||||||||||||||
(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 | Purchases | Issuances | Settlements | Sales | Transfers into Level 3 (1) | Transfers out of Level 3 (1) | Ending Balance | Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets still held as of June 30, 2019 | |||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||||||||
Commercial mortgage-backed | 7 | - | - | - | - | (3 | ) | - | - | - | 4 | - | ||||||||||||||||||||||||||||||||
Other asset-backed | 3 | (1 | ) | - | - | - | (1 | ) | - | - | - | 1 | - | |||||||||||||||||||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||
Corporate obligations | 5 | - | - | - | - | (2 | ) | - | - | (3 | ) | - | - | |||||||||||||||||||||||||||||||
Collateralized debt obligations | 1 | - | - | - | - | - | (1 | ) | - | - | - | - | ||||||||||||||||||||||||||||||||
Loans receivable-residential | 172 | 43 | - | - | - | (13 | ) | (48 | ) | - | - | 154 | 38 | |||||||||||||||||||||||||||||||
Loan repurchase commitments | 418 | 10 | - | - | - | - | - | - | - | 428 | 10 | |||||||||||||||||||||||||||||||||
Currency derivatives | 17 | (6 | ) | - | - | - | - | - | - | - | 11 | (6 | ) | |||||||||||||||||||||||||||||||
Other | 14 | 1 | - | - | - | - | - | - | - | 15 | 1 | |||||||||||||||||||||||||||||||||
Total assets | $ | 637 | $ | 47 | $ | - | $ | - | $ | - | $ | (19 | ) | $ | (49 | ) | $ | - | $ | (3 | ) | $ | 613 | $ | 43 | |||||||||||||||||||
In millions | Balance, Beginning of Year | Total (Gains) / Losses Included in Earnings | Unrealized (Gains) / Losses Included in OCI | Purchases | Issuances | Settlements | Sales | Transfers into Level 3 (1) | Transfers out of Level 3 (1) | Ending Balance | Change in Unrealized (Gains) Losses for the Period Included in Earnings for Liabilities still held as of June 30, 2019 | |||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||
Medium-term notes | $ | 102 | $ | 5 | $ | 6 | $ | - | $ | - | $ | (3 | ) | $ | - | $ | - | $ | - | $ | 110 | $ | 4 | |||||||||||||||||||||
Credit derivatives | 33 | (13 | ) | - | - | - | (2 | ) | - | - | - | 18 | (14 | ) | ||||||||||||||||||||||||||||||
Other derivatives | 7 | 9 | - | - | - | - | - | - | - | 16 | 9 | |||||||||||||||||||||||||||||||||
Other payable | 5 | 1 | - | - | - | (3 | ) | - | - | - | 3 | 1 | ||||||||||||||||||||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||
VIE notes | 366 | 50 | (7 | ) | - | 4 | (11 | ) | (60 | ) | - | - | 342 | 43 | ||||||||||||||||||||||||||||||
Total liabilities | $ | 513 | $ | 52 | $ | (1 | ) | $ | - | $ | 4 | $ | (19 | ) | $ | (60 | ) | $ | - | $ | - | $ | 489 | $ | 43 | |||||||||||||||||||
(1) - | Transferred in and out at the end of the period. |
In millions | Balance, Beginning of Period | Total Gains / (Losses) Included in Earnings | Unrealized Gains / (Losses) Included in OCI | Purchases | Issuances | Settlements | Sales | Transfers into Level 3 (1) | Transfers out of Level 3 (1) | Ending Balance | Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets still held as of March 31, 2019 | |||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||||||||
Commercial mortgage-backed | $ | 7 | $ | - | $ | - | $ | - | $ | - | $ | (1 | ) | $ | - | $ | - | $ | - | $ | 6 | $ | - | |||||||||||||||||||||
Other asset-backed | 3 | - | - | - | - | (1 | ) | - | - | - | 2 | - | ||||||||||||||||||||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||
Corporate obligations | 5 | - | - | - | - | - | - | - | - | 5 | - | |||||||||||||||||||||||||||||||||
Collateralized debt obligations | 1 | - | - | - | - | - | - | - | - | 1 | - | |||||||||||||||||||||||||||||||||
Loans receivable-residential | 172 | 42 | - | - | - | (8 | ) | - | - | - | 206 | 42 | ||||||||||||||||||||||||||||||||
Loan repurchase commitments | 418 | 2 | - | - | - | - | - | - | - | 420 | 2 | |||||||||||||||||||||||||||||||||
Currency derivatives | 17 | (3 | ) | - | - | - | - | - | - | - | 14 | (3 | ) | |||||||||||||||||||||||||||||||
Other | 14 | 1 | - | - | - | - | - | - | - | 15 | 1 | |||||||||||||||||||||||||||||||||
Total assets | $ | 637 | $ | 42 | $ | - | $ | - | $ | - | $ | (10 | ) | $ | - | $ | - | $ | - | $ | 669 | $ | 42 | |||||||||||||||||||||
In millions | Balance, Beginning of Period | Total (Gains) / Losses Included in Earnings | Unrealized (Gains) / Losses Included in OCI | Purchases | Issuances | Settlements | Sales | Transfers into Level 3 (1) | Transfers out of Level 3 (1) | Ending Balance | Change in Unrealized (Gains) Losses for the Period Included in Earnings for Liabilities still held as of March 31, 2019 | |||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||
Medium-term notes | $ | 102 | $ | 8 | $ | (4 | ) | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 106 | $ | 7 | |||||||||||||||||||||
Credit derivatives | 33 | (14 | ) | - | - | - | - | - | - | - | 19 | (14 | ) | |||||||||||||||||||||||||||||||
Other derivatives | 7 | - | - | - | - | - | - | - | - | 7 | - | |||||||||||||||||||||||||||||||||
Other payable | 5 | 1 | - | - | - | (3 | ) | - | - | - | 3 | 1 | ||||||||||||||||||||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||
VIE notes | 366 | 41 | (7 | ) | - | 5 | (8 | ) | - | - | - | 397 | 32 | |||||||||||||||||||||||||||||||
Total liabilities | $ | 513 | $ | 36 | $ | (11 | ) | $ | - | $ | 5 | $ | (11 | ) | $ | - | $ | - | $ | - | $ | 532 | $ | 26 | ||||||||||||||||||||
Three Months Ended March 31, 2020 | Three Months Ended March 31, 2019 | |||||||||||||||
Change in | Change in | |||||||||||||||
Unrealized | Unrealized | |||||||||||||||
Gains (Losses) | Gains (Losses) | |||||||||||||||
for the | for the | |||||||||||||||
Period Included | Period Included | |||||||||||||||
in Earnings | in Earnings | |||||||||||||||
for Assets | for Assets | |||||||||||||||
and | and | |||||||||||||||
Total Gains | Liabilities still | Total Gains | Liabilities still | |||||||||||||
(Losses) | held as of | (Losses) | held as of | |||||||||||||
Included | March 31, | Included | March 31, | |||||||||||||
In millions | in Earnings | 2020 | in Earnings | 2019 | ||||||||||||
Revenues: | ||||||||||||||||
Unrealized gains (losses) on insured derivatives | $ | (1 | ) | $ | (1 | ) | $ | 14 | $ | 14 | ||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | (5 | ) | (5 | ) | (7 | ) | (7 | ) | ||||||||
Other net realized gains (losses) | - | - | (1 | ) | (1 | ) | ||||||||||
Revenues of consolidated VIEs: | ||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 17 | 20 | 1 | 10 | ||||||||||||
Total | $ | 11 | $ | 14 | $ | 7 | $ | 16 | ||||||||
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||
In millions | 2020 | 2019 | 2020 | 2019 | 2020 | 2019 | ||||||||||||||||||
Investments carried at fair value (1) | $ | (20 | ) | $ | 6 | $ | 13 | $ | 4 | $ | (7 | ) | $ | 11 | ||||||||||
Fixed-maturity securities held at fair value-VIE (2) | (6 | ) | 26 | 4 | 26 | (2 | ) | 56 | ||||||||||||||||
Loans receivable at fair value: | ||||||||||||||||||||||||
Residential mortgage loans (2) | (35 | ) | 34 | 22 | 1 | (13 | ) | 43 | ||||||||||||||||
Loan repurchase commitments (2) | 20 | 2 | 18 | 9 | 38 | 10 | ||||||||||||||||||
Other assets-VIE (2) | (3 | ) | - | (1 | ) | - | (3 | ) | - | |||||||||||||||
Medium-term notes (1) | (2 | ) | (7 | ) | 1 | 3 | (1 | ) | (5 | ) | ||||||||||||||
Other liabilities (3) | - | (1 | ) | - | (1 | ) | - | (1 | ) | |||||||||||||||
Variable interest entity notes (2) | 27 | 84 | (18 | ) | (24 | ) | 9 | (80 | ) |
(1) - | Reported within “Net gains (losses) |
(2) - | Reported within “Net gains (losses) exchange-VIE” on MBIA’s consolidated statements of operations. |
(3) - | Reported within “Other net realized gains (losses)” on MBIA’s consolidated statements of operations. |
As of March 31, 2020 | As of December 31, 2019 | As of June 30, 2020 | As of December 31, 2019 | ||||||||||||||||||||||||||||||||||||||||||||||
Contractual | Contractual | Contractual | Contractual | ||||||||||||||||||||||||||||||||||||||||||||||
Outstanding | Fair | Outstanding | Fair | Outstanding | Fair | Outstanding | Fair | ||||||||||||||||||||||||||||||||||||||||||
In millions | Principal | Value | Difference | Principal | Value | Difference | Principal | Value | Difference | Principal | Value | Difference | |||||||||||||||||||||||||||||||||||||
Loans receivable at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||||
Residential mortgage loans | $ | 96 | $ | 87 | $ | 9 | $ | 107 | $ | 107 | $ | - | |||||||||||||||||||||||||||||||||||||
Residential mortgage loans - current | $ | 93 | $ | 93 | $ | - | $ | 107 | $ | 107 | $ | - | |||||||||||||||||||||||||||||||||||||
Residential mortgage loans (90 days or more past due) | 123 | 11 | 112 | 154 | 29 | 125 | 124 | 23 | 101 | 154 | 29 | 125 | |||||||||||||||||||||||||||||||||||||
Total loans receivable and other instruments at fair value | $ | 219 | $ | 98 | $ | 121 | $ | 261 | $ | 136 | $ | 125 | $ | 217 | $ | 116 | $ | 101 | $ | 261 | $ | 136 | $ | 125 | |||||||||||||||||||||||||
Variable interest entity notes | $ | 1,097 | $ | 331 | $ | 766 | $ | 1,126 | $ | 403 | $ | 723 | $ | 1,097 | $ | 342 | $ | 755 | $ | 1,126 | $ | 403 | $ | 723 | |||||||||||||||||||||||||
Medium-term notes | $ | 110 | $ | 98 | $ | 12 | $ | 112 | $ | 108 | $ | 4 | $ | 112 | $ | 96 | $ | 16 | $ | 112 | $ | 108 | $ | 4 |
March 31, 2020 | June 30, 2020 | ||||||||||||||||||||||||||||||||||||||||
In millions | Amortized Cost | Allowance for Credit Losses | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | 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 | $ | 758 | $ | - | $ | 101 | $ | - | $ | 859 | $ | 784 | $ | - | $ | 91 | $ | (1 | ) | $ | 874 | ||||||||||||||||||||
State and municipal bonds | 168 | - | 23 | - | 191 | 160 | - | 31 | - | 191 | |||||||||||||||||||||||||||||||
Foreign governments | 10 | - | - | (1 | ) | 9 | 13 | - | 1 | - | 14 | ||||||||||||||||||||||||||||||
Corporate obligations | 1,114 | - | 90 | (33 | ) | 1,171 | 915 | - | 79 | (6 | ) | 988 | |||||||||||||||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||||||||||||||||||||
Residential mortgage-backed agency | 266 | - | 8 | - | 274 | 250 | - | 9 | - | 259 | |||||||||||||||||||||||||||||||
Residential mortgage-backed non-agency | 27 | - | 1 | (7 | ) | 21 | 27 | - | - | (6 | ) | 21 | |||||||||||||||||||||||||||||
Commercial mortgage-backed | 20 | - | - | (1 | ) | 19 | 23 | - | 1 | - | 24 | ||||||||||||||||||||||||||||||
Asset-backed securities: | |||||||||||||||||||||||||||||||||||||||||
Collateralized debt obligations | 131 | - | - | (19 | ) | 112 | 128 | - | - | (6 | ) | 122 | |||||||||||||||||||||||||||||
Other asset-backed | 277 | - | - | (2 | ) | 275 | 158 | - | 1 | - | 159 | ||||||||||||||||||||||||||||||
Total AFS investments | $ | 2,771 | $ | - | $ | 223 | $ | (63 | ) | $ | 2,931 | $ | 2,458 | $ | - | $ | 213 | $ | (19 | ) | $ | 2,652 | |||||||||||||||||||
HTM Investments | |||||||||||||||||||||||||||||||||||||||||
Assets of consolidated VIEs: | |||||||||||||||||||||||||||||||||||||||||
Corporate obligations | $ | 575 | $ | (46 | ) | $ | 43 | $ | - | $ | 572 | $ | 575 | $ | (23 | ) | $ | 22 | $ | - | $ | 574 | |||||||||||||||||||
Total HTM investments | $ | 575 | $ | (46 | ) | $ | 43 | $ | - | $ | 572 | $ | 575 | $ | (23 | ) | $ | 22 | $ | - | $ | 574 | |||||||||||||||||||
December 31, 2019 | |||||||||||||||||||||
In millions | Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | Other-Than- Temporary Impairments (1) | ||||||||||||||||
AFS Investments | |||||||||||||||||||||
Fixed-maturity investments: | |||||||||||||||||||||
U.S. Treasury and government agency | $ | 838 | $ | 46 | $ | (2 | ) | $ | 882 | $ | - | ||||||||||
State and municipal bonds | 178 | 22 | - | 200 | - | ||||||||||||||||
Foreign governments | 8 | 1 | - | 9 | - | ||||||||||||||||
Corporate obligations | 1,140 | 52 | (1 | ) | 1,191 | - | |||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||
Residential mortgage-backed agency | 317 | 3 | - | 320 | - | ||||||||||||||||
Residential mortgage-backed non-agency | 23 | 1 | (5 | ) | 19 | - | |||||||||||||||
Commercial mortgage-backed | 20 | - | - | 20 | - | ||||||||||||||||
Asset-backed securities: | |||||||||||||||||||||
Collateralized debt obligations | 139 | - | (2 | ) | 137 | - | |||||||||||||||
Other asset-backed | 321 | 1 | (1 | ) | 321 | - | |||||||||||||||
Total AFS investments | $ | 2,984 | $ | 126 | $ | (11 | ) | $ | 3,099 | $ | - | ||||||||||
HTM Investments | |||||||||||||||||||||
Assets of consolidated VIEs: | |||||||||||||||||||||
Corporate obligations | $ | 890 | $ | 2 | $ | - | $ | 892 | $ | - | |||||||||||
Total HTM investments | $ | 890 | $ | 2 | $ | - | $ | 892 | $ | - | |||||||||||
December 31, 2019 | ||||||||||||||||||||
In millions | Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | Other-Than- Temporary Impairments (1) | |||||||||||||||
AFS Investments | ||||||||||||||||||||
Fixed-maturity investments: | ||||||||||||||||||||
U.S. Treasury and government agency | $ | 838 | $ | 46 | $ | (2 | ) | $ | 882 | $ | - | |||||||||
State and municipal bonds | 178 | 22 | - | 200 | - | |||||||||||||||
Foreign governments | 8 | 1 | - | 9 | - | |||||||||||||||
Corporate obligations | 1,140 | 52 | (1 | ) | 1,191 | - | ||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||
Residential mortgage-backed agency | 317 | 3 | - | 320 | - | |||||||||||||||
Residential mortgage-backed non-agency | 23 | 1 | (5 | ) | 19 | - | ||||||||||||||
Commercial mortgage-backed | 20 | - | - | 20 | - | |||||||||||||||
Asset-backed securities: | ||||||||||||||||||||
Collateralized debt obligations | 139 | - | (2 | ) | 137 | - | ||||||||||||||
Other asset-backed | 321 | 1 | (1 | ) | 321 | - | ||||||||||||||
Total AFS investments | $ | 2,984 | $ | 126 | $ | (11 | ) | $ | 3,099 | $ | - | |||||||||
HTM Investments | ||||||||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||
Corporate obligations | $ | 890 | $ | 2 | $ | - | $ | 892 | $ | - | ||||||||||
Total HTM investments | $ | 890 | $ | 2 | $ | - | $ | 892 | $ | - | ||||||||||
(1) - | Represents unrealized gains or losses on OTTI securities recognized in AOCI, which includes the non-credit component of impairments, as well as all subsequent changes in fair value of such impaired securities reported in AOCI. |
AFS Securities | HTM Securities | ||||||||||||||||
Consolidated VIEs | |||||||||||||||||
In millions | Net Amortized Cost | Fair Value | Net Amortized Cost | Fair Value | |||||||||||||
Due in one year or less | $ | 476 | $ | 476 | $ | - | $ | - | |||||||||
Due after one year through five years | 500 | 506 | - | - | |||||||||||||
Due after five years through ten years | 345 | 357 | - | - | |||||||||||||
Due after ten years | 729 | 891 | 529 | 572 | |||||||||||||
Mortgage-backed and asset-backed | 721 | 701 | - | - | |||||||||||||
Total fixed-maturity investments | $ | 2,771 | $ | 2,931 | $ | 529 | $ | 572 | |||||||||
AFS Securities | HTM Securities | |||||||||||||||
Consolidated VIEs | ||||||||||||||||
In millions | Net Amortized Cost | Fair Value | Net Amortized Cost | Fair Value | ||||||||||||
Due in one year or less | $ | 377 | $ | 378 | $ | - | $ | - | ||||||||
Due after one year through five years | 477 | 498 | - | - | ||||||||||||
Due after five years through ten years | 304 | 334 | - | - | ||||||||||||
Due after ten years | 714 | 857 | 552 | 574 | ||||||||||||
Mortgage-backed and asset-backed | 586 | 585 | - | - | ||||||||||||
Total fixed-maturity investments | $ | 2,458 | $ | 2,652 | $ | 552 | $ | 574 | ||||||||
March 31, 2020 | |||||||||||||||||||||||||
Less than 12 Months | 12 Months or Longer | Total | |||||||||||||||||||||||
Fair | Unrealized | Fair | Unrealized | Fair | Unrealized | ||||||||||||||||||||
In millions | Value | Losses | Value | Losses | Value | Losses | |||||||||||||||||||
AFS Investments | |||||||||||||||||||||||||
Fixed-maturity investments: | |||||||||||||||||||||||||
U.S. Treasury and government agency | $ | 4 | $ | - | $ | - | $ | - | $ | 4 | $ | - | |||||||||||||
State and municipal bonds | 31 | - | - | - | 31 | - | |||||||||||||||||||
Foreign governments | 7 | (1 | ) | - | - | 7 | (1 | ) | |||||||||||||||||
Corporate obligations | 482 | (31 | ) | 6 | (2 | ) | 488 | (33 | ) | ||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||||
Residential mortgage-backed non-agency | 9 | (1 | ) | 9 | (6 | ) | 18 | (7 | ) | ||||||||||||||||
Commercial mortgage-backed | 9 | (1 | ) | - | - | 9 | (1 | ) | |||||||||||||||||
Asset-backed securities: | |||||||||||||||||||||||||
Collateralized debt obligations | 49 | (4 | ) | 64 | (15 | ) | 113 | (19 | ) | ||||||||||||||||
Other asset-backed | 170 | (2 | ) | - | - | 170 | (2 | ) | |||||||||||||||||
Total AFS investments | $ | 761 | $ | (40 | ) | $ | 79 | $ | (23 | ) | $ | 840 | $ | (63 | ) | ||||||||||
June 30, 2020 | ||||||||||||||||||||||||
Less than 12 Months | 12 Months or Longer | Total | ||||||||||||||||||||||
Fair | Unrealized | Fair | Unrealized | Fair | Unrealized | |||||||||||||||||||
In millions | Value | Losses | Value | Losses | Value | Losses | ||||||||||||||||||
AFS Investments | ||||||||||||||||||||||||
Fixed-maturity investments: | ||||||||||||||||||||||||
U.S. Treasury and government agency | $ | 66 | $ | (1 | ) | $ | - | $ | - | $ | 66 | $ | (1 | ) | ||||||||||
State and municipal bonds | 1 | - | - | - | 1 | - | ||||||||||||||||||
Foreign governments | 5 | - | - | - | 5 | - | ||||||||||||||||||
Corporate obligations | 115 | (5 | ) | 7 | (1 | ) | 122 | (6 | ) | |||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||
Residential mortgage-backed agency | 19 | - | - | - | 19 | - | ||||||||||||||||||
Residential mortgage-backed non-agency | 3 | - | 10 | (6 | ) | 13 | (6 | ) | ||||||||||||||||
Commercial mortgage-backed | 5 | - | - | - | 5 | - | ||||||||||||||||||
Asset-backed securities: | ||||||||||||||||||||||||
Collateralized debt obligations | 46 | (1 | ) | 76 | (5 | ) | 122 | (6 | ) | |||||||||||||||
Other asset-backed | 16 | - | - | - | 16 | - | ||||||||||||||||||
Total AFS investments | $ | 276 | $ | (7 | ) | $ | 93 | $ | (12 | ) | $ | 369 | $ | (19 | ) | |||||||||
December 31, 2019 | December 31, 2019 | ||||||||||||||||||||||||||||||||||||||||||||||||
Less than 12 Months | 12 Months or Longer | Total | Less than 12 Months | 12 Months or Longer | Total | ||||||||||||||||||||||||||||||||||||||||||||
Fair | Unrealized | Fair | Unrealized | Fair | Unrealized | Fair | Unrealized | Fair | Unrealized | Fair | Unrealized | ||||||||||||||||||||||||||||||||||||||
In millions | Value | Losses | Value | Losses | Value | Losses | Value | Losses | Value | Losses | Value | Losses | |||||||||||||||||||||||||||||||||||||
AFS Investments | |||||||||||||||||||||||||||||||||||||||||||||||||
Fixed-maturity investments: | |||||||||||||||||||||||||||||||||||||||||||||||||
U.S. Treasury and government agency | $ | 148 | $ | (1 | ) | $ | 79 | $ | (1 | ) | $ | 227 | $ | (2 | ) | $ | 148 | $ | (1 | ) | $ | 79 | $ | (1 | ) | $ | 227 | $ | (2 | ) | |||||||||||||||||||
State and municipal bonds | 11 | - | 15 | - | 26 | - | 11 | - | 15 | - | 26 | - | |||||||||||||||||||||||||||||||||||||
Corporate obligations | 53 | (1 | ) | 10 | - | 63 | (1 | ) | 53 | (1 | ) | 10 | - | 63 | (1 | ) | |||||||||||||||||||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||||||||||||||||||||||||||||
Residential mortgage-backed agency | 62 | - | 7 | - | 69 | - | 62 | - | 7 | - | 69 | - | |||||||||||||||||||||||||||||||||||||
Residential mortgage-backed non-agency | - | - | 11 | (5 | ) | 11 | (5 | ) | - | - | 11 | (5 | ) | 11 | (5 | ) | |||||||||||||||||||||||||||||||||
Commercial mortgage-backed | 5 | - | - | - | 5 | - | 5 | - | - | - | 5 | - | |||||||||||||||||||||||||||||||||||||
Asset-backed securities: | |||||||||||||||||||||||||||||||||||||||||||||||||
Collateralized debt obligations | 44 | - | 77 | (2 | ) | 121 | (2 | ) | 44 | - | 77 | (2 | ) | 121 | (2 | ) | |||||||||||||||||||||||||||||||||
Other asset-backed | 48 | (1 | ) | 7 | - | 55 | (1 | ) | 48 | (1 | ) | 7 | - | 55 | (1 | ) | |||||||||||||||||||||||||||||||||
Total AFS investments | $ | 371 | $ | (3 | ) | $ | 206 | $ | (8 | ) | $ | 577 | $ | (11 | ) | $ | 371 | $ | (3 | ) | $ | 206 | $ | (8 | ) | $ | 577 | $ | (11 | ) | |||||||||||||||||||
AFS Securities | AFS Securities | ||||||||||||||||||||||||
Percentage of Fair Value Below Book Value | Number of Securities | Book Value (in millions) | Fair Value (in millions) | Number of Securities | Book Value (in millions) | Fair Value (in millions) | |||||||||||||||||||
> 5% to 15% | 8 | $ | 21 | $ | 20 | 20 | $ | 59 | $ | 54 | |||||||||||||||
> 15% to 25% | 18 | 48 | 38 | 5 | 2 | 2 | |||||||||||||||||||
> 25% to 50% | 13 | 33 | 21 | 4 | 14 | 8 | |||||||||||||||||||
> 50% | 2 | - | - | 2 | - | - | |||||||||||||||||||
Total | 41 | $ | 102 | $ | 79 | 31 | $ | 75 | $ | 64 | |||||||||||||||
In millions | Fair Value | Unrealized Loss | Insurance Loss Reserve (2) | ||||||||||
Mortgage-backed: | |||||||||||||
MBIA (1) | $ | 9 | $ | (6) | $ | 22 |
In millions | Fair Value | Unrealized Loss | Insurance Loss Reserve (1) | |||||||||
MBS | $ | 9 | (6) | 21 | ||||||||
Corporate obligations | 6 | - | - | |||||||||
Total | $ | 15 | $ | (6) | $ | 21 |
(1) - |
Insurance loss reserve estimates are based on the proportion of par value owned to the total amount of par value insured. |
In millions | Three Months Ended March 31, 2020 | ||||||||||||||||||||||||
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 March 31, 2020 | ||||||||||||||||||||
HTM Investments | |||||||||||||||||||||||||
Assets of consolidated VIEs: | |||||||||||||||||||||||||
Corporate obligations | $ | 37 | $ | 9 | $ | - | $ | - | $ | - | $ | 46 | |||||||||||||
Total Allowance on HTM investments | $ | 37 | $ | 9 | $ | - | $ | - | $ | - | $ | 46 | |||||||||||||
In millions | Six Months Ended June 30, 2020 | |||||||||||||||||||||||
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 June 30, 2020 | |||||||||||||||||||
HTM Investments | ||||||||||||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||||||
Corporate obligations | $ | 37 | $ | (14 | ) | $ | - | $ | - | $ | - | $ | 23 | |||||||||||
Total Allowance on HTM investments | $ | 37 | $ | (14 | ) | $ | - | $ | - | $ | - | $ | 23 | |||||||||||
40 |
In millions | Three Months Ended | ||||
Credit Losses Recognized in Earnings Related to Other-Than-Temporary Impairments | March 31, 2019 | ||||
Beginning balance | $ | 37 | |||
Additions for credit loss impairments recognized in the current period on securities previously impaired | 28 | ||||
Ending balance | $ | 65 | |||
In millions | Three Months Ended | Six Months Ended | ||||||
Credit Losses Recognized in Earnings Related to Other-Than-Temporary Impairments | June 30, 2019 | June 30, 2019 | ||||||
Beginning balance | $ | 65 | $ | 37 | ||||
Additions for credit loss impairments recognized in the current period on securities previously impaired | 9 | 37 | ||||||
Ending balance | $ | 74 | $ | 74 | ||||
Three Months Ended March 31, | |||||||||
In millions | 2020 | 2019 | |||||||
Proceeds from sales | $ | 279 | $ | 683 | |||||
Gross realized gains | $ | 11 | $ | 5 | |||||
Gross realized losses | $ | (8 | ) | $ | (1 | ) |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
In millions | 2020 | 2019 | 2020 | 2019 | ||||||||||||
Proceeds from sales | $ | 290 | $ | 684 | $ | 569 | $ | 1,367 | ||||||||
Gross realized gains | $ | 20 | $ | 16 | $ | 31 | $ | 21 | ||||||||
Gross realized losses | $ | (4 | ) | $ | (2 | ) | $ | (12 | ) | $ | (3 | ) |
Three Months Ended March 31, | |||||||||
In millions | 2020 | 2019 | |||||||
Net gains and (losses) recognized during the period on equity securities | $ | (13 | ) | $ | 5 | ||||
Less: | |||||||||
Net gains and (losses) recognized during the period on equity securities sold during the period | - | 1 | |||||||
Unrealized gains and (losses) recognized during the period on equity securities still held at the reporting date | $ | (13 | ) | $ | 4 | ||||
Three June 30, | Six June 30, | |||||||||||||||
In millions | 2020 | 2019 | 2020 | 2019 | ||||||||||||
Net gains (losses) recognized during the period on equity securities | $ | 8 | $ | 2 | $ | (5 | ) | $ | 7 | |||||||
Less: | ||||||||||||||||
Net gains (losses) recognized during the period on equity securities sold during the period | - | - | - | 1 | ||||||||||||
Unrealized gains (losses) recognized during the period on equity securities still held at the reporting date | $ | 8 | $ | 2 | $ | (5 | ) | $ | 6 | |||||||
$ in millions | As of March 31, 2020 | As of June 30, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Notional Value | Notional Value | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Credit Derivatives Sold | Weighted Average Remaining Expected Maturity | AAA | AA | A | BBB | Below Investment Grade | Total Notional | Fair Value Asset (Liability) | Weighted Average Remaining Expected Maturity | AAA | AA | A | BBB | Below Investment Grade | Total Notional | Fair Value Asset (Liability) | |||||||||||||||||||||||||||||||||||||||||||||||||
Insured credit default swaps | 0.8 Years | $ | - | $ | - | $ | - | $ | - | $ | 24 | $ | 24 | $ | (8 | ) | 0.5 Years | $ | - | $ | - | $ | - | $ | - | $ | 24 | $ | 24 | $ | (8 | ) | |||||||||||||||||||||||||||||||||
Insured swaps | 15.0 Years | - | 64 | 1,256 | 374 | - | 1,694 | (2 | ) | 14.2 Years | - | 115 | 1,324 | 363 | - | 1,802 | (2 | ) | |||||||||||||||||||||||||||||||||||||||||||||||
Total notional | $ | - | $ | 64 | $ | 1,256 | $ | 374 | $ | 24 | $ | 1,718 | $ | - | $ | 115 | $ | 1,324 | $ | 363 | $ | 24 | $ | 1,826 | |||||||||||||||||||||||||||||||||||||||||
Total fair value | $ | - | $ | - | $ | (1 | ) | $ | (1 | ) | $ | (8 | ) | $ | (10 | ) | $ | - | $ | - | $ | (1 | ) | $ | (1 | ) | $ | (8 | ) | $ | (10 | ) | |||||||||||||||||||||||||||||||||
$ in millions | As of December 31, 2019 | ||||||||||||||||||||||||||||||||
Notional Value | |||||||||||||||||||||||||||||||||
Credit Derivatives Sold | Weighted Average Remaining Expected Maturity | AAA | AA | A | BBB | Below Investment Grade | Total Notional | Fair Value Asset (Liability) | |||||||||||||||||||||||||
Insured credit default swaps | 1.0 Years | $ | - | $ | - | $ | - | $ | - | $ | 32 | $ | 32 | $ | (7 | ) | |||||||||||||||||
Insured swaps | 14.6 Years | - | 66 | 1,284 | 445 | - | 1,795 | (2 | ) | ||||||||||||||||||||||||
Total notional | $ | - | $ | 66 | $ | 1,284 | $ | 445 | $ | 32 | $ | 1,827 | |||||||||||||||||||||
Total fair value | $ | - | $ | - | $ | (1 | ) | $ | (1 | ) | $ | (7 | ) | $ | (9 | ) | |||||||||||||||||
$ in millions | As of December 31, 2019 | |||||||||||||||||||||||||||||||
Notional Value | ||||||||||||||||||||||||||||||||
Credit Derivatives Sold | Weighted Average Remaining Expected Maturity | AAA | AA | A | BBB | Below Investment Grade | Total Notional | Fair Value Asset (Liability) | ||||||||||||||||||||||||
Insured credit default swaps | 1.0 Years | $ | - | $ | - | $ | - | $ | - | $ | 32 | $ | 32 | $ | (7 | ) | ||||||||||||||||
Insured swaps | 14.0 Years | - | 121 | (1) | 1,371 | (2) | 433 | (3) | - | 1,925 | (4) | (2 | ) | |||||||||||||||||||
Total notional | $ | - | $ | 121 | $ | 1,371 | $ | 433 | $ | 32 | $ | 1,957 | ||||||||||||||||||||
Total fair value | $ | - | $ | - | $ | (1 | ) | $ | (1 | ) | $ | (7 | ) | $ | (9 | ) | ||||||||||||||||
(1) - | The Company revised its previously reported amount of $66 million to $121 million. |
(2) - | The Company revised its previously reported amount of $1,284 million to $1,371 million. |
(3) - | The Company revised its previously reported amount of $445 million to $433 million. |
(4) - | The Company revised its previously reported amount of $1,795 million to $1,925 million. |
In millions | Derivative Assets (1) | Derivative Liabilities (1) | Derivative Assets (1) | Derivative Liabilities (1) | ||||||||||||||||||||||||||||||||||||||
Derivative Instruments | Notional Amount Outstanding | Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | Notional Amount Outstanding | Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | ||||||||||||||||||||||||||||||||
Not designated as hedging instruments: | ||||||||||||||||||||||||||||||||||||||||||
Insured credit default swaps | $ | 24 | Other assets | $ | - | Derivative liabilities | $ | (8 | ) | $ | 24 | Other assets | $ | - | Derivative liabilities | $ | (8 | ) | ||||||||||||||||||||||||
Insured swaps | 1,694 | Other assets | - | Derivative liabilities | (2 | ) | 1,802 | Other assets | - | Derivative liabilities | (2 | ) | ||||||||||||||||||||||||||||||
Interest rate swaps | 439 | Other assets | 1 | Derivative liabilities | (190 | ) | 438 | Other assets | 1 | Derivative liabilities | (189 | ) | ||||||||||||||||||||||||||||||
Interest rate swaps-embedded | 227 | Medium-term notes | - | Medium-term notes | (10 | ) | 232 | Medium-term notes | - | Medium-term notes | (10 | ) | ||||||||||||||||||||||||||||||
Currency swaps-VIE | 57 | Other assets-VIE | 18 | Derivative liabilities-VIE | - | 57 | Other assets-VIE | 13 | Derivative liabilities-VIE | - | ||||||||||||||||||||||||||||||||
All other | 49 | Other assets | - | Derivative liabilities | (37 | ) | 49 | Other assets | - | Derivative liabilities | (37 | ) | ||||||||||||||||||||||||||||||
Total non-designated derivatives | $ | 2,490 | $ | 19 | $ | (247 | ) | $ | 2,602 | �� | $ | 14 | $ | (246 | ) | |||||||||||||||||||||||||||
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 credit default swaps | $ | 32 | Other assets | $ | - | Derivative liabilities | $ | (7 | ) | ||||||||||||
Insured swaps | 1,795 | Other assets | - | Derivative liabilities | (2 | ) | |||||||||||||||
Interest rate swaps | 441 | Other assets | 1 | Derivative liabilities | (132 | ) | |||||||||||||||
Interest rate swaps-embedded | 232 | Medium-term notes | - | Medium-term notes | (15 | ) | |||||||||||||||
Currency swaps-VIE | 58 | Other assets-VIE | 8 | Derivative liabilities-VIE | - | ||||||||||||||||
All other | 49 | Other assets | - | Derivative liabilities | (34 | ) | |||||||||||||||
Total non-designated derivatives | $ | 2,607 | $ | 9 | $ | (190 | ) | ||||||||||||||
(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 credit default swaps | $ | 32 | Other assets | $ | - | Derivative liabilities | $ | (7 | ) | |||||||||||
Insured swaps | 1,925 | (2) | Other assets | - | Derivative liabilities | (2 | ) | |||||||||||||
Interest rate swaps | 441 | Other assets | 1 | Derivative liabilities | (132 | ) | ||||||||||||||
Interest rate swaps-embedded | 232 | Medium-term notes | - | Medium-term notes | (15 | ) | ||||||||||||||
Currency swaps-VIE | 58 | Other assets-VIE | 8 | Derivative liabilities-VIE | - | |||||||||||||||
All other | 49 | Other assets | - | Derivative liabilities | (34 | ) | ||||||||||||||
Total non-designated derivatives | $ | 2,737 | $ | 9 | $ | (190 | ) | |||||||||||||
(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. |
(2) - | The Company revised its previously reported amount of $1,795 million to $1,925 million. |
In millions | ||||||||||||||||||||
Derivatives Not Designated as | Three Months Ended March 31, | Three Months Ended June 30, | ||||||||||||||||||
Hedging Instruments | Location of Gain (Loss) Recognized in Income on Derivative | 2020 | 2019 | Location of Gain (Loss) Recognized in Income on Derivative | 2020 | 2019 | ||||||||||||||
Insured credit default swaps | Unrealized gains (losses) on insured derivatives | $ | - | $ | 1 | |||||||||||||||
Insured credit default swaps | Unrealized gains (losses) on insured derivatives | $ | (1 | ) | $ | 14 | Realized gains (losses) and other settlements on insured derivatives | - | (1 | ) | ||||||||||
Interest rate swaps | Net gains (losses) on financial instruments at fair value and foreign exchange | (56 | ) | (20 | ) | Net gains (losses) on financial instruments at fair value and foreign exchange | (3 | ) | (35 | ) | ||||||||||
Currency swaps-VIE | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE | 10 | (3 | ) | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE | (5 | ) | (2 | ) | |||||||||||
All other | Net gains (losses) on financial instruments at fair value and foreign exchange | (3 | ) | - | Net gains (losses) on financial instruments at fair value and foreign exchange | - | (9 | ) | ||||||||||||
Total | $ | (50 | ) | $ | (9 | ) | $ | (8 | ) | $ | (46 | ) | ||||||||
In millions | ||||||||||
Derivatives Not Designated as | Six Months Ended June 30, | |||||||||
Hedging Instruments | Location of Gain (Loss) Recognized in Income on Derivative | 2020 | 2019 | |||||||
Insured credit default swaps | Unrealized gains (losses) on insured derivatives | $ | (1 | ) | $ | 14 | ||||
Insured credit default swaps | Realized gains (losses) and other settlements on insured derivatives | - | (1 | ) | ||||||
Interest rate swaps | Net gains (losses) on financial instruments at fair value and foreign exchange | (59 | ) | (55 | ) | |||||
Currency swaps-VIE | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE | 5 | (5 | ) | ||||||
All other | Net gains (losses) on financial instruments at fair value and foreign exchange | (3 | ) | (9 | ) | |||||
Total | $ | (58 | ) | $ | (56 | ) | ||||
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||
In millions | 2020 | 2019 | 2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||
Income (loss) before income taxes | $ | (333 | ) | $ | (19 | ) | $ | (106 | ) | $ | (207 | ) | $ | (439 | ) | $ | (226 | ) | ||||||||
Provision (benefit) for income taxes | $ | - | $ | 2 | $ | - | $ | - | $ | - | $ | 2 | ||||||||||||||
Effective tax rate | 0.0% | -10.5% | 0.0% | 0.0% | 0.0% | -0.9% |
Three Months Ended March 31, 2020 | ||||||||||||||||||||
In millions | U.S. Public Finance Insurance | Corporate | International and Structured Finance Insurance | Eliminations | Consolidated | |||||||||||||||
Revenues (1) | $ | 30 | $ | 6 | $ | 7 | $ | - | $ | 43 | ||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | (18) | (56) | 11 | - | (63) | |||||||||||||||
Revenues of consolidated VIEs | - | - | 14 | - | 14 | |||||||||||||||
Inter-segment revenues (2) | 7 | 18 | 4 | (29) | - | |||||||||||||||
Total revenues | 19 | (32) | 36 | (29) | (6) | |||||||||||||||
Losses and loss adjustment | 48 | - | 195 | - | 243 | |||||||||||||||
Operating | 2 | 14 | 4 | - | 20 | |||||||||||||||
Interest | - | 16 | 31 | - | 47 | |||||||||||||||
Expenses of consolidated VIEs | - | - | 17 | - | 17 | |||||||||||||||
Inter-segment expenses (2) | 14 | 6 | 9 | (29) | - | |||||||||||||||
Total expenses | 64 | 36 | 256 | (29) | 327 | |||||||||||||||
Income (loss) before income taxes | $ | (45) | $ | (68) | $ | (220) | $ | - | $ | (333) | ||||||||||
Identifiable assets | $ | 3,867 | $ | 1,000 | $ | 4,051 | $ | (2,286) | (3) | $ | 6,632 | |||||||||
Three Months Ended June 30, 2020 | ||||||||||||||||||||
International | ||||||||||||||||||||
U.S. Public | and Structured | |||||||||||||||||||
Finance | Finance | |||||||||||||||||||
In millions | Insurance | Corporate | Insurance | Eliminations | Consolidated | |||||||||||||||
Revenues (1) | $ | 26 | $ | 5 | $ | 8 | $ | - | $ | 39 | ||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 25 | - | (1) | - | 24 | |||||||||||||||
Revenues of consolidated VIEs | - | - | 51 | - | 51 | |||||||||||||||
Inter-segment revenues (2) | 8 | 17 | 3 | (28) | - | |||||||||||||||
Total revenues | 59 | 22 | 61 | (28) | 114 | |||||||||||||||
Losses and loss adjustment | 72 | - | 64 | - | 136 | |||||||||||||||
Operating | 3 | 19 | 3 | - | 25 | |||||||||||||||
Interest | - | 16 | 29 | - | 45 | |||||||||||||||
Expenses of consolidated VIEs | - | - | 14 | - | 14 | |||||||||||||||
Inter-segment expenses (2) | 11 | 6 | 11 | (28 | ) | - | ||||||||||||||
Total expenses | 86 | 41 | 121 | (28 | ) | 220 | ||||||||||||||
Income (loss) before income taxes | $ | (27) | $ | (19) | $ | (60 | ) | $ | - | $ | (106 | ) | ||||||||
Identifiable assets | $ | 3,868 | $ | 1,021 | $ | 4,077 | $ | (2,353) | (3) | $ | 6,613 | |||||||||
(1) - | Represents the sum of third-party financial guarantee net premiums earned, net investment income, insurance-related fees and reimbursements and other fees. |
(2) - | Represents intercompany premium income and expense and intercompany interest income and expense pertaining to intercompany receivables and payables. |
(3) - | Consists |
Three Months Ended June 30, 2019 | ||||||||||||||||||||
International | ||||||||||||||||||||
U.S. Public | and Structured | |||||||||||||||||||
Finance | Finance | |||||||||||||||||||
In millions | Insurance | Corporate | Insurance | Eliminations | Consolidated | |||||||||||||||
Revenues (1) | $ | 38 | $ | 8 | $ | 7 | $ | - | $ | 53 | ||||||||||
Net change in fair value of insured derivatives | - | - | (1) | - | (1) | |||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 17 | (33) | (10) | - | (26) | |||||||||||||||
Net investment losses related to other-than-temporary impairments | (9) | - | - | - | (9) | |||||||||||||||
Other net realized gains (losses) | - | - | 1 | - | 1 | |||||||||||||||
Revenues of consolidated VIEs | 20 | - | (9) | 1 | 12 | |||||||||||||||
Inter-segment revenues (2) | 8 | 14 | 6 | (28) | - | |||||||||||||||
Total revenues | 74 | (11) | (6) | (27) | 30 | |||||||||||||||
Losses and loss adjustment | 106 | - | 34 | - | 140 | |||||||||||||||
Operating | 2 | 16 | 3 | - | 21 | |||||||||||||||
Interest | - | 20 | 32 | - | 52 | |||||||||||||||
Expenses of consolidated VIEs | - | - | 24 | - | 24 | |||||||||||||||
Inter-segment expenses (2) | 12 | 5 | 10 | (27) | - | |||||||||||||||
Total expenses | 120 | 41 | 103 | (27) | 237 | |||||||||||||||
Income (loss) before income taxes | $ | (46) | $ | (52) | $ | (109) | $ | - | $ | (207) | ||||||||||
Three Months Ended March 31, 2019 | ||||||||||||||||||||
In millions | U.S. Public Finance Insurance | Corporate | International and Structured Finance Insurance | Eliminations | Consolidated | |||||||||||||||
Revenues (1) | $ | 38 | $ | 7 | $ | 10 | $ | - | $ | 55 | ||||||||||
Net change in fair value of insured derivatives | - | - | 14 | - | 14 | |||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 40 | (18) | - | - | 22 | |||||||||||||||
Net investment losses related to other-than-temporary impairments | (28) | - | - | - | (28) | |||||||||||||||
Other net realized gains (losses) | 1 | (1) | 1 | - | 1 | |||||||||||||||
Revenues of consolidated VIEs | (14) | - | - | - | (14) | |||||||||||||||
Inter-segment revenues (2) | 7 | 19 | 3 | (29) | - | |||||||||||||||
Total revenues | 44 | 7 | 28 | (29) | 50 | |||||||||||||||
Losses and loss adjustment | (50) | - | 12 | - | (38) | |||||||||||||||
Operating | 2 | 22 | 6 | - | 30 | |||||||||||||||
Interest | - | 19 | 33 | - | 52 | |||||||||||||||
Expenses of consolidated VIEs | - | - | 25 | - | 25 | |||||||||||||||
Inter-segment expenses (2) | 15 | 6 | 8 | (29) | - | |||||||||||||||
Total expenses | (33) | 47 | 84 | (29) | 69 | |||||||||||||||
Income (loss) before income taxes | $ | 77 | $ | (40) | $ | (56) | $ | - | $ | (19) | ||||||||||
(1) - | Represents the sum of third-party financial guarantee net premiums earned, net investment income, insurance-related fees and reimbursements and other fees. |
(2) - | Represents intercompany premium income and expense and intercompany interest income and expense pertaining to intercompany receivables and payables. |
Six Months Ended June 30, 2020 | ||||||||||||||||||||
International | ||||||||||||||||||||
U.S. Public | and Structured | |||||||||||||||||||
Finance | Finance | |||||||||||||||||||
In millions | Insurance | Corporate | Insurance | Eliminations | Consolidated | |||||||||||||||
Revenues (1) | $ | 57 | $ | 11 | $ | 14 | $ | - | $ | 82 | ||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 7 | (56) | 10 | - | (39) | |||||||||||||||
Revenues of consolidated VIEs | - | - | 65 | - | 65 | |||||||||||||||
Inter-segment revenues (2) | 14 | 35 | 8 | (57) | - | |||||||||||||||
Total revenues | 78 | (10) | 97 | (57) | 108 | |||||||||||||||
Losses and loss adjustment | 120 | - | 259 | - | 379 | |||||||||||||||
Operating | 5 | 34 | 6 | - | 45 | |||||||||||||||
Interest | - | 32 | 60 | - | 92 | |||||||||||||||
Expenses of consolidated VIEs | - | - | 31 | - | 31 | |||||||||||||||
Inter-segment expenses (2) | 25 | 11 | 21 | (57) | - | |||||||||||||||
Total expenses | 150 | 77 | 377 | (57) | 547 | |||||||||||||||
Income (loss) before income taxes | $ | (72) | $ | (87) | $ | (280) | $ | - | $ | (439) | ||||||||||
Identifiable assets | $ | 3,868 | $ | 1,021 | $ | 4,077 | $ | (2,353) | (3) | $ | 6,613 | |||||||||
(1) - | Represents the sum of third-party financial guarantee net premiums earned, net investment income, insurance-related fees and reimbursements and other fees. |
(2) - | Represents intercompany premium income and expense and intercompany interest income and expense pertaining to intercompany receivables and payables. |
(3) - | Consists principally of intercompany reinsurance balances. |
Six Months Ended June 30, 2019 | ||||||||||||||||||||
International | ||||||||||||||||||||
U.S. Public | and Structured | |||||||||||||||||||
Finance | Finance | |||||||||||||||||||
In millions | Insurance | Corporate | Insurance | Eliminations | Consolidated | |||||||||||||||
Revenues (1) | $ | 76 | $ | 15 | $ | 17 | $ | - | $ | 108 | ||||||||||
Net change in fair value of insured derivatives | - | - | 13 | - | 13 | |||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 57 | (51 | ) | (10 | ) | - | (4 | ) | ||||||||||||
Net investment losses related to other-than-temporary impairments | (37 | ) | - | - | - | (37 | ) | |||||||||||||
Other net realized gains (losses) | 1 | (1 | ) | 2 | - | 2 | ||||||||||||||
Revenues of consolidated VIEs | 6 | - | (9 | ) | 1 | (2 | ) | |||||||||||||
Inter-segment revenues (2) | 15 | 33 | 9 | (57 | ) | - | ||||||||||||||
Total revenues | 118 | (4 | ) | 22 | (56 | ) | 80 | |||||||||||||
Losses and loss adjustment | 56 | - | 46 | - | 102 | |||||||||||||||
Operating | 4 | 38 | 9 | - | 51 | |||||||||||||||
Interest | - | 39 | 65 | - | 104 | |||||||||||||||
Expenses of consolidated VIEs | - | - | 49 | - | 49 | |||||||||||||||
Inter-segment expenses (2) | 27 | 11 | 18 | (56 | ) | - | ||||||||||||||
Total expenses | 87 | 88 | 187 | (56 | ) | 306 | ||||||||||||||
Income (loss) before income taxes | $ | 31 | $ | (92 | ) | $ | (165 | ) | $ | - | $ | (226 | ) | |||||||
Three Months Ended March 31, | |||||||||
In millions except per share amounts | 2020 | 2019 | |||||||
Basic earnings per share: | |||||||||
Net income (loss) available to common shareholders | (333 | ) | (21 | ) | |||||
Basic weighted average shares (1) | 72.1 | 85.6 | |||||||
Net income (loss) per basic common share | �� | $ | (4.62 | ) | $ | (0.24 | ) | ||
Diluted earnings per share: | |||||||||
Net income (loss) available to common shareholders | (333 | ) | (21 | ) | |||||
Diluted weighted average shares (1) | 72.1 | 85.6 | |||||||
Net income (loss) per diluted common share | $ | (4.62 | ) | $ | (0.24 | ) | |||
Potentially dilutive securities excluded from the calculation of diluted EPS because of antidilutive affect | 4.9 | 4.5 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
In millions except per share amounts | 2020 | 2019 | 2020 | 2019 | ||||||||||||
Basic earnings per share: | ||||||||||||||||
Net income (loss) available to common shareholders | $ | (106 | ) | $ | (207 | ) | $ | (439 | ) | $ | (228 | ) | ||||
Basic weighted average shares (1) | 62.6 | 84.3 | 67.3 | 84.9 | ||||||||||||
Net income (loss) per basic common share | $ | (1.69 | ) | $ | (2.45 | ) | $ | (6.51 | ) | $ | (2.68 | ) | ||||
Diluted earnings per share: | ||||||||||||||||
Net income (loss) available to common shareholders | $ | (106 | ) | $ | (207 | ) | $ | (439 | ) | $ | (228 | ) | ||||
Diluted weighted average shares | 62.6 | 84.3 | 67.3 | 84.9 | ||||||||||||
Net income (loss) per diluted common share | $ | (1.69 | ) | $ | (2.45 | ) | $ | (6.51 | ) | $ | (2.68 | ) | ||||
Potentially dilutive securities excluded from the calculation of diluted EPS because of antidilutive affect | 4.9 | 4.5 | 4.9 | 4.5 |
(1) - | Includes 0.9 million and 1.1 million of participating securities that met the service condition and were eligible to receive nonforfeitable dividends or dividend equivalents for |
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, 2019 | $ | 112 | $ | (7 | ) | $ | (107 | ) | $ | (2 | ) | ||||||
Other comprehensive income (loss) before reclassifications | 48 | - | 46 | 94 | |||||||||||||
Amounts reclassified from AOCI | (3 | ) | - | 2 | (1 | ) | |||||||||||
Net period other comprehensive income (loss) | 45 | - | 48 | 93 | |||||||||||||
Balance, March 31, 2020 | $ | 157 | $ | (7 | ) | $ | (59 | ) | $ | 91 | |||||||
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, 2019 | $ | 112 | $ | (7 | ) | $ | (107 | ) | $ | (2 | ) | |||||
Other comprehensive income (loss) before reclassifications | 88 | (1 | ) | 49 | 136 | |||||||||||
Amounts reclassified from AOCI | (8 | ) | - | 3 | (5 | ) | ||||||||||
Net period other comprehensive income (loss) | 80 | (1 | ) | 52 | 131 | |||||||||||
Balance, June 30, 2020 | $ | 192 | $ | (8 | ) | $ | (55 | ) | $ | 129 | ||||||
In millions | Amounts Reclassified from AOCI | |||||||||
Three Months Ended March 31, | ||||||||||
Details about AOCI Components | 2020 | 2019 | Affected Line Item on the Consolidated Statements of Operations | |||||||
Unrealized gains (losses) on AFS securities: | ||||||||||
Realized gains (losses) on sale of securities | $ | 3 | $ | 39 | Net gains (losses) on financial instruments at fair value and foreign exchange | |||||
Credit losses | - | (28) | Net investment losses related to OTTI | |||||||
Total unrealized gains (losses) on AFS securities | 3 | 11 | ||||||||
Instrument-specific credit risk of liabilities: | ||||||||||
Settlement of liabilities | (2) | (4) | Net gains (losses) on financial instruments at fair value and foreign exchange | |||||||
Total reclassifications for the period | $ | 1 | $ | 7 | Net income (loss) | |||||
In millions | Amounts Reclassified from AOCI | |||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||
Details about AOCI Components | 2020 | 2019 | 2020 | 2019 | Affected Line Item on the Consolidated Statements of Operations | |||||||||||||
Unrealized gains (losses) on | ||||||||||||||||||
AFS securities: | ||||||||||||||||||
Realized gains (losses) on sale of securities | $ | 5 | $ | (16) | $ | 8 | $ | 23 | Net gains (losses) on financial instruments at fair value and foreign exchange | |||||||||
Credit losses | - | (9) | - | (37) | Net investment losses related to OTTI | |||||||||||||
Total unrealized gains (losses) on AFS securities | 5 | (25) | 8 | (14) | ||||||||||||||
Instrument-specific credit risk of liabilities: | ||||||||||||||||||
Settlement of liabilities | (1) | (19) | (3) | (23) | Net gains (losses) on financial instruments at fair value and foreign exchange | |||||||||||||
Total reclassifications for the period | $ | 4 | $ | (44) | $ | 5 | $ | (37) | Net income (loss) | |||||||||
$ in millions | As of March 31, 2020 | Balance Sheet Location | ||||||
Right-of-use asset | $ | 21 | Other assets | |||||
Lease liability | $ | 21 | Other liabilities | |||||
Weighted average remaining lease term (years) | 8.3 | |||||||
Discount rate used for operating leases | 7.5 | % | ||||||
Total future minimum lease payments | $ | 31 |
$ in millions | As of June 30, 2020 | Balance Sheet Location | ||||||
Right-of-use | $ | 20 | Other assets | |||||
Lease liability | $ | 20 | Other liabilities | |||||
Weighted average remaining lease term (years) | 8.3 | |||||||
Discount rate used for operating leases | 7.5% | |||||||
Total future minimum lease payments | $ | 30 |
Three Months Ended March 31, | |||||||||
In millions except per share amounts | 2020 | 2019 | |||||||
Net income (loss) | $ | (333) | $ | (21) | |||||
Net income (loss) per diluted share | $ | (4.62) | $ | (0.24) | |||||
Adjusted net income (loss) (1) | $ | (47) | $ | 39 | |||||
Adjusted net income (loss) per diluted share (1) | $ | (0.65) | $ | 0.45 | |||||
Cost of shares purchased or repurchased | $ | 65 | $ | 4 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
In millions except per share amounts | 2020 | 2019 | 2020 | 2019 | ||||||||||||
Net income (loss) | $ | (106) | $ | (207) | $ | (439) | $ | (228) | ||||||||
Net income (loss) per diluted share | $ | (1.69) | $ | (2.45) | $ | (6.51) | $ | (2.68) | ||||||||
Adjusted net income (loss) (1) | $ | (72) | $ | (76) | $ | (119) | $ | (37) | ||||||||
Adjusted net income (loss) per diluted share (1) | $ | (1.15) | $ | (0.90) | $ | (1.77) | $ | (0.44) | ||||||||
Cost of shares repurchased | $ | 71 | $ | 50 | $ | 136 | $ | 54 |
(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 March 31, | |||||||||
In millions except per share amounts | 2020 | 2019 | |||||||
Total revenues | $ | (6 | ) | $ | 50 | ||||
Total expenses | 327 | 69 | |||||||
Income (loss) before income taxes | (333 | ) | (19 | ) | |||||
Provision (benefit) for income taxes | - | 2 | |||||||
Net income (loss) | $ | (333 | ) | $ | (21 | ) | |||
Net income (loss) per common share: | |||||||||
Basic | $ | (4.62 | ) | $ | (0.24 | ) | |||
Diluted | $ | (4.62 | ) | $ | (0.24 | ) | |||
Weighted average number of common shares outstanding: | |||||||||
Basic | 72.1 | 85.6 | |||||||
Diluted | 72.1 | 85.6 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
In millions except for per share amounts | 2020 | 2019 | 2020 | 2019 | ||||||||||||
Total revenues | $ | 114 | $ | 30 | $ | 108 | $ | 80 | ||||||||
Total expenses | 220 | 237 | 547 | 306 | ||||||||||||
Income (loss) before income taxes | (106 | ) | (207 | ) | (439 | ) | (226 | ) | ||||||||
Provision (benefit) for income taxes | - | - | - | 2 | ||||||||||||
Net income (loss) | $ | (106 | ) | $ | (207 | ) | $ | (439 | ) | $ | (228 | ) | ||||
Net income (loss) per common share: | ||||||||||||||||
Basic | $ | (1.69 | ) | $ | (2.45 | ) | $ | (6.51 | ) | $ | (2.68 | ) | ||||
Diluted | $ | (1.69 | ) | $ | (2.45 | ) | $ | (6.51 | ) | $ | (2.68 | ) | ||||
Weighted average number of common shares outstanding: | ||||||||||||||||
Basic | 62.6 | 84.3 | 67.3 | 84.9 | ||||||||||||
Diluted | 62.6 | 84.3 | 67.3 | 84.9 |
Three Months Ended March 31, | |||||||||
In millions except share and per share amounts | 2020 | 2019 | |||||||
Net income (loss) | $ | (333 | ) | $ | (21 | ) | |||
Less: adjusted net income (loss) adjustments: | |||||||||
Income (loss) before income taxes of our international and structured finance insurance segment and eliminations | (220 | ) | (55 | ) | |||||
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) | (77 | ) | (16 | ) | |||||
Foreign exchange gains (losses) (1) | 8 | 7 | |||||||
Net gains (losses) on sales of investments (1) | 3 | 33 | |||||||
Net investment losses related to impairments of securities | - | (28 | ) | ||||||
Other net realized gains (losses) | - | (1 | ) | ||||||
Adjusted net income adjustment to the (provision) benefit for income tax (2) | - | - | |||||||
Adjusted net income (loss) | $ | (47 | ) | $ | 39 | ||||
Adjusted net income (loss) per diluted common share (3) | (0.65 | ) | 0.45 | ||||||
Gain (loss) related to our U.S. public finance insurance segment VIE consolidations included in adjusted net income (loss) | - | (13 | ) | ||||||
Gain (loss) related to our U.S. public finance insurance segment VIE consolidations per diluted common share included in adjusted net income (loss) per diluted common share | - | (0.15 | ) |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
In millions except share and per share amounts | 2020 | 2019 | 2020 | 2019 | ||||||||||||
Net income (loss) | $ | (106 | ) | $ | (207 | ) | $ | (439 | ) | $ | (228 | ) | ||||
Less: adjusted net income (loss) adjustments: | ||||||||||||||||
Income (loss) before income taxes of our international and structured finance insurance segment and eliminations | (59 | ) | (108 | ) | (279 | ) | (163 | ) | ||||||||
Adjustments to income before income taxes of our U.S. public finance insurance and corporate segments: | ||||||||||||||||
Mark-to-market (1) | 17 | (22 | ) | (60 | ) | (38 | ) | |||||||||
Foreign exchange gains (losses) (1) | (8 | ) | (5 | ) | - | 2 | ||||||||||
Net gains (losses) on sales of investments (1) | 16 | 14 | 19 | 47 | ||||||||||||
Net investment losses related to impairments of securities | - | (9 | ) | - | (37 | ) | ||||||||||
Other net realized gains (losses) | - | - | - | (1 | ) | |||||||||||
Adjusted net income adjustment to the (provision) benefit for income tax (2) | - | (1 | ) | - | (1 | ) | ||||||||||
Adjusted net income (loss) | $ | (72 | ) | $ | (76 | ) | $ | (119 | ) | $ | (37 | ) | ||||
Adjusted net income (loss) per diluted common share (3) | $ | (1.15 | ) | $ | (0.90 | ) | $ | (1.77 | ) | $ | (0.44 | ) | ||||
Gain (loss) related to our U.S. public finance insurance segment VIE consolidations included in adjusted net income (loss) | - | (7 | ) | - | (20 | ) | ||||||||||
Gain (loss) related to our U.S. public finance insurance segment VIE consolidations per diluted common share included in adjusted net income (loss) per diluted common share | - | (0.08 | ) | - | (0.23 | ) |
(1) - | Reported within “Net gains (losses) on financial instruments at fair value and foreign exchange” on the Company’s consolidated statements of operations. |
(2) - | Reported within “Provision (benefit) for income taxes” on the Company’s consolidated statements of operations. |
(3) - | Adjusted net income (loss) per diluted common share is calculated by taking adjusted net income (loss) divided by the GAAP weighted average number of diluted common shares outstanding. |
In millions except share and per share amounts | As of March 31, 2020 | As of December 31, 2019 | |||||||
Total shareholders’ equity of MBIA Inc. | $ | 484 | $ | 826 | |||||
Common shares outstanding | 72,160,406 | 79,433,293 | |||||||
GAAP book value per share | $ | 6.70 | $ | 10.40 | |||||
Management’s adjustments described above: | |||||||||
Remove negative book value per share of MBIA Corp. | (21.65 | ) | (16.81 | ) | |||||
Remove net unrealized gains (losses) on available-for-sale securities included in other comprehensive income (loss) | 2.06 | 1.29 | |||||||
Include net unearned premium revenue in excess of expected losses | 3.74 | 3.46 |
In millions except share and per share amounts | As of June 30, 2020 | As of December 31, 2019 | ||||||
Total shareholders’ equity of MBIA Inc. | $ | 347 | $ | 826 | ||||
Common shares outstanding | 62,509,320 | 79,433,293 | ||||||
GAAP book value per share | $ | 5.55 | $ | 10.40 | ||||
Management’s adjustments described above: | ||||||||
Remove negative book value per share of MBIA Corp. | (25.81 | ) | (16.81 | ) | ||||
Remove net unrealized gains (losses) on available-for-sale | 2.82 | 1.29 | ||||||
Include net unearned premium revenue in excess of expected losses | 4.12 | 3.46 |
Three Months Ended March 31, | Percent | ||||||||||||
In millions | 2020 | 2019 | Change | ||||||||||
Net premiums earned | $ | 15 | $ | 18 | -17% | ||||||||
Net investment income | 21 | 27 | -22% | ||||||||||
Fees and reimbursements | 1 | 1 | -% | ||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | (18 | ) | 40 | -145% | |||||||||
Net investment losses related to other-than-temporary impairments | - | (28 | ) | -100% | |||||||||
Other net realized gains (losses) | - | 1 | -100% | ||||||||||
Revenues of consolidated VIEs: | |||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | - | 28 | -100% | ||||||||||
Other net realized gains (losses) | - | (43 | ) | -100% | |||||||||
Total revenues | 19 | 44 | -57% | ||||||||||
Losses and loss adjustment | 48 | (50 | ) | n/m | |||||||||
Amortization of deferred acquisition costs | 3 | 4 | -25% | ||||||||||
Operating | 13 | 13 | -% | ||||||||||
Total expenses | 64 | (33 | ) | n/m | |||||||||
Income (loss) before income taxes | $ | (45 | ) | $ | 77 | n/m | |||||||
Three Months Ended June 30, | Percent | Six Months Ended June 30, | Percent | |||||||||||||||||||||
In millions | 2020 | 2019 | Change | 2020 | 2019 | Change | ||||||||||||||||||
Net premiums earned | $ | 15 | $ | 18 | -17% | $ | 30 | $ | 36 | -17% | ||||||||||||||
Net investment income | 19 | 26 | -27% | 40 | 53 | -25% | ||||||||||||||||||
Fees and reimbursements | - | 1 | -100% | 1 | 2 | -50% | ||||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 25 | 17 | 47% | 7 | 57 | -88% | ||||||||||||||||||
Net investment losses related to other-than-temporary impairments | - | (9 | ) | -100% | - | (37 | ) | -100% | ||||||||||||||||
Other net realized gains (losses) | - | - | -% | - | 1 | -100% | ||||||||||||||||||
Revenues of consolidated VIEs: | ||||||||||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | - | 21 | -100% | - | 49 | -100% | ||||||||||||||||||
Other net realized gains (losses) | - | - | -% | - | (43 | ) | -100% | |||||||||||||||||
Total revenues | 59 | 74 | -20% | 78 | 118 | -34% | ||||||||||||||||||
Losses and loss adjustment | 72 | 106 | -32% | 120 | 56 | 114% | ||||||||||||||||||
Amortization of deferred acquisition costs | 4 | 5 | -20% | 7 | 9 | -22% | ||||||||||||||||||
Operating | 10 | 9 | 11% | 23 | 22 | 5% | ||||||||||||||||||
Total expenses | 86 | 120 | -28% | 150 | 87 | 72% | ||||||||||||||||||
Income (loss) before income taxes | $ | (27 | ) | $ | (46 | ) | -41% | $ | (72 | ) | $ | 31 | n/m | |||||||||||
In millions | March 31, 2020 | December 31, 2019 | Percent Change | ||||||||||
Assets: | |||||||||||||
Insurance loss recoverable | $ | 954 | $ | 911 | 5% | ||||||||
Reinsurance recoverable on paid and unpaid losses (1) | 7 | 14 | -50% | ||||||||||
Liabilities: | |||||||||||||
Loss and LAE reserves | 451 | 432 | 5% | ||||||||||
Insurance loss recoverable - ceded (2) | 20 | 19 | 6% | ||||||||||
Net reserve (salvage) | $ | (490 | ) | $ | (474 | ) | 4% | ||||||
In millions | June 30, 2020 | December 31, 2019 | Percent Change | |||||||||
Assets: | ||||||||||||
Insurance loss recoverable | $ | 950 | $ | 911 | 5% | |||||||
Reinsurance recoverable on paid and unpaid losses (1) | 7 | 14 | -50% | |||||||||
Liabilities: | ||||||||||||
Loss and LAE reserves | 495 | 432 | 15% | |||||||||
Insurance loss recoverable - ceded (2) | 20 | 19 | 6% | |||||||||
Net reserve (salvage) | $ | (442 | ) | $ | (474 | ) | -7% | |||||
(1) - | Reported within “Other assets” on our consolidated balance sheets. |
(2) - | Reported within “Other liabilities” on our consolidated balance sheets. |
Three Months Ended March 31, | Percent Change | ||||||||||||
In millions | 2020 | 2019 | |||||||||||
Gross expenses | $ | 13 | $ | 13 | -% | ||||||||
Amortization of deferred acquisition costs | $ | 3 | $ | 4 | -25% | ||||||||
Operating | 13 | 13 | -% | ||||||||||
Total insurance operating expenses | $ | 16 | $ | 17 | -6% | ||||||||
Three Months Ended June 30, | Percent | Six Months Ended June 30, | Percent | |||||||||||||||||||||
In millions | 2020 | 2019 | Change | 2020 | 2019 | Change | ||||||||||||||||||
Gross expenses | $ | 10 | $ | 10 | -% | $ | 23 | $ | 23 | -% | ||||||||||||||
Amortization of deferred acquisition costs | $ | 5 | $ | 5 | -% | $ | 7 | $ | 9 | -22% | ||||||||||||||
Operating | 10 | 9 | 11% | 23 | 22 | 5% | ||||||||||||||||||
Total insurance operating expenses | $ | 15 | $ | 14 | 7% | $ | 30 | $ | 31 | -3% | ||||||||||||||
Gross Par Outstanding | |||||||||||||||||
In millions | March 31, 2020 | December 31, 2019 | |||||||||||||||
Rating | Amount | % | Amount | % | |||||||||||||
AAA | $ | 2,595 | 5.5% | $ | 2,709 | 5.5% | |||||||||||
AA | 18,723 | 39.5% | 19,155 | 39.2% | |||||||||||||
A | 14,639 | 30.9% | 15,022 | 30.7% | |||||||||||||
BBB | 7,647 | 16.2% | 8,225 | 16.8% | |||||||||||||
Below investment grade | 3,747 | 7.9% | 3,809 | 7.8% | |||||||||||||
Total | $ | 47,351 | 100.0% | $ | 48,920 | 100.0% | |||||||||||
Gross Par Outstanding | ||||||||||||||||
In millions | June 30, 2020 | December 31, 2019 | ||||||||||||||
Rating | Amount | % | Amount | % | ||||||||||||
AAA | $ | 2,415 | 5.2% | $ | 2,709 | 5.5% | ||||||||||
AA | 18,229 | 39.8% | 19,155 | 39.2% | ||||||||||||
A | 13,870 | 30.3% | 15,022 | 30.7% | ||||||||||||
BBB | 7,648 | 16.7% | 8,225 | 16.8% | ||||||||||||
Below investment grade | 3,643 | 8.0% | 3,809 | 7.8% | ||||||||||||
Total | $ | 45,805 | 100.0% | $ | 48,920 | 100.0% | ||||||||||
In millions | Gross Par Outstanding | Debt Service Outstanding | National Internal Rating | ||||||||||
Puerto Rico Electric Power Authority (PREPA) | $ | 968 | $ | 1,315 | d | ||||||||
Puerto Rico Commonwealth GO | 485 | 587 | d | ||||||||||
Puerto Rico Public Buildings Authority (PBA) (1) | 170 | 228 | d | ||||||||||
Puerto Rico Highway and Transportation Authority Transportation Revenue (PRHTA) | 523 | 895 | d | ||||||||||
Puerto Rico Highway and Transportation Authority - Subordinated Transportation Revenue (PRHTA) | 27 | 36 | d | ||||||||||
Puerto Rico Highway and Transportation Authority Highway Revenue (PRHTA) | 54 | (2) | 75 | d | |||||||||
University of Puerto Rico System Revenue | 76 | 103 | d | ||||||||||
Inter American University of Puerto Rico Inc. | 19 | 26 | a3 | ||||||||||
Total | $ | 2,322 | $ | 3,265 | |||||||||
In millions | Gross Par Outstanding | Debt Service Outstanding | National Internal Rating | |||||||||
Puerto Rico Electric Power Authority (PREPA) | $ | 968 | $ | 1,315 | d | |||||||
Puerto Rico Commonwealth GO | 485 | 587 | d | |||||||||
Puerto Rico Public Buildings Authority (PBA) (1) | 170 | 228 | d | |||||||||
Puerto Rico Highway and Transportation Authority Transportation Revenue (PRHTA) | 523 | 895 | d | |||||||||
Puerto Rico Highway and Transportation Authority - Subordinated Transportation Revenue (PRHTA) | 27 | 36 | d | |||||||||
Puerto Rico Highway and Transportation Authority Highway Revenue (PRHTA) | 54 | (2) | 75 | d | ||||||||
University of Puerto Rico System Revenue | 76 | 102 | d | |||||||||
Inter American University of Puerto Rico Inc. | 19 | 25 | a3 | |||||||||
Total | $ | 2,322 | $ | 3,263 | ||||||||
(1) - | Additionally secured by the guarantee of the Commonwealth of Puerto Rico. |
(2) - | Includes CABs that reflect the gross par amount at the time of issuance of the insurance policy. As of |
Nine Months | |||||||||||||||||||||||||||||
Ending | |||||||||||||||||||||||||||||
December 31, | |||||||||||||||||||||||||||||
2020 | 2021 | 2022 | 2023 | 2024 | Thereafter | Total | |||||||||||||||||||||||
Puerto Rico Electric Power Authority (PREPA) | $ | 90 | $ | 140 | $ | 140 | $ | 137 | $ | 137 | $ | 671 | $ | 1,315 | |||||||||||||||
Puerto Rico Commonwealth GO | 210 | 82 | 19 | 14 | 13 | 249 | 587 | ||||||||||||||||||||||
Puerto Rico Public Buildings Authority (PBA) | 5 | 24 | 9 | 27 | 43 | 120 | 228 | ||||||||||||||||||||||
Puerto Rico Highway and Transportation Authority Transportation Revenue (PRHTA) | 13 | 27 | 27 | 36 | 33 | 759 | 895 | ||||||||||||||||||||||
Puerto Rico Highway and Transportation Authority - Subordinated Transportation Revenue (PRHTA) | 1 | 1 | 9 | 1 | 1 | 23 | 36 | ||||||||||||||||||||||
Puerto Rico Highway and Transportation Authority Highway Revenue (PRHTA) | 14 | 4 | 2 | 4 | 2 | 49 | 75 | ||||||||||||||||||||||
University of Puerto Rico System Revenue | 6 | 7 | 7 | 12 | 11 | 60 | 103 | ||||||||||||||||||||||
Inter American University of Puerto Rico Inc. | 3 | 3 | 3 | 3 | 3 | 11 | 26 | ||||||||||||||||||||||
Total | $ | 342 | $ | 288 | $ | 216 | $ | 234 | $ | 243 | $ | 1,942 | $ | 3,265 | |||||||||||||||
Six Months | ||||||||||||||||||||||||||||
Ending | ||||||||||||||||||||||||||||
December 31, | ||||||||||||||||||||||||||||
2020 | 2021 | 2022 | 2023 | 2024 | Thereafter | Total | ||||||||||||||||||||||
Puerto Rico Electric Power Authority (PREPA) | $ | 90 | $ | 140 | $ | 140 | $ | 137 | $ | 137 | $ | 671 | $ | 1,315 | ||||||||||||||
Puerto Rico Commonwealth GO | 210 | 82 | 19 | 14 | 13 | 249 | 587 | |||||||||||||||||||||
Puerto Rico Public Buildings Authority (PBA) | 5 | 24 | 9 | 27 | 43 | 120 | 228 | |||||||||||||||||||||
Puerto Rico Highway and Transportation Authority Transportation Revenue (PRHTA) | 13 | 27 | 27 | 36 | 33 | 759 | 895 | |||||||||||||||||||||
Puerto Rico Highway and Transportation Authority - Subordinated Transportation Revenue (PRHTA) | 1 | 1 | 9 | 1 | 1 | 23 | 36 | |||||||||||||||||||||
Puerto Rico Highway and Transportation Authority Highway Revenue (PRHTA) | 14 | 4 | 2 | 4 | 2 | 49 | 75 | |||||||||||||||||||||
University of Puerto Rico System Revenue | 5 | 7 | 7 | 12 | 11 | 60 | 102 | |||||||||||||||||||||
Inter American University of Puerto Rico Inc. | 2 | 3 | 3 | 3 | 3 | 11 | 25 | |||||||||||||||||||||
Total | $ | 340 | $ | 288 | $ | 216 | $ | 234 | $ | 243 | $ | 1,942 | $ | 3,263 | ||||||||||||||
Three Months Ended March 31, | Percent | |||||||||
In millions | 2020 | 2019 | Change | |||||||
Net investment income | $ | 8 | $ | 10 | -20% | |||||
Fees | 16 | 16 | -% | |||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | (56 | ) | (18 | ) | n/m | |||||
Other net realized gains (losses) | - | (1 | ) | -100% | ||||||
Total revenues | (32 | ) | 7 | n/m | ||||||
Operating | 15 | 23 | -35% | |||||||
Interest | 21 | 24 | -13% | |||||||
Total expenses | 36 | 47 | -23% | |||||||
Income (loss) before income taxes | (68 | ) | (40 | ) | 70% | |||||
Three Months Ended June 30, | Percent Change | Six Months Ended June 30, | Percent Change | |||||||||||||||||||||
In millions | 2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||
Net investment income | $ | 8 | $ | 9 | -11% | $ | 16 | $ | 19 | -16% | ||||||||||||||
Fees | 14 | 13 | 8% | 30 | 29 | 3% | ||||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | - | (33 | ) | -100% | (56 | ) | (51 | ) | 10% | |||||||||||||||
Other net realized gains (losses) | - | - | -% | - | (1 | ) | -100% | |||||||||||||||||
Total revenues | 22 | (11 | ) | n/m | (10 | ) | (4 | ) | 150% | |||||||||||||||
Operating | 20 | 17 | 18% | 35 | 40 | -13% | ||||||||||||||||||
Interest | 21 | 24 | -13% | 42 | 48 | -13% | ||||||||||||||||||
Total expenses | 41 | 41 | -% | 77 | 88 | -13% | ||||||||||||||||||
Income (loss) before income taxes | $ | (19 | ) | $ | (52 | ) | -63% | $ | (87 | ) | $ | (92 | ) | -5% | ||||||||||
Three Months Ended March 31, | Percent | ||||||||||||
In millions | 2020 | 2019 | Change | ||||||||||
Net premiums earned | $ | 6 | $ | 7 | -14% | ||||||||
Net investment income | 1 | 2 | -50% | ||||||||||
Fees and reimbursements | 4 | 4 | -% | ||||||||||
Unrealized gains (losses) on insured derivatives | - | 14 | -100% | ||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 11 | - | n/m | ||||||||||
Other net realized gains (losses) | - | 1 | -100% | ||||||||||
Revenues of consolidated VIEs: | |||||||||||||
Net investment income | 8 | 10 | -20% | ||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 15 | (10 | ) | n/m | |||||||||
Other net realized gains (losses) | (9 | ) | - | n/m | |||||||||
Total revenues | 36 | 28 | 29% | ||||||||||
Losses and loss adjustment | 195 | 12 | n/m | ||||||||||
Amortization of deferred acquisition costs | 4 | 5 | -20% | ||||||||||
Operating | 7 | 7 | -% | ||||||||||
Interest | 31 | 33 | -6% | ||||||||||
Expenses of consolidated VIEs: | |||||||||||||
Operating | 2 | 3 | -33% | ||||||||||
Interest | 17 | 24 | -29% | ||||||||||
Total expenses | 256 | 84 | n/m | ||||||||||
Income (loss) before income taxes | (220 | ) | (56 | ) | n/m | ||||||||
Three Months Ended June 30, | Percent Change | Six Months Ended June 30, | Percent Change | |||||||||||||||||||
In millions | 2020 | 2019 | 2020 | 2019 | ||||||||||||||||||
Net premiums earned | $ | 7 | $ | 6 | 17 | % | $ | 13 | $ | 13 | -% | |||||||||||
Net investment income | 1 | 2 | -50 | % | 2 | 4 | -50% | |||||||||||||||
Fees and reimbursements | 3 | 5 | -40 | % | 7 | 9 | -22% | |||||||||||||||
Change in fair value of insured derivatives: | ||||||||||||||||||||||
Realized gains (losses) and other settlements on insured derivatives | - | (1 | ) | -100 | % | - | (1 | ) | -100% | |||||||||||||
Unrealized gains (losses) on insured derivatives | - | - | - | % | - | 14 | -100% | |||||||||||||||
Net change in fair value of insured derivatives | - | (1 | ) | -100 | % | - | 13 | -100% | ||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | (1 | ) | (10 | ) | -90 | % | 10 | (10 | ) | n/m | ||||||||||||
Other net realized gains (losses) | - | 1 | -100 | % | - | 2 | -100% | |||||||||||||||
Revenues of consolidated VIEs: | ||||||||||||||||||||||
Net investment income | 5 | 10 | -50 | % | 13 | 20 | -35% | |||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 23 | (3 | ) | n/m | 38 | (13 | ) | n/m | ||||||||||||||
Other net realized gains (losses) | 23 | (16 | ) | n/m | 14 | (16 | ) | n/m | ||||||||||||||
Total revenues | 61 | (6 | ) | n/m | 97 | 22 | n/m | |||||||||||||||
Losses and loss adjustment | 64 | 34 | 88 | % | 259 | 46 | n/m | |||||||||||||||
Amortization of deferred acquisition costs | 4 | 4 | - | % | 8 | 9 | -11% | |||||||||||||||
Operating | 7 | 6 | 17 | % | 14 | 13 | 8% | |||||||||||||||
Interest | 30 | 34 | -12 | % | 61 | 67 | -9% | |||||||||||||||
Expenses of consolidated VIEs: | ||||||||||||||||||||||
Operating | 1 | 1 | - | % | 3 | 4 | -25% | |||||||||||||||
Interest | 15 | 24 | -38 | % | 32 | 48 | -33% | |||||||||||||||
Total expenses | 121 | 103 | 17 | % | 377 | 187 | 102% | |||||||||||||||
Income (loss) before income taxes | $ | (60 | ) | $ | (109 | ) | -45 | % | $ | (280 | ) | $ | (165 | ) | 70% | |||||||
Three Months Ended March 31, | Percent Change | |||||||||||
In millions | 2020 | 2019 | ||||||||||
Net premiums earned: | ||||||||||||
Non-U.S. | $ | 5 | $ | 6 | -17% | |||||||
U.S. | 1 | 1 | -% | |||||||||
Total net premiums earned | $ | 6 | $ | 7 | -14% | |||||||
VIEs (eliminated in consolidation) | $ | (4) | $ | 2 | n/m | |||||||
Three Months Ended June 30, | Percent Change | Six Months Ended June 30, | Percent Change | |||||||||||||||||||||
In millions | 2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||
Net premiums earned: | ||||||||||||||||||||||||
U.S. | $ | 2 | $ | 1 | 100% | $ | 3 | $ | 3 | -% | ||||||||||||||
Non-U.S. | 5 | 5 | -% | 10 | 10 | -% | ||||||||||||||||||
Total net premiums earned | $ | 7 | $ | 6 | 17% | $ | 13 | $ | 13 | -% | ||||||||||||||
VIEs (eliminated in consolidation) | $ | 1 | $ | 2 | -50% | $ | (3 | ) | $ | 3 | n/m |
March 31, | December 31, | Percent | ||||||||||
In millions | 2020 | 2019 | Change | |||||||||
Assets: | ||||||||||||
Insurance loss recoverable | $ | 653 | $ | 783 | -17% | |||||||
Reinsurance recoverable on paid and unpaid losses (1) | 5 | 5 | -% | |||||||||
Liabilities: | ||||||||||||
Loss and LAE reserves | 515 | 469 | 10% | |||||||||
Net reserve (salvage) | $ | (143) | $ | (319) | -56% | |||||||
In millions | June 30, 2020 | December 31, 2019 | Percent Change | |||||||||
Assets: | ||||||||||||
Insurance loss recoverable | $ | 593 | $ | 783 | -25% | |||||||
Reinsurance recoverable on paid and unpaid losses (1) | 5 | 5 | -% | |||||||||
Liabilities: | ||||||||||||
Loss and LAE reserves | 523 | 469 | 12% | |||||||||
Net reserve (salvage) | $ | (75) | $ | (319) | -76% | |||||||
(1) |
Three Months Ended March 31, | Percent | ||||||||||||
In millions | 2020 | 2019 | Change | ||||||||||
Gross expenses | $ | 7 | $ | 7 | -% | ||||||||
Amortization of deferred acquisition costs | $ | 4 | $ | 5 | -20% | ||||||||
Operating | 7 | 7 | -% | ||||||||||
Total insurance operating expenses | $ | 11 | $ | 12 | -8% | ||||||||
Three Months Ended June 30, | Percent | Six Months Ended June 30, | Percent | |||||||||||||||||||||
In millions | 2020 | 2019 | Change | 2020 | 2019 | Change | ||||||||||||||||||
Gross expenses | $ | 7 | $ | 6 | 17% | $ | 14 | $ | 13 | 8% | ||||||||||||||
Amortization of deferred acquisition costs | $ | 4 | $ | 4 | -% | $ | 8 | $ | 9 | -11% | ||||||||||||||
Operating | 7 | 6 | 17% | 14 | 13 | 8% | ||||||||||||||||||
Total insurance operating expenses | $ | 11 | $ | 10 | 10% | $ | 22 | $ | 22 | -% | ||||||||||||||
In millions | Gross Par Outstanding as of | Percent | ||||||||||
March 31, | December 31, | |||||||||||
Collateral Type | 2020 | 2019 | Change | |||||||||
HELOC Second-lien | $ | 353 | $ | 381 | -7% | |||||||
CES Second-lien | 129 | 136 | -5% | |||||||||
Alt-A First-lien(1) | 849 | 909 | -7% | |||||||||
Subprime First-lien | 327 | 343 | -5% | |||||||||
Prime First-lien | 7 | 7 | -% | |||||||||
Total | $ | 1,665 | $ | 1,776 | -6% | |||||||
In millions | Gross Par Outstanding as of | |||||||||||
June 30, | December 31, | Percent | ||||||||||
Collateral Type | 2020 | 2019 | Change | |||||||||
HELOC Second-lien | $ | 331 | $ | 381 | -13% | |||||||
CES Second-lien | 122 | 136 | -10% | |||||||||
Alt-A First-lien(1) | 836 | 909 | -8% | |||||||||
Subprime First-lien | 314 | 343 | -8% | |||||||||
Prime First-lien | 6 | 7 | -14% | |||||||||
Total | $ | 1,609 | $ | 1,776 | -9% | |||||||
(1) - | Includes international exposure of |
Three Months Ended March 31, | |||||||||
In millions | 2020 | 2019 | |||||||
Income (loss) before income taxes | $ | (333 | ) | $ | (19 | ) | |||
Provision (benefit) for income taxes | $ | - | $ | 2 | |||||
Effective tax rate | -% | -10.5% |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
In millions | 2020 | 2019 | 2020 | 2019 | ||||||||||||
Income (loss) before income taxes | $ | (106 | ) | $ | (207 | ) | $ | (439 | ) | $ | (226 | ) | ||||
Provision (benefit) for income taxes | $ | - | $ | - | $ | - | $ | 2 | ||||||||
Effective tax rate | -% | -% | -% | -0.9% |
In millions except per share amounts | Three Months Ended March 31, | |||||||
2020 | 2019 | |||||||
Number of shares purchased or repurchased | 8.1 | 0.5 | ||||||
Average price paid per share | $ | 7.99 | $ | 8.94 | ||||
Remaining authorization as of March 31 | $ | 36 | $ | 198 |
In millions except per share amounts | Six Months Ended June 30, | |||||||
2020 | 2019 | |||||||
Number of shares purchased or repurchased | 17.8 | 5.9 | ||||||
Average price paid per share | $ | 7.62 | $ | 9.10 | ||||
Remaining authorization as of June 30 | $ | 62 | $ | 148 |
As of March 31, | As of December 31, | |||||||
In millions | 2020 | 2019 | ||||||
Policyholders’ surplus | $ | 1,618 | $ | 1,891 | ||||
Contingency reserves | 481 | 485 | ||||||
Statutory capital | 2,099 | 2,376 | ||||||
Unearned premiums | 399 | 411 | ||||||
Present value of installment premiums (1) | 132 | 139 | ||||||
Premium resources (2) | 531 | 550 | ||||||
Net loss and LAE reserves (1) | (42) | (169) | ||||||
Salvage reserves (1) | 745 | 789 | ||||||
Gross loss and LAE reserves | 703 | 620 | ||||||
Total claims-paying resources | $ | 3,333 | $ | 3,546 | ||||
As of June 30, | As of December 31, | |||||||
In millions | 2020 | 2019 | ||||||
Policyholders’ surplus | $ | 1,564 | $ | 1,891 | ||||
Contingency reserves | 470 | 485 | ||||||
Statutory capital | 2,034 | 2,376 | ||||||
Unearned premiums | 385 | 411 | ||||||
Present value of installment premiums (1) | 138 | 139 | ||||||
Premium resources (2) | 523 | 550 | ||||||
Net loss and LAE reserves (1) | 29 | (169) | ||||||
Salvage reserves (1) | 735 | 789 | ||||||
Gross loss and LAE reserves | 764 | 620 | ||||||
Total claims-paying resources | $ | 3,321 | $ | 3,546 | ||||
As of March 31, | As of December 31, | |||||||
In millions | 2020 | 2019 | ||||||
Policyholders’ surplus | $ | 206 | $ | 282 | ||||
Contingency reserves | 176 | 194 | ||||||
Statutory capital | 382 | 476 | ||||||
Unearned premiums | 84 | 93 | ||||||
Present value of installment premiums (1) (4) | 86 | 92 | ||||||
Premium resources (2) | 170 | 185 | ||||||
Net loss and LAE reserves (1) | (582) | (669) | ||||||
Salvage reserves (1) (3) | 1,121 | 1,247 | ||||||
Gross loss and LAE reserves | 539 | 578 | ||||||
Total claims-paying resources | $ | 1,091 | $ | 1,239 | ||||
As of June 30, | As of December 31, | |||||||
In millions | 2020 | 2019 | ||||||
Policyholders’ surplus | $ | 179 | $ | 282 | ||||
Contingency reserves | 181 | 194 | ||||||
Statutory capital | 360 | 476 | ||||||
Unearned premiums | 84 | 93 | ||||||
Present value of installment premiums (1) (4) | 79 | 92 | ||||||
Premium resources (2) | 163 | 185 | ||||||
Net loss and LAE reserves (1) | (563) | (669) | ||||||
Salvage reserves (1) (3) | 1,095 | 1,247 | ||||||
Gross loss and LAE reserves | 532 | 578 | ||||||
Total claims-paying resources | $ | 1,055 | $ | 1,239 | ||||
Three Months Ended March 31, | |||||||||||||
In millions | 2020 | 2019 | Percent Change | ||||||||||
Statement of cash flow data: | |||||||||||||
Net cash provided (used) by: | |||||||||||||
Operating activities | $ | (82 | ) | $ | (70 | ) | 17% | ||||||
Investing activities | 610 | 128 | n/m | ||||||||||
Financing activities | (394 | ) | (175 | ) | 125% | ||||||||
Cash and cash equivalents - beginning of period | 83 | 280 | -70% | ||||||||||
Cash and cash equivalents - end of period | $ | 217 | $ | 163 | 33% | ||||||||
As of March 31, | As of December 31, | Percent | ||||||||||
In millions | 2020 | 2019 | Change | |||||||||
Available-for-sale investments:(1) | ||||||||||||
U.S. public finance insurance: | ||||||||||||
Amortized cost | $ | 1,976 | $ | 2,051 | -4% | |||||||
Unrealized net gain (loss) | 51 | 40 | 28% | |||||||||
Fair value | 2,027 | 2,091 | -3% | |||||||||
Corporate: | ||||||||||||
Amortized cost | 631 | 759 | -17% | |||||||||
Unrealized net gain (loss) | 99 | 63 | 57% | |||||||||
Fair value | 730 | 822 | -11% | |||||||||
International and structured finance insurance: | ||||||||||||
Amortized cost | 164 | 174 | -6% | |||||||||
Unrealized net gain (loss) | 10 | 12 | -17% | |||||||||
Fair value | 174 | 186 | -6% | |||||||||
Total available-for-sale investments: | ||||||||||||
Amortized cost | 2,771 | 2,984 | -7% | |||||||||
Unrealized net gain (loss) | 160 | 115 | 39% | |||||||||
Total available-for-sale investments at fair value | 2,931 | 3,099 | -5% | |||||||||
Investments carried at fair value: (2) | ||||||||||||
U.S. public finance insurance | 159 | 260 | -39% | |||||||||
Corporate | 48 | 79 | -39% | |||||||||
International and structured finance insurance | 15 | 24 | -38% | |||||||||
Total investments carried at fair value | 222 | 363 | -39% | |||||||||
Consolidated investments at carrying value | $ | 3,153 | $ | 3,462 | -9% | |||||||
Six Months Ended June 30, | ||||||||||||
In millions | 2020 | 2019 | Percent Change | |||||||||
Statement of cash flow data: | ||||||||||||
Net cash provided (used) by: | ||||||||||||
Operating activities | $ | (89 | ) | $ | (57 | ) | 56% | |||||
Investing activities | 941 | 683 | 38% | |||||||||
Financing activities | (481 | ) | (428 | ) | 12% | |||||||
Cash and cash equivalents - beginning of period | 83 | 280 | -70% | |||||||||
Cash and cash equivalents - end of period | $ | 454 | $ | 478 | -5% | |||||||
International | |||||||||||||||||
U.S. Public | and Structured | ||||||||||||||||
Finance | Finance | ||||||||||||||||
Insurance | Corporate | Insurance | Total | ||||||||||||||
Weighted average credit quality ratings | Aa | Aa | Aa | Aa | |||||||||||||
Investment grade percentage | 97% | 99% | 94% | 98% |
Change in Interest Rates | |||||||||||||||||||||||||
300 Basis | 200 Basis | 100 Basis | 100 Basis | 200 Basis | 300 Basis | ||||||||||||||||||||
Point | Point | Point | Point | Point | Point | ||||||||||||||||||||
In millions | Decrease | Decrease | Decrease | Increase | Increase | Increase | |||||||||||||||||||
Estimated change in fair value | $ | 319 | $ | 177 | $ | 76 | $ | (65 | ) | $ | (117 | ) | $ | (157 | ) |
Change in Interest Rates | ||||||||||||||||||||||||
In millions | 300 Basis Point Decrease | 200 Basis Point Decrease | 100 Basis Point Decrease | 100 Basis Point Increase | 200 Basis Point Increase | 300 Basis Point Increase | ||||||||||||||||||
Estimated change in fair value | $ | 284 | $ | 157 | $ | 66 | $ | (53 | ) | $ | (97 | ) | $ | (133 | ) |
Change in Credit Spreads | ||||||||||||
50 Basis | 50 Basis | 200 Basis | ||||||||||
Point | Point | Point | ||||||||||
In millions | Decrease | Increase | Increase | |||||||||
Estimated change in fair value | $ | 26 | $ | (24) | $ | (73) |
Change in Credit Spreads | ||||||||||||
In millions | 50 Basis Point Decrease | 50 Basis Point Increase | 200 Basis Point Increase | |||||||||
Estimated change in fair value | $ | 44 | $ | (56) | $ | (168) |
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) | |||||||||||||
January | 2,573,334 | $ | 9.17 | 2,543,621 | $ | 77 | |||||||||||
February | 1,114,025 | 8.87 | 1,112,100 | 68 | |||||||||||||
March | 4,526,891 | 7.12 | 4,427,035 | 36 | |||||||||||||
8,214,250 | $ | 8.00 | 8,082,756 | $ | 36 |
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) | ||||||||||||
April | 4,383,963 | $ | 7.50 | 4,383,885 | $ | 3 | ||||||||||
May | 1,012,076 | 7.22 | 1,006,731 | 93 | ||||||||||||
June | 4,374,838 | 7.16 | 4,374,710 | 62 | ||||||||||||
9,770,877 | $ | 7.32 | 9,765,326 | $ | 62 |
(1) - | 78 shares in non-qualified deferred compensation plan and |
*31.1. | ||||
*31.2. | ||||
**32.1. | ||||
**32.2. | ||||
*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: | /s/ Anthony McKiernan | ||
Anthony McKiernan | |||
Chief Financial Officer | |||
Date: | /s/ Joseph R. Schachinger | ||
Joseph R. Schachinger | |||
Controller (Chief Accounting Officer) |