☒ | 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 | ☐ |
PAGE | ||||||
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4 | ||||||
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6 | ||||||
6 | ||||||
9 | ||||||
Item 2. | ||||||
Item 3. | ||||||
Item 4. | ||||||
Item 1. | ||||||
Item 1A. | ||||||
Item 2. | ||||||
Item 6. | ||||||
September 30, 2020 | December 31, 2019 | June 30, 2021 | December 31, 2020 | |||||||||||||
Assets | ||||||||||||||||
Investments: | ||||||||||||||||
Fixed-maturity securities held as available-for-sale, | $ | 2,374 | $ | 2,820 | ||||||||||||
Fixed-maturity securities held as available-for-sale, | $ | 2,154 | $ | 2,257 | ||||||||||||
Investments carried at fair value | 210 | 209 | 223 | 196 | ||||||||||||
Investments pledged as collateral, at fair value (amortized cost $6 and $15) | 1 | 10 | ||||||||||||||
Short-term investments, at fair value (amortized cost $346 and $423) | 347 | 423 | ||||||||||||||
Investments pledged as collateral, at fair value (amortized cost $2 and $6) | 2 | 1 | ||||||||||||||
Short-term investments, at fair value (amortized cost $418 and $281) | 418 | 282 | ||||||||||||||
Total investments | 2,932 | 3,462 | 2,797 | 2,736 | ||||||||||||
Cash and cash equivalents | 107 | 75 | 342 | 158 | ||||||||||||
Premiums receivable (net of allowance for credit losses $4 and $0) | 229 | 249 | ||||||||||||||
Premiums receivable (net of allowance for credit losses $5 and $5) | 206 | 216 | ||||||||||||||
Deferred acquisition costs | 53 | 60 | 46 | 50 | ||||||||||||
Insurance loss recoverable | 1,798 | 1,694 | 1,561 | 1,677 | ||||||||||||
Other assets | 106 | 115 | 82 | 84 | ||||||||||||
Assets of consolidated variable interest entities: | ||||||||||||||||
Cash | 4 | 8 | 5 | 9 | ||||||||||||
Investments held-to-maturity, | 575 | 890 | ||||||||||||||
Investments carried at fair value | 78 | 83 | 63 | 77 | ||||||||||||
Loans receivable at fair value | 114 | 136 | 129 | 120 | ||||||||||||
Loan repurchase commitments | 530 | 486 | 0 | 604 | ||||||||||||
Other assets | 25 | 26 | 21 | 20 | ||||||||||||
Total assets | $ | 6,551 | $ | 7,284 | $ | 5,252 | $ | 5,751 | ||||||||
Liabilities and Equity | ||||||||||||||||
Liabilities: | ||||||||||||||||
Unearned premium revenue | $ | 429 | $ | 482 | $ | 372 | $ | 405 | ||||||||
Loss and loss adjustment expense reserves | 991 | 901 | 954 | 990 | ||||||||||||
Long-term debt | 2,318 | 2,228 | 2,283 | 2,229 | ||||||||||||
Medium-term notes (includes financial instruments carried at fair value of $101 and $108) | 686 | 680 | ||||||||||||||
Medium-term notes (includes financial instruments carried at fair value of $105 and $110) | 638 | 710 | ||||||||||||||
Investment agreements | 293 | 304 | 269 | 269 | ||||||||||||
Derivative liabilities | 228 | 175 | 140 | 215 | ||||||||||||
Other liabilities | 176 | 136 | 169 | 161 | ||||||||||||
Liabilities of consolidated variable interest entities: | ||||||||||||||||
Variable interest entity notes (includes financial instruments carried at fair value of $343 and $403) | 1,187 | 1,539 | ||||||||||||||
Variable interest entity notes (includes financial instruments carried at fair value of $321 and $350) | 450 | 623 | ||||||||||||||
Total liabilities | 6,308 | 6,445 | 5,275 | 5,602 | ||||||||||||
Commitments and contingencies (Refer to Note 13: Commitments and Contingencies) | 0 | 0 | ||||||||||||||
Equity: | ||||||||||||||||
Preferred stock, par value $1 per share; authorized shares -- 10,000,000; issued and outstanding-- NaN | 0 | 0 | ||||||||||||||
Common stock, par value $1 per share; authorized shares -- 400,000,000; issued shares-- 283,433,401 and 283,433,401 | 283 | 283 | ||||||||||||||
Preferred stock, par value $1 per share; authorized shares issued and outstanding - 10,000,000; - 0ne | 0 | 0 | ||||||||||||||
Common stock, par value $1 per share; authorized shares issued - 400,000,000;shares - 283,186,115 and 283,186,115 | 283 | 283 | ||||||||||||||
Additional paid-in capital | 2,960 | 2,999 | 2,934 | 2,962 | ||||||||||||
Retained earnings | 68 | 607 | ||||||||||||||
Retained earnings (deficit) | (180 | ) | (13 | ) | ||||||||||||
Accumulated other comprehensive income (loss), net of tax of $8 and $8 | 130 | (2 | ) | 103 | 115 | |||||||||||
Treasury stock, at cost -- 229,505,963 and 204,000,108 shares | (3,211 | ) | (3,061 | ) | ||||||||||||
Treasury stock, at cost and 229,508,967 shares - 228,780,540 | (3,176 | ) | (3,211 | ) | ||||||||||||
Total shareholders’ equity of MBIA Inc. | 230 | 826 | (36 | ) | 136 | |||||||||||
Preferred stock of subsidiary | 13 | 13 | 13 | 13 | ||||||||||||
Total equity | 243 | 839 | (23 | ) | 149 | |||||||||||
Total liabilities and equity | $ | 6,551 | $ | 7,284 | $ | 5,252 | $ | 5,751 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
2020 | 2019 | 2020 | 2019 | 2021 | 2020 | 2021 | 2020 | |||||||||||||||||||||||||
Revenues | ||||||||||||||||||||||||||||||||
Premiums earned: | ||||||||||||||||||||||||||||||||
Scheduled premiums earned | $ | 14 | $ | 17 | $ | 45 | $ | 52 | $ | 12 | $ | 15 | $ | 27 | $ | 31 | ||||||||||||||||
Refunding premiums earned | 2 | 3 | 10 | 13 | 2 | 4 | 7 | 8 | ||||||||||||||||||||||||
Premiums earned (net of ceded premiums of $1, $1, $3 and $4) | 16 | 20 | 55 | 65 | ||||||||||||||||||||||||||||
Premiums earned (net of ceded premiums of $1, $1, $2 and $2) | 14 | 19 | 34 | 39 | ||||||||||||||||||||||||||||
Net investment income | 16 | 27 | 59 | 89 | 14 | 20 | 29 | 43 | ||||||||||||||||||||||||
Fees and reimbursements | 2 | 0 | 2 | 1 | 1 | 0 | 1 | 0 | ||||||||||||||||||||||||
Change in fair value of insured derivatives: | ||||||||||||||||||||||||||||||||
Realized gains (losses) and other settlements on insured derivatives | 0 | (9 | ) | 0 | (10 | ) | ||||||||||||||||||||||||||
Unrealized gains (losses) on insured derivatives | 0 | 9 | 0 | 23 | ||||||||||||||||||||||||||||
Net change in fair value of insured derivatives | 0 | 0 | 0 | 13 | ||||||||||||||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 13 | 44 | (26 | ) | 40 | (20 | ) | 24 | 31 | (39 | ) | |||||||||||||||||||||
Net investment losses related to other-than-temporary impairments: | ||||||||||||||||||||||||||||||||
Other-than-temporary impairments recognized in accumulated other comprehensive income (loss) | 0 | 0 | 0 | (37 | ) | |||||||||||||||||||||||||||
Net investment losses related to other-than-temporary impairments | 0 | 0 | 0 | (37 | ) | |||||||||||||||||||||||||||
Net gains (losses) on extinguishment of debt | 0 | (1 | ) | 0 | (1 | ) | 14 | 0 | 14 | 0 | ||||||||||||||||||||||
Other net realized gains (losses) | 0 | 0 | 0 | 2 | ||||||||||||||||||||||||||||
Revenues of consolidated variable interest entities: | ||||||||||||||||||||||||||||||||
Net investment income | 5 | 10 | 18 | 30 | 0 | 5 | 0 | 13 | ||||||||||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | (4 | ) | 76 | 34 | 112 | 0 | 23 | (14 | ) | 38 | ||||||||||||||||||||||
Other net realized gains (losses) | 23 | (4 | ) | 37 | (62 | ) | (5 | ) | 23 | (5 | ) | 14 | ||||||||||||||||||||
Total revenues | 71 | 172 | 179 | 252 | 18 | 114 | 90 | 108 | ||||||||||||||||||||||||
Expenses | ||||||||||||||||||||||||||||||||
Losses and loss adjustment | 48 | (13 | ) | 427 | 89 | 9 | 136 | 107 | 379 | |||||||||||||||||||||||
Amortization of deferred acquisition costs | 2 | 3 | 7 | 9 | 3 | 3 | 5 | 5 | ||||||||||||||||||||||||
Operating | 21 | 23 | 61 | 68 | 21 | 22 | 47 | 40 | ||||||||||||||||||||||||
Interest | 43 | 50 | 135 | 154 | 41 | 45 | 82 | 92 | ||||||||||||||||||||||||
Expenses of consolidated variable interest entities: | ||||||||||||||||||||||||||||||||
Operating | 1 | 2 | 4 | 6 | 1 | 1 | 3 | 3 | ||||||||||||||||||||||||
Interest | 14 | 18 | 42 | 63 | 4 | 13 | 13 | 28 | ||||||||||||||||||||||||
Total expenses | 129 | 83 | 676 | 389 | 79 | 220 | 257 | 547 | ||||||||||||||||||||||||
Income (loss) before income taxes | (58 | ) | 89 | (497 | ) | (137 | ) | (61 | ) | (106 | ) | (167 | ) | (439 | ) | |||||||||||||||||
Provision (benefit) for income taxes | 0 | 6 | 0 | 8 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
Net income (loss) | $ | (58 | ) | $ | 83 | $ | (497 | ) | $ | (145 | ) | $ | (61 | ) | $ | (106 | ) | $ | (167 | ) | $ | (439 | ) | |||||||||
Net income (loss) per common share | ||||||||||||||||||||||||||||||||
Basic | $ | (1.11 | ) | $ | 1.00 | $ | (7.97 | ) | $ | (1.75 | ) | $ | (1.23 | ) | $ | (1.69 | ) | $ | (3.38 | ) | $ | (6.51 | ) | |||||||||
Diluted | $ | (1.11 | ) | $ | 1.00 | $ | (7.97 | ) | $ | (1.75 | ) | $ | (1.23 | ) | $ | (1.69 | ) | $ | (3.38 | ) | $ | (6.51 | ) | |||||||||
Weighted average number of common shares outstanding | ||||||||||||||||||||||||||||||||
Basic | 52,588,533 | 78,686,542 | 62,391,826 | 82,813,523 | 49,488,368 | 62,605,656 | 49,373,883 | 67,347,335 | ||||||||||||||||||||||||
Diluted | 52,588,533 | 78,686,542 | 62,391,826 | 82,813,523 | 49,488,368 | 62,605,656 | 49,373,883 | 67,347,335 |
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
2020 | 2019 | 2020 | 2019 | 2021 | 2020 | 2021 | 2020 | |||||||||||||||||||||||||
Net income (loss) | $ | (58 | ) | $ | 83 | $ | (497 | ) | $ | (145 | ) | $ | (61 | ) | $ | (106 | ) | $ | (167 | ) | $ | (439 | ) | |||||||||
Other comprehensive income (loss): | ||||||||||||||||||||||||||||||||
Available-for-sale | ||||||||||||||||||||||||||||||||
Unrealized gains (losses) arising during the period | 5 | 39 | 93 | 164 | ||||||||||||||||||||||||||||
Provision (benefit) for income taxes | 0 | 1 | 0 | 0 | ||||||||||||||||||||||||||||
Total | 5 | 38 | 93 | 164 | ||||||||||||||||||||||||||||
Reclassification adjustments for (gains) losses included in net income (loss) | (9 | ) | 8 | (17 | ) | (15 | ) | |||||||||||||||||||||||||
Available-for-sale | ||||||||||||||||||||||||||||||||
Unrealized gains (losses) arising during the period | 0 | (32 | ) | 0 | (2 | ) | 55 | 40 | (32 | ) | 88 | |||||||||||||||||||||
Reclassification adjustments for (gains) losses included in net income (loss) | 0 | (42 | ) | 0 | (5 | ) | (3 | ) | (5 | ) | (8 | ) | (8 | ) | ||||||||||||||||||
Foreign currency translation: | ||||||||||||||||||||||||||||||||
Foreign currency translation gains (losses) | (2 | ) | 1 | (3 | ) | 1 | 2 | (1 | ) | 3 | (1 | ) | ||||||||||||||||||||
Instrument-specific credit risk of liabilities measured at fair value: | ||||||||||||||||||||||||||||||||
Unrealized gains (losses) arising during the period | 5 | (27 | ) | 54 | (27 | ) | 6 | 3 | 1 | 49 | ||||||||||||||||||||||
Reclassification adjustments for (gains) losses included in net income (loss) | 2 | 3 | 5 | 26 | 4 | 1 | 24 | 3 | ||||||||||||||||||||||||
Total other comprehensive income (loss) | 1 | (51 | ) | 132 | 142 | 64 | 38 | (12 | ) | 131 | ||||||||||||||||||||||
Comprehensive income (loss) | $ | (57 | ) | $ | 32 | $ | (365 | ) | $ | (3 | ) | $ | 3 | $ | (68 | ) | $ | (179 | ) | $ | (308 | ) | ||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
2020 | 2019 | 2020 | 2019 | 2021 | 2020 | 2021 | 2020 | |||||||||||||||||||||||||
Common shares | ||||||||||||||||||||||||||||||||
Balance at beginning and end of period | 283,433,401 | 283,625,689 | 283,433,401 | 283,625,689 | 283,186,115 | 283,433,401 | 283,186,115 | 283,433,401 | ||||||||||||||||||||||||
Common stock amount | ||||||||||||||||||||||||||||||||
Balance at beginning and end of period | $ | 283 | $ | 284 | $ | 283 | $ | 284 | $ | 283 | $ | 283 | $ | 283 | $ | 283 | ||||||||||||||||
Additional paid-in capital | ||||||||||||||||||||||||||||||||
Balance at beginning of period | $ | 2,959 | $ | 2,995 | $ | 2,999 | $ | 3,025 | $ | 2,934 | $ | 2,961 | $ | 2,962 | $ | 2,999 | ||||||||||||||||
Period change | 1 | 2 | (39 | ) | (28 | ) | 0 | (3 | ) | (28 | ) | (41 | ) | |||||||||||||||||||
Balance at end of period | $ | 2,960 | $ | 2,997 | $ | 2,960 | $ | 2,997 | $ | 2,934 | $ | 2,958 | $ | 2,934 | $ | 2,958 | ||||||||||||||||
Retained earnings | ||||||||||||||||||||||||||||||||
Balance at beginning of period | $ | 126 | $ | 738 | $ | 607 | $ | 966 | $ | (119 | ) | $ | 232 | $ | (13 | ) | $ | 607 | ||||||||||||||
ASU 2016-13 transition adjustment | 0 | 0 | (42 | ) | 0 | 0 | 0 | 0 | (42 | ) | ||||||||||||||||||||||
Net income (loss) | (58 | ) | 83 | (497 | ) | (145 | ) | (61 | ) | (106 | ) | (167 | ) | (439 | ) | |||||||||||||||||
Balance at end of period | $ | 68 | $ | 821 | $ | 68 | $ | 821 | $ | (180 | ) | $ | 126 | $ | (180 | ) | $ | 126 | ||||||||||||||
Accumulated other comprehensive income (loss) | ||||||||||||||||||||||||||||||||
Balance at beginning of period | $ | 129 | $ | 37 | $ | (2 | ) | $ | (156 | ) | $ | 39 | $ | 91 | $ | 115 | $ | (2 | ) | |||||||||||||
Other comprehensive income (loss) | 1 | (51 | ) | 132 | 142 | |||||||||||||||||||||||||||
Other comprehensive income (lo s s) | 64 | 38 | (12 | ) | 131 | |||||||||||||||||||||||||||
Balance at end of period | $ | 130 | $ | (14 | ) | $ | 130 | $ | (14 | ) | $ | 103 | $ | 129 | $ | 103 | $ | 129 | ||||||||||||||
Treasury shares | ||||||||||||||||||||||||||||||||
Balance at beginning of period | (220,924,081 | ) | (198,824,693 | ) | (204,000,108 | ) | (193,803,976 | ) | (228,837,465 | ) | (211,272,995 | ) | (229,508,967 | ) | (204,000,108 | ) | ||||||||||||||||
Treasury shares acquired under share repurchase program | (8,582,686 | ) | (4,341,232 | ) | (26,430,768 | ) | (10,273,891 | ) | 0 | (9,765,326 | ) | 0 | (17,848,082 | ) | ||||||||||||||||||
Other | 804 | 8,166 | 924,913 | 920,108 | 56,925 | 114,240 | 728,427 | 924,109 | ||||||||||||||||||||||||
Balance at end of period | (229,505,963 | ) | (203,157,759 | ) | (229,505,963 | ) | (203,157,759 | ) | (228,780,540 | ) | (220,924,081 | ) | (228,780,540 | ) | (220,924,081 | ) | ||||||||||||||||
Treasury stock amount | ||||||||||||||||||||||||||||||||
Balance at beginning of period | $ | (3,149 | ) | $ | (3,014 | ) | $ | (3,061 | ) | $ | (3,000 | ) | $ | (3,179 | ) | $ | (3,083 | ) | $ | (3,211 | ) | $ | (3,061 | ) | ||||||||
Treasury shares acquired under share repurchase program | (62 | ) | (39 | ) | (198 | ) | (93 | ) | 0 | (71 | ) | 0 | (136 | ) | ||||||||||||||||||
Other | 0 | 0 | 48 | 40 | 3 | 5 | 35 | 48 | ||||||||||||||||||||||||
Balance at end of period | $ | (3,211 | ) | $ | (3,053 | ) | $ | (3,211 | ) | $ | (3,053 | ) | $ | (3,176 | ) | $ | (3,149 | ) | $ | (3,176 | ) | $ | (3,149 | ) | ||||||||
Total shareholders’ equity of MBIA Inc. | ||||||||||||||||||||||||||||||||
Balance at beginning of period | $ | 348 | $ | 1,040 | $ | 826 | $ | 1,119 | $ | (42 | ) | $ | 484 | $ | 136 | $ | 826 | |||||||||||||||
Period change | (118 | ) | (5 | ) | (596 | ) | (84 | ) | 6 | (137 | ) | (172 | ) | (479 | ) | |||||||||||||||||
Balance at end of period | $ | 230 | $ | 1,035 | $ | 230 | $ | 1,035 | $ | (36 | ) | $ | 347 | $ | (36 | ) | $ | 347 | ||||||||||||||
Preferred stock of subsidiary shares | ||||||||||||||||||||||||||||||||
Balance at beginning and end of period | 1,315 | 1,315 | 1,315 | 1,315 | 1,315 | 1,315 | 1,315 | 1,315 | ||||||||||||||||||||||||
Preferred stock of subsidiary amount | ||||||||||||||||||||||||||||||||
Balance at beginning and end of period | $ | 13 | $ | 13 | $ | 13 | $ | 13 | $ | 13 | $ | 13 | $ | 13 | $ | 13 | ||||||||||||||||
Total equity | $ | 243 | $ | 1,048 | $ | 243 | $ | 1,048 | $ | (23 | ) | $ | 360 | $ | (23 | ) | $ | 360 | ||||||||||||||
Nine Months Ended September 30, | Six Months Ended June 30, | |||||||||||||||
2020 | 2019 | 2021 | 2020 | |||||||||||||
Cash flows from operating activities: | ||||||||||||||||
Premiums, fees and reimbursements received | $ | 20 | $ | 19 | $ | 12 | $ | 12 | ||||||||
Investment income received | 96 | 143 | 41 | 66 | ||||||||||||
Insured derivative commutations and losses paid | 0 | (11 | ) | |||||||||||||
Financial guarantee losses and loss adjustment expenses paid | (461 | ) | (477 | ) | (77 | ) | (115 | ) | ||||||||
Proceeds from recoveries and reinsurance | 69 | 117 | 49 | 27 | ||||||||||||
Proceeds from loan repurchase commitments | 600 | 0 | ||||||||||||||
Operating and employee related expenses paid | (58 | ) | (60 | ) | (43 | ) | (46 | ) | ||||||||
Interest paid, net of interest converted to principal | (67 | ) | (144 | ) | (37 | ) | (47 | ) | ||||||||
Income taxes (paid) received | 13 | (2 | ) | 0 | 14 | |||||||||||
Net cash provided (used) by operating activities | (388 | ) | (415 | ) | 545 | (89 | ) | |||||||||
Cash flows from investing activities: | ||||||||||||||||
Purchases of available-for-sale | (900 | ) | (1,759 | ) | (671 | ) | (574 | ) | ||||||||
Sales of available-for-sale | 862 | 1,875 | 396 | 569 | ||||||||||||
Paydowns and maturities of available-for-sale | 613 | 722 | 330 | 464 | ||||||||||||
Purchases of investments at fair value | (137 | ) | (129 | ) | (103 | ) | (85 | ) | ||||||||
Sales, paydowns, maturities and other proceeds of investments at fair value | 139 | 583 | 108 | 88 | ||||||||||||
Sales, paydowns and maturities (purchases) of short-term investments, net | 77 | (131 | ) | (138 | ) | 172 | ||||||||||
Sales, paydowns and maturities of held-to-maturity | 315 | 0 | 0 | 315 | ||||||||||||
Paydowns and maturities of loans receivable | 11 | 68 | 25 | 7 | ||||||||||||
Consolidation of variable interest entities | 0 | 72 | ||||||||||||||
Deconsolidation of variable interest entities | 0 | (2 | ) | |||||||||||||
(Payments) proceeds for derivative settlements | (12 | ) | (95 | ) | (57 | ) | (7 | ) | ||||||||
Collateral (to) from counterparties | 0 | (8 | ) | |||||||||||||
Net cash provided (used) by investing activities | 968 | 1,204 | (110 | ) | 941 | |||||||||||
Cash flows from financing activities: | ||||||||||||||||
Proceeds from investment agreements | 10 | 11 | 0 | 7 | ||||||||||||
Principal paydowns of investment agreements | (21 | ) | (13 | ) | (2 | ) | (20 | ) | ||||||||
Principal paydowns of medium-term notes | 0 | (57 | ) | (49 | ) | 0 | ||||||||||
Principal paydowns of variable interest entity notes | (333 | ) | (671 | ) | (203 | ) | (327 | ) | ||||||||
Principal paydowns of long-term debt | 0 | (150 | ) | |||||||||||||
Purchases of treasury stock | (200 | ) | (96 | ) | (1 | ) | (134 | ) | ||||||||
Other financing | (8 | ) | (12 | ) | 0 | (7 | ) | |||||||||
Net cash provided (used) by financing activities | (552 | ) | (988 | ) | (255 | ) | (481 | ) | ||||||||
Net increase (decrease) in cash and cash equivalents | 28 | (199 | ) | 180 | 371 | |||||||||||
Cash and cash equivalents - beginning of period | 83 | 280 | 167 | 83 | ||||||||||||
Cash and cash equivalents - end of period | $ | 111 | $ | 81 | $ | 347 | $ | 454 | ||||||||
Reconciliation of net income (loss) to net cash provided (used) by operating activities: | ||||||||||||||||
Net income (loss) | $ | (497 | ) | $ | (145 | ) | $ | (167 | ) | $ | (439 | ) | ||||
Adjustments to reconcile net income (loss) to net cash provided (used) by operating activities: | ||||||||||||||||
Change in: | ||||||||||||||||
Premiums receivable | 13 | 40 | 9 | 10 | ||||||||||||
Deferred acquisition costs | 7 | 9 | ||||||||||||||
Accrued investment income | 6 | 19 | ||||||||||||||
Unearned premium revenue | (53 | ) | (88 | ) | (33 | ) | (38 | ) | ||||||||
Loss and loss adjustment expense reserves | 101 | (34 | ) | (40 | ) | 133 | ||||||||||
Insurance loss recoverable | (105 | ) | (249 | ) | 116 | 151 | ||||||||||
Loan repurchase commitments | 604 | 0 | ||||||||||||||
Accrued interest payable | 102 | 75 | 52 | 68 | ||||||||||||
Accrued expenses | 25 | 5 | ||||||||||||||
Net investment losses related to other-than-temporary impairments | 0 | 37 | ||||||||||||||
Unrealized (gains) losses on insured derivatives | 0 | (23 | ) | |||||||||||||
Net (gains) losses on financial instruments at fair value and foreign exchange | (8 | ) | (152 | ) | (21 | ) | 1 | |||||||||
Other net realized (gains) losses | (37 | ) | 60 | 5 | (14 | ) | ||||||||||
Other operating | 58 | 31 | 20 | 39 | ||||||||||||
Total adjustments to net income (loss) | 109 | (270 | ) | 712 | 350 | |||||||||||
Net cash provided (used) by operating activities | $ | (388 | ) | $ | (415 | ) | $ | 545 | $ | (89 | ) | |||||
September 30, 2020 | June 30, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||
Carrying Value of Assets | Carrying Value of Liabilities | 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 | 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 | $ | 1,921 | $ | 21 | $ | 17 | $ | 104 | $ | 15 | $ | 495 | $ | 1,383 | $ | 87 | $ | 14 | $ | 45 | $ | 12 | $ | 434 | ||||||||||||||||||||||||
Consumer asset-backed | 313 | 0 | 1 | 1 | 1 | 17 | 261 | 0 | 1 | 1 | 1 | 11 | ||||||||||||||||||||||||||||||||||||
Corporate asset-backed | 787 | 0 | 5 | 458 | 6 | 2 | 534 | 0 | 4 | 289 | 5 | 3 | ||||||||||||||||||||||||||||||||||||
Total global structured finance | 3,021 | 21 | 23 | 563 | 22 | 514 | 2,178 | 87 | 19 | 335 | 18 | 448 | ||||||||||||||||||||||||||||||||||||
Global public finance | 1,890 | 0 | 6 | 0 | 7 | 1 | 1,050 | 0 | 6 | 0 | 6 | 0 | ||||||||||||||||||||||||||||||||||||
Total insurance | $ | 4,911 | $ | 21 | $ | 29 | $ | 563 | $ | 29 | $ | 515 | $ | 3,228 | $ | 87 | $ | 25 | $ | 335 | $ | 24 | $ | 448 | ||||||||||||||||||||||||
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 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||
Consumer asset-backed | 384 | 0 | 1 | 1 | 1 | 11 | ||||||||||||||||||
Corporate asset-backed | 937 | 0 | 6 | 673 | 7 | 0 | ||||||||||||||||||
Total global structured finance | 3,600 | 15 | 26 | 781 | 24 | 447 | ||||||||||||||||||
Global public finance | 1,926 | 0 | 8 | 0 | 9 | 0 | ||||||||||||||||||
Total insurance | $ | 5,526 | $ | 15 | $ | 34 | $ | 781 | $ | 33 | $ | 447 | ||||||||||||
December 31, 2020 | ||||||||||||||||||||||||
Carrying Value of Assets | Carrying Value of Liabilities | |||||||||||||||||||||||
In millions | Maximum Exposure to Loss | Investments | Premiums Receivable | Insurance Loss Recoverable | Unearned Premium Revenue | Loss and Loss Adjustment Expense Reserves | ||||||||||||||||||
Insurance: | ||||||||||||||||||||||||
Global structured finance: | ||||||||||||||||||||||||
Mortgage-backed residential | $ | 1,835 | $ | 21 | $ | 16 | $ | 90 | $ | 14 | $ | 482 | ||||||||||||
Consumer asset-backed | 293 | 0 | 1 | 1 | 1 | 15 | ||||||||||||||||||
Corporate asset-backed | 735 | 0 | 5 | 364 | 5 | 0 | ||||||||||||||||||
Total global structured finance | 2,863 | 21 | 22 | 455 | 20 | 497 | ||||||||||||||||||
Global public finance | 1,434 | 0 | 7 | 0 | 7 | 2 | ||||||||||||||||||
Total insurance | $ | 4,297 | $ | 21 | $ | 29 | $ | 455 | $ | 27 | $ | 499 | ||||||||||||
As of September 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 | $ | 1,233 | $ | 454 | $ | 911 | $ | 432 | ||||||||
International and Structured Finance Insurance: | ||||||||||||||||
Before VIE eliminations (1) | 1,116 | 791 | 1,286 | 749 | ||||||||||||
VIE eliminations (1) | (551 | ) | (254 | ) | (503 | ) | (280 | ) | ||||||||
Total international and structured finance insurance | 565 | 537 | 783 | 469 | ||||||||||||
Total | $ | 1,798 | $ | 991 | $ | 1,694 | $ | 901 | ||||||||
As of June 30, 2021 | As of December 31, 2020 | |||||||||||||||
In millions | Balance Sheet Line Item | Balance Sheet Line Item | ||||||||||||||
Insurance loss recoverable | Loss and LAE reserves (2) | Insurance loss recoverable | Loss and LAE reserves (2) | |||||||||||||
U.S. Public Finance Insurance | $ | 1,226 | $ | 484 | $ | 1,220 | $ | 469 | ||||||||
International and Structured Finance Insurance: | ||||||||||||||||
Before VIE eliminations (1) | 354 | 697 | 1,082 | 780 | ||||||||||||
VIE eliminations (1) | (19 | ) | (227 | ) | (625 | ) | (259 | ) | ||||||||
Total international and structured finance insurance | 335 | 470 | 457 | 521 | ||||||||||||
Total | $ | 1,561 | $ | 954 | $ | 1,677 | $ | 990 | ||||||||
In millions | Changes in Loss and LAE Reserves for the Nine Months Ended September 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 September 30, 2020 (1) | |||||||
$901 | $(435) | $8 | $(86) | $600 | $7 | (4) | $991 | |||||||
In millions | Changes in Loss and LAE Reserves for the Six Months Ended June 30, 2021 | |||||||||||||
Gross Loss and LAE Reserves as of December 31, 2020 (1) | Loss Payments | Accretion of Claim Liability Discount | Changes in Discount Rates | Changes in Assumptions | Changes in Unearned Premium Revenue | Other | Gross Loss and LAE Reserves as of June 30, 2021 (1) | |||||||
$990 | $(66) | $7 | $(21) | $43 | $2 | $(1) | $954 | |||||||
Changes in Insurance Loss Recoverable | Changes in Insurance Loss Recoverable | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
for the Nine Months Ended September 30, 2020 | for the Six Months Ended June 30, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
In millions | Gross Reserve as of December 31, 2019 | Collections for Cases | Accretion of Recoveries | Changes in Discount Rates | Changes in Assumptions | Other | Gross Reserve as of September 30, 2020 | Gross Reserve as of December 31, 2020 | Collections for Cases | Accretion of Recoveries | Changes in Discount Rates | Changes in Assumptions (1) | Other (2) | Gross Reserve as of June 30, 2021 | ||||||||||||||||||||||||||||||||||||||||||
Insurance loss recoverable | $ | 1,694 | $ | (35 | ) | $ | 11 | $ | 152 | $ | (21 | ) | $ | (3 | ) | $ | 1,798 | $ | 1,677 | $ | (44 | ) | $ | 8 | $ | (63 | ) | $ | (18 | ) | $ | 1 | $ | 1,561 | ||||||||||||||||||||||
Surveillance Categories | Surveillance Categories | |||||||||||||||||||||||||||||||||||||||
$ in millions | Caution List Low | Caution List Medium | Caution List High | Classified List | Total | Caution List Low | Caution List Medium | Caution List High | Classified List | Total | ||||||||||||||||||||||||||||||
Number of policies | 50 | 17 | 0 | 220 | 287 | 58 | 3 | 0 | 209 | 270 | ||||||||||||||||||||||||||||||
Number of issues (1) | 18 | 4 | 0 | 101 | 123 | 17 | 2 | 0 | 90 | 109 | ||||||||||||||||||||||||||||||
Remaining weighted average contract period (in years) | 6.1 | 6.6 | - | 8.0 | 7.4 | 6.1 | 2.4 | - | 8.0 | 7.4 | ||||||||||||||||||||||||||||||
Gross insured contractual payments outstanding: (2) | ||||||||||||||||||||||||||||||||||||||||
Principal | $ | 1,558 | $ | 218 | $ | 0 | $ | 3,364 | $ | 5,140 | $ | 1,490 | $ | 7 | $ | 0 | $ | 2,948 | $ | 4,445 | ||||||||||||||||||||
Interest | 2,058 | 90 | 0 | 1,457 | 3,605 | 1,968 | 1 | 0 | 1,314 | 3,283 | ||||||||||||||||||||||||||||||
Total | $ | 3,616 | $ | 308 | $ | 0 | $ | 4,821 | $ | 8,745 | $ | 3,458 | $ | 8 | $ | 0 | $ | 4,262 | $ | 7,728 | ||||||||||||||||||||
Gross Claim Liability (3) | $ | 0 | $ | 0 | $ | 0 | $ | 1,088 | $ | 1,088 | $ | 0 | $ | 0 | $ | 0 | $ | 983 | $ | 983 | ||||||||||||||||||||
Less: | ||||||||||||||||||||||||||||||||||||||||
Gross Potential Recoveries (4) | 0 | 0 | 0 | 2,008 | 2,008 | 0 | 0 | 0 | 2,002 | 2,002 | ||||||||||||||||||||||||||||||
Discount, net (5) | 0 | 0 | 0 | (133 | ) | (133 | ) | 0 | 0 | 0 | (405 | ) | (405 | ) | ||||||||||||||||||||||||||
Net claim liability (recoverable) | $ | 0 | $ | 0 | $ | 0 | $ | (787 | ) | $ | (787 | ) | $ | 0 | $ | 0 | $ | 0 | $ | (614 | ) | $ | (614 | ) | ||||||||||||||||
Unearned premium revenue | $ | 10 | $ | 3 | $ | 0 | $ | 36 | $ | 49 | $ | 9 | $ | 0 | $ | 0 | $ | 31 | $ | 40 | ||||||||||||||||||||
Reinsurance recoverable on paid and unpaid losses (6) | $ | 10 | $ | 11 |
Surveillance Categories | Surveillance Categories | |||||||||||||||||||||||||||||||||||||||
$ in millions | Caution List Low | Caution List Medium | Caution List High | Classified List | Total | Caution List Low | Caution List Medium | Caution List High | Classified List | Total | ||||||||||||||||||||||||||||||
Number of policies | 45 | 19 | 0 | 212 | 276 | 46 | 16 | 0 | 219 | 281 | ||||||||||||||||||||||||||||||
Number of issues (1) | 13 | 5 | 0 | 94 | 112 | 16 | 3 | 0 | 100 | 119 | ||||||||||||||||||||||||||||||
Remaining weighted average contract period (in years) | 7.3 | 7.2 | - | 7.9 | 7.7 | 6.4 | 6.4 | - | 7.9 | 7.4 | ||||||||||||||||||||||||||||||
Gross insured contractual payments outstanding: (2) | ||||||||||||||||||||||||||||||||||||||||
Principal | $ | 1,546 | $ | 248 | $ | 0 | $ | 3,794 | $ | 5,588 | $ | 1,422 | $ | 123 | $ | 0 | $ | 3,302 | $ | 4,847 | ||||||||||||||||||||
Interest | 2,107 | 110 | 0 | 1,668 | 3,885 | 1,974 | 54 | 0 | 1,441 | 3,469 | ||||||||||||||||||||||||||||||
Total | $ | 3,653 | $ | 358 | $ | 0 | $ | 5,462 | $ | 9,473 | $ | 3,396 | $ | 177 | $ | 0 | $ | 4,743 | $ | 8,316 | ||||||||||||||||||||
Gross Claim Liability (3) | $ | 0 | $ | 0 | $ | 0 | $ | 965 | $ | 965 | $ | 0 | $ | 0 | $ | 0 | $ | 1,088 | $ | 1,088 | ||||||||||||||||||||
Less: | ||||||||||||||||||||||||||||||||||||||||
Gross Potential Recoveries (4) | 0 | 0 | 0 | 2,184 | 2,184 | 0 | 0 | 0 | 1,947 | 1,947 | ||||||||||||||||||||||||||||||
Discount, net (5) | 0 | 0 | 0 | (453 | ) | (453 | ) | 0 | 0 | 0 | (173 | ) | (173 | ) | ||||||||||||||||||||||||||
Net claim liability (recoverable) | $ | 0 | $ | 0 | $ | 0 | $ | (766 | ) | $ | (766 | ) | $ | 0 | $ | 0 | $ | 0 | $ | (686 | ) | $ | (686 | ) | ||||||||||||||||
Unearned premium revenue | $ | 6 | $ | 3 | $ | 0 | $ | 39 | $ | 48 | $ | 10 | $ | 0 | $ | 0 | $ | 35 | $ | 45 | ||||||||||||||||||||
Reinsurance recoverable on paid and unpaid losses (6) | $ | 19 | $ | 11 |
In millions | Fair Value as of September 30, 2020 | Valuation Techniques | Unobservable Input | Range (Weighted Average) | Fair Value as of June 30, 2021 | Valuation Techniques | Unobservable Input | Range (Weighted Average) | ||||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||||||
Loans receivable at fair value | $ | 114 | Market prices adjusted for financial guarantees provided to VIE obligations | Impact of financial guarantee (2) | -28% -110% (20%) (1) | $ | 129 | Market prices adjusted for financial guarantees provided to VIE obligations | Impact of financial guarantee (2) | -34% - 69% (21%) (1) | ||||||||||||||
Loan repurchase commitments | 530 | Discounted cash flow | Recovery rates (3) Breach rates (3) | |||||||||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||||||
Variable interest entity notes | 294 | Market prices of VIE assets adjusted for financial guarantees provided | Impact of financial guarantee | 29% - 74% (59%) (1) | �� | 290 | 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 | 38 | 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. |
19 MBIA Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) Note 6: Fair Value of Financial Instruments (continued) |
|
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) - | 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) - |
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) | Balance as of September 30, 2020 | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Balance as of June 30, 2021 | ||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Fixed-maturity investments: | ||||||||||||||||||||||||||||||||
U.S. Treasury and government agency | $ | 901 | $ | 109 | $ | 0 | $ | 1,010 | $ | 707 | $ | 97 | $ | 0 | $ | 804 | ||||||||||||||||
State and municipal bonds | 0 | 191 | 0 | 191 | 0 | 186 | 0 | 186 | ||||||||||||||||||||||||
Foreign governments | 0 | 16 | 0 | 16 | 0 | 20 | 0 | 20 | ||||||||||||||||||||||||
Corporate obligations | 0 | 1,019 | 0 | 1,019 | 0 | 990 | 0 | 990 | ||||||||||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||||||||||
Residential mortgage-backed agency | 0 | 296 | 0 | 296 | 0 | 228 | 0 | 228 | ||||||||||||||||||||||||
Residential mortgage-backed non-agency | 0 | 26 | 0 | 26 | 0 | 102 | 0 | 102 | ||||||||||||||||||||||||
Commercial mortgage-backed | 0 | 19 | 0 | 19 | 0 | 15 | 0 | 15 | ||||||||||||||||||||||||
Asset-backed securities: | ||||||||||||||||||||||||||||||||
Collateralized debt obligations | 0 | 124 | 0 | 124 | 0 | 140 | 0 | 140 | ||||||||||||||||||||||||
Other asset-backed | 0 | 109 | 0 | 109 | 0 | 145 | 0 | 145 | ||||||||||||||||||||||||
Total fixed-maturity investments | 901 | 1,909 | 0 | 2,810 | 707 | 1,923 | 0 | 2,630 | ||||||||||||||||||||||||
Money market securities | 20 | 0 | 0 | 20 | 101 | 0 | 0 | 101 | ||||||||||||||||||||||||
Perpetual debt and equity securities | 33 | 20 | 0 | 53 | 43 | 23 | 0 | 66 | ||||||||||||||||||||||||
Fixed-income fund | 0 | 0 | 0 | 49 | (1) | |||||||||||||||||||||||||||
Cash and cash equivalents | 107 | 0 | 0 | 107 | 342 | 0 | 0 | 342 | ||||||||||||||||||||||||
Derivative assets: | ||||||||||||||||||||||||||||||||
Non-insured derivative assets: | ||||||||||||||||||||||||||||||||
Interest rate derivatives | 0 | 1 | 0 | 1 | 0 | 1 | 0 | 1 |
Fair Value Measurements at Reporting Date Using | ||||||||||||||||
In millions | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Balance as of September 30, 2020 | ||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||
Corporate obligations | 0 | 7 | 0 | 7 | ||||||||||||
Mortgage-backed securities: | ||||||||||||||||
Residential mortgage-backed non-agency | 0 | 41 | 0 | 41 | ||||||||||||
Commercial mortgage-backed | 0 | 16 | 0 | 16 | ||||||||||||
Asset-backed securities: | ||||||||||||||||
Collateralized debt obligations | 0 | 7 | 0 | 7 | ||||||||||||
Other asset-backed | 0 | 7 | 0 | 7 | ||||||||||||
Cash | 4 | 0 | 0 | 4 | ||||||||||||
Loans receivable at fair value: | ||||||||||||||||
Residential loans receivable | 0 | 0 | 114 | 114 | ||||||||||||
Loan repurchase commitments | 0 | 0 | 530 | 530 | ||||||||||||
Other assets: | ||||||||||||||||
Currency derivatives | 0 | 0 | 12 | 12 | ||||||||||||
Other | 0 | 0 | 13 | 13 | ||||||||||||
Total assets | $ | 1,065 | $ | 2,008 | $ | 669 | $ | 3,791 | ||||||||
Liabilities: | ||||||||||||||||
Medium-term notes | $ | 0 | $ | 0 | $ | 101 | $ | 101 | ||||||||
Derivative liabilities: | ||||||||||||||||
Insured derivatives: | ||||||||||||||||
Credit derivatives | 0 | 2 | 8 | 10 | ||||||||||||
Non-insured derivatives: | ||||||||||||||||
Interest rate derivatives | 0 | 180 | 0 | 180 | ||||||||||||
Other | 0 | 0 | 38 | 38 | ||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||
Variable interest entity notes | 0 | 49 | 294 | 343 | ||||||||||||
Total liabilities | $ | 0 | $ | 231 | $ | 441 | $ | 672 | ||||||||
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 June 30, 2021 | ||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||
Corporate obligations | 0 | 5 | 0 | 5 | ||||||||||||
Mortgage-backed securities: | ||||||||||||||||
Residential mortgage-backed non-agency | 0 | 28 | 0 | 28 | ||||||||||||
Commercial mortgage-backed | 0 | 15 | 0 | 15 | ||||||||||||
Asset-backed securities: | ||||||||||||||||
Collateralized debt obligations | 0 | 7 | 0 | 7 | ||||||||||||
Other asset-backed | 0 | 8 | 0 | 8 | ||||||||||||
Cash | 5 | 0 | 0 | 5 | ||||||||||||
Loans receivable at fair value: | ||||||||||||||||
Residential loans receivable | 0 | 0 | 129 | 129 | ||||||||||||
Other assets: | ||||||||||||||||
Currency derivatives | 0 | 0 | 8 | 8 | ||||||||||||
Other | 0 | 0 | 13 | 13 | ||||||||||||
Total assets | $ | 1,198 | $ | 2,010 | $ | 150 | $ | 3,358 | ||||||||
Liabilities: | ||||||||||||||||
Medium-term notes | $ | 0 | $ | 0 | $ | 105 | $ | 105 | ||||||||
Derivative liabilities: | ||||||||||||||||
Insured derivatives: | ||||||||||||||||
Credit derivatives | 0 | 1 | 0 | 1 | ||||||||||||
Non-insured derivatives: | ||||||||||||||||
Interest rate derivatives | 0 | 139 | 0 | 139 | ||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||
Variable interest entity notes | 0 | 31 | 290 | 321 | ||||||||||||
Total liabilities | $ | 0 | $ | 171 | $ | 395 | $ | 566 | ||||||||
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) | Balance as of December 31, 2019 | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Balance as of December 31, 2020 | ||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Fixed-maturity investments: | ||||||||||||||||||||||||||||||||
U.S. Treasury and government agency | $ | 791 | $ | 97 | $ | 0 | $ | 888 | $ | 750 | $ | 105 | $ | 0 | $ | 855 | ||||||||||||||||
State and municipal bonds | 0 | 200 | 0 | 200 | 0 | 195 | 0 | 195 | ||||||||||||||||||||||||
Foreign governments | 0 | 10 | 0 | 10 | 0 | 15 | 0 | 15 | ||||||||||||||||||||||||
Corporate obligations | 0 | 1,266 | 0 | 1,266 | 0 | 975 | 0 | 975 | ||||||||||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||||||||||
Residential mortgage-backed agency | 0 | 330 | 0 | 330 | 0 | 319 | 0 | 319 | ||||||||||||||||||||||||
Residential mortgage-backed non-agency | 0 | 19 | 0 | 19 | 0 | 32 | 0 | 32 | ||||||||||||||||||||||||
Commercial mortgage-backed | 0 | 22 | 0 | 22 | 0 | 20 | 0 | 20 | ||||||||||||||||||||||||
Asset-backed securities: | ||||||||||||||||||||||||||||||||
Collateralized debt obligations | 0 | 140 | 0 | 140 | 0 | 121 | 0 | 121 | ||||||||||||||||||||||||
Other asset-backed | 0 | 326 | 1 | 327 | 0 | 141 | 0 | 141 | ||||||||||||||||||||||||
Total fixed-maturity investments | 791 | 2,410 | 1 | 3,202 | 750 | 1,923 | 0 | 2,673 | ||||||||||||||||||||||||
Money market securities | 154 | 0 | 0 | 154 | 1 | 0 | 0 | 1 | ||||||||||||||||||||||||
Perpetual debt and equity securities | 30 | 25 | 0 | 55 | 37 | 25 | 0 | 62 | ||||||||||||||||||||||||
Fixed-income fund | 0 | 0 | 0 | 51 | (1) | |||||||||||||||||||||||||||
Cash and cash equivalents | 75 | 0 | 0 | 75 | 158 | 0 | 0 | 158 | ||||||||||||||||||||||||
Derivative assets: | ||||||||||||||||||||||||||||||||
Non-insured derivative assets: | ||||||||||||||||||||||||||||||||
Interest rate derivatives | 0 | 1 | 0 | 1 | 0 | 1 | 0 | 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 | 0 | 8 | 0 | 8 | ||||||||||||
Mortgage-backed securities: | ||||||||||||||||
Residential mortgage-backed non-agency | 0 | 45 | 0 | 45 | ||||||||||||
Commercial mortgage-backed | 0 | 16 | 0 | 16 | ||||||||||||
Asset-backed securities: | ||||||||||||||||
Collateralized debt obligations | 0 | 6 | 0 | 6 | ||||||||||||
Other asset-backed | 0 | 8 | 0 | 8 | ||||||||||||
Cash | 8 | 0 | 0 | 8 | ||||||||||||
Loans receivable at fair value: | ||||||||||||||||
Residential loans receivable | 0 | 0 | 136 | 136 | ||||||||||||
Loan repurchase commitments | 0 | 0 | 486 | 486 | ||||||||||||
Other assets: | ||||||||||||||||
Currency derivatives | 0 | 0 | 8 | 8 | ||||||||||||
Other | 0 | 0 | 18 | 18 | ||||||||||||
Total assets | $ | 1,058 | $ | 2,519 | $ | 649 | $ | 4,277 | ||||||||
Liabilities: | ||||||||||||||||
Medium-term notes | $ | 0 | $ | 0 | $ | 108 | $ | 108 | ||||||||
Derivative liabilities: | ||||||||||||||||
Insured derivatives: | ||||||||||||||||
Credit derivatives | 0 | 2 | 7 | 9 | ||||||||||||
Non-insured derivatives: | ||||||||||||||||
Interest rate derivatives | 0 | 132 | 0 | 132 | ||||||||||||
Other | 0 | 0 | 34 | 34 | ||||||||||||
Other liabilities: | ||||||||||||||||
Other payable | 0 | 0 | 4 | 4 | ||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||
Variable interest entity notes | 0 | 56 | 347 | 403 | ||||||||||||
Total liabilities | $ | 0 | $ | 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, 2020 | ||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||
Corporate obligations | 0 | 6 | 0 | 6 | ||||||||||||
Mortgage-backed securities: | ||||||||||||||||
Residential mortgage-backed non-agency | 0 | 40 | 0 | 40 | ||||||||||||
Commercial mortgage-backed | 0 | 16 | 0 | 16 | ||||||||||||
Asset-backed securities: | ||||||||||||||||
Collateralized debt obligations | 0 | 8 | 0 | 8 | ||||||||||||
Other asset-backed | 0 | 7 | 0 | 7 | ||||||||||||
Cash | 9 | 0 | 0 | 9 | ||||||||||||
Loans receivable at fair value: | ||||||||||||||||
Residential loans receivable | 0 | 0 | 120 | 120 | ||||||||||||
Loan repurchase commitments | 0 | 0 | 604 | 604 | ||||||||||||
Other assets: | ||||||||||||||||
Currency derivatives | 0 | 0 | 6 | 6 | ||||||||||||
Other | 0 | 0 | 14 | 14 | ||||||||||||
Total assets | $ | 955 | $ | 2,026 | $ | 744 | $ | 3,725 | ||||||||
Liabilities: | ||||||||||||||||
Medium-term notes | $ | 0 | $ | 0 | $ | 110 | $ | 110 | ||||||||
Derivative liabilities: | ||||||||||||||||
Insured derivatives: | ||||||||||||||||
Credit derivatives | 0 | 2 | 0 | 2 | ||||||||||||
Non-insured derivatives: | ||||||||||||||||
Interest rate derivatives | 0 | 164 | 0 | 164 | ||||||||||||
Other | 0 | 0 | 49 | 49 | ||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||
Variable interest entity notes | 0 | 47 | 303 | 350 | ||||||||||||
Total liabilities | $ | 0 | $ | 213 | $ | 462 | $ | 675 | ||||||||
Fair Value Measurements at Reporting Date Using | ||||||||||||||||||||
In millions | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value Balance as of September 30, 2020 | Carry Value Balance as of September 30, 2020 | |||||||||||||||
Assets: | ||||||||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||
Investments held-to-maturity | $ | 0 | $ | 0 | $ | 575 | $ | 575 | $ | 575 | ||||||||||
Total assets | $ | 0 | $ | 0 | $ | 575 | $ | 575 | $ | 575 | ||||||||||
Liabilities: | ||||||||||||||||||||
Long-term debt | $ | 0 | $ | 724 | $ | 0 | $ | 724 | $ | 2,318 | ||||||||||
Medium-term notes | 0 | 0 | 379 | 379 | 583 | |||||||||||||||
Investment agreements | 0 | 0 | 408 | 408 | 293 | |||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||
Variable interest entity notes | 0 | 264 | 575 | 839 | 844 | |||||||||||||||
Total liabilities | $ | 0 | $ | 988 | $ | 1,362 | $ | 2,350 | $ | 4,038 | ||||||||||
Financial Guarantees: | ||||||||||||||||||||
Gross liability (recoverable) | $ | 0 | $ | 0 | $ | 595 | $ | 595 | $ | (378 | ) | |||||||||
Ceded recoverable (liability) | 0 | 0 | 41 | 41 | (18 | ) | ||||||||||||||
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 | $ | 0 | $ | 0 | $ | 892 | $ | 892 | $ | 890 | ||||||||||
Total assets | $ | 0 | $ | 0 | $ | 892 | $ | 892 | $ | 890 | ||||||||||
Liabilities: | ||||||||||||||||||||
Long-term debt | $ | 0 | $ | 1,073 | $ | 0 | $ | 1,073 | $ | 2,228 | ||||||||||
Medium-term notes | 0 | 0 | 396 | 396 | 570 | |||||||||||||||
Investment agreements | 0 | 0 | 394 | 394 | 304 | |||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||
Variable interest entity notes | 0 | 261 | 892 | 1,153 | 1,136 | |||||||||||||||
Total liabilities | $ | 0 | $ | 1,334 | $ | 1,682 | $ | 3,016 | $ | 4,238 | ||||||||||
Financial Guarantees: | ||||||||||||||||||||
Gross liability (recoverable) | $ | 0 | $ | 0 | $ | 556 | $ | 556 | $ | (311 | ) | |||||||||
Ceded recoverable (liability) | 0 | 0 | 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 June 30, 2021 | Carry Value Balance as of June 30, 2021 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Long-term debt | $ | 0 | $ | 595 | $ | 0 | $ | 595 | $ | 2,283 | ||||||||||
Medium-term notes | 0 | 0 | 328 | 328 | 532 | |||||||||||||||
Investment agreements | 0 | 0 | 358 | 358 | 269 | |||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||
Variable interest entity notes | 0 | 133 | 0 | 133 | 129 | |||||||||||||||
Total liabilities | $ | 0 | $ | 728 | $ | 686 | $ | 1,414 | $ | 3,213 | ||||||||||
Financial Guarantees: | ||||||||||||||||||||
Gross liability (recoverable) | $ | 0 | $ | 0 | $ | 921 | $ | 921 | $ | (235 | ) | |||||||||
Ceded recoverable (liability) | 0 | 0 | 47 | 47 | (20 | ) | ||||||||||||||
Fair Value Measurements at Reporting Date Using | ||||||||||||||||||||
In millions | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value Balance as of December 31, 2020 | Carry Value Balance as of December 31, 2020 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Long-term debt | $ | 0 | $ | 631 | $ | 0 | $ | 631 | $ | 2,229 | ||||||||||
Medium-term notes | 0 | 0 | 396 | 396 | 598 | |||||||||||||||
Investment agreements | 0 | 0 | 376 | 376 | 269 | |||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||
Variable interest entity notes | 0 | 276 | 0 | 276 | 273 | |||||||||||||||
Total liabilities | $ | 0 | $ | 907 | $ | 772 | $ | 1,679 | $ | 3,369 | ||||||||||
Financial Guarantees: | ||||||||||||||||||||
Gross liability (recoverable) | $ | 0 | $ | 0 | $ | 811 | $ | 811 | $ | (282 | ) | |||||||||
Ceded recoverable (liability) | 0 | 0 | 45 | 45 | (17 | ) |
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, 2021 | Change in Unrealized Gains (Losses) for the Period Included in OCI for Assets still held as of June 30, 2021 (1) | ||||||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||
Loans receivable- residential | $ | 124 | $ | 24 | $ | 0 | $ | 0 | $ | 0 | $ | (5 | ) | $ | (14 | ) | $ | 0 | $ | 0 | $ | 129 | $ | 24 | $ | 0 | ||||||||||||||||||||||
Currency derivatives | 9 | (1 | ) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 8 | (1 | ) | 0 | ||||||||||||||||||||||||||||||||||
Other | 14 | (1 | ) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 13 | (1 | ) | 0 | ||||||||||||||||||||||||||||||||||
Total assets | $ | 147 | $ | 22 | $ | 0 | $ | 0 | $ | 0 | $ | (5 | ) | $ | (14 | ) | $ | 0 | $ | 0 | $ | 150 | $ | 22 | $ | 0 | ||||||||||||||||||||||
In millions | Balance, Beginning of Period | Total (Gains) / Losses Included in Earnings | Unrealized (Gains) / Losses Included in OCI (2) | Purchases | Issuances | Settlements | Sales | Transfers into Level 3 | Transfers out of Level 3 | Ending Balance | Change in Unrealized (Gains) Losses for the Period Included in Earnings for Liabilities still held as of June 30, 2021 | Change in Unrealized (Gains) Losses for the Period Included in OCI for Liabilities still held as of June 30, 2021 (2) | ||||||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||
Medium-term notes | $ | 105 | $ | (2 | ) | $ | 2 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 105 | $ | (2 | ) | $ | 2 | ||||||||||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||
VIE notes | 280 | 26 | (8 | ) | 0 | 0 | (3 | ) | (5 | ) | 0 | 0 | 290 | 24 | (7 | ) | ||||||||||||||||||||||||||||||||
Total liabilities | $ | 385 | $ | 24 | $ | (6 | ) | $ | 0 | $ | 0 | $ | (3 | ) | $ | (5 | ) | $ | 0 | $ | 0 | $ | 395 | $ | 22 | $ | (5 | ) | ||||||||||||||||||||
(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 September 30, 2020 | Change in Unrealized Gains (Losses) for the Period Included in OCI for Assets still held as of September 30, 2020 (1) | 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 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (1 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 1 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 1 | $ | 0 | $ | 0 | |||||||||||||||||||||||||||||||||||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loans receivable- residential | 116 | 2 | 0 | 0 | 0 | (4 | ) | 0 | 0 | 0 | 114 | 1 | 0 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loans receivable-residential | 98 | 22 | 0 | 0 | 0 | (4 | ) | 0 | 0 | 0 | 116 | 20 | 0 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loan repurchase commitments | 524 | 6 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 530 | 6 | 0 | 506 | 18 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 524 | 18 | 0 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Currency derivatives | 14 | (2 | ) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 12 | (2 | ) | 0 | 18 | (4 | ) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 14 | (4 | ) | 0 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other | 14 | (1 | ) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 13 | (1 | ) | 0 | 15 | (1 | ) | 0 | 0 | 0 | 0 | �� | 0 | 0 | 0 | 14 | (1 | ) | 0 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets | $ | 669 | $ | 5 | $ | 0 | $ | 0 | $ | 0 | $ | (5 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 669 | $ | 4 | $ | 0 | $ | 638 | $ | 35 | $ | 0 | $ | 0 | $ | 0 | $ | (4 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 669 | $ | 33 | $ | 0 | ||||||||||||||||||||||||||||||||||||||||||||||
In millions | Balance, Beginning of Period | Total (Gains) / Losses Included in Earnings | Unrealized (Gains) / Losses Included in in OCI (2) | Purchases | Issuances | Settlements | Sales | Transfers into Level 3 | Transfers out of Level 3 | Ending Balance | Change in Unrealized (Gains) Losses for the Period Included in Earnings for Liabilities still held as of September 30, 2020 | Change in Unrealized (Gains) Losses for the Period Included in OCI for Liabilities still held as of September 30, 2020 (2) | Balance, Beginning of Period | Total (Gains) / Losses Included in Earnings | Unrealized (Gains) / Losses Included in OCI (2) | Purchases | Issuances | Settlements | Sales | Transfers into Level 3 | Transfers out of Level 3 | Ending Balance | Change in Unrealized (Gains) Losses for the Period Included in Earnings for Liabilities still held as of 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 | $ | 96 | $ | 8 | $ | (3 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 101 | $ | 8 | $ | (3 | ) | $ | 98 | $ | (1 | ) | $ | (1 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 96 | $ | (1 | ) | $ | (1 | ) | ||||||||||||||||||||||||||||||||||||||||||
Credit derivatives | 8 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 8 | 0 | 0 | 8 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 8 | 0 | 0 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other derivatives | 37 | 1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 38 | 1 | 0 | 37 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 37 | 0 | 0 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
VIE notes | 291 | 10 | (3 | ) | 0 | 0 | (4 | ) | 0 | 0 | 0 | 294 | 8 | (2 | ) | 281 | 16 | (3 | ) | 0 | 0 | (3 | ) | 0 | 0 | 0 | 291 | 15 | (3 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities | $ | 432 | $ | 19 | $ | (6 | ) | $ | 0 | $ | 0 | $ | (4 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 441 | $ | 17 | $ | (5 | ) | $ | 424 | $ | 15 | $ | (4 | ) | $ | 0 | $ | 0 | $ | (3 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 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 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, 2021 | Change in Unrealized Gains (Losses) for the Period Included in OCI for Assets still held as of June 30, 2021 (1) | |||||||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||
Assets of consolidated VIEs: | |||||||||||||||||||||||||||||||||||||||||||||||||
Loans receivable- residential | $ | 120 | $ | 34 | $ | 0 | $ | 0 | $ | 0 | $ | (11 | ) | $ | (14 | ) | $ | 0 | $ | 0 | $ | 129 | $ | 31 | $ | 0 | |||||||||||||||||||||||
Loan repurchase commitments | 604 | (4 | ) | 0 | 0 | 0 | (600 | ) | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||||||||||
Currency derivatives | 6 | 2 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 8 | 2 | 0 | |||||||||||||||||||||||||||||||||||||
Other | 14 | (1 | ) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 13 | (1 | ) | - | |||||||||||||||||||||||||||||||||||
Total assets | $ | 744 | $ | 31 | $ | 0 | $ | 0 | $ | 0 | $ | (611 | ) | $ | (14 | ) | $ | 0 | $ | 0 | $ | 150 | $ | 32 | $ | 0 | |||||||||||||||||||||||
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, 2021 | Change in Unrealized (Gains) Losses for the Period Included in OCI for Liabilities still held as of June 30, 2021 (2) | ||||||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||
Medium-term notes | $ | 110 | $ | (9 | ) | $ | 4 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 105 | $ | (9 | ) | $ | 4 | ||||||||||||||||||||||
Other derivatives | 49 | 0 | 0 | 0 | 0 | (49 | ) | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||
VIE notes | 303 | 48 | (24 | ) | 0 | 0 | (32 | ) | (5 | ) | 0 | 0 | 290 | 28 | (5 | ) | ||||||||||||||||||||||||||||||||
Total liabilities | $ | 462 | $ | 39 | $ | (20 | ) | $ | 0 | $ | 0 | $ | (81 | ) | $ | (5 | ) | $ | 0 | $ | 0 | $ | 395 | $ | 19 | $ | (1 | ) | ||||||||||||||||||||
(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 | 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 September 30, 2019 | 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 Earnings for Assets still held as of June 30, 2020 (1) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commercial mortgage-backed | $ | 4 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (1 | ) | $ | 0 | $ | 0 | $ | (3 | ) | $ | 0 | $ | 0 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other asset-backed | 1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 1 | 0 | $ | 1 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 1 | $ | 0 | $ | 0 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets of consolidated VIEs: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loans receivable- residential | 154 | (3 | ) | 0 | 0 | 0 | (5 | ) | 0 | 0 | 0 | 146 | (3 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loans receivable - residential | 136 | (13 | ) | 0 | 0 | 0 | (7 | ) | 0 | 0 | 0 | 116 | (14 | ) | 0 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loan repurchase commitments | 428 | 50 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 478 | 50 | 486 | 38 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 524 | 38 | 0 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Currency derivatives | 11 | (3 | ) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 8 | (4 | ) | 8 | 6 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 14 | 6 | 0 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other | 15 | 2 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 17 | 2 | 18 | (4 | ) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 14 | (4 | ) | 0 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets | $ | 613 | $ | 46 | $ | 0 | $ | 0 | $ | 0 | $ | (6 | ) | $ | 0 | $ | 0 | $ | (3 | ) | $ | 650 | $ | 45 | $ | 649 | $ | 27 | $ | 0 | $ | 0 | $ | 0 | $ | (7 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 669 | $ | 26 | $ | 0 | ||||||||||||||||||||||||||||||||||||||||||
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 September 30, 2019 | Balance, Beginning of Year | Total (Gains) / Losses Included in Earnings | Unrealized (Gains) / Losses Included in OCI (2) | Purchases | Issuances | Settlements | Sales | Transfers into Level 3 | Transfers out of Level 3 | Ending Balance | Change in Unrealized (Gains) Losses for the Period Included in Earnings for Liabilities still held as of 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 | $ | 110 | $ | 1 | $ | (5 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 106 | $ | 1 | $ | 108 | $ | 1 | $ | (13 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 96 | $ | 1 | $ | (13 | ) | |||||||||||||||||||||||||||||||||||||||||||
Credit derivatives | 18 | 1 | 0 | 0 | 0 | (9 | ) | 0 | 0 | 0 | 10 | (9 | ) | 7 | 1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 8 | 1 | 0 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other derivatives | 16 | 14 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 30 | 14 | 34 | 3 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 37 | 3 | 0 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other payable | 3 | 1 | 0 | 0 | 0 | 0 | 0 | 0 | - | 4 | 1 | 4 | 0 | 0 | 0 | 0 | (4 | ) | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
VIE notes | 342 | 3 | 10 | 0 | 3 | (10 | ) | 0 | 0 | 0 | 348 | (11 | ) | 347 | (9 | ) | (38 | ) | 0 | 0 | (9 | ) | 0 | 0 | 0 | 291 | (12 | ) | (37 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities | $ | 489 | $ | 20 | $ | 5 | $ | 0 | $ | 3 | $ | (19 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 498 | $ | (4 | ) | $ | 500 | $ | (4 | ) | $ | (51 | ) | $ | 0 | $ | 0 | $ | (13 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 432 | $ | (7 | ) | $ | (50 | ) | |||||||||||||||||||||||||||||||||||||||
(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 (1) | Purchases | Issuances | Settlements | Sales | Transfers into Level 3 | Transfers out of Level 3 | Ending Balance | Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets still held as of September 30, 2020 | Change in Unrealized Gains (Losses) for the Period Included in OCI for Assets still held as of September 30, 2200 (1) | ||||||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Other asset-backed | $ | 1 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (1 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||||||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||
Loans receivable- | 136 | (11 | ) | 0 | 0 | 0 | (11 | ) | 0 | 0 | 0 | 114 | (13 | ) | 0 | |||||||||||||||||||||||||||||||||
Loan repurchase commitments | 486 | 44 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 530 | 44 | 0 | ||||||||||||||||||||||||||||||||||||
Currency derivatives | 8 | 4 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 12 | 4 | 0 | ||||||||||||||||||||||||||||||||||||
Other | 18 | (5 | ) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 13 | (5 | ) | 0 | ||||||||||||||||||||||||||||||||||
Total assets | $ | 649 | $ | 32 | $ | 0 | $ | 0 | $ | 0 | $ | (12 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 669 | $ | 30 | $ | 0 | |||||||||||||||||||||||
In millions | Balance, Beginning of Period | Total Gains / (Losses) Included in Earnings | Unrealized Gains / (Losses) Included in OCI (2) | Purchases | Issuances | Settlements | Sales | Transfers into Level 3 | Transfers out of Level 3 | Ending Balance | Change in Unrealized Gains (Losses) for the Period Included in Earnings for Liabilities still held as of September 30, 2020 | Change in Unrealized Gains (Losses) for the Period Included in OCI for Liabilities still held as of September 30, 2200 (12 | ||||||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||
Medium-term notes | $ | 108 | $ | 8 | $ | (15 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 101 | $ | 8 | $ | (15 | ) | ||||||||||||||||||||||
Credit derivatives | 7 | 1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 8 | 1 | 0 | ||||||||||||||||||||||||||||||||||||
Other derivatives | 34 | 4 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 38 | 4 | 0 | ||||||||||||||||||||||||||||||||||||
Other payable | 4 | 0 | 0 | 0 | 0 | (4 | ) | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||
VIE notes | 347 | 2 | (41 | ) | 0 | 0 | (14 | ) | 0 | 0 | 0 | 294 | (4 | ) | (39 | ) | ||||||||||||||||||||||||||||||||
Total liabilities | $ | 500 | $ | 15 | $ | (56 | ) | $ | 0 | $ | 0 | $ | (18 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 441 | $ | 9 | $ | (54 | ) | |||||||||||||||||||||
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 September 30, 2019 | |||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||||||||
Commercial mortgage-backed | $ | 7 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (4 | ) | $ | 0 | $ | 0 | $ | (3 | ) | $ | 0 | $ | 0 | ||||||||||||||||||||
Other asset-backed | 3 | (1 | ) | 0 | 0 | 0 | (1 | ) | 0 | 0 | 0 | 1 | 0 | |||||||||||||||||||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||
Corporate obligations | 5 | 0 | 0 | 0 | 0 | (2 | ) | 0 | 0 | (3 | ) | 0 | 0 | |||||||||||||||||||||||||||||||
Collateralized debt obligations | 1 | 0 | 0 | 0 | 0 | 0 | (1 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||||||
Loans receivable- | 172 | 40 | 0 | 0 | 0 | (18 | ) | (48 | ) | 0 | 0 | 146 | 35 | |||||||||||||||||||||||||||||||
Loan repurchase commitments | 418 | 60 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 478 | 60 | |||||||||||||||||||||||||||||||||
Currency derivatives | 17 | (9 | ) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 8 | (9 | ) | |||||||||||||||||||||||||||||||
Other | 14 | 3 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 17 | 3 | |||||||||||||||||||||||||||||||||
Total assets | $ | 637 | $ | 93 | $ | 0 | $ | 0 | $ | 0 | $ | (25 | ) | $ | (49 | ) | $ | 0 | $ | (6 | ) | $ | 650 | $ | 89 | |||||||||||||||||||
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 September 30, 2019 | |||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||
Medium-term notes | $ | 102 | $ | 6 | $ | 1 | $ | 0 | $ | 0 | $ | (3 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 106 | $ | 1 | |||||||||||||||||||||
Credit derivatives | 33 | (12 | ) | 0 | 0 | 0 | (11 | ) | 0 | 0 | 0 | 10 | (23 | ) | ||||||||||||||||||||||||||||||
Other derivatives | 7 | 23 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 30 | 23 | |||||||||||||||||||||||||||||||||
Other payable | 5 | 2 | 0 | 0 | 0 | (3 | ) | 0 | 0 | 0 | 4 | 2 | ||||||||||||||||||||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||
VIE notes | 366 | 53 | 3 | 0 | 7 | (21 | ) | (60 | ) | 0 | 0 | 348 | 32 | |||||||||||||||||||||||||||||||
Total liabilities | $ | 513 | $ | 72 | $ | 4 | $ | 0 | $ | 7 | $ | (38 | ) | $ | (60 | ) | $ | 0 | $ | 0 | $ | 498 | $ | 35 | ||||||||||||||||||||
Three Months Ended September 30, 2020 | Three Months Ended September 30, 2019 | Three Months Ended June 30, 2021 | Three Months Ended June 30, 2020 | |||||||||||||||||||||||||||||
In millions | Total Gains (Losses) Included in Earnings | Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets and Liabilities still held as of September 30, 2020 | Total Gains (Losses) Included in Earnings | Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets and Liabilities still held as of September 30, 2019 | Total Gains (Losses) Included in Earnings | Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets and Liabilities still held as of June 30, 2021 | Total Gains (Losses) Included in Earnings | Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets and Liabilities still held as of June 30, 2020 | ||||||||||||||||||||||||
Revenues: | ||||||||||||||||||||||||||||||||
Unrealized gains (losses) on insured derivatives | $ | 0 | $ | 0 | $ | 9 | $ | 9 | ||||||||||||||||||||||||
Realized gains (losses) and other settlements on insured derivatives | 0 | 0 | (10 | ) | 0 | |||||||||||||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | (9 | ) | (9 | ) | (15 | ) | (15 | ) | $ | 2 | $ | 2 | $ | 1 | $ | 1 | ||||||||||||||||
Other net realized gains (losses) | 0 | 0 | (1 | ) | (1 | ) | ||||||||||||||||||||||||||
Revenues of consolidated VIEs: | ||||||||||||||||||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | (5 | ) | (4 | ) | 43 | 56 | (4 | ) | (2 | ) | 19 | 18 | ||||||||||||||||||||
Total | $ | (14 | ) | $ | (13 | ) | $ | 26 | $ | 49 | $ | (2 | ) | $ | 0 | $ | 20 | $ | 19 | |||||||||||||
Nine Months Ended September 30, 2020 | Nine Months Ended September 30, 2019 | |||||||||||||||
In millions | Total Gains (Losses) Included in Earnings | Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets and Liabilities still held as of September 30, 2020 | Total Gains (Losses) Included in Earnings | Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets and Liabilities still held as of September 30, 2019 | ||||||||||||
Revenues: | ||||||||||||||||
Unrealized gains (losses) on insured derivatives | $ | (1 | ) | $ | (1 | ) | $ | 23 | $ | 23 | ||||||
Realized gains (losses) and other settlements on insured derivatives | 0 | 0 | (11 | ) | 0 | |||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | (12 | ) | (12 | ) | (24 | ) | (24 | ) | ||||||||
Net investment losses related to other-than-temporary impairments | 0 | 0 | (1 | ) | 0 | |||||||||||
Other net realized gains (losses) | 0 | 0 | (2 | ) | (2 | ) | ||||||||||
Revenues of consolidated VIEs: | ||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 30 | 34 | 41 | 57 | ||||||||||||
Total | $ | 17 | $ | 21 | $ | 26 | $ | 54 | ||||||||
Six Months Ended June 30, 2021 | Six Months Ended June 30, 2020 | |||||||||||||||
In millions | Total Gains (Losses) Included in Earnings | Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets and Liabilities still held as of June 30, 2021 | Total Gains (Losses) Included in Earnings | Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets and Liabilities still held as of June 30, 2020 | ||||||||||||
Revenues: | ||||||||||||||||
Unrealized gains (losses) on insured derivatives | $ | 0 | $ | 0 | $ | (1 | ) | $ | (1 | ) | ||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 9 | 9 | (4 | ) | (4 | ) | ||||||||||
Revenues of consolidated VIEs: | ||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | (17 | ) | 4 | 36 | 38 | |||||||||||
Total | $ | (8 | ) | $ | 13 | $ | 31 | $ | 33 | |||||||
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
In millions | 2020 | 2019 | 2020 | 2019 | 2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||||||
Investments carried at fair value (1) | $ | 4 | $ | 2 | $ | (3 | ) | $ | 13 | $ | 3 | $ | 13 | $ | 6 | $ | (7 | ) | ||||||||||||||
Fixed-maturity securities held at fair value-VIE (2) | 4 | 38 | 2 | 94 | 1 | 4 | 2 | (2 | ) | |||||||||||||||||||||||
Loans receivable at fair value: | ||||||||||||||||||||||||||||||||
Residential mortgage loans (2) | 2 | (3 | ) | (11 | ) | 40 | 24 | 22 | 34 | (13 | ) | |||||||||||||||||||||
Loan repurchase commitments (2) | 6 | 50 | 44 | 60 | 0 | 18 | (4 | ) | 38 | |||||||||||||||||||||||
Other assets-VIE (2) | (1 | ) | 2 | (5 | ) | 3 | (1 | ) | (1 | ) | (1 | ) | (3 | ) | ||||||||||||||||||
Medium-term notes (1) | (8 | ) | (1 | ) | (8 | ) | (1 | ) | 2 | 1 | 9 | (1 | ) | |||||||||||||||||||
Other liabilities (3) | 0 | 0 | 0 | (2 | ) | |||||||||||||||||||||||||||
Variable interest entity notes (2) | (11 | ) | 3 | (1 | ) | (77 | ) | (26 | ) | (18 | ) | (50 | ) | 9 |
(1) - | Reported within “Net gains (losses) on financial instruments at fair value and foreign exchange” on MBIA’s consolidated statements of operations. (2) - Reported within “Net gains (losses) on financial instruments at fair value and foreign exchange-VIE” on MBIA’s consolidated statements of operations. |
As of September 30, 2020 | As of December 31, 2019 | As of June 30, 2021 | As of December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||
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 - current | $ | 88 | $ | 88 | $ | 0 | $ | 107 | $ | 107 | $ | 0 | $ | 72 | $ | 72 | $ | 0 | $ | 89 | $ | 89 | $ | 0 | ||||||||||||||||||||||||
Residential mortgage loans (90 days or more past due) | 134 | 26 | 108 | 154 | 29 | 125 | 145 | 57 | 88 | 147 | 31 | 116 | ||||||||||||||||||||||||||||||||||||
Total loans receivable and other instruments at fair value | $ | 222 | $ | 114 | $ | 108 | $ | 261 | $ | 136 | $ | 125 | $ | 217 | $ | 129 | $ | 88 | $ | 236 | $ | 120 | $ | 116 | ||||||||||||||||||||||||
Variable interest entity notes | $ | 1,107 | $ | 343 | $ | 764 | $ | 1,126 | $ | 403 | $ | 723 | $ | 951 | $ | 321 | $ | 630 | $ | 1,117 | $ | 350 | $ | 767 | ||||||||||||||||||||||||
Medium-term notes | $ | 117 | $ | 101 | $ | 16 | $ | 112 | $ | 108 | $ | 4 | $ | 119 | $ | 105 | $ | 14 | $ | 122 | $ | 110 | $ | 12 |
September 30, 2020 | ||||||||||||||||||||
In millions | Amortized Cost | Allowance for Credit Losses | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | |||||||||||||||
AFS Investments | ||||||||||||||||||||
Fixed-maturity investments: | ||||||||||||||||||||
U.S. Treasury and government agency | $ | 918 | $ | 0 | $ | 85 | $ | 0 | $ | 1,003 | ||||||||||
State and municipal bonds | 159 | 0 | 31 | 0 | 190 | |||||||||||||||
Foreign governments | 12 | 0 | 1 | 0 | 13 | |||||||||||||||
Corporate obligations | 870 | 0 | 68 | (4 | ) | 934 | ||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||
Residential mortgage-backed agency | 281 | 0 | 8 | 0 | 289 | |||||||||||||||
Residential mortgage-backed non-agency | 23 | 0 | 3 | 0 | 26 | |||||||||||||||
Commercial mortgage-backed | 17 | 0 | 1 | 0 | 18 | |||||||||||||||
Asset-backed securities: | ||||||||||||||||||||
Collateralized debt obligations | 125 | 0 | 0 | (4 | ) | 121 | ||||||||||||||
Other asset-backed | 106 | 0 | 1 | 0 | 107 | |||||||||||||||
Total AFS investments | $ | 2,511 | $ | 0 | $ | 198 | $ | (8 | ) | $ | 2,701 | |||||||||
HTM Investments | ||||||||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||
Corporate obligations | $ | 575 | $ | 0 | $ | 0 | $ | 0 | $ | 575 | ||||||||||
Total HTM investments | $ | 575 | $ | 0 | $ | 0 | $ | 0 | $ | 575 | ||||||||||
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 | $ | 0 | |||||||||
State and municipal bonds | 178 | 22 | 0 | 200 | 0 | |||||||||||||||
Foreign governments | 8 | 1 | 0 | 9 | 0 | |||||||||||||||
Corporate obligations | 1,140 | 52 | (1 | ) | 1,191 | 0 | ||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||
Residential mortgage-backed agency | 317 | 3 | 0 | 320 | 0 | |||||||||||||||
Residential mortgage-backed non-agency | 23 | 1 | (5 | ) | 19 | 0 | ||||||||||||||
Commercial mortgage-backed | 20 | 0 | 0 | 20 | 0 | |||||||||||||||
Asset-backed securities: | ||||||||||||||||||||
Collateralized debt obligations | 139 | 0 | (2 | ) | 137 | 0 | ||||||||||||||
Other asset-backed | 321 | 1 | (1 | ) | 321 | 0 | ||||||||||||||
Total AFS investments | $ | 2,984 | $ | 126 | $ | (11 | ) | $ | 3,099 | $ | 0 | |||||||||
HTM Investments | ||||||||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||
Corporate obligations | $ | 890 | $ | 2 | $ | 0 | $ | 892 | $ | 0 | ||||||||||
Total HTM investments | $ | 890 | $ | 2 | $ | 0 | $ | 892 | $ | 0 | ||||||||||
June 30, 2021 | ||||||||||||||||||||
In millions | Amortized Cost | Allowance for Credit Losses | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | |||||||||||||||
AFS Investments | ||||||||||||||||||||
Fixed-maturity investments: | ||||||||||||||||||||
U.S. Treasury and government agency | $ | 739 | $ | 0 | $ | 58 | $ | (1 | ) | $ | 796 | |||||||||
State and municipal bonds | 156 | 0 | 29 | 0 | 185 | |||||||||||||||
Foreign governments | 16 | 0 | 1 | 0 | 17 | |||||||||||||||
Corporate obligations | 864 | 0 | 43 | (5 | ) | 902 | ||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||
Residential mortgage-backed agency | 219 | 0 | 5 | (1 | ) | 223 | ||||||||||||||
Residential mortgage-backed non-agency | 85 | 0 | 10 | 0 | 95 | |||||||||||||||
Commercial mortgage-backed | 12 | 0 | 0 | 0 | 12 | |||||||||||||||
Asset-backed securities: | ||||||||||||||||||||
Collateralized debt obligations | 118 | 0 | 0 | (1 | ) | 117 | ||||||||||||||
Other asset-backed | 126 | 0 | 0 | 0 | 126 | |||||||||||||||
Total AFS investments | $ | 2,335 | $ | 0 | $ | 146 | $ | (8 | ) | $ | 2,473 | |||||||||
December 31, 2020 | ||||||||||||||||||||
In millions | Amortized Cost | Allowance for Credit Losses | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | |||||||||||||||
AFS Investments | ||||||||||||||||||||
Fixed-maturity investments: | ||||||||||||||||||||
U.S. Treasury and government agency | $ | 775 | $ | 0 | $ | 75 | $ | (1 | ) | $ | 849 | |||||||||
State and municipal bonds | 162 | 0 | 32 | 0 | 194 | |||||||||||||||
Foreign governments | 11 | 0 | 1 | 0 | 12 | |||||||||||||||
Corporate obligations | 827 | 0 | 64 | (1 | ) | 890 | ||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||
Residential mortgage-backed agency | 305 | 0 | 8 | (1 | ) | 312 | ||||||||||||||
Residential mortgage-backed non-agency | 22 | 0 | 3 | 0 | 25 | |||||||||||||||
Commercial mortgage-backed | 17 | 0 | 1 | 0 | 18 | |||||||||||||||
Asset-backed securities: | - | |||||||||||||||||||
Collateralized debt obligations | 120 | 0 | 0 | (2 | ) | 118 | ||||||||||||||
Other asset-backed | 121 | 0 | 0 | 0 | 121 | |||||||||||||||
Total AFS investments | $ | 2,360 | $ | 0 | $ | 184 | $ | (5 | ) | $ | 2,539 | |||||||||
AFS Securities | HTM Securities | |||||||||||||||||||||||
Consolidated VIEs | AFS Securities | |||||||||||||||||||||||
In millions | Net Amortized Cost | Fair Value | Net Amortized Cost | Fair Value | Net Amortized Cost | Fair Value | ||||||||||||||||||
Due in one year or less | $ | 560 | $ | 562 | $ | 0 | $ | 0 | $ | 509 | $ | 509 | ||||||||||||
Due after one year through five years | 473 | 490 | 0 | 0 | 311 | 326 | ||||||||||||||||||
Due after five years through ten years | 269 | 297 | 0 | 0 | 307 | 327 | ||||||||||||||||||
Due after ten years | 657 | 791 | 575 | 575 | 648 | 738 | ||||||||||||||||||
Mortgage-backed and asset-backed | 552 | 561 | 0 | 0 | 560 | 573 | ||||||||||||||||||
Total fixed-maturity investments | $ | 2,511 | $ | 2,701 | $ | 575 | $ | 575 | $ | 2,335 | $ | 2,473 | ||||||||||||
September 30, 2020 | ||||||||||||||||||||||||
Less than 12 Months | 12 Months or Longer | Total | ||||||||||||||||||||||
In millions | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
AFS Investments | ||||||||||||||||||||||||
Fixed-maturity investments: | ||||||||||||||||||||||||
U.S. Treasury and government agency | $ | 124 | $ | 0 | $ | 0 | $ | 0 | $ | 124 | $ | 0 | ||||||||||||
State and municipal bonds | 1 | 0 | 0 | 0 | 1 | 0 | ||||||||||||||||||
Corporate obligations | 124 | (3 | ) | 7 | (1 | ) | 131 | (4 | ) | |||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||
Residential mortgage-backed agency | 57 | 0 | 0 | 0 | 57 | 0 | ||||||||||||||||||
Residential mortgage-backed non-agency | 0 | 0 | 2 | 0 | 2 | 0 | ||||||||||||||||||
Commercial mortgage-backed | 0 | 0 | 5 | 0 | 5 | 0 | ||||||||||||||||||
Asset-backed securities: | ||||||||||||||||||||||||
Collateralized debt obligations | 41 | (1 | ) | 80 | (3 | ) | 121 | (4 | ) | |||||||||||||||
Other asset-backed | 35 | 0 | 0 | 0 | 35 | 0 | ||||||||||||||||||
Total AFS investments | $ | 382 | $ | (4 | ) | $ | 94 | $ | (4 | ) | $ | 476 | $ | (8 | ) | |||||||||
December 31, 2019 | ||||||||||||||||||||||||
Less than 12 Months | 12 Months or Longer | Total | ||||||||||||||||||||||
In millions | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
AFS Investments | ||||||||||||||||||||||||
Fixed-maturity investments: | ||||||||||||||||||||||||
U.S. Treasury and government agency | $ | 148 | $ | (1 | ) | $ | 79 | $ | (1 | ) | $ | 227 | $ | (2 | ) | |||||||||
State and municipal bonds | 11 | 0 | 15 | 0 | 26 | 0 | ||||||||||||||||||
Corporate obligations | 53 | (1 | ) | 10 | 0 | 63 | (1 | ) | ||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||
Residential mortgage-backed agency | 62 | 0 | 7 | 0 | 69 | 0 | ||||||||||||||||||
Residential mortgage-backed non-agency | 0 | 0 | 11 | (5 | ) | 11 | (5 | ) | ||||||||||||||||
Commercial mortgage-backed | 5 | 0 | 0 | 0 | 5 | 0 | ||||||||||||||||||
Asset-backed securities: | ||||||||||||||||||||||||
Collateralized debt obligations | 44 | 0 | 77 | (2 | ) | 121 | (2 | ) | ||||||||||||||||
Other asset-backed | 48 | (1 | ) | 7 | 0 | 55 | (1 | ) | ||||||||||||||||
Total AFS investments | $ | 371 | $ | (3 | ) | $ | 206 | $ | (8 | ) | $ | 577 | $ | (11 | ) | |||||||||
June 30, 2021 | ||||||||||||||||||||||||
Less than 12 Months | 12 Months or Longer | Total | ||||||||||||||||||||||
In millions | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
AFS Investments | ||||||||||||||||||||||||
Fixed-maturity investments: | ||||||||||||||||||||||||
U.S. Treasury and government agency | $ | 65 | $ | (1 | ) | $ | 0 | $ | 0 | $ | 65 | $ | (1 | ) | ||||||||||
Foreign governments | 7 | 0 | 0 | 0 | 7 | 0 | ||||||||||||||||||
Corporate obligations | 238 | (5 | ) | 7 | 0 | 245 | (5 | ) | ||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||
Residential mortgage-backed agency | 99 | (1 | ) | 0 | 0 | 99 | (1 | ) | ||||||||||||||||
Residential mortgage-backed non-agency | 5 | 0 | 1 | 0 | 6 | 0 | ||||||||||||||||||
Commercial mortgage-backed | 1 | 0 | 0 | 0 | 1 | 0 | ||||||||||||||||||
Asset-backed securities: | ||||||||||||||||||||||||
Collateralized debt obligations | 28 | 0 | 49 | (1 | ) | 77 | (1 | ) | ||||||||||||||||
Other asset-backed | 78 | 0 | 1 | 0 | 79 | 0 | ||||||||||||||||||
Total AFS investments | $ | 521 | $ | (7 | ) | $ | 58 | $ | (1 | ) | $ | 579 | $ | (8 | ) | |||||||||
December 31, 2020 | ||||||||||||||||||||||||
Less than 12 Months | 12 Months or Longer | Total | ||||||||||||||||||||||
In millions | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
AFS Investments | ||||||||||||||||||||||||
Fixed-maturity investments: | ||||||||||||||||||||||||
U.S. Treasury and government agency | $ | 99 | $ | (1 | ) | $ | 0 | $ | 0 | $ | 99 | $ | (1 | ) | ||||||||||
Foreign governments | 2 | 0 | 0 | 0 | 2 | 0 | ||||||||||||||||||
Corporate obligations | 103 | (1 | ) | 7 | 0 | 110 | (1 | ) | ||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||
Residential mortgage-backed agency | 53 | (1 | ) | 0 | 0 | 53 | (1 | ) | ||||||||||||||||
Residential mortgage-backed non-agency | 2 | 0 | 1 | 0 | 3 | 0 | ||||||||||||||||||
Commercial mortgage-backed | 0 | 0 | 5 | 0 | 5 | 0 | ||||||||||||||||||
Asset-backed securities: | ||||||||||||||||||||||||
Collateralized debt obligations | 37 | 0 | 78 | (2 | ) | 115 | (2 | ) | ||||||||||||||||
Other asset-backed | 29 | 0 | 0 | 0 | 29 | 0 | ||||||||||||||||||
Total AFS investments | $ | 325 | $ | (3 | ) | $ | 91 | $ | (2 | ) | $ | 416 | $ | (5 | ) | |||||||||
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% | 10 | $ | 20 | $ | 18 | 1 | $ | 0 | $ | 0 | ||||||||||||||
> 15% to 25% | 2 | 0 | 0 | 3 | 1 | 1 | ||||||||||||||||||
> 25% to 50% | 2 | 1 | 1 | |||||||||||||||||||||
> 50% | 2 | 0 | 0 | 2 | 0 | 0 | ||||||||||||||||||
Total | 16 | $ | 21 | $ | 19 | 6 | $ | 1 | $ | 1 | ||||||||||||||
In millions | Fair Value | Unrealized Loss | Insurance Loss Reserve (1) | |||||||||
Mortgage-backed | $ | 1 | 0 | 0 | ||||||||
Total | $ | 1 | $ | 0 | $ | 0 | ||||||
�� | ||||||||||||
In millions | Fair Value | Unrealized Loss | Insurance Loss Reserve (1) | |||||||||
Mortgage-backed | $ | 1 | $ | 0 | $ | 0 | ||||||
Corporate obligations | 62 | (3) | 0 | |||||||||
Total | $ | 63 | $ | (3) | $ | 0 | ||||||
(1) - | Insurance loss reserve estimates are based on the proportion of par value owned to the total amount of par value |
Three Months Ended September 30, 2020 | ||||||||||||||||||||||||
In millions | Balance Beginning of Period | Current period provision for expected credit losses | Initial allowance recognized for PCD assets | Write-Offs | Recoveries | Balance as of September 30, 2020 | ||||||||||||||||||
HTM Investments | ||||||||||||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||||||
Corporate obligations | $ | 23 | $ | (23 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||||||
Total Allowance on HTM investments | $ | 23 | $ | (23 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||||||
Nine Months Ended September 30, 2020 | Three Months Ended June 30, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||
In millions | Balance as of January 1, 2020 (1) | Current period provision for expected credit losses | Initial allowance recognized for PCD assets | Write-Offs | Recoveries | Balance as of September 30, 2020 | Balance, Beginning of Period | 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 | $ | (37 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 46 | $ | (23 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 23 | ||||||||||||||||||||||
Total Allowance on HTM investments | $ | 37 | $ | (37 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 46 | $ | (23 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 23 | ||||||||||||||||||||||
Six Months Ended June 30, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||
In millions | Balance as of January 1, 2020 (1) | Current period provision for expected credit losses | Initial allowance recognized for PCD assets | Write-Offs | Recoveries | Balance as of June 30, 2020 | ||||||||||||||||||||||||||||||||||||||||||
HTM Investments | ||||||||||||||||||||||||||||||||||||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||
Corporate obligations | $ | 37 | $ | (14 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 23 | |||||||||||||||||||||||||||||||||||
Total Allowance on HTM investments | $ | 37 | $ | (14 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 23 | |||||||||||||||||||||||||||||||||||
In millions | Three Months Ended September 30, 2019 | Nine Months Ended September 30, 2019 | ||||||
Credit Losses Recognized in Earnings Related to Other-Than-Temporary Impairments | ||||||||
Beginning balance | $ | 74 | $ | 37 | ||||
Additions for credit loss impairments recognized in the current period on securities previously impaired | 0 | 37 | ||||||
Ending balance | $ | 74 | $ | 74 | ||||
Three Months Ended | Nine Months Ended | |||||||||||||||
In millions | 2020 | 2019 | 2020 | 2019 | ||||||||||||
Proceeds from sales | $ | 293 | $ | 508 | $ | 862 | $ | 1,875 | ||||||||
Gross realized gains | $ | 22 | $ | 79 | $ | 53 | $ | 100 | ||||||||
Gross realized losses | $ | (2 | ) | $ | 0 | $ | (14 | ) | $ | (3 | ) |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
In millions | 2021 | 2020 | 2021 | 2020 | ||||||||||||
Proceeds from sales | $ | 218 | $ | 290 | $ | 396 | $ | 569 | ||||||||
Gross realized gains | $ | 2 | $ | 20 | $ | 6 | $ | 31 | ||||||||
Gross realized losses | $ | (3 | ) | $ | (4 | ) | $ | (8 | ) | $ | (12 | ) |
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
In millions | 2020 | 2019 | 2020 | 2019 | 2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||||||
Net gains (losses) recognized during the period on equity securities | $ | 4 | $ | 2 | $ | (1 | ) | $ | 9 | $ | 3 | $ | 8 | $ | 5 | $ | (5 | ) | ||||||||||||||
Less: | ||||||||||||||||||||||||||||||||
Net gains (losses) recognized during the period on equity securities | 0 | 0 | 0 | 1 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
Unrealized gains (losses) recognized during the period on equity securities | $ | 4 | $ | 2 | $ | (1 | ) | $ | 8 | $ | 3 | $ | 8 | $ | 5 | $ | (5 | ) | ||||||||||||||
$ in millions | As of June 30, 2021 | |||||||||||||||||||||||||||||||
Notional Value | ||||||||||||||||||||||||||||||||
Credit Derivatives Sold | Weighted Average Remaining Expected Maturity | AAA | AA | A | BBB | Below Investment Grade | Total Notional | Fair Value Asset (Liability) | ||||||||||||||||||||||||
Insured swaps | 13.5 Years | $ | 0 | $ | 55 | $ | 1,306 | $ | 358 | $ | 0 | $ | 1,719 | $ | (1 | ) | ||||||||||||||||
Total notional | $ | 0 | $ | 55 | $ | 1,306 | $ | 358 | $ | 0 | $ | 1,719 | ||||||||||||||||||||
Total fair value | $ | 0 | $ | 0 | $ | (1 | ) | $ | 0 | $ | - | $ | (1 | ) | ||||||||||||||||||
$ in millions | As of September 30, 2020 | As of December 31, 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 | 0.3 Years | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 23 | $ | 23 | $ | (8 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||
Insured swaps | 14.1 Years | 0 | 59 | 1,341 | 362 | 0 | 1,762 | (2 | ) | 13.9 Years | $ | 0 | $ | 58 | $ | 1,327 | $ | 358 | $ | 0 | $ | 1,743 | $ | (2 | ) | |||||||||||||||||||||||||||||||||||||||
Total notional | $ | 0 | $ | 59 | $ | 1,341 | $ | 362 | $ | 23 | $ | 1,785 | $ | 0 | $ | 58 | $ | 1,327 | $ | 358 | $ | 0 | $ | 1,743 | ||||||||||||||||||||||||||||||||||||||||
Total fair value | $ | 0 | $ | 0 | $ | (1 | ) | $ | (1 | ) | $ | (8 | ) | $ | (10 | ) | $ | 0 | $ | 0 | $ | (1 | ) | $ | (1 | ) | $ | - | $ | (2 | ) | |||||||||||||||||||||||||||||||||
$ 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 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 32 | $ | 32 | $ | (7 | ) | ||||||||||||||||
Insured swaps | 14.0 Years | 0 | 121 | (1) | 1,371 | (2) | 433 | (3) | 0 | 1,925 | (4) | (2 | ) | |||||||||||||||||||
Total notional | $ | 0 | $ | 121 | $ | 1,371 | $ | 433 | $ | 32 | $ | 1,957 | ||||||||||||||||||||
Total fair value | $ | 0 | $ | 0 | $ | (1 | ) | $ | (1 | ) | $ | (7 | ) | $ | (9 | ) | ||||||||||||||||
In millions | Derivative Assets (1) | Derivative Liabilities (1) | ||||||||||||||
Derivative Instruments | Notional Amount Outstanding | Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||||
Not designated as hedging instruments: | ||||||||||||||||
Insured swaps | $ | 1,719 | Other assets | $ | 0 | Derivative liabilities | $ | (1 | ) | |||||||
Interest rate swaps | 427 | Other assets | 1 | Derivative liabilities | (139 | ) | ||||||||||
Interest rate swaps-embedded | 243 | Medium-term notes | 0 | Medium-term notes | (9 | ) | ||||||||||
Currency swaps-VIE | 51 | Other assets-VIE | 8 | Derivative liabilities-VIE | 0 | |||||||||||
Total non-designated derivatives | $ | 2,440 | $ | 9 | $ | (149 | ) | |||||||||
(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 | $ | 23 | Other assets | $ | 0 | Derivative liabilities | $ | (8 | ) | |||||||||||
Insured swaps | 1,762 | Other assets | 0 | Derivative liabilities | (2 | ) | ||||||||||||||
Interest rate swaps | 435 | Other assets | 1 | Derivative liabilities | (180 | ) | ||||||||||||||
Interest rate swaps-embedded | 242 | Medium-term notes | 0 | Medium-term notes | (9 | ) | ||||||||||||||
Currency swaps-VIE | 55 | Other assets-VIE | 12 | Derivative VIE | 0 | |||||||||||||||
All other | 49 | Other assets | 0 | Derivative liabilities | (38 | ) | ||||||||||||||
Total non-designated derivatives | $ | 2,566 | $ | 13 | $ | (237 | ) | |||||||||||||
In millions | Derivative Assets (1) | Derivative Liabilities (1) | ||||||||||||||
Derivative Instruments | Notional Amount Outstanding | Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||||
Not designated as hedging instruments: | ||||||||||||||||
Insured swaps | $ | 1,743 | Other assets | $ | 0 | Derivative liabilities | $ | (2 | ) | |||||||
Interest rate swaps | 437 | Other assets | 1 | Derivative liabilities | (164 | ) | ||||||||||
Interest rate swaps-embedded | 252 | Medium-term notes | 0 | Medium-term notes | (10 | ) | ||||||||||
Currency swaps-VIE | 53 | Other assets-VIE | 6 | Derivative liabilities-VIE | 0 | |||||||||||
All other | 49 | Other assets | 0 | Derivative liabilities | (49 | ) | ||||||||||
Total non-designated derivatives | $ | 2,534 | $ | 7 | $ | (225 | ) | |||||||||
(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 | Fair | Balance Sheet Location | Fair | |||||||||||||||
Not designated as hedging instruments: | ||||||||||||||||||||
Insured credit default swaps | $ | 32 | Other assets | $ | 0 | Derivative liabilities | $ | (7 | ) | |||||||||||
Insured swaps | 1,925 | (2) | Other assets | 0 | Derivative liabilities | (2 | ) | |||||||||||||
Interest rate swaps | 441 | Other assets | 1 | Derivative liabilities | (132 | ) | ||||||||||||||
Interest rate swaps-embedded | 232 | Medium- term notes | 0 | Medium- term notes | (15 | ) | ||||||||||||||
Currency swaps-VIE | 58 | Other assets-VIE | 8 | Derivative liabilities-VIE | 0 | |||||||||||||||
All other | 49 | Other assets | 0 | Derivative liabilities | (34 | ) | ||||||||||||||
Total non-designated derivatives | $ | 2,737 | $ | 9 | $ | (190 | ) | |||||||||||||
In millions | ||||||||||
Derivatives Not Designated as | Three Months Ended June 30, | |||||||||
Hedging Instruments | Location of Gain (Loss) Recognized in Income on Derivative | 2021 | 2020 | |||||||
Interest rate swaps | Net gains (losses) on financial instruments at fair value and foreign exchange | $ | (18 | ) | $ | (3 | ) | |||
Currency swaps-VIE | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE | (1 | ) | (5 | ) | |||||
Total | $ | (19 | ) | $ | (8 | ) | ||||
In millions | ||||||||||
Derivatives Not Designated as | Three Months Ended September 30, | |||||||||
Hedging Instruments | Location of Gain (Loss) Recognized in Income on Derivative | 2020 | 2019 | |||||||
Insured credit default swaps | Unrealized gains (losses) on insured derivatives | $ | 0 | $ | 9 | |||||
Insured credit default swaps | Realized gains (losses) and other settlements on insured derivatives | 0 | (10 | ) | ||||||
Interest rate swaps | Net gains (losses) on financial instruments at fair value and foreign exchange | 6 | (30 | ) | ||||||
Currency swaps-VIE | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE | (1 | ) | (3 | ) | |||||
All other | Net gains (losses) on financial instruments at fair value and foreign exchange | (1 | ) | (14 | ) | |||||
Total | $ | 4 | $ | (48 | ) | |||||
In millions | ||||||||||
Derivatives Not Designated as | Nine Months Ended September 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 | ) | $ | 23 | ||||
Insured credit default swaps | Realized gains (losses) and other settlements on insured derivatives | 0 | (11 | ) | ||||||
Interest rate swaps | Net gains (losses) on financial instruments at fair value and foreign exchange | (53 | ) | (85 | ) | |||||
Currency swaps-VIE | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE | 4 | (8 | ) | ||||||
All other | Net gains (losses) on financial instruments at fair value and foreign exchange | (4 | ) | (23 | ) | |||||
Total | $ | (54 | ) | $ | (104 | ) | ||||
In millions | ||||||||||
Derivatives Not Designated as | Six Months Ended June 30, | |||||||||
Hedging Instruments | Location of Gain (Loss) Recognized in Income on Derivative | 2021 | 2020 | |||||||
Insured credit default swaps | Unrealized gains (losses) on insured derivatives | $ | 0 | $ | (1 | ) | ||||
Interest rate swaps | Net gains (losses) on financial instruments at fair value and foreign exchange | 17 | (59 | ) | ||||||
Currency swaps-VIE | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE | 1 | 5 | |||||||
All other | Net gains (losses) on financial instruments at fair value and foreign exchange | 0 | (3 | ) | ||||||
Total | $ | 18 | $ | (58 | ) | |||||
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
In millions | 2020 | 2019 | 2020 | 2019 | 2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||||||
Income (loss) before income taxes | $ | (58 | ) | $ | 89 | $ | (497 | ) | $ | (137 | ) | $ | (61 | ) | $ | (106 | ) | $ | (167 | ) | $ | (439 | ) | |||||||||
Provision (benefit) for income taxes | $ | 0 | $ | 6 | $ | 0 | $ | 8 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||
Effective tax rate | 0.0% | 6.7% | 0.0% | -5.8% | 0.0% | 0.0% | 0.0% | 0.0% |
Three Months Ended September 30, 2020 | Three Months Ended June 30, 2021 | |||||||||||||||||||||||||||||||||||||||
U.S. | International | U.S. | International | |||||||||||||||||||||||||||||||||||||
Public | and Structured | Public | and Structured | |||||||||||||||||||||||||||||||||||||
Finance | Finance | Finance | Finance | |||||||||||||||||||||||||||||||||||||
In millions | Insurance | Corporate | Insurance | Eliminations | Consolidated | Insurance | Corporate | Insurance | Eliminations | Consolidated | ||||||||||||||||||||||||||||||
Revenues (1) | $ | 21 | $ | 4 | $ | 9 | $ | 0 | $ | 34 | $ | 21 | $ | 2 | $ | 6 | $ | 0 | $ | 29 | ||||||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 23 | (6 | ) | (4 | ) | 0 | 13 | 3 | (18 | ) | (5 | ) | 0 | (20 | ) | |||||||||||||||||||||||||
Net gains (losses) on extinguishment of debt | 0 | 14 | 0 | 0 | 14 | |||||||||||||||||||||||||||||||||||
Revenues of consolidated VIEs | 0 | 0 | 24 | 0 | 24 | 0 | 0 | (5 | ) | 0 | (5 | ) | ||||||||||||||||||||||||||||
Inter-segment revenues (2) | 7 | 16 | (1 | ) | (22 | ) | 0 | 6 | 18 | 4 | (28 | ) | 0 | |||||||||||||||||||||||||||
Total revenues | 51 | 14 | 28 | (22 | ) | 71 | 30 | 16 | 0 | (28 | ) | 18 | ||||||||||||||||||||||||||||
Losses and loss adjustment | 14 | 0 | 34 | 0 | 48 | |||||||||||||||||||||||||||||||||||
Losses and loss adjustmen t | (42 | ) | 0 | 51 | 0 | 9 | ||||||||||||||||||||||||||||||||||
Operating | 3 | 16 | 4 | 0 | 23 | 4 | 17 | 3 | 0 | 24 | ||||||||||||||||||||||||||||||
Interest | 0 | 16 | 27 | 0 | 43 | 0 | 14 | 27 | 0 | 41 | ||||||||||||||||||||||||||||||
Expenses of consolidated VIEs | 0 | 0 | 15 | 0 | 15 | 0 | 0 | 5 | 0 | 5 | ||||||||||||||||||||||||||||||
Inter-segment expenses (2) | 9 | 6 | 7 | (22 | ) | 0 | 11 | 4 | 11 | (26 | ) | 0 | ||||||||||||||||||||||||||||
Total expenses | 26 | 38 | 87 | (22 | ) | 129 | (27 | ) | 35 | 97 | (26 | ) | 79 | |||||||||||||||||||||||||||
Income (loss) before income taxes | $ | 25 | $ | (24 | ) | $ | (59 | ) | $ | 0 | $ | (58 | ) | $ | 57 | $ | (19 | ) | $ | (97 | ) | $ | (2 | ) | $ | (61 | ) | |||||||||||||
Identifiable assets | $ | 3,777 | $ | 1,031 | $ | 4,309 | $ | (2,566 | ) (3) | $ | 6,551 | $ | 3,593 | $ | 852 | $ | 3,346 | $ | (2,539 | ) (3) | $ | 5,252 | ||||||||||||||||||
(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. |
Three Months Ended June 30, 2020 | ||||||||||||||||||||
U.S. | International | |||||||||||||||||||
Public | and Structured | |||||||||||||||||||
Finance | Finance | |||||||||||||||||||
In millions | Insurance | Corporate | Insurance | Eliminations | Consolidated | |||||||||||||||
Revenues (1) | $ | 26 | $ | 5 | $ | 8 | $ | 0 | $ | 39 | ||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 25 | 0 | (1 | ) | 0 | 24 | ||||||||||||||
Revenues of consolidated VIEs | 0 | 0 | 51 | 0 | 51 | |||||||||||||||
Inter-segment revenues (2) | 8 | 17 | 3 | (28 | ) | 0 | ||||||||||||||
Total revenues | 59 | 22 | 61 | (28 | ) | 114 | ||||||||||||||
Losses and loss adjustment | 72 | 0 | 64 | 0 | 136 | |||||||||||||||
Operating | 3 | 19 | 3 | 0 | 25 | |||||||||||||||
Interest | 0 | 16 | 29 | 0 | 45 | |||||||||||||||
Expenses of consolidated VIEs | 0 | 0 | 14 | 0 | 14 | |||||||||||||||
Inter-segment expenses (2) | 11 | 6 | 11 | (28 | ) | 0 | ||||||||||||||
Total expenses | 86 | 41 | 121 | (28 | ) | 220 | ||||||||||||||
Income (loss) before income taxes | $ | (27 | ) | $ | (19 | ) | $ | (60 | ) | $ | 0 | $ | (106 | ) | ||||||
(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, 2021 | ||||||||||||||||||||
U.S. | International | |||||||||||||||||||
Public | and Structured | |||||||||||||||||||
Finance | Finance | |||||||||||||||||||
In millions | Insurance | Corporate | Insurance | Eliminations | Consolidated | |||||||||||||||
Revenues (1) | $ | 44 | $ | 7 | $ | 13 | $ | 0 | $ | 64 | ||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 0 | 37 | (6 | ) | 0 | 31 | ||||||||||||||
Net gains (losses) on extinguishment of debt | 0 | 14 | 0 | 0 | 14 | |||||||||||||||
Revenues of consolidated VIEs | 0 | 0 | (19 | ) | 0 | (19 | ) | |||||||||||||
Inter-segment revenues (2) | 14 | 36 | 8 | (58 | ) | 0 | ||||||||||||||
Total revenues | 58 | 94 | (4 | ) | (58 | ) | 90 | |||||||||||||
Losses and loss adjustment | 67 | 0 | 40 | 0 | 107 | |||||||||||||||
Operating | 8 | 38 | 6 | 0 | 52 | |||||||||||||||
Interest | 0 | 28 | 54 | 0 | 82 | |||||||||||||||
Expenses of consolidated VIEs | 0 | 0 | 16 | 0 | 16 | |||||||||||||||
Inter-segment expenses (2) | 25 | 10 | 21 | (56 | ) | 0 | ||||||||||||||
Total expenses | 100 | 76 | 137 | (56 | ) | 257 | ||||||||||||||
Income (loss) before income taxe s | $ | (42 | ) | $ | 18 | $ | (141 | ) | $ | (2 | ) | $ | (167 | ) | ||||||
Identifiable assets | $ | 3,593 | $ | 852 | $ | 3,346 | $ | (2,539 | ) (3) | $ | 5,252 | |||||||||
(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 September 30, 2019 | Six Months Ended June 30, 2020 | |||||||||||||||||||||||||||||||||||||||
U.S. | International | U.S. | International | |||||||||||||||||||||||||||||||||||||
Public | and Structured | Public | and Structured | |||||||||||||||||||||||||||||||||||||
Finance | Finance | Finance | Finance | |||||||||||||||||||||||||||||||||||||
In millions | Insurance | Corporate | Insurance | Eliminations | Consolidated | Insurance | Corporate | Insurance | Eliminations | Consolidated | ||||||||||||||||||||||||||||||
Revenues (1) | $ | 30 | $ | 6 | $ | 11 | $ | 0 | $ | 47 | $ | 57 | $ | 11 | $ | 14 | $ | 0 | $ | 82 | ||||||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 78 | (20 | ) | (14 | ) | 0 | 44 | 7 | (56 | ) | 10 | 0 | (39 | ) | ||||||||||||||||||||||||||
Net gains (losses) on extinguishment of debt | 0 | (1 | ) | 0 | 0 | (1 | ) | |||||||||||||||||||||||||||||||||
Other net realized gains (losses) | 0 | (1 | ) | 1 | 0 | 0 | ||||||||||||||||||||||||||||||||||
Revenues of consolidated VIEs | 32 | 0 | 50 | 0 | 82 | 0 | 0 | 65 | 0 | 65 | ||||||||||||||||||||||||||||||
Inter-segment revenues (2) | 7 | 15 | 6 | (28 | ) | 0 | 14 | 35 | 8 | (57 | ) | 0 | ||||||||||||||||||||||||||||
Total revenues | 147 | (1 | ) | 54 | (28 | ) | 172 | 78 | (10 | ) | 97 | (57 | ) | 108 | ||||||||||||||||||||||||||
Losses and loss adjustment | (90 | ) | 0 | 77 | 0 | (13 | ) | 120 | 0 | 259 | 0 | 379 | ||||||||||||||||||||||||||||
Operating | 4 | 15 | 7 | 0 | 26 | 5 | 34 | 6 | 0 | 45 | ||||||||||||||||||||||||||||||
Interest | 0 | 17 | 33 | 0 | 50 | 0 | 32 | 60 | 0 | 92 | ||||||||||||||||||||||||||||||
Expenses of consolidated VIEs | 0 | 0 | 20 | 0 | 20 | 0 | 0 | 31 | 0 | 31 | ||||||||||||||||||||||||||||||
Inter-segment expenses (2) | 14 | 6 | 8 | (28 | ) | 0 | 25 | 11 | 21 | (57 | ) | 0 | ||||||||||||||||||||||||||||
Total expenses | (72 | ) | 38 | 145 | (28 | ) | 83 | 150 | 77 | 377 | (57 | ) | 547 | |||||||||||||||||||||||||||
Income (loss) before income taxes | $ | 219 | $ | (39 | ) | $ | (91 | ) | $ | 0 | $ | 89 | $ | (72 | ) | $ | (87 | ) | $ | (280 | ) | $ | 0 | $ | (439 | ) | ||||||||||||||
(1) - | Represents the sum of third-party financial guarantee net premiums earned, net investment income, insurance-related fees and reimbursements and other fees. |
Nine Months Ended September 30, 2020 | ||||||||||||||||||||
U.S. | International | |||||||||||||||||||
Public | and Structured | |||||||||||||||||||
Finance | Finance | |||||||||||||||||||
In millions | Insurance | Corporate | Insurance | Eliminations | Consolidated | |||||||||||||||
Revenues (1) | $ | 78 | $ | 15 | $ | 23 | $ | 0 | $ | 116 | ||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 30 | (62 | ) | 6 | 0 | (26 | ) | |||||||||||||
Revenues of consolidated VIEs | 0 | 0 | 89 | 0 | 89 | |||||||||||||||
Inter-segment revenues (2) | 21 | 51 | 7 | (79 | ) | 0 | ||||||||||||||
Total revenues | 129 | 4 | 125 | (79 | ) | 179 | ||||||||||||||
Losses and loss adjustment | 134 | 0 | 293 | 0 | 427 | |||||||||||||||
Operating | 8 | 50 | 10 | 0 | 68 | |||||||||||||||
Interest | 0 | 48 | 87 | 0 | 135 | |||||||||||||||
Expenses of consolidated VIEs | 0 | 0 | 46 | 0 | 46 | |||||||||||||||
Inter-segment expenses (2) | 34 | 17 | 28 | (79 | ) | 0 | ||||||||||||||
Total expenses | 176 | 115 | 464 | (79 | ) | 676 | ||||||||||||||
Income (loss) before income taxes | $ | (47 | ) | $ | (111 | ) | $ | (339 | ) | $ | 0 | $ | (497 | ) | ||||||
Identifiable assets | $ | 3,777 | $ | 1,031 | $ | 4,309 | $ | (2,566 | ) (3) | $ | 6,551 | |||||||||
Nine Months Ended September 30, 2019 | ||||||||||||||||||||
U.S. | International | |||||||||||||||||||
Public | and Structured | |||||||||||||||||||
Finance | Finance | |||||||||||||||||||
In millions | Insurance | Corporate | Insurance | Eliminations | Consolidated | |||||||||||||||
Revenues (1) | $ | 106 | $ | 21 | $ | 28 | $ | 0 | $ | 155 | ||||||||||
Net change in fair value of insured derivatives | 0 | 0 | 13 | 0 | 13 | |||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 135 | (71 | ) | (24 | ) | 0 | 40 | |||||||||||||
Net investment losses related to other-than-temporary impairments | (37 | ) | 0 | 0 | 0 | (37 | ) | |||||||||||||
Net gains (losses) on extinguishment of debt | 0 | (1 | ) | 0 | 0 | (1 | ) | |||||||||||||
Other net realized gains (losses) | 1 | (2 | ) | 3 | 0 | 2 | ||||||||||||||
Revenues of consolidated VIEs | 38 | 0 | 41 | 1 | 80 | |||||||||||||||
Inter-segment revenues (2) | 22 | 48 | 15 | (85 | ) | 0 | ||||||||||||||
Total revenues | 265 | (5 | ) | 76 | (84 | ) | 252 | |||||||||||||
Losses and loss adjustment | (34 | ) | 0 | 123 | 0 | 89 | ||||||||||||||
Operating | 8 | 53 | 16 | 0 | 77 | |||||||||||||||
Interest | 0 | 56 | 98 | 0 | 154 | |||||||||||||||
Expenses of consolidated VIEs | 0 | 0 | 69 | 0 | 69 | |||||||||||||||
Inter-segment expenses (2) | 41 | 17 | 26 | (84 | ) | 0 | ||||||||||||||
Total expenses | 15 | 126 | 332 | (84 | ) | 389 | ||||||||||||||
Income (loss) before income taxes | $ | 250 | $ | (131 | ) | $ | (256 | ) | $ | 0 | $ | (137 | ) | |||||||
(2) - | Represents intercompany premium income and expense and intercompany interest income and expense pertaining to intercompany receivables and payables. |
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
In millions except per share amounts | 2020 | 2019 | 2020 | 2019 | 2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||||||
Basic earnings per share: | ||||||||||||||||||||||||||||||||
Net income (loss) | $ | (58 | ) | $ | 83 | $ | (497 | ) | $ | (145 | ) | $ | (61 | ) | $ | (106 | ) | $ | (167 | ) | $ | (439 | ) | |||||||||
Less: undistributed earnings allocated to participating securities | 0 | 5 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
Net income (loss) available to common shareholders | $ | (58 | ) | $ | 78 | $ | (497 | ) | $ | (145 | ) | $ | (61 | ) | $ | (106 | ) | $ | (167 | ) | $ | (439 | ) | |||||||||
Basic weighted average shares (1) | 52.6 | 78.7 | 62.4 | 82.8 | 49.5 | 62.6 | 49.4 | 67.3 | ||||||||||||||||||||||||
Net income (loss) per basic common share | $ | (1.11 | ) | $ | 1.00 | $ | (7.97 | ) | $ | (1.75 | ) | $ | (1.23 | ) | $ | (1.69 | ) | $ | (3.38 | ) | $ | (6.51 | ) | |||||||||
Diluted earnings per share: | ||||||||||||||||||||||||||||||||
Net income (loss) | $ | (58 | ) | $ | 83 | $ | (497 | ) | $ | (145 | ) | $ | (61 | ) | $ | (106 | ) | $ | (167 | ) | $ | (439 | ) | |||||||||
Less: undistributed earnings allocated to participating securities | 0 | 5 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
Net income (loss) available to common shareholders | $ | (58 | ) | $ | 78 | $ | (497 | ) | $ | (145 | ) | $ | (61 | ) | $ | (106 | ) | $ | (167 | ) | $ | (439 | ) | |||||||||
Diluted weighted average shares | 52.6 | 78.7 | 62.4 | 82.8 | 49.5 | 62.6 | 49.4 | 67.3 | ||||||||||||||||||||||||
Net income (loss) per diluted common share | $ | (1.11 | ) | $ | 1.00 | $ | (7.97 | ) | $ | (1.75 | ) | $ | (1.23 | ) | $ | (1.69 | ) | $ | (3.38 | ) | $ | (6.51 | ) | |||||||||
Potentially dilutive securities excluded from the calculation of diluted EPS because of antidilutive affect | 4.8 | 4.5 | 4.8 | 4.5 | 4.9 | 4.9 | 4.9 | 4.9 |
(1) - | Includes . |
In millions | Unrealized Gains (Losses) on AFS Securities, Net | Foreign Currency Translation, Net | Instrument-Specific Credit Risk of Liabilities Measured at Fair Value, Net | Total | ||||||||||||
Balance, December 31, 2019 | $ | 112 | $ | (7 | ) | $ | (107 | ) | $ | (2 | ) | |||||
Other comprehensive income (loss) before reclassifications | 93 | (3 | ) | 54 | 144 | |||||||||||
Amounts reclassified from AOCI | (17 | ) | 0 | 5 | (12 | ) | ||||||||||
Net period other comprehensive income (loss) | 76 | (3 | ) | 59 | 132 | |||||||||||
Balance, September 30, 2020 | $ | 188 | $ | (10 | ) | $ | (48 | ) | $ | 130 | ||||||
Unrealized | Instrument-Specific | |||||||||||||||
Gains (Losses) | Credit Risk of | |||||||||||||||
on AFS | Foreign Currency | Liabilities Measured | ||||||||||||||
In millions | Securities, Net | Translation, Net | at Fair Value, Net | Total | ||||||||||||
Balance, December 31, 2020 | $ | 176 | $ | (10 | ) | $ | (51 | ) | $ | 115 | ||||||
Other comprehensive income (loss) before reclassifications | (32 | ) | 3 | 1 | (28 | ) | ||||||||||
Amounts reclassified from AOCI | (8 | ) | 0 | 24 | 16 | |||||||||||
Net period other comprehensive income (loss) | (40 | ) | 3 | 25 | (12 | ) | ||||||||||
Balance, June 30, 2021 | $ | 136 | $ | (7 | ) | $ | (26 | ) | $ | 103 | ||||||
In millions | Amounts Reclassified from AOCI | |||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 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 | $ | 9 | $ | (7 | ) | $ | 17 | $ | 16 | Net gains (losses) on financial instruments at fair value and foreign exchange | ||||||||
Credit losses | 0 | 42 | 0 | 5 | Net investment losses related to OTTI | |||||||||||||
Amortization on | 0 | (1 | ) | 0 | (1 | ) | Net investment income | |||||||||||
Total unrealized gains | 9 | 34 | 17 | 20 | ||||||||||||||
Instrument-specific credit risk of liabilities: | ||||||||||||||||||
Settlement of liabilities | (2 | ) | (3 | ) | (5 | ) | (26 | ) | Net gains (losses) on financial instruments at fair value and foreign exchange | |||||||||
Total reclassifications for the period | $ | 7 | $ | 31 | $ | 12 | $ | (6 | ) | Net income (loss) | ||||||||
In millions | Amounts Reclassified from AOCI | |||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||
Details about AOCI Components | 2021 | 2020 | 2021 | 2020 | Affected Line Item on the Consolidated Statements of Operations | |||||||||||||
Unrealized gains (losses) on AFS securities: | ||||||||||||||||||
Realized gains (losses) on sale of securities | $ | 3 | $ | 5 | $ | 8 | $ | 8 | Net gains (losses) on financial instruments at fair value and foreign exchange | |||||||||
Total unrealized gains (losses) on AFS securities | 3 | 5 | 8 | 8 | ||||||||||||||
Instrument-specific credit risk of liabilities: | ||||||||||||||||||
Settlement of liabilities | (4 | ) | (1 | ) | (24 | ) | (3 | ) | Net gains (losses) on financial instruments at fair value and foreign exchange | |||||||||
Total reclassifications for the period | $ | (1 | ) | $ | 4 | $ | (16 | ) | $ | 5 | Net income (loss) | |||||||
$ in millions | As of September 30, 2020 | Balance Sheet Location | As of June 30, 2021 | Balance Sheet Location | ||||||||||||
Right-of-use | $ | 20 | Other assets | $ | 19 | Other assets | ||||||||||
Lease liability | $ | 20 | Other liabilities | $ | 19 | Other liabilities | ||||||||||
Weighted average remaining lease term (years) | 8.3 | 8.5 | ||||||||||||||
Discount rate used for operating leases | 7.5% | 7.5% | ||||||||||||||
Total future minimum lease payments | $ | 29 | $ | 27 |
�� | ||||||||||||||||||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
In millions except per share amounts | 2020 | 2019 | 2020 | 2019 | 2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||||||
Net income (loss) | $ | (58) | $ | 83 | $ | (497) | $ | (145) | $ | (61) | $ | (106) | $ | (167) | $ | (439) | ||||||||||||||||
Net income (loss) per diluted share | $ | (1.11) | $ | 1.00 | $ | (7.97) | $ | (1.75) | $ | (1.23) | $ | (1.69) | $ | (3.38) | $ | (6.51) | ||||||||||||||||
Adjusted net income (loss) (1) | $ | (18) | $ | 115 | $ | (137) | $ | 78 | $ | 37 | $ | (72) | $ | (79) | $ | (119) | ||||||||||||||||
Adjusted net income (loss) per diluted share (1) | $ | (0.34) | $ | 1.46 | $ | (2.20) | $ | 0.94 | $ | 0.76 | $ | (1.15) | $ | (1.60) | $ | (1.77) | ||||||||||||||||
Cost of shares repurchased | $ | 62 | $ | 40 | $ | 198 | $ | 94 | $ | - | $ | 71 | $ | - | $ | 136 |
(1) - | Adjusted net income (loss) and adjusted net income (loss) per diluted share are non-GAAP measures. Refer to the following “Results of Operations” section for a discussion of adjusted net income (loss) and adjusted net income (loss) per diluted share and a reconciliation of GAAP net income (loss) to adjusted net income (loss) and GAAP net income (loss) per diluted share to adjusted net income (loss) per diluted share. |
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
In millions except for per share amounts | 2020 | 2019 | 2020 | 2019 | 2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||||||
Total revenues | $ | 71 | $ | 172 | $ | 179 | $ | 252 | $ | 18 | $ | 114 | $ | 90 | $ | 108 | ||||||||||||||||
Total expenses | 129 | 83 | 676 | 389 | 79 | 220 | 257 | 547 | ||||||||||||||||||||||||
Income (loss) before income taxes | (58 | ) | 89 | (497 | ) | (137 | ) | (61 | ) | (106 | ) | (167 | ) | (439 | ) | |||||||||||||||||
Provision (benefit) for income taxes | - | 6 | - | 8 | - | - | - | - | ||||||||||||||||||||||||
Net income (loss) | $ | (58 | ) | $ | 83 | $ | (497 | ) | $ | (145 | ) | $ | (61 | ) | $ | (106 | ) | $ | (167 | ) | $ | (439 | ) | |||||||||
Net income (loss) per common share: | ||||||||||||||||||||||||||||||||
Basic | $ | (1.11 | ) | $ | 1.00 | $ | (7.97 | ) | $ | (1.75 | ) | $ | (1.23 | ) | $ | (1.69 | ) | $ | (3.38 | ) | $ | (6.51 | ) | |||||||||
Diluted | $ | (1.11 | ) | $ | 1.00 | $ | (7.97 | ) | $ | (1.75 | ) | $ | (1.23 | ) | $ | (1.69 | ) | $ | (3.38 | ) | $ | (6.51 | ) | |||||||||
Weighted average number of common shares outstanding: | ||||||||||||||||||||||||||||||||
Basic | 52.6 | 78.7 | 62.4 | 82.8 | 49.5 | 62.6 | 49.4 | 67.3 | ||||||||||||||||||||||||
Diluted | 52.6 | 78.7 | 62.4 | 82.8 | 49.5 | 62.6 | 49.4 | 67.3 |
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
In millions except share and per share amounts | 2020 | 2019 | 2020 | 2019 | 2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||||||
Net income (loss) | $ | (58 | ) | $ | 83 | $ | (497 | ) | $ | (145 | ) | $ | (61 | ) | $ | (106 | ) | $ | (167 | ) | $ | (439 | ) | |||||||||
Less: adjusted net income (loss) adjustments: | ||||||||||||||||||||||||||||||||
Income (loss) before income taxes of our international and structured finance insurance segment and eliminations | (59 | ) | (94 | ) | (338 | ) | (257 | ) | (99 | ) | (59 | ) | (143 | ) | (279 | ) | ||||||||||||||||
Adjustments to income before income taxes of our U.S. public finance insurance and corporate segments: | ||||||||||||||||||||||||||||||||
Mark-to-market (1) | 13 | (31 | ) | (47 | ) | (69 | ) | (9 | ) | 17 | 29 | (60 | ) | |||||||||||||||||||
Foreign exchange gains (losses) (1) | (16 | ) | 16 | (16 | ) | 18 | (4 | ) | (8 | ) | 13 | - | ||||||||||||||||||||
Net gains (losses) on sales of investments (1) | 22 | 78 | 41 | 125 | - | 16 | (1 | ) | 19 | |||||||||||||||||||||||
Net investment losses related to impairments of securities | - | - | - | (37 | ) | |||||||||||||||||||||||||||
Net gains (losses) on extinguishment of debt | - | (1 | ) | - | (1 | ) | 14 | - | 14 | - | ||||||||||||||||||||||
Other net realized gains (losses) | - | (1 | ) | - | (2 | ) | ||||||||||||||||||||||||||
Adjusted net income adjustment to the (provision) benefit for income tax (2) | - | 1 | - | - | - | - | - | - | ||||||||||||||||||||||||
Adjusted net income (loss) | $ | (18 | ) | $ | 115 | $ | (137 | ) | $ | 78 | $ | 37 | $ | (72 | ) | $ | (79 | ) | $ | (119 | ) | |||||||||||
Adjusted net income (loss) per diluted common share (3) | $ | (0.34 | ) | $ | 1.46 | $ | (2.20 | ) | $ | 0.94 | $ | 0.76 | $ | (1.15 | ) | $ | (1.60 | ) | $ | (1.77 | ) | |||||||||||
Gain (loss) related to our U.S. public finance insurance segment VIE consolidations included in adjusted net income (loss) | - | 37 | - | 17 | ||||||||||||||||||||||||||||
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 | - | 0.46 | - | 0.20 |
(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. 54 Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations RESULTS OF OPERATIONS (continued) |
In millions except share and per share amounts | As of September 30, 2020 | As of December 31, 2019 | As of June 30, 2021 | As of December 31, 2020 | ||||||||||||
Total shareholders’ equity of MBIA Inc. | $ | 230 | $ | 826 | $ | (36 | ) | $ | 136 | |||||||
Common shares outstanding | 53,927,438 | 79,433,293 | 54,405,575 | 53,677,148 | ||||||||||||
GAAP book value per share | $ | 4.25 | $ | 10.40 | $ | (0.66 | ) | $ | 2.55 | |||||||
Management’s adjustments described above: | ||||||||||||||||
Remove negative book value per share of MBIA Corp. | (30.83 | ) | (16.81 | ) | (33.51 | ) | (31.97 | ) | ||||||||
Remove net unrealized gains (losses) on available-for-sale | 3.07 | 1.29 | 2.01 | 2.86 | ||||||||||||
Include net unearned premium revenue in excess of expected losses | 4.58 | 3.46 | 3.87 | 4.29 |
Three Months Ended September 30, | Percent | Nine Months Ended September 30, | Percent | Three Months Ended June 30, | Percent | Six Months Ended June 30, | Percent Change | |||||||||||||||||||||||||||||||||||||||||
In millions | 2020 | 2019 | Change | 2020 | 2019 | Change | 2021 | 2020 | Change | 2021 | 2020 | |||||||||||||||||||||||||||||||||||||
Net premiums earned | $ | 12 | $ | 14 | -14% | $ | 42 | $ | 50 | -16% | $ | 11 | $ | 15 | -27% | $ | 28 | $ | 30 | -7% | ||||||||||||||||||||||||||||
Net investment income | 15 | 23 | -35% | 55 | 76 | -28% | 14 | 19 | -26% | 28 | 40 | -30% | ||||||||||||||||||||||||||||||||||||
Fees and reimbursements | 1 | - | n/m | 2 | 2 | -% | 2 | - | n/m | 2 | 1 | 100% | ||||||||||||||||||||||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 23 | 78 | -71% | 30 | 135 | -78% | 3 | 25 | -88% | - | 7 | -100% | ||||||||||||||||||||||||||||||||||||
Net investment losses related to other-than-temporary impairments | - | - | -% | - | (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 | - | 32 | -100% | - | 81 | -100% | ||||||||||||||||||||||||||||||||||||||||||
Other net realized gains (losses) | - | - | -% | - | (43 | ) | -100% | |||||||||||||||||||||||||||||||||||||||||
Total revenues | 51 | 147 | -65% | 129 | 265 | -51% | 30 | 59 | -49% | 58 | 78 | -26% | ||||||||||||||||||||||||||||||||||||
Losses and loss adjustment | 14 | (90 | ) | -116% | 134 | (34 | ) | n/m | (42 | ) | 72 | n/m | 67 | 120 | -44% | |||||||||||||||||||||||||||||||||
Amortization of deferred acquisition costs | - | 4 | -100% | 7 | 13 | -46% | 3 | 4 | -25% | 7 | 7 | -% | ||||||||||||||||||||||||||||||||||||
Operating | 12 | 14 | -14% | 35 | 36 | -3% | 12 | 10 | 20% | 26 | 23 | 13% | ||||||||||||||||||||||||||||||||||||
Total expenses | 26 | (72 | ) | -136% | 176 | 15 | n/m | (27 | ) | 86 | -131% | 100 | 150 | -33% | ||||||||||||||||||||||||||||||||||
�� | ||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) before income taxes | $ | 25 | $ | 219 | -89% | $ | (47 | ) | $ | 250 | -119% | $ | 57 | $ | (27 | ) | n/m | $ | (42 | ) | $ | (72 | ) | -42% | ||||||||||||||||||||||||
In millions | September 30, 2020 | December 31, 2019 | Percent Change | June 30, 2021 | December 31, 2020 | Percent Change | ||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Insurance loss recoverable | $ | 1,233 | $ | 911 | 36% | $ | 1,226 | $ | 1,220 | -% | ||||||||||||||
Reinsurance recoverable on paid and unpaid losses (1) | 5 | 14 | -64% | 5 | 6 | -17% | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Loss and LAE reserves | 454 | 432 | 5% | 484 | 469 | 3% | ||||||||||||||||||
Insurance loss recoverable - ceded (2) | 49 | 19 | n/m | 50 | 48 | 4% | ||||||||||||||||||
Net reserve (salvage) | $ | (735 | ) | $ | (474 | ) | 55% | $ | (697 | ) | $ | (709 | ) | -2% | ||||||||||
(1) - Reported within “Other assets” on our consolidated balance sheets. |
(2) - | Reported within “Other liabilities” on our consolidated balance sheets. |
Three Months Ended September 30, | Percent | Nine Months Ended September 30, | Percent | Three Months Ended June 30, | Percent | Six Months Ended June 30, | Percent | |||||||||||||||||||||||||||||||||||||||||
In millions | 2020 | 2019 | Change | 2020 | 2019 | Change | 2021 | 2020 | Change | 2021 | 2020 | Change | ||||||||||||||||||||||||||||||||||||
Gross expenses | $ | 12 | $ | 14 | -14% | $ | 35 | $ | 36 | -3% | $ | 12 | $ | 10 | 20% | $ | 26 | $ | 23 | 13% | ||||||||||||||||||||||||||||
Amortization of deferred acquisition costs | $ | - | $ | 4 | -100% | $ | 7 | $ | 13 | -46% | $ | 3 | $ | 5 | -40% | $ | 7 | $ | 7 | -% | ||||||||||||||||||||||||||||
Operating | 12 | 14 | -14% | 35 | 36 | -3% | 12 | 10 | 20% | 26 | 23 | 13% | ||||||||||||||||||||||||||||||||||||
Total insurance operating expenses | $ | 12 | $ | 18 | -33% | $ | 42 | $ | 49 | -14% | $ | 15 | $ | 15 | 0% | $ | 33 | $ | 30 | 10% | ||||||||||||||||||||||||||||
Gross Par Outstanding | ||||||||||||||||
In millions | September 30, 2020 | December 31, 2019 | ||||||||||||||
Rating | Amount | % | Amount | % | ||||||||||||
AAA | $ | 2,206 | 5.0% | $ | 2,709 | 5.5% | ||||||||||
AA | 17,259 | 39.3% | 19,155 | 39.2% | ||||||||||||
A | 13,355 | 30.4% | 15,022 | 30.7% | ||||||||||||
BBB | 7,749 | 17.6% | 8,225 | 16.8% | ||||||||||||
Below investment grade | 3,363 | 7.7% | 3,809 | 7.8% | ||||||||||||
Total | $ | 43,932 | 100.0% | $ | 48,920 | 100.0% | ||||||||||
Gross Par Outstanding | ||||||||||||||||
In millions | June 30, 2021 | December 31, 2020 | ||||||||||||||
Rating | Amount | % | Amount | % | ||||||||||||
AAA | $ | 2,028 | 5.1% | $ | 2,080 | 5.0% | ||||||||||
AA | 16,167 | 40.9% | 16,299 | 39.0% | ||||||||||||
A | 11,060 | 28.0% | 12,888 | 30.8% | ||||||||||||
BBB | 6,753 | 17.1% | 7,019 | 16.7% | ||||||||||||
Below investment grade | 3,527 | 8.9% | 3,570 | 8.5% | ||||||||||||
Total | $ | 39,535 | 100.0% | $ | 41,856 | �� | 100.0% | |||||||||
In millions | Gross Par Outstanding | Debt Service Outstanding | National Internal Rating | Gross Par Outstanding | Debt Service Outstanding | National Internal Rating | ||||||||||||||||||
Puerto Rico Electric Power Authority (PREPA) | $ | 903 | $ | 1,225 | d | $ | 903 | $ | 1,202 | d | ||||||||||||||
Puerto Rico Commonwealth GO | 290 | 378 | d | 290 | 369 | d | ||||||||||||||||||
Puerto Rico Public Buildings Authority (PBA) (1) | 170 | 223 | d | 169 | 218 | d | ||||||||||||||||||
Puerto Rico Highway and Transportation Authority Transportation Revenue (PRHTA) | 523 | 882 | d | 523 | 869 | d | ||||||||||||||||||
Puerto Rico Highway and Transportation Authority—Subordinated Transportation Revenue (PRHTA) | 27 | 35 | d | 27 | 34 | d | ||||||||||||||||||
Puerto Rico Highway and Transportation Authority Highway Revenue (PRHTA) | 41 | (2) | 61 | d | 41 | (2) | 60 | d | ||||||||||||||||
University of Puerto Rico System Revenue | 73 | 98 | d | 73 | 96 | d | ||||||||||||||||||
Inter American University of Puerto Rico Inc. | 19 | 25 | a3 | 19 | 23 | a3 | ||||||||||||||||||
Total | $ | 2,046 | $ | 2,927 | $ | 2,045 | $ | 2,871 | ||||||||||||||||
(1) - Additionally | secured by the guarantee of the Commonwealth of Puerto Rico. |
in millions | Three Months Ending December 31, 2020 | 2021 | 2022 | 2023 | 2024 | Thereafter | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
In millions | Six Months Ending December 31, 2021 | 2022 | 2023 | 2024 | 2025 | Thereafter | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Puerto Rico Electric Power Authority (PREPA) | $ | - | $ | 140 | $ | 140 | $ | 137 | $ | 137 | $ | 671 | $ | 1,225 | $ | 117 | $ | 140 | $ | 137 | $ | 137 | $ | 105 | $ | 566 | $ | 1,202 | ||||||||||||||||||||||||||||
Puerto Rico Commonwealth GO | 1 | 82 | 19 | 14 | 13 | 249 | 378 | 74 | 19 | 14 | 13 | 75 | 174 | 369 | ||||||||||||||||||||||||||||||||||||||||||
Puerto Rico Public Buildings Authority (PBA) | - | 24 | 9 | 27 | 43 | 120 | 223 | 19 | 9 | 27 | 43 | 36 | 84 | 218 | ||||||||||||||||||||||||||||||||||||||||||
Puerto Rico Highway and Transportation Authority Transportation Revenue (PRHTA) | - | 27 | 27 | 36 | 33 | 759 | 882 | 13 | 27 | 36 | 33 | 36 | 724 | 869 | ||||||||||||||||||||||||||||||||||||||||||
Puerto Rico Highway and Transportation Authority—Subordinated Transportation Revenue (PRHTA) | - | 1 | 9 | 1 | 1 | 23 | 35 | 1 | 9 | 1 | 1 | 1 | 21 | 34 | ||||||||||||||||||||||||||||||||||||||||||
Puerto Rico Highway and Transportation Authority Highway Revenue (PRHTA) | - | 4 | 2 | 4 | 2 | 49 | 61 | 3 | 2 | 4 | 2 | 2 | 47 | 60 | ||||||||||||||||||||||||||||||||||||||||||
University of Puerto Rico System Revenue | - | 7 | 7 | 12 | 11 | 61 | 98 | 5 | 7 | 12 | 11 | 16 | 45 | 96 | ||||||||||||||||||||||||||||||||||||||||||
Inter American University of Puerto Rico Inc. | 2 | 3 | 3 | 3 | 3 | 11 | 25 | 3 | 3 | 3 | 3 | 3 | 8 | 23 | ||||||||||||||||||||||||||||||||||||||||||
Total | $ | 3 | $ | 288 | $ | 216 | $ | 234 | $ | 243 | $ | 1,943 | $ | 2,927 | $ | 235 | $ | 216 | $ | 234 | $ | 243 | $ | 274 | $ | 1,669 | $ | 2,871 | ||||||||||||||||||||||||||||
Three Months Ended September 30, | Percent Change | Nine Months Ended September 30, | Percent Change | Three Months Ended June 30, | Percent | Six Months Ended June 30, | Percent | |||||||||||||||||||||||||||||||||||||||||
In millions | 2020 | 2019 | 2020 | 2019 | 2021 | 2020 | Change | 2021 | 2020 | Change | ||||||||||||||||||||||||||||||||||||||
Net investment income | $ | 7 | $ | 9 | -22% | $ | 23 | $ | 28 | -18% | $ | 7 | $ | 8 | -13% | $ | 14 | $ | 16 | -13% | ||||||||||||||||||||||||||||
Fees | 13 | 12 | 8% | 43 | 41 | 5% | 13 | 14 | -7% | 29 | 30 | -3% | ||||||||||||||||||||||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | (6 | ) | (20 | ) | -70% | (62 | ) | (71 | ) | -13% | (18 | ) | - | n/m | 37 | (56 | ) | n/m | ||||||||||||||||||||||||||||||
Net gains (losses) on extinguishment of debt | - | (1 | ) | -100% | - | (1 | ) | -100% | 14 | - | n/m | 14 | - | n/m | ||||||||||||||||||||||||||||||||||
Other net realized gains (losses) | - | (1 | ) | -100% | - | (2 | ) | -100% | ||||||||||||||||||||||||||||||||||||||||
Total revenues | 14 | (1 | ) | n/m | 4 | (5 | ) | n/m | 16 | 22 | -27% | 94 | (10 | ) | n/m | |||||||||||||||||||||||||||||||||
Operating | 17 | 16 | 6% | 52 | 56 | -7% | 17 | 20 | -15% | 39 | 35 | 11% | ||||||||||||||||||||||||||||||||||||
Interest | 21 | 22 | -5% | 63 | 70 | -10% | 18 | 21 | -14% | 37 | 42 | -12% | ||||||||||||||||||||||||||||||||||||
Total expenses | 38 | 38 | -% | 115 | 126 | -9% | 35 | 41 | -15% | 76 | 77 | -1% | ||||||||||||||||||||||||||||||||||||
Income (loss) before income taxes | $ | (24 | ) | $ | (39 | ) | -38% | $ | (111 | ) | $ | (131 | ) | -15% | $ | (19 | ) | $ | (19 | ) | -% | $ | 18 | $ | (87 | ) | -121% | |||||||||||||||||||||
Three Months Ended September 30, | Percent Change | Nine Months Ended September 30, | Percent Change | Three Months Ended June 30, | Percent | Six Months Ended June 30, | Percent | |||||||||||||||||||||||||||||||||||||||||
In millions | 2020 | 2019 | 2020 | 2019 | 2021 | 2020 | Change | 2021 | 2020 | Change | ||||||||||||||||||||||||||||||||||||||
Net premiums earned | $ | 5 | $ | 7 | -29% | $ | 18 | $ | 20 | -10% | $ | 5 | $ | 7 | -29% | $ | 11 | $ | 13 | -15% | ||||||||||||||||||||||||||||
Net investment income | 1 | 2 | -50% | 3 | 6 | -50% | 2 | 1 | 100% | 3 | 2 | 50% | ||||||||||||||||||||||||||||||||||||
Fees and reimbursements | 2 | 8 | -75% | 9 | 17 | -47% | 3 | 3 | -% | 7 | 7 | -% | ||||||||||||||||||||||||||||||||||||
Change in fair value of insured derivatives: | ||||||||||||||||||||||||||||||||||||||||||||||||
Realized gains (losses) and other settlements on insured derivatives | - | (9 | ) | -100% | - | (10 | ) | -100% | ||||||||||||||||||||||||||||||||||||||||
Unrealized gains (losses) on insured derivatives | - | 9 | -100% | - | 23 | -100% | ||||||||||||||||||||||||||||||||||||||||||
Net change in fair value of insured derivatives | - | - | -% | - | 13 | -100% | ||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | (4 | ) | (14 | ) | -71% | 6 | (24 | ) | -125% | (5 | ) | (1 | ) | n/m | (6 | ) | 10 | n/m | ||||||||||||||||||||||||||||||
Other net realized gains (losses) | - | 1 | -100% | - | 3 | -100% | ||||||||||||||||||||||||||||||||||||||||||
Revenues of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 5 | 10 | -50% | 18 | 30 | -40% | - | 5 | -100% | - | 13 | -100% | ||||||||||||||||||||||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | (4 | ) | 44 | -109% | 34 | 31 | 10% | - | 23 | -100% | (14 | ) | 38 | -137% | ||||||||||||||||||||||||||||||||||
Other net realized gains (losses) | 23 | (4 | ) | n/m | 37 | (20 | ) | n/m | (5 | ) | 23 | -122% | (5 | ) | 14 | -136% | ||||||||||||||||||||||||||||||||
Total revenues | 28 | 54 | -48% | 125 | 76 | 64% | - | 61 | -100% | (4 | ) | 97 | -104% | |||||||||||||||||||||||||||||||||||
Losses and loss adjustment | 34 | 77 | -56% | 293 | 123 | 138% | 51 | 64 | -20% | 40 | 259 | -85% | ||||||||||||||||||||||||||||||||||||
Amortization of deferred acquisition costs | 4 | 7 | -43% | 12 | 16 | -25% | 4 | 4 | -% | 8 | 8 | -% | ||||||||||||||||||||||||||||||||||||
Operating | 6 | 6 | -% | 20 | 19 | 5% | 6 | 7 | -14% | 13 | 14 | -7% | ||||||||||||||||||||||||||||||||||||
Interest | 27 | 33 | -18% | 88 | 100 | -12% | 29 | 30 | -3% | 56 | 61 | -8% | ||||||||||||||||||||||||||||||||||||
Expenses of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||
Operating | 1 | 2 | -50% | 4 | 6 | -33% | 1 | 1 | *% | 3 | 3 | -% | ||||||||||||||||||||||||||||||||||||
Interest | 15 | 20 | -25% | 47 | 68 | -31% | 6 | 15 | -60% | 17 | 32 | -47% | ||||||||||||||||||||||||||||||||||||
Total expenses | 87 | 145 | -40% | 464 | 332 | 40% | 97 | 121 | �� | -20% | 137 | 377 | -64% | |||||||||||||||||||||||||||||||||||
Income (loss) before income taxes | $ | (59 | ) | $ | (91 | ) | -35% | $ | (339 | ) | $ | (256 | ) | 32% | $ | (97 | ) | $ | (60 | ) | 62% | $ | (141 | ) | $ | (280 | ) | -50% | ||||||||||||||||||||
Three Months Ended September 30, | Percent Change | Nine Months Ended September 30, | Percent Change | Three Months Ended June 30, | Percent | Six Months Ended June 30, | Percent | |||||||||||||||||||||||||||||||||||||||||
In millions | 2020 | 2019 | 2020 | 2019 | 2021 | 2020 | Change | 2021 | 2020 | Change | ||||||||||||||||||||||||||||||||||||||
Net premiums earned: | ||||||||||||||||||||||||||||||||||||||||||||||||
U.S. | $ | 1 | $ | 1 | -% | $ | 4 | $ | 4 | -% | $ | 1 | $ | 2 | -50% | $ | 2 | $ | 3 | -33% | ||||||||||||||||||||||||||||
Non-U.S. | 4 | 6 | -33% | 14 | 16 | -13% | 4 | 5 | -20% | 9 | 10 | -10% | ||||||||||||||||||||||||||||||||||||
Total net premiums earned | $ | 5 | $ | 7 | -29% | $ | 18 | $ | 20 | -10% | $ | 5 | $ | 7 | -29% | $ | 11 | $ | 13 | -15% | ||||||||||||||||||||||||||||
VIEs (eliminated in consolidation) | $ | 1 | $ | (3 | ) | -133% | $ | (2 | ) | $ | - | n/m | $ | 1 | $ | 1 | -% | $ | 1 | $ | (3 | ) | -133% |
In millions | September 30, 2020 | December 31, 2019 | Percent Change | June 30, 2021 | December 31, 2020 | Percent Change | ||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Insurance loss recoverable | $ | 565 | $ | 783 | -29% | $ | 335 | $ | 457 | -27% | ||||||||||||||
Reinsurance recoverable on paid and unpaid losses (1) | 5 | 5 | -% | 5 | 5 | -% | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Loss and LAE reserves | 537 | 469 | 14% | 470 | 521 | -10% | ||||||||||||||||||
Net reserve (salvage) | $ | (33) | $ | (319) | -90% | $ | 130 | $ | 59 | 120% | ||||||||||||||
(1) - | Reported within “Other assets” on our consolidated balance sheets. |
Three Months Ended September 30, | Percent Change | Nine Months Ended September 30, | Percent Change | Three Months Ended June 30, | Percent | Six Months Ended June 30, | Percent | |||||||||||||||||||||||||||||||||||||||||
In millions | 2020 | 2019 | 2020 | 2019 | 2021 | 2020 | Change | 2021 | 2020 | Change | ||||||||||||||||||||||||||||||||||||||
Gross expenses | $ | 7 | $ | 6 | 17% | $ | 21 | $ | 19 | 11% | $ | 6 | $ | 7 | -14% | $ | 13 | $ | 14 | -7% | ||||||||||||||||||||||||||||
Amortization of deferred acquisition costs | $ | 4 | $ | 7 | -43% | $ | 12 | $ | 16 | -25% | $ | 4 | $ | 4 | -% | $ | 8 | $ | 8 | -% | ||||||||||||||||||||||||||||
Operating | 6 | 6 | -% | 20 | 19 | 5% | 6 | 7 | -14% | 13 | 14 | -7% | ||||||||||||||||||||||||||||||||||||
Total insurance operating expenses | $ | 10 | $ | 13 | -23% | $ | 32 | $ | 35 | -9% | $ | 10 | $ | 11 | -9% | $ | 21 | $ | 22 | -5% | ||||||||||||||||||||||||||||
In millions | Gross Par Outstanding as of | Gross Par Outstanding as of | ||||||||||||||||||||||
Collateral Type | September 30, 2020 | December 31, 2019 | Percent Change | June 30, 2021 | December 31, 2020 | Percent Change | ||||||||||||||||||
HELOC Second-lien | $ | 308 | $ | 381 | -19% | $ | 13 | $ | 269 | -95% | ||||||||||||||
CES Second-lien | 114 | 136 | -16% | 32 | 104 | -69% | ||||||||||||||||||
Alt-A First-lien (1) | 826 | 909 | -9% | 791 | 825 | -4% | ||||||||||||||||||
Subprime First-lien | 299 | 343 | -13% | 251 | 285 | -12% | ||||||||||||||||||
Prime First-lien | 6 | 7 | -14% | 5 | 6 | -17% | ||||||||||||||||||
Total | $ | 1,553 | $ | 1,776 | -13% | $ | 1,092 | $ | 1,489 | -27% | ||||||||||||||
(1) - | Includes international exposure of |
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
In millions | 2020 | 2019 | 2020 | 2019 | 2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||||||
Income (loss) before income taxes | $ | (58 | ) | $ | 89 | $ | (497 | ) | $ | (137 | ) | $ | (61 | ) | $ | (106 | ) | $ | (167 | ) | $ | (439 | ) | |||||||||
Provision (benefit) for income taxes | $ | - | $ | 6 | $ | - | $ | 8 | $ | - | $ | - | $ | - | $ | - | ||||||||||||||||
Effective tax rate | -% | 6.7% | -% | -5.8% | 0.0% | 0.0% | 0.0% | 0.0% |
In millions except per share amounts | Nine Months Ended September 30, | Six Months Ended June 30, | ||||||||||||||
2020 | 2019 | 2021 | 2020 | |||||||||||||
Number of shares purchased or repurchased | 26.4 | 10.3 | - | 17.8 | ||||||||||||
Average price paid per share | $ | 7.50 | $ | 9.11 | $ | - | $ | 7.62 | ||||||||
Remaining authorization as of September 30 | $ | - | $ | 108 | ||||||||||||
Remaining authorization as of June 30 | $ | - | $ | 62 |
As of September 30, | As of December 31, | As of June 30, | As of December 31, | |||||||||||||
In millions | 2020 | 2019 | 2021 | 2020 | ||||||||||||
Policyholders’ surplus | $ | 1,552 | $ | 1,891 | $ | 1,534 | $ | 1,526 | ||||||||
Contingency reserves | 458 | 485 | 428 | 445 | ||||||||||||
Statutory capital | 2,010 | 2,376 | 1,962 | 1,971 | ||||||||||||
Unearned premiums | 371 | 411 | 338 | 355 | ||||||||||||
Present value of installment premiums (1) | 135 | 139 | 128 | 129 | ||||||||||||
Premium resources (2) | 506 | 550 | 466 | 484 | ||||||||||||
Net loss and LAE reserves (1) | (272) | (169) | (322) | (301) | ||||||||||||
Salvage reserves (1) | 937 | 789 | ||||||||||||||
Salvage reserves on paid claims (1) | 1,000 | 961 | ||||||||||||||
Gross loss and LAE reserves | 665 | 620 | 678 | 660 | ||||||||||||
Total claims-paying resources | $ | 3,181 | $ | 3,546 | $ | 3,106 | $ | 3,115 | ||||||||
As of September 30, | As of December 31, | As of June 30, | As of December 31, | |||||||||||||
In millions | 2020 | 2019 | 2021 | 2020 | ||||||||||||
Policyholders’ surplus | $ | 140 | $ | 282 | $ | 118 | $ | 106 | ||||||||
Contingency reserves | 188 | 194 | 42 | 167 | ||||||||||||
Statutory capital | 328 | 476 | 160 | 273 | ||||||||||||
Unearned premiums | 84 | 93 | 72 | 79 | ||||||||||||
Present value of installment premiums (1) | 76 | 92 | 64 | 73 | ||||||||||||
Premium resources | 160 | 185 | 136 | 152 | ||||||||||||
Net loss and LAE reserves (1) | (534) | (669) | 151 | (478) | ||||||||||||
Salvage reserves (1) (3) | 1,076 | 1,247 | ||||||||||||||
Salvage reserves on paid claims (1) | 339 | (3) | 1,045 | (4) | ||||||||||||
Gross loss and LAE reserves | 542 | 578 | 490 | 567 | ||||||||||||
Total claims-paying resources | $ | 1,030 | $ | 1,239 | $ | 786 | $ | 992 | ||||||||
Nine Months Ended September 30, | Six Months Ended June 30, | |||||||||||||||||||||||
In millions | 2020 | 2019 | Percent Change | 2021 | 2020 | Percent Change | ||||||||||||||||||
Statement of cash flow data: | ||||||||||||||||||||||||
Net cash provided (used) by: | ||||||||||||||||||||||||
Operating activities | $ | (388 | ) | $ | (415 | ) | -7% | $ | 545 | $ | (89 | ) | n/m | |||||||||||
Investing activities | 968 | 1,204 | -20% | (110 | ) | 941 | -112% | |||||||||||||||||
Financing activities | (552 | ) | (988 | ) | -44% | (255 | ) | (481 | ) | -47% | ||||||||||||||
Cash and cash equivalents - beginning of period | 83 | 280 | -70% | 167 | 83 | 101% | ||||||||||||||||||
Cash and cash equivalents - end of period | $ | 111 | $ | 81 | 37% | $ | 347 | $ | 454 | -24% | ||||||||||||||
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 | $ | 275 | $ | 153 | $ | 66 | $ | (53 | ) | $ | (98 | ) | $ | (135 | ) |
Change in Credit Spreads | ||||||||||||
In millions | 50 Basis Point Decrease | 50 Basis Point Increase | 200 Basis Point Increase | |||||||||
Estimated change in fair value | $ | 45 | $ | (43) | $ | (160) |
Total Number | Maximum | |||||||||||||||
Total | Average | of Shares | Amount That May | |||||||||||||
Number | Price | Purchased as | Be Purchased | |||||||||||||
of Shares | Paid Per | Part of Publicly | Under the Plan | |||||||||||||
Month | Purchased (1) | Share | Announced Plan | (in millions) | ||||||||||||
July | 4,907,868 | $ | 7.44 | 4,907,753 | $ | 26 | ||||||||||
August | 1,331,300 | 7.95 | 1,331,191 | 15 | ||||||||||||
September | 2,343,879 | 6.37 | 2,343,742 | - | ||||||||||||
8,583,047 | $ | 7.23 | 8,582,686 | $ | - | |||||||||||
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 | 86 | $ | 10 | - | $ | - | ||||||||||
May | 97 | 9.46 | - | - | ||||||||||||
June | 86 | 10.51 | - | - | ||||||||||||
269 | $ | 9.97 | - | $ | - |
(1) |
*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) |