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Derivative Instruments | 3 Months Ended
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Mar. 31, 2012
Derivative Instruments [Abstract] |
Derivative Instruments | Note 9: Derivative Instruments Overview MBIA has entered into derivative transactions through its financial guarantee of CDS and for purposes of hedging risks associated with existing assets and liabilities and forecasted transactions. CDS are also entered into in the asset/liability products business to replicate investments in cash assets consistent with the Company's risk objectives and credit guidelines for its asset management business. The Company accounts for derivative transactions in accordance with the accounting principles for derivative and hedging activities, which requires that all such transactions be recorded on the balance sheet at fair value. Refer to "Note 6: Fair Value of Financial Instruments" for the definition of fair value of derivative instruments. Changes in the fair value of derivatives, excluding insured derivatives, are recorded each period in current earnings within "Net gains (losses) on financial instruments at fair value and foreign exchange." Changes in the fair value of insured derivatives are recorded each period in current earnings within "Net change in fair value of insured derivatives." The net change in the fair value of the Company's insured derivatives has two primary components: (i) realized gains (losses) and other settlements on insured derivatives and (ii) unrealized gains (losses) on insured derivatives. "Realized gains (losses) and other settlements on insured derivatives" include (i) premiums received and receivable on written CDS contracts, (ii) premiums paid and payable to reinsurers in respect to CDS contracts, (iii) net amounts received or paid on reinsurance commutations, (iv) losses paid and payable to CDS contract counterparties due to the occurrence of a credit event or settlement agreement, (v) losses recovered and recoverable on purchased CDS contracts due to the occurrence of a credit event or settlement agreement and (vi) fees relating to CDS contracts. The "Unrealized gains (losses) on insured derivatives" include all other changes in fair value of the insured derivative contracts. U.S. Public Finance Insurance The Company's derivative exposure within its U.S. public finance insurance operations primarily consists of insured interest rate and inflation-linked swaps related to insured U.S. public finance debt issues. These derivatives do not qualify for the financial guarantee scope exception. The Company has also purchased certain investments containing embedded derivatives. All derivatives are recorded at fair value on the Company's balance sheet with the changes in fair value recorded in current earnings within "Unrealized gains (losses) on insured derivatives," for the insured derivatives, or "Net gains (losses) on financial instruments at fair value and foreign exchange" for the embedded derivatives. Structured Finance and International Insurance The Company entered into derivative transactions that it viewed as an extension of its core financial guarantee business but which do not qualify for the financial guarantee scope exception and, therefore, must be recorded at fair value on the balance sheet. The Company's structured finance and international insurance operations, which insured the majority of the Company's notional derivative exposure, have insured CDS contracts, primarily referencing corporate, asset-backed, residential mortgage-backed, commercial mortgage-backed, CRE loans, and CDO securities that the Company intends to hold for the entire term of the contract absent a negotiated settlement with the counterparty. Variable Interest Entities VIEs consolidated by the Company have entered into derivative transactions primarily consisting of interest rate swaps and CDS contracts. Interest rate swaps are entered into to hedge the risks associated with fluctuations in interest rates or fair values of certain contracts. CDS contracts are entered into to hedge credit risk or to replicate investments in cash assets. Asset/Liability Products The Company's asset/liability products business has entered into derivative transactions primarily consisting of interest rate swaps, cross currency swaps, and CDS contracts. Interest rate swaps are entered into to hedge the risks associated with fluctuations in interest rates or fair values of certain contracts. Cross currency swaps are entered into to hedge the variability in cash flows resulting from fluctuations in foreign currency rates. CDS contracts are entered into to hedge credit risk or to replicate investments in cash assets consistent with the Company's risk objectives and credit guidelines for its asset management business. Certain interest rate swaps qualify as fair value hedges. The fair value hedges are used to protect against changes in the market value of the hedged assets or liabilities. The gains and losses relating to the fair value hedges are recorded directly in earnings. Fair value hedges are hedging existing assets, liabilities or forecasted transactions. Credit Derivatives Sold The following table presents information about credit derivatives sold by the Company's insurance operations that were outstanding as of March 31, 2012. Credit ratings represent the lower of underlying ratings currently assigned by Moody's, S&P or MBIA.
In millions |  |  |  |  | Notional Value |
Credit Derivatives Sold |  | Weighted Average Remaining Expected Maturity |  |  | AAA |  |  | AA |  |  | A |  |  | BBB |  |  | Below BBB |  |  | Total Notional |  |  | Fair Value Asset (Liability) |
Insured credit default swaps |  |  | 5.7 Years |  |  | $ | 11,017 |  |  | $ | 9,545 |  |  | $ | 5,363 |  |  | $ | 12,606 |  |  | $ | 21,244 |  |  | $ | 59,775 |  |  | $ | (4,416) |
Non-insured credit default swaps-VIE |  |  | 3.4 Years |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 643 |  |  |  | 643 |  |  |  | (525) |
Insured swaps |  |  | 20.6 Years |  |  |  | - |  |  |  | 664 |  |  |  | 3,966 |  |  |  | 2,023 |  |  |  | 93 |  |  |  | 6,746 |  |  |  | (9) |
All others |  |  | 2.6 Years |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 195 |  |  |  | 195 |  |  |  | (88) |
Total notional |  |  |  |  |  | $ | 11,017 |  |  | $ | 10,209 |  |  | $ | 9,329 |  |  | $ | 14,629 |  |  | $ | 22,175 |  |  | $ | 67,359 |  |  |  |  |
Total fair value |  |  |  |  |  | $ | (74) |  |  | $ | (91) |  |  | $ | (206) |  |  | $ | (1,172) |  |  | $ | (3,495) |  |  |  |  |  |  | $ | (5,038) |
The following table presents information about credit derivatives sold by the Company's insurance operations that were outstanding as of December 31, 2011. Credit ratings represent the lower of underlying ratings currently assigned by Moody's, S&P or MBIA.
In millions |  |  |  |  | Notional Value |
Credit Derivatives Sold |  | Weighted Average Remaining Expected Maturity |  |  | AAA |  |  | AA |  |  | A |  |  | BBB |  |  | Below BBB |  |  | Total Notional |  |  | Fair Value Asset (Liability) |
Insured credit default swaps |  |  | 5.6 Years |  |  | $ | 15,475 |  |  | $ | 12,065 |  |  | $ | 6,336 |  |  | $ | 14,042 |  |  | $ | 17,639 |  |  | $ | 65,557 |  |  | $ | (4,716) |
Non-insured credit default swaps-VIE |  |  | 3.6 Years |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 643 |  |  |  | 643 |  |  |  | (527) |
Insured swaps |  |  | 19.7 Years |  |  |  | - |  |  |  | 164 |  |  |  | 4,270 |  |  |  | 2,589 |  |  |  | 133 |  |  |  | 7,156 |  |  |  | (9) |
All others |  |  | 2.8 Years |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 195 |  |  |  | 195 |  |  |  | (91) |
Total notional |  |  |  |  |  | $ | 15,475 |  |  | $ | 12,229 |  |  | $ | 10,606 |  |  | $ | 16,631 |  |  | $ | 18,610 |  |  | $ | 73,551 |  |  |  |  |
Total fair value |  |  |  |  |  | $ | (114) |  |  | $ | (116) |  |  | $ | (205) |  |  | $ | (1,355) |  |  | $ | (3,553) |  |  |  |  |  |  | $ | (5,343) |
Referenced credit ratings assigned by MBIA to insured credit derivatives are derived by the Company's surveillance group. In assigning an internal rating, current status reports from issuers and trustees, as well as publicly available transaction-specific information, are reviewed. Also, where appropriate, cash flow analyses and collateral valuations are considered. The maximum potential amount of future payments (undiscounted) on CDS contracts are estimated as the notional value plus any additional debt service costs, such as interest or other amounts owing on CDS contracts. The maximum amount of future payments that MBIA may be required to make under these guarantees is $65.5 billion. This amount is net of $713 million of insured derivatives ceded under reinsurance agreements in which MBIA economically hedges a portion of the credit and market risk associated with its insured derivatives and offsetting agreements with a counterparty. The maximum potential amount of future payments (undiscounted) on insured swaps are estimated as the notional value of such contracts. MBIA may hold recourse provisions with third parties in derivative transactions through both reinsurance and subrogation rights. MBIA's reinsurance arrangements provide that in the event MBIA pays a claim under a guarantee of a derivative contract, MBIA has the right to collect amounts from any reinsurers that have reinsured the guarantee on either a proportional or non-proportional basis, depending upon the underlying reinsurance agreement. MBIA may also have recourse through subrogation rights whereby if MBIA makes a claim payment, it is entitled to any rights of the insured counterparty, including the right to any assets held as collateral. Financial Statement Impact The fair value of amounts recognized for eligible derivative contracts executed with the same counterparty under a master netting agreement, including any cash collateral that may have been received or posted by the Company, is presented on a net basis in accordance with accounting guidance for the offsetting of fair value amounts related to derivative instruments. As of March 31, 2012, the total fair value of the Company's derivative assets, after counterparty netting, was $463 million, of which $457 million was reported within "Derivative assets" and "Derivative assets-VIEs" on the Company's consolidated balance sheets, and the total fair value of the Company's derivative liabilities, after counterparty netting, was $5.7 billion, of which $5.6 billion was reported within "Derivative liabilities" and "Derivative liabilities-VIEs" on the Company's consolidated balance sheets. As of March 31, 2012, the total fair value of the Company's derivative assets, before counterparty netting, was $539 million and the total fair value of the Company's derivative liabilities, before counterparty netting, was $5.7 billion. The following table presents the total fair value of the Company's derivative assets and liabilities by instrument and balance sheet location, before counterparty netting, as of March 31, 2012:
In millions |  |  |  |  | Derivative Assets(1) |  |  | Derivative Liabilities(1) |
Derivative Instruments |  | Notional Amount Outstanding |  |  | Balance Sheet Location |  | Fair Value |  |  | Balance Sheet Location |  | Fair Value |
Designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | $ | 149 |  |  | Derivative assets |  | $ | 8 |  |  | Derivative liabilities |  | $ | (15) |
Total designated |  | $ | 149 |  |  |  |  | $ | 8 |  |  |  |  | $ | (15) |
Not designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Insured credit default swaps |  | $ | 60,412 |  |  | Derivative assets |  | $ | 10 |  |  | Derivative liabilities |  | $ | (4,416) |
Insured swaps |  |  | 6,746 |  |  | Derivative assets |  |  | - |  |  | Derivative liabilities |  |  | (9) |
Non-insured credit default swaps |  |  | 30 |  |  | Derivative assets |  |  | - |  |  | Derivative liabilities |  |  | - |
Non-insured credit default swaps-VIE |  |  | 1,272 |  |  | Derivative assets-VIE |  |  | 443 |  |  | Derivative liabilities-VIE |  |  | (525) |
Interest rate swaps |  |  | 2,649 |  |  | Derivative assets |  |  | 70 |  |  | Derivative liabilities |  |  | (375) |
Interest rate swaps-VIE |  |  | 4,791 |  |  | Derivative assets-VIE |  |  | - |  |  | Derivative liabilities-VIE |  |  | (259) |
Interest rate swaps - embedded |  |  | 489 |  |  | Medium-term notes |  |  | 6 |  |  | Medium-term notes |  |  | (22) |
Currency swaps |  |  | 40 |  |  | Derivative assets |  |  | - |  |  | Derivative liabilities |  |  | (3) |
Currency swaps-VIE |  |  | 119 |  |  | Derivative assets-VIE |  |  | - |  |  | Derivative liabilities-VIE |  |  | (19) |
All other |  |  | 195 |  |  | Derivative assets |  |  | - |  |  | Derivative liabilities |  |  | (88) |
All other-VIE |  |  | 460 |  |  | Derivative assets-VIE |  |  | 2 |  |  | Derivative liabilities-VIE |  |  | - |
All other - embedded |  |  | 121 |  |  | Other investments |  |  | - |  |  | Other investments |  |  | (1) |
Total non-designated |  | $ | 77,324 |  |  |  |  | $ | 531 |  |  |  |  | $ | (5,717) |
Total derivatives |  | $ | 77,473 |  |  |  |  | $ | 539 |  |  |  |  | $ | (5,732) |
(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. As of December 31, 2011, the total fair value of the Company's derivative assets, after counterparty netting, was $459 million, of which $452 million was reported within "Derivative assets" and "Derivative assets-VIEs" on the Company's consolidated balance sheets, and the total fair value of the Company's derivative liabilities, after counterparty netting, was $6.0 billion which was reported within "Derivative liabilities" and "Derivative liabilities-VIEs" on the Company's consolidated balance sheets. As of December 31, 2011, the total fair value of the Company's derivative assets, before counterparty netting, was $552 million and the total fair value of the Company's derivative liabilities, before counterparty netting was $6.1 billion. The following table presents the total fair value of the Company's derivative assets and liabilities by instrument and balance sheet location, before counterparty netting, as of December 31, 2011:
In millions |  |  |  |  | Derivative Assets(1) |  |  | Derivative Liabilities(1) |
Derivative Instruments |  | Notional Amount Outstanding |  |  | Balance Sheet Location |  | Fair Value |  |  | Balance Sheet Location |  | Fair Value |
Designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | $ | 241 |  |  | Derivative assets |  | $ | 10 |  |  | Derivative liabilities |  | $ | (44) |
Total designated |  | $ | 241 |  |  |  |  | $ | 10 |  |  |  |  | $ | (44) |
Not designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Insured credit default swaps |  | $ | 66,851 |  |  | Derivative assets |  | $ | - |  |  | Derivative liabilities |  | $ | (4,708) |
Insured swaps |  |  | 7,156 |  |  | Derivative assets |  |  | - |  |  | Derivative liabilities |  |  | (9) |
Non-insured credit default swaps |  |  | 30 |  |  | Derivative assets |  |  | 1 |  |  | Derivative liabilities |  |  | - |
Non-insured credit default swaps-VIE |  |  | 1,272 |  |  | Derivative assets-VIE |  |  | 447 |  |  | Derivative liabilities-VIE |  |  | (527) |
Interest rate swaps |  |  | 2,706 |  |  | Derivative assets |  |  | 84 |  |  | Derivative liabilities |  |  | (401) |
Interest rate swaps-VIE |  |  | 4,878 |  |  | Derivative assets-VIE |  |  | - |  |  | Derivative liabilities-VIE |  |  | (281) |
Interest rate swaps - embedded |  |  | 480 |  |  | Medium-term notes |  |  | 7 |  |  | Medium-term notes |  |  | (14) |
Currency swaps |  |  | 62 |  |  | Derivative assets |  |  | - |  |  | Derivative liabilities |  |  | (4) |
Currency swaps-VIE |  |  | 123 |  |  | Derivative assets-VIE |  |  | - |  |  | Derivative liabilities-VIE |  |  | (17) |
All other |  |  | 3,465 |  |  | Derivative assets |  |  | - |  |  | Derivative liabilities |  |  | (91) |
All other-VIE |  |  | 472 |  |  | Derivative assets-VIE |  |  | 3 |  |  | Derivative liabilities-VIE |  |  | - |
All other - embedded |  |  | 121 |  |  | Other investments |  |  | - |  |  | Other investments |  |  | (12) |
Total non-designated |  | $ | 87,616 |  |  |  |  | $ | 542 |  |  |  |  | $ | (6,064) |
Total derivatives |  | $ | 87,857 |  |  |  |  | $ | 552 |  |  |  |  | $ | (6,108) |
(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. The following tables present the effect of derivative instruments on the consolidated statements of operations for the three months ended March 31, 2012:
In millions |  |  |  |  |  |  |  |  |  |  |
Derivatives in Fair Value Hedging Relationships |  | Location of Gain (Loss) Recognized in Income on Derivative |  | Gain (Loss) Recognized in Income on Derivative |  |  | Gain (Loss) Recognized in Income on Hedged Item |  |  | Net Gain (Loss) Recognized in Income |
Interest rate swaps |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  | $ | 27 |  |  | $ | (27) |  |  | $ | - |
Interest rate swaps |  | Interest income (expense) |  |  | - |  |  |  | - |  |  |  | (2) |
Total |  |  |  | $ | 27 |  |  | $ | (27) |  |  | $ | (2) |
In millions |  |  |  |  |
Derivatives Not Designated as Hedging Instruments |  | Location of Gain (Loss) Recognized in Income on Derivative |  | Net Gain (Loss) Recognized in Income |
Insured credit default swaps |  | Unrealized gains (losses) on insured derivatives |  | $ | 301 |
Insured credit default swaps |  | Realized gains (losses) and other settlements on insured derivatives |  |  | (4) |
Non-insured credit default swaps |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | (1) |
Non-insured credit default swaps-VIE |  | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |  |  | (1) |
Interest rate swaps |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | 10 |
Interest rate swaps-VIE |  | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |  |  | 21 |
Currency swaps |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | (2) |
Currency swaps-VIE |  | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |  |  | (2) |
All other |  | Unrealized gains (losses) on insured derivatives |  |  | 2 |
All other |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | 11 |
All other-VIE |  | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |  |  | (1) |
Total |  |  |  | $ | 334 |
The following tables present the effect of derivative instruments on the consolidated statements of operations for the three months ended March 31, 2011:
In millions |  |  |  |  |  |  |  |  |  |  |
Derivatives in Fair Value Hedging Relationships |  | Location of Gain (Loss) Recognized in Income on Derivative |  | Gain (Loss) Recognized in Income on Derivative |  |  | Gain (Loss) Recognized in Income on Hedged Item |  |  | Net Gain (Loss) Recognized in Income |
Interest rate swaps |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  | $ | (6) |  |  | $ | 6 |  |  | $ | - |
Interest rate swaps |  | Interest income (expense) |  |  | - |  |  |  | - |  |  |  | (2) |
Total |  |  |  | $ | (6) |  |  | $ | 6 |  |  | $ | (2) |
In millions |  |  |  |  |
Derivatives Not Designated as Hedging Instruments |  | Location of Gain (Loss) Recognized in Income on Derivative |  | Net Gain (Loss) Recognized in Income |
Insured credit default swaps |  | Unrealized gains (losses) on insured derivatives |  | $ | (1,411) |
Insured credit default swaps |  | Realized gains (losses) and other settlements on insured derivatives |  |  | (354) |
Non-insured credit default swaps |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | (1) |
Non-insured credit default swaps-VIE |  | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |  |  | (158) |
Interest rate swaps |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | 3 |
Interest rate swaps-VIE |  | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |  |  | 69 |
Currency swaps |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | (5) |
Currency swaps-VIE |  | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |  |  | 2 |
All other |  | Unrealized gains (losses) on insured derivatives |  |  | (11) |
All other |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | (1) |
All other-VIE |  | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |  |  | (2) |
Total |  |  |  | $ | (1,869) |
Counterparty Credit Risk The Company manages counterparty credit risk on an individual counterparty basis through master netting agreements covering derivative transactions in the asset/liability products segment. These agreements allow the Company to contractually net amounts due from a counterparty with those amounts due to such counterparty when certain triggering events occur. The Company only executes swaps under master netting agreements, which typically contain mutual credit downgrade provisions that generally provide the ability to require assignment or termination in the event either MBIA or the counterparty is downgraded below a specified credit rating. Under these arrangements, the Company may receive or provide U.S. Treasury and other highly rated securities or cash to secure counterparties' exposure to the Company or its exposure to counterparties, respectively. Such collateral is available to the holder to pay for replacing the counterparty in the event that the counterparty defaults. As of March 31, 2012 and 2011, the Company did not hold or post cash collateral from derivative counterparties. As of March 31, 2012 and December 31, 2011, the Company had securities with a fair value of $435 million and $470 million, respectively, posted to derivative counterparties. As of March 31, 2012, the fair value was positive on one Credit Support Annex ("CSA") which governs collateral posting requirements between MBIA and its derivative counterparties. The aggregate positive fair value for this one CSA was $2 million for which the Company did not receive collateral because the Company's credit rating was below the CSA minimum credit ratings level for holding counterparty collateral. The counterparty was rated Aa3 by Moody's and A by S&P. As of December 31, 2011, the fair value was positive on one CSA which governs collateral posting requirements between MBIA and its derivative counterparties. The positive fair value for this CSA was $2 million for which the Company did not receive collateral because the Company's credit rating was below the CSA minimum credit ratings level for holding counterparty collateral. The counterparty was rated Aa3 by Moody's and A+ by S&P.

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- Definition The entire disclosure for the entity's entire derivative instruments and hedging activities. Describes an entity's risk management strategies, derivatives in hedging activities and non-hedging derivative instruments, the assets, obligations, liabilities, revenues and expenses arising therefrom, and the amounts of and methodologies and assumptions used in determining the amounts of such items. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 133 -Paragraph 44 -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. 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