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Fair Value Measurement (Tables) | 6 Months Ended
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Jun. 30, 2012
Quantitative Information Regarding The Significant Unobservable Inputs For Certain Assets And Liabilities Measured At Fair Value On A Recurring Basis |
In millions |  | Fair Value as of June 30, 2012 |  |  | Valuation Techniques |  | Unobservable Input |  | Range (Weighted Average) |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |
Loans receivable at fair value |  | $ | 1,903 |  |  | Quoted market prices adjusted for financial guarantees provided to VIE obligations |  | Impact of financial guarantee |  |  | 0% -111% (6%) |
Loan repurchase commitments |  |  | 1,032 |  |  | Discounted cash flow |  | Recovery rates |  |  | 9% -96% (42%) |
|  |  |  |  |  |  |  | Breach rates |  |  | 65% -94% (77%) |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |
Variable interest entity notes |  |  | 1,867 |  |  | Quoted market prices of VIE assets adjusted for financial guarantees provided |  | Impact of financial guarantee |  |  | 0% - 24% (6%) |
Credit derivative liabilities, net: |  |  |  |  |  |  |  |  |  |  |  |
CMBS |  |  | 1,488 |  |  | BET Model |  | Recovery rates |  |  | 23% -90% (51%) |
|  |  |  |  |  |  |  | Nonperformance risk |  |  | 11% -61% (55%) |
|  |  |  |  |  |  |  | Weighted average life (in years) |  |  | 0.5 - 6.1 (4.9) |
|  |  |  |  |  |  |  | CMBS spreads |  |  | 2% - 20% (12%) |
Multi-sector CDO |  |  | 691 |  |  | Direct Price Model |  | Nonperformance risk |  |  | 61% -61% (61%) |
Other |  |  | 1,106 |  |  | BET Model |  | Recovery rates |  |  | 42% -75% (47%) |
|  |  |  |  |  |  |  | Nonperformance risk |  |  | 11% -61% (42%) |
|  |  |  |  |  |  |  | Weighted average life (in years) |  |  | 0.3 - 14.7 (3.2) |
Company's Assets And Liabilities Measured At Fair Value On Recurring Basis |
|  | Fair Value Measurements at Reporting Date Using |  |  |  |
In millions |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  |  | Significant Other Observable Inputs (Level 2) |  |  | Significant Unobservable Inputs (Level 3) |  |  | Counterparty and Cash Collateral Netting |  |  | Balance as of June 30, 2012 |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed-maturity investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Taxable bonds: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury and government agency |  | $ | 851 |  |  | $ | 261 |  |  | $ | - |  |  | $ | - |  |  | $ | 1,112 |
Foreign governments |  |  | 263 |  |  |  | 77 |  |  |  | 12 | (1) |  |  | - |  |  |  | 352 |
Corporate obligations |  |  | - |  |  |  | 1,143 |  |  |  | 98 | (1) |  |  | - |  |  |  | 1,241 |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage-backed agency |  |  | - |  |  |  | 1,112 |  |  |  | 4 | (1) |  |  | - |  |  |  | 1,116 |
Residential mortgage-backed non-agency |  |  | - |  |  |  | 154 |  |  |  | 30 | (1) |  |  | - |  |  |  | 184 |
Commercial mortgage-backed |  |  | - |  |  |  | 20 |  |  |  | 27 | (1) |  |  | - |  |  |  | 47 |
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateralized debt obligations |  |  | - |  |  |  | 73 |  |  |  | 29 | (1) |  |  | - |  |  |  | 102 |
Other asset-backed |  |  | - |  |  |  | 128 |  |  |  | 72 | (1) |  |  | - |  |  |  | 200 |
State and municipal bonds |  |  | - |  |  |  | 939 |  |  |  | - |  |  |  | - |  |  |  | 939 |
Total taxable bonds |  |  | 1,114 |  |  |  | 3,907 |  |  |  | 272 |  |  |  | - |  |  |  | 5,293 |
Tax-exempt bonds: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
State and municipal bonds |  |  | - |  |  |  | 1,045 |  |  |  | 25 | (1) |  |  | - |  |  |  | 1,070 |
Other fixed-maturity investments |  |  | - |  |  |  | 10 |  |  |  | - |  |  |  | - |  |  |  | 10 |
Total fixed-maturity investments |  |  | 1,114 |  |  |  | 4,962 |  |  |  | 297 |  |  |  | - |  |  |  | 6,373 |
Money market securities |  |  | 641 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 641 |
Perpetual preferred securities |  |  | - |  |  |  | 46 |  |  |  | 3 | (1) |  |  | - |  |  |  | 49 |
Other |  |  | 20 |  |  |  | - |  |  |  | 10 | (1) |  |  | - |  |  |  | 30 |
Total |  |  | 1,775 |  |  |  | 5,008 |  |  |  | 310 |  |  |  | - |  |  |  | 7,093 |
Cash and cash equivalents |  |  | 269 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 269 |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Insured derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  |  | - |  |  |  | - |  |  |  | 3 |  |  |  | - |  |  |  | 3 |
Non-insured derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives |  |  | - |  |  |  | 96 |  |  |  | 4 | (1) |  |  | (98) |  |  |  | 2 |
Total derivative assets |  |  | - |  |  |  | 96 |  |  |  | 7 |  |  |  | (98) |  |  |  | 5 |
|  | Fair Value Measurements at Reporting Date Using |  |  |  |
In millions |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  |  | Significant Other Observable Inputs (Level 2) |  |  | Significant Unobservable Inputs (Level 3) |  |  | Counterparty and Cash Collateral Netting |  |  | Balance as of June 30, 2012 |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate obligations |  |  | - |  |  |  | 216 |  |  |  | 95 | (1) |  |  | - |  |  |  | 311 |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage-backed non-agency |  |  | - |  |  |  | 811 |  |  |  | 10 | (1) |  |  | - |  |  |  | 821 |
Commercial mortgage-backed |  |  | - |  |  |  | 405 |  |  |  | 12 | (1) |  |  | - |  |  |  | 417 |
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateralized debt obligations |  |  | - |  |  |  | 229 |  |  |  | 140 | (1) |  |  | - |  |  |  | 369 |
Other asset-backed |  |  | - |  |  |  | 161 |  |  |  | 42 | (1) |  |  | - |  |  |  | 203 |
Total fixed maturity securities at fair value |  |  | - |  |  |  | 1,822 |  |  |  | 299 |  |  |  | - |  |  |  | 2,121 |
Cash |  |  | 145 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 145 |
State and municipal taxable bonds |  |  | - |  |  |  | 40 |  |  |  | - |  |  |  | - |  |  |  | 40 |
Money market securities |  |  | 109 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 109 |
Loans receivable |  |  | - |  |  |  | - |  |  |  | 1,903 |  |  |  | - |  |  |  | 1,903 |
Loan repurchase commitments |  |  | - |  |  |  | - |  |  |  | 1,032 |  |  |  | - |  |  |  | 1,032 |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | - |  |  |  | 1 |
Total assets |  | $ | 2,298 |  |  | $ | 6,967 |  |  | $ | 3,551 |  |  | $ | (98) |  |  | $ | 12,718 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Medium-term notes |  | $ | - |  |  | $ | - |  |  | $ | 151 | (1) |  | $ | - |  |  | $ | 151 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Insured derivatives: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  |  | - |  |  |  | 14 |  |  |  | 3,288 |  |  |  | - |  |  |  | 3,302 |
Non-insured derivatives: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives |  |  | - |  |  |  | 124 |  |  |  | - |  |  |  | (98) |  |  |  | 26 |
Currency derivatives |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | - |  |  |  | 1 |
Other liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Warrants |  |  | - |  |  |  | 25 |  |  |  | - |  |  |  | - |  |  |  | 25 |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable interest entity notes |  |  | - |  |  |  | 1,771 |  |  |  | 1,867 |  |  |  | - |  |  |  | 3,638 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives |  |  | - |  |  |  | 165 |  |  |  | - |  |  |  | - |  |  |  | 165 |
Currency derivatives |  |  | - |  |  |  | - |  |  |  | 21 | (1) |  |  | - |  |  |  | 21 |
Total liabilities |  | $ | - |  |  | $ | 2,100 |  |  | $ | 5,327 |  |  | $ | (98) |  |  | $ | 7,329 |
(1) - Unobservable inputs are either not developed by the Company or do not significantly impact the overall fair values of the aggregate financial assets and liabilities.
|  | Fair Value Measurements at Reporting Date Using |  |  |  |
In millions |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  |  | Significant Other Observable Inputs (Level 2) |  |  | Significant Unobservable Inputs (Level 3) |  |  | Counterparty and Cash Collateral Netting |  |  | Balance as of December 31, 2011 |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed-maturity investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Taxable bonds: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury and government agency |  | $ | 1,038 |  |  | $ | 103 |  |  | $ | - |  |  | $ | - |  |  | $ | 1,141 |
Foreign governments |  |  | 277 |  |  |  | 62 |  |  |  | 11 |  |  |  | - |  |  |  | 350 |
Corporate obligations |  |  | 1 |  |  |  | 1,531 |  |  |  | 207 |  |  |  | - |  |  |  | 1,739 |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage-backed agency |  |  | - |  |  |  | 1,276 |  |  |  | 8 |  |  |  | - |  |  |  | 1,284 |
Residential mortgage-backed non-agency |  |  | - |  |  |  | 350 |  |  |  | 17 |  |  |  | - |  |  |  | 367 |
Commercial mortgage-backed |  |  | - |  |  |  | 34 |  |  |  | 24 |  |  |  | - |  |  |  | 58 |
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateralized debt obligations |  |  | - |  |  |  | 78 |  |  |  | 60 |  |  |  | - |  |  |  | 138 |
Other asset-backed |  |  | - |  |  |  | 130 |  |  |  | 317 |  |  |  | - |  |  |  | 447 |
State and municipal bonds |  |  | - |  |  |  | 924 |  |  |  | - |  |  |  | - |  |  |  | 924 |
Total taxable bonds |  |  | 1,316 |  |  |  | 4,488 |  |  |  | 644 |  |  |  | - |  |  |  | 6,448 |
Tax-exempt bonds: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
State and municipal bonds |  |  | - |  |  |  | 1,137 |  |  |  | 28 |  |  |  | - |  |  |  | 1,165 |
Other fixed-maturity investments |  |  | - |  |  |  | 15 |  |  |  | - |  |  |  | - |  |  |  | 15 |
Total fixed-maturity investments |  |  | 1,316 |  |  |  | 5,640 |  |  |  | 672 |  |  |  | - |  |  |  | 7,628 |
Money market securities |  |  | 912 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 912 |
Perpetual preferred securities |  |  | - |  |  |  | 106 |  |  |  | 1 |  |  |  | - |  |  |  | 107 |
Other |  |  | 25 |  |  |  | - |  |  |  | 10 |  |  |  | - |  |  |  | 35 |
Total |  |  | 2,253 |  |  |  | 5,746 |  |  |  | 683 |  |  |  | - |  |  |  | 8,682 |
Cash and cash equivalents |  |  | 473 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 473 |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Non-insured derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | - |  |  |  | 1 |
Interest rate derivatives |  |  | - |  |  |  | 91 |  |  |  | 3 |  |  |  | - |  |  |  | 94 |
Other |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (93) |  |  |  | (93) |
Total derivative assets |  |  | - |  |  |  | 92 |  |  |  | 3 |  |  |  | (93) |  |  |  | 2 |
|  | Fair Value Measurements at Reporting Date Using |  |  |  |
In millions |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  |  | Significant Other Observable Inputs (Level 2) |  |  | Significant Unobservable Inputs (Level 3) |  |  | Counterparty and Cash Collateral Netting |  |  | Balance as of December 31, 2011 |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate obligations |  |  | - |  |  |  | 170 |  |  |  | 69 |  |  |  | - |  |  |  | 239 |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage-backed agency |  |  | - |  |  |  | 3 |  |  |  | - |  |  |  | - |  |  |  | 3 |
Residential mortgage-backed non-agency |  |  | - |  |  |  | 1,437 |  |  |  | 21 |  |  |  | - |  |  |  | 1,458 |
Commercial mortgage-backed |  |  | - |  |  |  | 559 |  |  |  | 22 |  |  |  | - |  |  |  | 581 |
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateralized debt obligations |  |  | - |  |  |  | 330 |  |  |  | 203 |  |  |  | - |  |  |  | 533 |
Other asset-backed |  |  | - |  |  |  | 236 |  |  |  | 67 |  |  |  | - |  |  |  | 303 |
Total fixed maturity securities at fair value |  |  | - |  |  |  | 2,735 |  |  |  | 382 |  |  |  | - |  |  |  | 3,117 |
Cash |  |  | 160 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 160 |
Money market securities |  |  | 199 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 199 |
Loans receivable |  |  | - |  |  |  | - |  |  |  | 2,046 |  |  |  | - |  |  |  | 2,046 |
Loan repurchase commitments |  |  | - |  |  |  | - |  |  |  | 1,077 |  |  |  | - |  |  |  | 1,077 |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  |  | - |  |  |  | - |  |  |  | 447 |  |  |  | - |  |  |  | 447 |
Interest rate derivatives |  |  | - |  |  |  | 3 |  |  |  | - |  |  |  | - |  |  |  | 3 |
Total assets |  | $ | 3,085 |  |  | $ | 8,576 |  |  | $ | 4,638 |  |  | $ | (93) |  |  | $ | 16,206 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Medium-term notes |  | $ | - |  |  | $ | - |  |  | $ | 165 |  |  | $ | - |  |  | $ | 165 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Insured derivatives: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  |  | - |  |  |  | 18 |  |  |  | 4,790 |  |  |  | - |  |  |  | 4,808 |
Non-insured derivatives: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives |  |  | - |  |  |  | 445 |  |  |  | - |  |  |  | - |  |  |  | 445 |
Currency derivatives |  |  | - |  |  |  | 4 |  |  |  | - |  |  |  | - |  |  |  | 4 |
Other |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (93) |  |  |  | (93) |
Other liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Warrants |  |  | - |  |  |  | 38 |  |  |  | - |  |  |  | - |  |  |  | 38 |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable interest entity notes |  |  | - |  |  |  | 1,865 |  |  |  | 2,889 |  |  |  | - |  |  |  | 4,754 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  |  | - |  |  |  | - |  |  |  | 527 |  |  |  | - |  |  |  | 527 |
Interest rate derivatives |  |  | - |  |  |  | 281 |  |  |  | - |  |  |  | - |  |  |  | 281 |
Currency derivatives |  |  | - |  |  |  | - |  |  |  | 17 |  |  |  | - |  |  |  | 17 |
Total liabilities |  | $ | - |  |  | $ | 2,651 |  |  | $ | 8,388 |  |  | $ | (93) |  |  | $ | 10,946 |
Fair Value Hierarchy Table Presents The Company's Assets And Liabilities At Fair Value Not Recorded On The Company's Consolidated Balance Sheet |
|  | Fair Value Measurements at Reporting Date Using |  |  |  |  |  |  |
In millions |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  |  | Significant Other Observable Inputs (Level 2) |  |  | Significant Unobservable Inputs (Level 3) |  |  | Balance as of June 30, 2012 |  |  | Carry Value Balance as of June 30, 2012 |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other investments |  | $ | - |  |  | $ | - |  |  | $ | 11 |  |  | $ | 11 |  |  | $ | 11 |
Accrued investment income(1) |  |  | 57 |  |  |  | - |  |  |  | - |  |  |  | 57 |  |  |  | 57 |
Receivable for investments sold(1) |  |  | 60 |  |  |  | - |  |  |  | - |  |  |  | 60 |  |  |  | 60 |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments held-to-maturity |  |  | - |  |  |  | - |  |  |  | 2,896 |  |  |  | 2,896 |  |  |  | 3,051 |
Total assets |  | $ | 117 |  |  | $ | - |  |  | $ | 2,907 |  |  | $ | 3,024 |  |  | $ | 3,179 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investment agreements |  | $ | - |  |  | $ | - |  |  | $ | 1,445 |  |  | $ | 1,445 |  |  | $ | 1,171 |
Medium-term notes |  |  | - |  |  |  | - |  |  |  | 982 |  |  |  | 982 |  |  |  | 1,415 |
Long-term debt |  |  | - |  |  |  | 1,119 |  |  |  | - |  |  |  | 1,119 |  |  |  | 1,837 |
Payable for investments purchased(2) |  |  | 43 |  |  |  | - |  |  |  | - |  |  |  | 43 |  |  |  | 43 |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable interest entity notes |  |  | - |  |  |  | - |  |  |  | 3,216 |  |  |  | 3,216 |  |  |  | 3,589 |
Total liabilities |  | $ | 43 |  |  | $ | 1,119 |  |  | $ | 5,643 |  |  | $ | 6,805 |  |  | $ | 8,055 |
Financial Guarantees: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Gross |  | $ | - |  |  | $ | - |  |  | $ | 975 |  |  | $ | 975 |  |  | $ | 831 |
Ceded |  |  | - |  |  |  | - |  |  |  | 92 |  |  |  | 92 |  |  |  | 95 |
(1) - Reported within “Other assets” on MBIA’s consolidated balance sheets. (2) - Reported within “Other liabilities” on MBIA’s consolidated balance sheets.
|  | 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, 2011 |  |  | Carry Value Balance as of December 31, 2011 |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other investments |  | $ | - |  |  | $ | - |  |  | $ | 11 |  |  | $ | 11 |  |  | $ | 11 |
Accrued investment income(1) |  |  | 63 |  |  |  | - |  |  |  | - |  |  |  | 63 |  |  |  | 63 |
Receivable for investments sold(1) |  |  | 32 |  |  |  | - |  |  |  | - |  |  |  | 32 |  |  |  | 32 |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments held-to-maturity |  |  | - |  |  |  | - |  |  |  | 3,489 |  |  |  | 3,489 |  |  |  | 3,843 |
Total assets |  | $ | 95 |  |  | $ | - |  |  | $ | 3,500 |  |  | $ | 3,595 |  |  | $ | 3,949 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investment agreements |  | $ | - |  |  | $ | - |  |  | $ | 1,853 |  |  | $ | 1,853 |  |  | $ | 1,578 |
Medium-term notes |  |  | - |  |  |  | - |  |  |  | 1,187 |  |  |  | 1,187 |  |  |  | 1,491 |
Securities sold under agreements to repurchase |  |  | - |  |  |  | 286 |  |  |  | - |  |  |  | 286 |  |  |  | 287 |
Long-term debt |  |  | - |  |  |  | 1,117 |  |  |  | - |  |  |  | 1,117 |  |  |  | 1,840 |
Payable for investments purchased(2) |  |  | 3 |  |  |  | - |  |  |  | - |  |  |  | 3 |  |  |  | 3 |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable interest entity notes |  |  | - |  |  |  | - |  |  |  | 3,297 |  |  |  | 3,297 |  |  |  | 3,943 |
Long-term debt |  |  | - |  |  |  | - |  |  |  | 368 |  |  |  | 368 |  |  |  | 360 |
Total liabilities |  | $ | 3 |  |  | $ | 1,403 |  |  | $ | 6,705 |  |  | $ | 8,111 |  |  | $ | 9,502 |
Financial Guarantees: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Gross |  | $ | - |  |  | $ | - |  |  | $ | 1,451 |  |  | $ | 1,451 |  |  | $ | 1,305 |
Ceded |  |  | - |  |  |  | - |  |  |  | 94 |  |  |  | 94 |  |  |  | 104 |
(1) - Reported within “Other assets” on MBIA’s consolidated balance sheets. (2) - Reported within “Other liabilities” on MBIA’s consolidated balance sheets.
Changes In Level 3 Assets And Liabilities Measured At Fair Value On A Recurring Basis | Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Three Months Ended June 30, 2012
In millions |  | Balance, Beginning of Period |  |  | Realized Gains / (Losses) |  |  | Unrealized Gains / (Losses) Included in Earnings |  |  | Unrealized Gains / (Losses) Included in OCI |  |  | Foreign Exchange Recognized in OCI or Earnings |  |  | Purchases |  |  | Issuances |  |  | Settlements |  |  | Sales |  |  | Transfers into Level 3(1) |  |  | Transfers out of Level 3(1) |  |  | Ending Balance |  |  | Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets still held as of June 30, 2012 |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign governments |  | $ | 12 |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | (1) |  |  | $ | 7 |  |  | $ | - |  |  | $ | (3) |  |  | $ | (3) |  |  | $ | - |  |  | $ | - |  |  | $ | 12 |  |  | $ | - |
Corporate obligations |  |  | 185 |  |  |  | - |  |  |  | 2 |  |  |  | 13 |  |  |  | (2) |  |  |  | 16 |  |  |  | - |  |  |  | (15) |  |  |  | (115) |  |  |  | 14 |  |  |  | - |  |  |  | 98 |  |  |  | 2 |
Residential mortgage-backed agency |  |  | 9 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 4 |  |  |  | (9) |  |  |  | 4 |  |  |  | - |
Residential mortgage-backed non-agency |  |  | 14 |  |  |  | - |  |  |  | - |  |  |  | (4) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (5) |  |  |  | (1) |  |  |  | 26 |  |  |  | - |  |  |  | 30 |  |  |  | - |
Commercial mortgage-backed |  |  | 25 |  |  |  | - |  |  |  | - |  |  |  | 2 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 27 |  |  |  | - |
Collateralized debt obligations |  |  | 35 |  |  |  | (1) |  |  |  | - |  |  |  | 3 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (4) |  |  |  | (7) |  |  |  | 4 |  |  |  | (1) |  |  |  | 29 |  |  |  | - |
Other asset-backed |  |  | 115 |  |  |  | (2) |  |  |  | - |  |  |  | 10 |  |  |  | - |  |  |  | 2 |  |  |  | - |  |  |  | (2) |  |  |  | (50) |  |  |  | 4 |  |  |  | (5) |  |  |  | 72 |  |  |  | - |
State and municipal tax-exempt bonds |  |  | 27 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (2) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 25 |  |  |  | - |
Perpetual preferred securities |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 3 |  |  |  | - |  |  |  | 3 |  |  |  | - |
Other investments |  |  | 10 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 10 |  |  |  | - |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate obligations |  |  | 75 |  |  |  | - |  |  |  | (6) |  |  |  | (6) |  |  |  | - |  |  |  | 28 |  |  |  | - |  |  |  | (2) |  |  |  | - |  |  |  | 6 |  |  |  | - |  |  |  | 95 |  |  |  | - |
Residential mortgage-backed non-agency |  |  | 25 |  |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (2) |  |  |  | (15) |  |  |  | 1 |  |  |  | - |  |  |  | 10 |  |  |  | - |
Commercial mortgage-backed |  |  | 15 |  |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (1) |  |  |  | (8) |  |  |  | 5 |  |  |  | - |  |  |  | 12 |  |  |  | 1 |
Collateralized debt obligations |  |  | 218 |  |  |  | - |  |  |  | (2) |  |  |  | (3) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (75) |  |  |  | 2 |  |  |  | - |  |  |  | 140 |  |  |  | 6 |
Other asset-backed |  |  | 71 |  |  |  | - |  |  |  | 3 |  |  |  | - |  |  |  | - |  |  |  | 4 |  |  |  | - |  |  |  | (3) |  |  |  | (36) |  |  |  | 3 |  |  |  | - |  |  |  | 42 |  |  |  | 2 |
Loans receivable |  |  | 2,025 |  |  |  | - |  |  |  | (49) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (71) |  |  |  | (2) |  |  |  | - |  |  |  | - |  |  |  | 1,903 |  |  |  | (49) |
Loan repurchase commitments |  |  | 1,076 |  |  |  | - |  |  |  | (44) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 1,032 |  |  |  | (44) |
Total assets |  | $ | 3,937 |  |  | $ | (3) |  |  | $ | (94) |  |  | $ | 15 |  |  | $ | (3) |  |  | $ | 57 |  |  | $ | - |  |  | $ | (110) |  |  | $ | (312) |  |  | $ | 72 |  |  | $ | (15) |  |  | $ | 3,544 |  |  | $ | (82) |
In millions |  | Balance, Beginning of Period |  |  | Realized (Gains) / Losses |  |  | Unrealized (Gains) / Losses Included in Earnings |  |  | Unrealized (Gains) / Losses Included in OCI |  |  | Foreign Exchange Recognized in OCI or Earnings |  |  | Purchases |  |  | Issuances |  |  | Settlements |  |  | Sales |  |  | Transfers into Level 3(1) |  |  | Transfers out of Level 3(1) |  |  | Ending Balance |  |  | Change in Unrealized (Gains) Losses for the Period Included in Earnings for Liabilities still held as of June 30, 2012 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Medium-term notes |  | $ | 174 |  |  | $ | - |  |  | $ | (16) |  |  | $ | - |  |  | $ | (7) |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 151 |  |  | $ | (16) |
Credit derivatives, net |  |  | 4,487 |  |  |  | 443 |  |  |  | (1,202) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (443) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 3,285 |  |  |  | (641) |
Interest rate derivatives, net |  |  | (4) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (4) |  |  |  | - |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
VIE notes |  |  | 2,864 |  |  |  | - |  |  |  | 62 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (76) |  |  |  | (983) |  |  |  | - |  |  |  | - |  |  |  | 1,867 |  |  |  | 62 |
Credit derivatives, net |  |  | 82 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (82) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |
Currency derivatives, net |  |  | 19 |  |  |  | - |  |  |  | 2 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 21 |  |  |  | 2 |
Total liabilities |  | $ | 7,622 |  |  | $ | 443 |  |  | $ | (1,154) |  |  | $ | - |  |  | $ | (7) |  |  | $ | - |  |  | $ | - |  |  | $ | (519) |  |  | $ | (1,065) |  |  | $ | - |  |  | $ | - |  |  | $ | 5,320 |  |  | $ | (593) |
(1) - Transferred in and out at the end of the period. Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Three Months Ended June 30, 2011
In millions |  | Balance, Beginning of Period |  |  | Realized Gains / (Losses) |  |  | Unrealized Gains / (Losses) Included in Earnings |  |  | Unrealized Gains / (Losses) Included in OCI |  |  | Foreign Exchange Recognized in OCI or Earnings |  |  | Purchases |  |  | Issuances |  |  | Settlements |  |  | Sales |  |  | Transfers into Level 3(1) |  |  | Transfers out of Level 3(1) |  |  | Ending Balance |  |  | Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets still held as of June 30, 2011 |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign governments |  | $ | 19 |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 4 |  |  | $ | - |  |  | $ | (3) |  |  | $ | - |  |  | $ | - |  |  | $ | (7) |  |  | $ | 13 |  |  | $ | - |
Corporate obligations |  |  | 212 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 1 |  |  |  | 1 |  |  |  | - |  |  |  | (2) |  |  |  | - |  |  |  | 82 |  |  |  | - |  |  |  | 294 |  |  |  | - |
Residential mortgage-backed non-agency |  |  | 43 |  |  |  | (1) |  |  |  | - |  |  |  | 5 |  |  |  | (2) |  |  |  | 4 |  |  |  | - |  |  |  | (6) |  |  |  | (18) |  |  |  | 3 |  |  |  | - |  |  |  | 28 |  |  |  | - |
Commercial mortgage-backed |  |  | 51 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | - |  |  |  | (2) |  |  |  | - |  |  |  | - |  |  |  | 50 |  |  |  | - |
Collateralized debt obligations |  |  | 123 |  |  |  | (1) |  |  |  | - |  |  |  | 8 |  |  |  | (9) |  |  |  | 5 |  |  |  | - |  |  |  | (4) |  |  |  | (6) |  |  |  | 46 |  |  |  | - |  |  |  | 162 |  |  |  | - |
Other asset-backed |  |  | 322 |  |  |  | - |  |  |  | - |  |  |  | (7) |  |  |  | (1) |  |  |  | 8 |  |  |  | - |  |  |  | (1) |  |  |  | (1) |  |  |  | 11 |  |  |  | - |  |  |  | 331 |  |  |  | - |
State and municipal taxable bonds |  |  | 12 |  |  |  | - |  |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 13 |  |  |  | - |
State and municipal tax-exempt bonds |  |  | 34 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 2 |  |  |  | - |  |  |  | (3) |  |  |  | (1) |  |  |  | - |  |  |  | - |  |  |  | 32 |  |  |  | - |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate obligations |  |  | 84 |  |  |  | - |  |  |  | (13) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (2) |  |  |  | - |  |  |  | - |  |  |  | (7) |  |  |  | 62 |  |  |  | - |
Residential mortgage-backed non-agency |  |  | 18 |  |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (2) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 17 |  |  |  | 1 |
Commercial mortgage-backed |  |  | 29 |  |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (2) |  |  |  | (1) |  |  |  | - |  |  |  | - |  |  |  | 27 |  |  |  | (1) |
Collateralized debt obligations |  |  | 219 |  |  |  | - |  |  |  | (26) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 22 |  |  |  | (14) |  |  |  | 201 |  |  |  | 5 |
Other asset-backed |  |  | 79 |  |  |  | - |  |  |  | (6) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (1) |  |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | 73 |  |  |  | 2 |
Loans receivable |  |  | 2,327 |  |  |  | - |  |  |  | 68 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (73) |  |  |  | (2) |  |  |  | - |  |  |  | - |  |  |  | 2,320 |  |  |  | 68 |
Loan repurchase commitments |  |  | 867 |  |  |  | - |  |  |  | 38 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 905 |  |  |  | 38 |
Total assets |  | $ | 4,439 |  |  | $ | (2) |  |  | $ | 63 |  |  | $ | 7 |  |  | $ | (11) |  |  | $ | 25 |  |  | $ | - |  |  | $ | (99) |  |  | $ | (31) |  |  | $ | 165 |  |  | $ | (28) |  |  | $ | 4,528 |  |  | $ | 113 |
In millions |  | Balance, Beginning of Period |  |  | Realized (Gains) / Losses |  |  | Unrealized (Gains) / Losses Included in Earnings |  |  | Unrealized (Gains) / Losses Included in OCI |  |  | Foreign Exchange Recognized in OCI or Earnings |  |  | Purchases |  |  | Issuances |  |  | Settlements |  |  | Sales |  |  | Transfers into Level 3(1) |  |  | Transfers out of Level 3(1) |  |  | Ending Balance |  |  | Change in Unrealized (Gains) Losses for the Period Included in Earnings for Liabilities still held as of June 30, 2011 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Medium-term notes |  | $ | 163 |  |  | $ | - |  |  | $ | 39 |  |  | $ | - |  |  | $ | 4 |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 206 |  |  | $ | 39 |
Credit derivatives, net |  |  | 5,772 |  |  |  | 218 |  |  |  | (116) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (218) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 5,656 |  |  |  | 897 |
Interest rate derivatives, net |  |  | (4) |  |  |  | - |  |  |  | (1) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | (4) |  |  |  | 2 |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
VIE notes |  |  | 4,953 |  |  |  | - |  |  |  | 2 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (262) |  |  |  | (180) |  |  |  | - |  |  |  | - |  |  |  | 4,513 |  |  |  | 2 |
Credit derivatives, net |  |  | 926 |  |  |  | - |  |  |  | (6) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 920 |  |  |  | (7) |
Currency derivatives, net |  |  | 12 |  |  |  | - |  |  |  | 4 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 16 |  |  |  | 4 |
Total liabilities |  | $ | 11,822 |  |  | $ | 218 |  |  | $ | (78) |  |  | $ | - |  |  | $ | 4 |  |  | $ | - |  |  | $ | - |  |  | $ | (480) |  |  | $ | (180) |  |  | $ | 1 |  |  | $ | - |  |  | $ | 11,307 |  |  | $ | 937 |
(1) - Transferred in and out at the end of the period.
Gains And Losses (Realized And Unrealized) Included In Earnings Pertaining To Level 3 Assets And Liabilities |
|  | Three Months Ended June 30, 2012 |
|  |  |  |  |  |  |  |  |  |  | Consolidated VIEs |
In millions |  | Unrealized Gains (Losses) on Insured Derivatives |  |  | Net Realized Gains (Losses) |  |  | Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange |  |  | Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange |
Total gains (losses) included in earnings |  | $ | 1,202 |  |  | $ | (446) |  |  | $ | 18 |  |  | $ | (160) |
Change in unrealized gains (losses) for the period included in earnings for assets and liabilities still held as of June 30, 2012 |  | $ | 641 |  |  | $ | - |  |  | $ | 18 |  |  | $ | (148) |
|  | Three Months Ended June 30, 2011 |
|  |  |  |  |  |  |  |  |  |  | Consolidated VIEs |
In millions |  | Unrealized Gains (Losses) on Insured Derivatives |  |  | Net Realized Gains (Losses) |  |  | Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange |  |  | Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange |
Total gains (losses) included in earnings |  | $ | 116 |  |  | $ | (220) |  |  | $ | (38) |  |  | $ | 63 |
Change in unrealized gains (losses) for the period included in earnings for assets and liabilities still held as of June 30, 2011 |  | $ | (897) |  |  | $ | - |  |  | $ | (41) |  |  | $ | 114 |
Gains and losses (realized and unrealized) included in earnings relating to Level 3 assets and liabilities for the six months ended June 30, 2012 and 2011 are reported on the Company’s consolidated statements of operations as follows:
|  | Six Months Ended June 30, 2012 |
|  |  |  |  |  |  |  |  |  |  | Consolidated VIEs |
In millions |  | Unrealized Gains (Losses) on Insured Derivatives |  |  | Net Realized Gains (Losses) |  |  | Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange |  |  | Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange |
Total gains (losses) included in earnings |  | $ | 1,505 |  |  | $ | (543) |  |  | $ | 17 |  |  | $ | (274) |
Change in unrealized gains (losses) for the period included in earnings for assets and liabilities still held as of June 30, 2012 |  | $ | 571 |  |  | $ | - |  |  | $ | 9 |  |  | $ | (206) |
|  | Six Months Ended June 30, 2011 |
|  |  |  |  |  |  |  |  |  |  | Consolidated VIEs |
In millions |  | Unrealized Gains (Losses) on Insured Derivatives |  |  | Net Realized Gains (Losses) |  |  | Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange |  |  | Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange |
Total gains (losses) included in earnings |  | $ | (1,307) |  |  | $ | (608) |  |  | $ | (78) |  |  | $ | (409) |
Change in unrealized gains (losses) for the period included in earnings for assets and liabilities still held as of June 30, 2011 |  | $ | (2,128) |  |  | $ | - |  |  | $ | (79) |  |  | $ | (359) |
Changes In Fair Value Included In The Company's Consolidated Statements Of Operations |
|  | Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange |
|  | Three Months Ended June 30, |  |  | Six Months Ended June 30, |
In millions |  | 2012 |  |  | 2011 |  |  | 2012 |  |  | 2011 |
Fixed-maturity securities held at fair value |  | $ | (56) |  |  | $ | (265) |  |  | $ | (57) |  |  | $ | (52) |
Loans receivable at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage loans |  |  | (117) |  |  |  | 29 |  |  |  | (99) |  |  |  | 130 |
Other loans |  |  | (2) |  |  |  | (35) |  |  |  | (41) |  |  |  | 7 |
Loan repurchase commitments |  |  | 44 |  |  |  | 39 |  |  |  | 43 |  |  |  | 70 |
Other assets |  |  | - |  |  |  | 18 |  |  |  | - |  |  |  | (22) |
Long-term debt |  |  | 135 |  |  |  | 252 |  |  |  | 128 |  |  |  | (115) |
Difference Between Aggregate Fair Value And The Aggregate Remaining Contractual Principal Balance Outstanding |
|  | As of June 30, 2012 |  |  | As of December 31, 2011 |
In millions |  | Contractual Outstanding Principal |  |  | Fair Value |  |  | Difference |  |  | Contractual Outstanding Principal |  |  | Fair Value |  |  | Difference |
Loans receivable at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage loans |  | $ | 2,533 |  |  | $ | 1,755 |  |  | $ | 778 |  |  | $ | 2,769 |  |  | $ | 1,895 |  |  | $ | 874 |
Residential mortgage loans (90 days or more past due) |  |  | 258 |  |  |  | 41 |  |  |  | 217 |  |  |  | 259 |  |  |  | - |  |  |  | 259 |
Other loans |  |  | 88 |  |  |  | 32 |  |  |  | 56 |  |  |  | 129 |  |  |  | 43 |  |  |  | 86 |
Other loans (90 days or more past due) |  |  | 203 |  |  |  | 75 |  |  |  | 128 |  |  |  | 324 |  |  |  | 108 |  |  |  | 216 |
Total loans receivable at fair value |  | $ | 3,082 |  |  | $ | 1,903 |  |  | $ | 1,179 |  |  | $ | 3,481 |  |  | $ | 2,046 |  |  | $ | 1,435 |
Variable interest entity notes |  | $ | 9,362 |  |  | $ | 3,638 |  |  | $ | 5,724 |  |  | $ | 13,583 |  |  | $ | 4,754 |  |  | $ | 8,829 |

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