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Derivative Instruments | 9 Months Ended
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Sep. 30, 2014
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Derivative Instruments | Note 8: Derivative Instruments O v erv i ew MBIA has entered into derivative instruments through its financial guarantee of CDS and for purposes of hedging risks associated with existing assets and liabilities and forecasted transactions. The Company accounts for derivative instruments in accordance with the accounting principles for derivati ve and hedging activities, which requires that all such instruments be recorded on the balance sheet at fair value. Refer to “Note 6: Fair Value of Financial Instruments” for the method of determining the fair value of derivative instruments. 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 consolidated balance sheet s with the changes in fair value recorded o n the Company’s consolidat ed statements of operations 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. S t r u c t u r e d F i n an c e an d I n t e r na t i on a l I n s u r an c e The Company entered into derivative instrument s 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. These insured CDS contracts, primarily refer enc ing corporate, asset-backed, residential mortgage-backed, commercial mortgage-backed, CRE loans and CDO securities, are intended to be held for the entire term of the contract absent a negotiated settlement with the counterparty. Changes in the fair val ue 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 peri od 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 sold CDS contracts, (ii) premiums paid and payable to reinsurers in respect to CD S 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. In certain instances, t he Company’s structured finance and international insurance business purchased or issued securities that contain embedded derivatives. In accordance with the accounting guidance for derivative instruments and hedging activities, the bal ance sheet location of the Company’s embedded derivative instruments is determined by the location of the related security. The Company has also entered into a derivative contract as a result of a commutation occurring during the nine months ended September 30, 2014. Changes in the fair value of the Company’s non-insured derivative are included in “Net gains (losses) on financial instruments at fair value and foreign exchange” on the Company’s consolidated statements of op er ations. Variable Interest Entities VIEs consolidated by the Company have entered into derivative instrument s consisting of interest rate caps and cross currency swaps. Interest rate caps are entered into to mitigate 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. Asset/Liability Products The Company’s asset/liability products business has entered into derivative instrument s primarily consisting of interest rate swaps. Interest rate swaps are entered into to hedge the risks associated with fluctuations in interest rates or fair values of certain contracts. In certain instances, t he Company’s asset/liability products business purchased or issued securities that contain embedded derivatives. In accordance with the accounting guidance for derivative instruments and hedging activities, the balan ce sheet location of the Company’s embedded derivative instruments is determined by the location of the related security. Changes in the fair value of the Company’s asset/liability products business derivatives are recorded on the Company’s consolidated st atements of operations within “Net gains (losses) on financial instruments at fair value and foreign exchange.” Credit Derivatives Sold The following table s present information about credit derivatives sold by the Company’s insurance operations that were outstanding as of September 30, 2014 and December 31, 2013. Credit ratings represent the lower of underlying ratings assigned to the collateral by Moody’s, S&P or MBIA.
$ in millions |  | As of September 30, 2014
|  |  |  | 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 |  | 1.9 Years |  | $ | 6,926 |  | $ | 435 |  | $ | 968 |  | $ | 201 |  | $ | 2,746 |  | $ | 11,276 |  | $ | (284)
Insured swaps |  | 16.4 Years |  |  | - |  |  | 149 |  |  | 2,965 |  |  | 976 |  |  | 21 |  |  | 4,111 |  |  | (4)
Total notional |  |  |  | $ | 6,926 |  | $ | 584 |  | $ | 3,933 |  | $ | 1,177 |  | $ | 2,767 |  | $ | 15,387 |  |  |
Total fair value |  |  |  | $ | (2) |  | $ | - |  | $ | (2) |  | $ | (2) |  | $ | (282) |  |  |  |  | $ | (288)
$ in millions |  | As of December 31, 2013
|  |  |  | 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 |  | 2.6 Years |  | $ | 7,406 |  | $ | 1,972 |  | $ | 1,068 |  | $ | 7,552 |  | $ | 5,956 |  | $ | 23,954 |  | $ | (1,132)
Insured swaps |  | 18.5 Years |  |  | - |  |  | 77 |  |  | 3,282 |  |  | 1,586 |  |  | - |  |  | 4,945 |  |  | (5)
All others |  | 28.0 Years |  |  | - |  |  | - |  |  | - |  |  | - |  |  | 36 |  |  | 36 |  |  | (15)
Total notional |  |  |  | $ | 7,406 |  | $ | 2,049 |  | $ | 4,350 |  | $ | 9,138 |  | $ | 5,992 |  | $ | 28,935 |  |  |
Total fair value |  |  |  | $ | (2) |  | $ | - |  | $ | (3) |  | $ | (78) |  | $ | (1,069) |  |  |  |  | $ | (1,152)
Internal credit ratings assigned by MBIA on the underlying collateral are derived b y t h e Co m pan y’s s u r v e ill a n ce g r ou p. I n a ss ign i n g a n i n t e r n a l r a t i n g, c u rr en t s t a t u s r epo r t s f r o m i ss ue rs an d t r u s t ee s, a s w el l a s p ubli c l y a v ai l able t r a n s a c t i o n-s p e c i f i c i n f o rm a t ion, a re r e v iew e d. A l s o, whe re ap p r o p r ia t e, c a sh f l o w a n al ys e s an d c ol l a t e r a l v a l ua t ion s a re c on s id e r e d. T h e m a x i m u m p o t e n t i a l a m o u n t o f f u t u re p a y m en t s (u n di sc oun t ed) o n C D S c on t r a c t s a re e s t i m a t e d a s t he no t ion a l v a l u e plu s an y a d di t iona l d e b t s e rv i ce c o s t s, s u ch a s in t e r e st o r o t h e r a m ou n t s owin g o n CD S c on t r a c t s. T he m a x i m u m a m oun t o f f u t u re pa ym en t s t ha t MB I A m a y b e r equi r e d t o m a ke und e r t he se g uarantees as of September 30, 2014 i s $11.7 billion. T his a m oun t i s ne t o f $27 m il l io n o f in s u r e d d e r i v a t i v e s c ede d und e r r ei n s u r a n ce a g r ee m en t s i n whi ch M B I A e c o n o m i c ally hed g e s a po r t io n o f t h e c r e di t an d m a rk e t r i sk a s s o c i a t e d wi t h i t s in s u r e d d e r i v a t i v e s an d o f f s e t t i n g ag r ee m en t s wi t h a c oun t e r pa r t y. T h e m a x i m u m po t en t ia l a m ou n t o f f u t u re pa ym en t s (un d i s c o un t ed) o n i n s u r e d s w a p s a re e s t i m a t e d a s t he no t ion a l v a l u e o f s u ch c o n t r a c t s. M B I A m a y hol d r e c ou rse p r o v i s ion s wi t h t hi rd pa r t ie s i n de r i v a t i ve instrument s t h r o u g h b o t h r ein s u r a n ce a n d s ub r o ga t i on r igh t s. M B I A’s r e in s u r an ce a rr ange m en t s p r o v i d e t ha t i n t h e e v en t MB I A pa ys a c la i m und e r a gua r an t e e o f a de r i v a t i ve c on t r a c t, MB I A ha s t h e r igh t t o c olle ct a m o un t s f r o m an y r e i n s u r e rs t ha t h a v e r ei n s u r e d t h e gua r a n t e e o n ei t he r a p r op o r t io n a l o r no n-p r opo r t iona l ba s i s, d epend i n g upo n t h e u n de r l y in g r ein s u r a n ce a g r e e m e n t. M B I A m a y a l s o h a v e r e c ou rse t h r o u g h s u b r oga t io n r igh t s wh e r e b y i f M B I A m a k e s a c lai m pa ym en t, i t may be en t i t l e d t o an y r i gh t s o f t h e in s u r ed c oun t e r pa r t y, in c lu d in g t h e r ig h t t o an y a ss e t s hel d a s c o lla t e r al. Counterparty Credit Risk The Company manages counterparty credit risk on an individual counterparty basis through master netting agreements covering derivative instruments in the asset/liability products segment. There are no master netting agreements in the structured finance and international insurance or the U.S. public finance insurance segments. The master netting agreements in the asset/liability products segment allow the Company to contractually net amounts due from a counter party 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 requir e 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 counterpa rties’ 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 September 30, 2014, the Company did not ho ld cash collateral to derivative counterparties but posted cash collateral to derivative counterparties of $60 million. Of this amount, $44 million is netted within “Derivative liabilities” and $16 milli on is included within “Other liabilities” as cash collateral netted against accrued interest on derivative liabilities. As of December 31, 2013, the Company did not hold cash collateral to derivative counterparties but posted cash collateral to derivative counterparties of $160 million. Of this amount, $123 million is netted within “Derivative liabil ities”, $16 million is included within “Other liabilities” as cash collateral netted against accrued interest on derivative liabilities and an additional $21 million is included in “Other assets” on the Company’s conso lidated balance sheets. As of September 30, 2014, the Company had securities with a fair value of $123 million posted to derivative counterparties and this amount is included within “Fixed-maturity securities held as available-for-sale, at fair value” on the Company’s consolidated balance sheet. As of December 31, 2013, the Company had securities with a fair value of $42 million posted to derivative counterparties and this amount is included within “Fixed-maturity secur ities held as available-for-sale, at fair value” on the Company’s consolidated balance sheet. As of September 30, 2014 and December 31, 2013, the fair value on one Credit Support Annex (“CSA”) was $4 million. This CSA governs collateral posting requirements between MBIA and its derivative counterparties. The Company did not receive collateral due to the Company’s credit rating, which was below the CSA m inimum credit ratings level for holding counterparty collateral. As of September 30, 2014 and December 31, 2013, the counterparty was rated A2 by Moody’s and A by S&P. Financial Statement Presentation 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. Insured CDSs and insured swaps are not subject to master netting agreements. VIE derivative assets and liabilities are not presented net of any master netting agreements. Counterparty netting of derivative assets and liabilities offsets balances in “Interest rate swaps” as of September 30, 2014 and December 31, 2013. As of September 30, 2014, the total fair value of the Company’s derivative assets, after counterparty netting of $65 million, was $12 million, of which $4 million was reported within “Other assets” on the Company’s consolidated balance sheets. Embedded derivatives of $8 million were reported within “Medium-term notes” on the Company’s consolidated balance sheets. As of September 30, 2014, the total fair value of the Company’s derivative liabilities, after counterparty netting of $65 million a nd cash collateral posted by the Company of $44 million was $435 m illion, which was reported within “Derivative liabilities” and “Derivative liabilities” presented under “Liabilities of consolidated variable interest ent ities” on the Company’s consolidated balance sheets. Embedded derivatives of $23 million were reported within “Medium-term notes” and “Other investments” on the Company’s consolidated balance sheets. The following table presents the total fair value of the Company’s derivative assets and liabilities by instrumen t and balance sheet location, before counterparty netting and posting of cash collateral, as of September 30, 2014:
In millions |  |  |  |  | Derivative Assets (1) |  | Derivative Liabilities (1)
|  |  | Notional |  |  |  |  |  |  |  |  |  |
|  |  | Amount |  |  |  | Fair |  |  |  | Fair
Derivative Instruments |  | Outstanding |  | Balance Sheet Location |  | Value |  | Balance Sheet Location |  | Value
Not designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |
| Insured credit default swaps |  | $ | 11,276 |  | Other assets |  | $ | - |  | Derivative liabilities |  | $ | (284)
| Insured swaps |  |  | 4,111 |  | Other assets |  |  | - |  | Derivative liabilities |  |  | (4)
| Interest rate swaps |  |  | 1,477 |  | Other assets |  |  | 69 |  | Derivative liabilities |  |  | (211)
| Interest rate swaps-embedded |  |  | 457 |  | Medium-term notes |  |  | 8 |  | Medium-term notes |  |  | (23)
| Currency swaps-VIE |  |  | 93 |  | Other assets-VIE |  |  | - |  | Derivative liabilities-VIE |  |  | (7)
| All other |  |  | 83 |  | Other assets |  |  | - |  | Derivative liabilities |  |  | (38)
| All other-VIE |  |  | 241 |  | Other assets-VIE |  |  | - |  | Derivative liabilities-VIE |  |  | -
| All other-embedded |  |  | 12 |  | Other investments |  |  | - |  | Other investments |  |  | -
Total non-designated derivatives |  | $ | 17,750 |  |  |  | $ | 77 |  |  |  | $ | (567)
__________ |  |  |  |  |  |  |  |  |  |  |  |  |
(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, 2013, the total fair value of the Company’s derivative assets, after counterparty netting of $42 million, was $13 million, of which $4 million was reported within “Other assets” on the Company’s consolidated balance sheets. Embedded derivatives of $9 million were reported within “Medium-term notes” on the Company’s consolidated balance sheets. As of December 31, 2013, t he total fair value of the Company’s derivative liabilities, after counterparty netting of $42 million and cash collateral posted by the Company of $123 million, was $1.2 billion which was reported within “Derivative liabilities” and “Derivative liabilities” presented under “Liabilities of consolidated variable interest entities” on the Company’s consolidated balance sheets. Embedded derivatives of $19 million were reported within “Medium-term notes” and “Other investments” on the Company’s consolidated balance sheets. 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 and posting of cash collateral, as of December 31, 2013:
In millions |  |  |  |  | Derivative Assets (1) |  | Derivative Liabilities (1)
|  |  |  | Notional |  |  |  |  |  |  |  |  |  |
|  |  |  | Amount |  |  |  | Fair |  |  |  | Fair
Derivative Instruments |  |  | Outstanding |  | Balance Sheet Location |  | Value |  | Balance Sheet Location |  | Value
Not designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |
| Insured credit default swaps |  | $ | 23,954 |  | Other assets |  | $ | - |  | Derivative liabilities |  | $ | (1,132)
| Insured swaps |  |  | 4,945 |  | Other assets |  |  | - |  | Derivative liabilities |  |  | (5)
| Interest rate swaps |  |  | 1,495 |  | Other assets |  |  | 46 |  | Derivative liabilities |  |  | (165)
| Interest rate swaps-embedded |  |  | 496 |  | Medium-term notes |  |  | 9 |  | Medium-term notes |  |  | (19)
| Currency swaps-VIE |  |  | 99 |  | Other assets-VIE |  |  | - |  | Derivative liabilities-VIE |  |  | (11)
| All other |  |  | 36 |  | Other assets |  |  | - |  | Derivative liabilities |  |  | (15)
| All other-VIE |  |  | 280 |  | Other assets-VIE |  |  | - |  | Derivative liabilities-VIE |  |  | -
| All other-embedded |  |  | 11 |  | Other investments |  |  | - |  | Other investments |  |  | -
Total non-designated derivatives |  | $ | 31,316 |  |  |  | $ | 55 |  |  |  | $ | (1,347)
__________ |  |  |  |  |  |  |  |  |  |  |  |  |
(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.
T h e f ol l owin g t able p r e s en t s t h e e f f e ct o f d e r i v a t i ve i n s t r u m en t s o n t h e c o n s olida t e d s t a t e m en t s o f ope r a t ion s f o r t h e three months ended September 30, 2014:
In millions |  |  |  |
|  |  |  | Net Gain
|  |  |  | (Loss)
Derivatives Not Designated as |  |  |  | Recognized
Hedging Instruments |  | Location of Gain (Loss) Recognized in Income on Derivative |  | in Income
Insured credit default swaps |  | Unrealized gains (losses) on insured derivatives |  | $ | 48
Insured credit default swaps |  | Realized gains (losses) and other settlements on insured derivatives |  |  | (24)
Interest rate swaps |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | (7)
Currency swaps-VIE |  | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |  |  | 4
All other |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | (5)
Total |  |  |  | $ | 16
T h e f ol l owin g t able p r e s en t s t h e e f f e ct o f d e r i v a t i ve i n s t r u m en t s o n t h e c o n s olida t e d s t a t e m en t s o f ope r a t ion s f o r t h e three months ended September 30, 2013:
In millions |  |  |  |
|  |  |  | Net Gain
|  |  |  | (Loss)
Derivatives Not Designated as |  |  |  | Recognized
Hedging Instruments |  | Location of Gain (Loss) Recognized in Income on Derivative |  | in Income
Insured credit default swaps |  | Unrealized gains (losses) on insured derivatives |  | $ | 287
Insured credit default swaps |  | Realized gains (losses) and other settlements on insured derivatives |  |  | (28)
Interest rate swaps |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | 17
Interest rate swaps-VIE |  | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |  |  | 2
Currency swaps |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | (1)
All other |  | Unrealized gains (losses) on insured derivatives |  |  | (2)
Total |  |  |  | $ | 275
T h e f ol l owin g t able p r e s en t s t h e e f f e ct o f d e r i v a t i ve i n s t r u m en t s o n t h e c o n s olida t e d s t a t e m en t s o f ope r a t ion s f o r t h e nine months ended September 30, 2014:
In millions |  |  |  | Net Gain
|  |  |  | (Loss)
Derivatives Not Designated as |  |  |  | Recognized
Hedging Instruments |  | Location of Gain (Loss) Recognized in Income on Derivative |  | in Income
Insured credit default swaps |  | Unrealized gains (losses) on insured derivatives |  | $ | 848
Insured credit default swaps |  | Realized gains (losses) and other settlements on insured derivatives |  |  | (387)
Interest rate swaps |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | (52)
Currency swaps-VIE |  | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |  |  | 4
All other |  | Unrealized gains (losses) on insured derivatives |  |  | 15
All other |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | (8)
All other |  | Realized gains (losses) and other settlements on insured derivatives |  |  | (30)
Total |  |  |  | $ | 390
T h e f ol l owin g t able p r e s en t s t h e e f f e ct o f d e r i v a t i ve i n s t r u m en t s o n t h e c o n s olida t e d s t a t e m en t s o f ope r a t ion s f o r t h e nine months ended September 30, 2013:
In millions |  |  |  | Net Gain
|  |  |  | (Loss)
Derivatives Not Designated as |  |  |  | Recognized
Hedging Instruments |  | Location of Gain (Loss) Recognized in Income on Derivative |  | in Income
Insured credit default swaps |  | Unrealized gains (losses) on insured derivatives |  | $ | 1,502
Insured credit default swaps |  | Realized gains (losses) and other settlements on insured derivatives |  |  | (1,548)
Interest rate swaps |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | 58
Interest rate swaps-VIE |  | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |  |  | 17
Currency swaps |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | 1
Currency swaps-VIE |  | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |  |  | 6
All other |  | Unrealized gains (losses) on insured derivatives |  |  | 60
Total |  |  |  | $ | 96

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