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Derivative Instruments | 9 Months Ended
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Sep. 30, 2015
Text Block [Abstract] |
Derivative Instruments | Note 8: Derivative Instruments O v erv i ew MBIA has entered into derivative instruments through its financial guarantee of CDS and certain other derivative contracts for purposes of managing risks associated with existing assets and liabilities. In certain instances, t he Company purchased or issued securities that contain embedded derivatives that were separated from the host contract and accounted for as derivative instruments. In accordance with the accounting guidance for derivative instruments and hedging activities, t he balance sheet location of the Company’s embedded derivative instruments is determined by the location of the related security. Derivative instruments 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 consolidated 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 de rivatives. 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 int erest 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 and are accounted for as derivative instruments. I n t e r na t i on a l and S t r u c t u r e d F i n an c e 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 that do not qualify for the financial guarantee scope exception and, therefore, are accounted for as derivative instruments. Th ese insured CDS contracts, primarily referenc ing corporate obligations, ABS, RMBS, CMBS, CRE loans and CDO s, are intended to be held for the entire term of the contract absent a negotiated settlement with the counterparty. The Company’s derivative exposure within its international and structured finance insurance segment also includes insured interest rate and inflation-linked swaps related to insured debt issues. Changes in the f air 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 eac h 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 derivative s 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 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. “Unrealized gains (losses) on insured derivatives” include s all other changes in fair value of the insured derivative contracts. The Com pany has also entered into a derivative contract as a result of a commutation occurring in 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 exchan ge” on the Company’s consolidated statements of operations. Variable Interest Entities VIEs consolidated by the Company have entered into derivative instrument s consisting of interest rate swaps, interest rate caps and cross currency swaps. Interest rate swaps and i nterest 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 manage the variability in cash flows resulting from fluctuatio ns in foreign currency rates. Corporate The Company has entered into derivative instrument s primarily consisting of interest rate swaps. Interest rate swaps are entered into to manage the risks associated with fluctuations in interest rates or fair values of certain contracts. Changes in the fair value of these derivatives are recorded on the Company’s consolidated statements of operations within “Net gains (losses) on financial instr uments 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, 2015 and December 31, 2014. Cr edit ratings represent the lower of underlying ratings assigned to the collateral by Moody’s, S&P or MBIA.
$ in millions |  | As of September 30, 2015
|  |  |  | 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 |  | 2.1 Years |  | $ | 2,018 |  | $ | - |  | $ | 304 |  | $ | - |  | $ | 996 |  | $ | 3,318 |  | $ | (121)
Insured swaps |  | 16.7 Years |  |  | - |  |  | 111 |  |  | 2,739 |  |  | 957 |  |  | 21 |  |  | 3,828 |  |  | (3)
Total notional |  |  |  | $ | 2,018 |  | $ | 111 |  | $ | 3,043 |  | $ | 957 |  | $ | 1,017 |  | $ | 7,146 |  |  |
Total fair value |  |  |  | $ | - |  | $ | - |  | $ | (3) |  | $ | (2) |  | $ | (119) |  |  |  |  | $ | (124)
$ in millions |  | As of December 31, 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 |  | 1.6 Years |  | $ | 6,914 |  | $ | 246 |  | $ | 968 |  | $ | 193 |  | $ | 1,160 |  | $ | 9,481 |  | $ | (244)
Insured swaps |  | 16.7 Years |  |  | - |  |  | 117 |  |  | 2,935 |  |  | 970 |  |  | 22 |  |  | 4,044 |  |  | (2)
Total notional |  |  |  | $ | 6,914 |  | $ | 363 |  | $ | 3,903 |  | $ | 1,163 |  | $ | 1,182 |  | $ | 13,525 |  |  |
Total fair value |  |  |  | $ | (2) |  | $ | - |  | $ | (2) |  | $ | (2) |  | $ | (240) |  |  |  |  | $ | (246)
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 debt service 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, 2015 i s $3.5 billion. 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 corporate segment. The se agreements allow the Company to contractually net amounts due fr om 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 abili ty to require assignment or termination in the event either MBIA or the counterparty is downgraded below a specified credit rating. Under these a greem ents, 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 September 30, 2015, the Company did not hold cash collateral to derivative counterparties but posted cash collateral to derivative counterparties of $80 million. Of this amount, $61 million is netted within “Derivative liabilities” and $19 million is included within “Other liabilities” as cash collateral netted against accrued interest on derivative liabilities. As of December 31, 2014, the Company did not hold cash collateral to derivative counterparties but posted cash collateral to derivative counterparties of $12 million. All of the $12 million is included within “Other liabilities” as cash collateral netted against accrued interest on derivative liabilities. As of September 30, 2015, the Company had securities with a fair value of $245 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, 2014, the Company had securities with a fair value of $198 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 conso lidated balance sheet. As of September 30, 2015 and December 31, 2014, the fair value on one Credit Support Annex (“CSA”) was $3 million and $2 million, respectively.This CSA governs collateral posting requirements between MBIA and i ts derivative counterparties. The Company did not receive collateral due to the Company’s credit rating, which was below the CSA minimum credit ratings level for holding counterparty collateral. As of September 30, 2015 and December 31, 2014, the coun terparty 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 CDS and insured swaps are not subject to master netting agreements. VIE derivative assets and liabilities are not presented net of any m aster netting agreements. Counterparty netting of derivative assets and liabilities offsets balances in “Interest rate swaps” as of September 30, 2015 and December 31, 2014. As of September 30, 2015, the total fair value of the Company’s derivative assets, after counterparty netting of $1 million, was $15 million, of which $9 million was reported within “Other assets” and “Derivative assets” presented under “Assets of consolidated variable interest entities” on the Company’s consolidated balance sheets. Embedded derivatives of $6 million were reported within “Medium-term notes” on the Company’s consolidated balance sheets. As of September 30, 2015, the total fair value of the Company’s derivative liabilities, after counterparty netting of $1 million an d cash collateral posted by t he company of $61 million, was $41 1 million, of which $396 million was reported within “Derivative liabilities” and “Derivative liabilities” presented under “Liabilities of consolidated vari able interest entities” on the Company’s consolidated balance sheets. Embedded derivatives of $15 million were reported within “Medium-term notes” 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 September 30, 2015:
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 |  | $ | 3,318 |  | Other assets |  | $ | - |  | Derivative liabilities |  | $ | (121)
| Insured swaps |  |  | 3,828 |  | Other assets |  |  | - |  | Derivative liabilities |  |  | (3)
| Interest rate swaps |  |  | 1,155 |  | Other assets |  |  | 4 |  | Derivative liabilities |  |  | (255)
| Interest rate swaps-VIE |  |  | 903 |  | Derivative assets-VIE |  |  | - |  | Derivative liabilities-VIE |  |  | (57)
| Interest rate swaps-embedded |  |  | 406 |  | Medium-term notes |  |  | 6 |  | Medium-term notes |  |  | (15)
| Currency swaps-VIE |  |  | 81 |  | Derivative assets-VIE |  |  | 6 |  | Derivative liabilities-VIE |  |  | -
| All other |  |  | 83 |  | Other assets |  |  | - |  | Derivative liabilities |  |  | (22)
| All other-VIE |  |  | 241 |  | Derivative assets-VIE |  |  | - |  | Derivative liabilities-VIE |  |  | -
| All other-embedded |  |  | 12 |  | Other investments |  |  | - |  | Other investments |  |  | -
Total non-designated derivatives |  | $ | 10,027 |  |  |  | $ | 16 |  |  |  | $ | (473)
__________ |  |  |  |  |  |  |  |  |  |  |  |  |
(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, 2014, the total fair value of the Company’s derivative assets, after counterparty netting of $81 million, was $10 million, of which $2 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 December 31, 2014, t he total fair value of the Company’s deriv ative liabilities, after counterparty netting of $81 million was $456 m illion, of which $437 million 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 colla teral, as of December 31, 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 |  | $ | 9,481 |  | Other assets |  | $ | - |  | Derivative liabilities |  | $ | (244)
| Insured swaps |  |  | 4,044 |  | Other assets |  |  | - |  | Derivative liabilities |  |  | (2)
| Interest rate swaps |  |  | 1,450 |  | Other assets |  |  | 83 |  | Derivative liabilities |  |  | (248)
| Interest rate swaps-embedded |  |  | 437 |  | Medium-term notes |  |  | 8 |  | Medium-term notes |  |  | (19)
| Currency swaps-VIE |  |  | 91 |  | Derivative assets-VIE |  |  | - |  | Derivative liabilities-VIE |  |  | -
| All other |  |  | 83 |  | Other assets |  |  | - |  | Derivative liabilities |  |  | (24)
| All other-VIE |  |  | 241 |  | Derivative assets-VIE |  |  | - |  | Derivative liabilities-VIE |  |  | -
| All other-embedded |  |  | 12 |  | Other investments |  |  | - |  | Other investments |  |  | -
Total non-designated derivatives |  | $ | 15,839 |  |  |  | $ | 91 |  |  |  | $ | (537)
__________ |  |  |  |  |  |  |  |  |  |  |  |  |
(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, 2015:
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 |  | $ | 21
Insured credit default swaps |  | Realized gains (losses) and other settlements on insured derivatives |  |  | (18)
Interest rate swaps |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | (45)
Interest rate swaps-VIE |  | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |  |  | 8
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 |  |  | (1)
Total |  |  |  | $ | (31)
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 nine months ended September 30, 2015:
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 |  | $ | 121
Insured credit default swaps |  | Realized gains (losses) and other settlements on insured derivatives |  |  | (30)
Interest rate swaps |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | (112)
Interest rate swaps-VIE |  | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |  |  | 18
Currency swaps-VIE |  | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |  |  | 5
All other |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | 2
Total |  |  |  | $ | 4
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

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