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Investments | 12 Months Ended
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Dec. 31, 2015
Text Block [Abstract] |
Investments | Note 8: Investments Investments, excluding those elected under the fair value option, include debt and equity securities classified as either AFS or HTM. Other AFS investments primarily comprised money market funds. T h e f o l l o w i n g t a b l e s p r e s en t t h e a m o r t i z e d c o st, f a i r v a l u e, corresponding gross unrealized gains and losses and ot h e r-t h a n-t e m p o r a ry i m p a i r m e nt s (“OTTI”) for AFS and HTM investments in the Company’s c o n s o l i d a te d i n v es t m en t p o r tf o l i o a s o f December 31, 2015 a nd 2014:
|  |  |  |  |  | December 31, 2015
|  |  |  |  |  |  |  |  | Gross |  | Gross |  |  |  |  | Other-Than-
|  |  |  |  |  | Amortized |  | Unrealized |  | Unrealized |  | Fair |  | Temporary
In millions |  | Cost |  | Gains |  | Losses |  | Value |  | Impairments(1)
AFS Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed-maturity investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| U.S. Treasury and government agency |  | $ | 947 |  | $ | 32 |  | $ | (3) |  | $ | 976 |  | $ | -
| State and municipal bonds |  |  | 1,674 |  |  | 65 |  |  | (14) |  |  | 1,725 |  |  | -
| Foreign governments |  |  | 197 |  |  | 3 |  |  | (2) |  |  | 198 |  |  | -
| Corporate obligations |  |  | 1,516 |  |  | 21 |  |  | (103) |  |  | 1,434 |  |  | (85)
| Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | Residential mortgage-backed agency |  |  | 995 |  |  | 7 |  |  | (9) |  |  | 993 |  |  | -
|  | Residential mortgage-backed non-agency |  |  | 55 |  |  | 2 |  |  | (6) |  |  | 51 |  |  | (4)
|  | Commercial mortgage-backed |  |  | 31 |  |  | - |  |  | - |  |  | 31 |  |  | -
| Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | Collateralized debt obligations |  |  | 51 |  |  | - |  |  | (18) |  |  | 33 |  |  | -
|  | Other asset-backed |  |  | 331 |  |  | 1 |  |  | (17) |  |  | 315 |  |  | -
|  |  | Total fixed-maturity investments |  |  | 5,797 |  |  | 131 |  |  | (172) |  |  | 5,756 |  |  | (89)
Money market securities |  |  | 351 |  |  | - |  |  | - |  |  | 351 |  |  | -
Perpetual debt and equity securities |  |  | 12 |  |  | 1 |  |  | - |  |  | 13 |  |  | -
Total AFS investments |  | $ | 6,160 |  | $ | 132 |  | $ | (172) |  | $ | 6,120 |  | $ | (89)
HTM Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Corporate obligations |  | $ | 2,689 |  | $ | 24 |  | $ | (312) |  | $ | 2,401 |  | $ | -
Total HTM investments |  | $ | 2,689 |  | $ | 24 |  | $ | (312) |  | $ | 2,401 |  | $ | -
_______________ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
(1) - Represents unrealized gains or losses on OTTI securities recognized in AOCI, which includes the non-credit component of impairments, as well as all subsequent changes in fair value of such impaired securities reported in AOCI.
|  |  |  |  |  | December 31, 2014
|  |  |  |  |  |  |  |  | Gross |  | Gross |  |  |  |  | Other-Than-
|  |  |  |  |  | Amortized |  | Unrealized |  | Unrealized |  | Fair |  | Temporary
In millions |  | Cost |  | Gains |  | Losses |  | Value |  | Impairments(1)
AFS Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed-maturity investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| U.S. Treasury and government agency |  | $ | 631 |  | $ | 39 |  | $ | (3) |  | $ | 667 |  | $ | -
| State and municipal bonds |  |  | 1,644 |  |  | 94 |  |  | (8) |  |  | 1,730 |  |  | -
| Foreign governments |  |  | 283 |  |  | 7 |  |  | - |  |  | 290 |  |  | -
| Corporate obligations |  |  | 1,984 |  |  | 44 |  |  | (92) |  |  | 1,936 |  |  | (86)
| Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | Residential mortgage-backed agency |  |  | 1,116 |  |  | 17 |  |  | (7) |  |  | 1,126 |  |  | -
|  | Residential mortgage-backed non-agency |  |  | 54 |  |  | 3 |  |  | (4) |  |  | 53 |  |  | (4)
|  | Commercial mortgage-backed |  |  | 19 |  |  | 1 |  |  | - |  |  | 20 |  |  | -
| Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | Collateralized debt obligations |  |  | 113 |  |  | - |  |  | (21) |  |  | 92 |  |  | -
|  | Other asset-backed |  |  | 231 |  |  | 3 |  |  | (12) |  |  | 222 |  |  | -
|  |  | Total fixed-maturity investments |  |  | 6,075 |  |  | 208 |  |  | (147) |  |  | 6,136 |  |  | (90)
Money market securities |  |  | 422 |  |  | - |  |  | - |  |  | 422 |  |  | -
Perpetual debt and equity securities |  |  | 12 |  |  | 1 |  |  | - |  |  | 13 |  |  | -
Total AFS investments |  | $ | 6,509 |  | $ | 209 |  | $ | (147) |  | $ | 6,571 |  | $ | (90)
HTM Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Corporate obligations |  | $ | 2,757 |  | $ | 77 |  | $ | (202) |  | $ | 2,632 |  | $ | -
Total HTM investments |  | $ | 2,757 |  | $ | 77 |  | $ | (202) |  | $ | 2,632 |  | $ | -
_______________ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
(1) - Represents unrealized gains or losses on OTTI securities recognized in AOCI, which includes the non-credit component of impairments, as well as all subsequent changes in fair value of such impaired securities reported in AOCI.
T h e f ol l owin g t abl e p r e s en t s t h e di s t r i bu t io n b y c on t r a c t u a l m a t u r i t y o f AFS and HTM f i x ed-m a t u r i t y securities at a m o r t i z e d c o st a n d f ai r v alu e a s o f December 31, 2015. Con t r a c t ua l m a t u r i t y m a y d i f f e r f r o m e x pe c t e d m a t u r i t y a s bo rr ow e r s m a y h a v e t h e r igh t t o c a l l o r p r e p a y ob l iga t ion s.
|  | AFS Securities |  | HTM Securities
|  |  |  |  |  |  |  | Consolidated VIEs
|  | Amortized |  |  |  |  | Amortized |  |  |
In millions |  | Cost |  | Fair Value |  | Cost |  | Fair Value
Due in one year or less |  | $ | 412 |  | $ | 412 |  | $ | - |  | $ | -
Due after one year through five years |  |  | 1,577 |  |  | 1,587 |  |  | - |  |  | -
Due after five years through ten years |  |  | 859 |  |  | 876 |  |  | - |  |  | -
Due after ten years |  |  | 1,486 |  |  | 1,458 |  |  | 2,689 |  |  | 2,401
Mortgage-backed and asset-backed |  |  | 1,463 |  |  | 1,423 |  |  | - |  |  | -
Total fixed-maturity investments |  | $ | 5,797 |  | $ | 5,756 |  | $ | 2,689 |  | $ | 2,401
Deposited and Pledged Securities T h e f ai r v alu e o f s e c u r i t ie s o n depo s i t wi t h v a r io u s r egu l a t o r y au t ho r i t ie s a s o f December 31, 2015 and 2014 wa s $10 million. T h e se d epo s i t s a re r equi r e d t o c o m p l y wi t h s t a t e in s u r an ce law s. Pursuant to the Company’s tax sharing agreement, securities held by MBIA Inc. in the Tax Escrow Account are included as “Investments pledged as collateral, at fair value” on the Company’s consolidated balance sheets. I n v e s t m en t ag r ee m en t obligations r eq u i re t h e Co m pan y t o ple d g e s e c u r i t i e s a s c o lla t e r al. Securities pledged in connection with investment agreement s may not be repled ged by the investment agreement counterparty. As o f December 31, 2015 a nd 2014, t h e f ai r v a l u e o f s e c u r i t ie s p ledge d a s c olla t e r a l for these in v e s t m en t ag r e e m e n t s app r o x i m a t e d $457 m i llio n an d $532 m i l lion, r e s p e c t i v e l y. T h e Co m pan y’s c olla t e r a l a s o f December 31, 2015 c on s i s t e d p r i n c ipal l y o f U.S. T r ea s u ry a n d go v e r n m en t ag e n cy and state and municipal bonds, and wa s p r i m a r il y hel d wi t h m a j o r U.S. ban ks. A ddi t io n all y, t h e Co m pan y pledg e d c a sh an d m one y m a rk e t s e c u r i t i e s as c oll a t e r a l u n de r i n v e s t m en t a g r ee m en t s i n t h e a m o u n t o f $12 m i l lio n an d $26 m il l io n a s o f December 31, 2015 a nd 2014, r e s pe c t i v el y. Impaired Investments The following tables present the gross unrealized losses related to AFS and HTM investments as of December 31, 2015 and 2014:
|  |  |  |  |  | December 31, 2015
|  |  |  |  |  | Less than 12 Months |  | 12 Months or Longer |  | Total
|  |  |  |  |  | Fair |  | Unrealized |  | Fair |  | Unrealized |  | Fair |  | Unrealized
In millions |  | Value |  | Losses |  | Value |  | Losses |  | Value |  | Losses
AFS Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed-maturity investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| U.S. Treasury and government agency |  | $ | 434 |  | $ | (2) |  | $ | 50 |  | $ | (1) |  | $ | 484 |  | $ | (3)
| State and municipal bonds |  |  | 536 |  |  | (11) |  |  | 42 |  |  | (3) |  |  | 578 |  |  | (14)
| Foreign governments |  |  | 32 |  |  | (2) |  |  | - |  |  | - |  |  | 32 |  |  | (2)
| Corporate obligations |  |  | 693 |  |  | (14) |  |  | 78 |  |  | (89) |  |  | 771 |  |  | (103)
| Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | Residential mortgage-backed agency |  |  | 399 |  |  | (4) |  |  | 159 |  |  | (5) |  |  | 558 |  |  | (9)
|  | Residential mortgage-backed non-agency |  |  | 24 |  |  | (2) |  |  | 17 |  |  | (4) |  |  | 41 |  |  | (6)
|  | Commercial mortgage-backed |  |  | 25 |  |  | - |  |  | 1 |  |  | - |  |  | 26 |  |  | -
| Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | Collateralized debt obligations |  |  | 2 |  |  | - |  |  | 29 |  |  | (18) |  |  | 31 |  |  | (18)
|  | Other asset-backed |  |  | 242 |  |  | (1) |  |  | 34 |  |  | (16) |  |  | 276 |  |  | (17)
|  |  | Total fixed-maturity investments |  |  | 2,387 |  |  | (36) |  |  | 410 |  |  | (136) |  |  | 2,797 |  |  | (172)
Perpetual debt and equity securities |  |  | 2 |  |  | - |  |  | 3 |  |  | - |  |  | 5 |  |  | -
Total AFS investments |  | $ | 2,389 |  | $ | (36) |  | $ | 413 |  | $ | (136) |  | $ | 2,802 |  | $ | (172)
HTM Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Corporate obligations |  | $ | 1,093 |  | $ | (17) |  | $ | 280 |  | $ | (295) |  | $ | 1,373 |  | $ | (312)
Total HTM investments |  | $ | 1,093 |  | $ | (17) |  | $ | 280 |  | $ | (295) |  | $ | 1,373 |  | $ | (312)
|  |  |  |  |  | December 31, 2014
|  |  |  |  |  | Less than 12 Months |  | 12 Months or Longer |  | Total
|  |  |  |  |  | Fair |  | Unrealized |  | Fair |  | Unrealized |  | Fair |  | Unrealized
In millions |  | Value |  | Losses |  | Value |  | Losses |  | Value |  | Losses
AFS Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed-maturity investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| U.S. Treasury and government agency |  | $ | 197 |  | $ | - |  | $ | 175 |  | $ | (3) |  | $ | 372 |  | $ | (3)
| State and municipal bonds |  |  | 60 |  |  | (1) |  |  | 257 |  |  | (7) |  |  | 317 |  |  | (8)
| Foreign governments |  |  | 20 |  |  | - |  |  | - |  |  | - |  |  | 20 |  |  | -
| Corporate obligations |  |  | 468 |  |  | (1) |  |  | 251 |  |  | (91) |  |  | 719 |  |  | (92)
| Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | Residential mortgage-backed agency |  |  | 16 |  |  | - |  |  | 387 |  |  | (7) |  |  | 403 |  |  | (7)
|  | Residential mortgage-backed non-agency |  |  | 10 |  |  | - |  |  | 19 |  |  | (4) |  |  | 29 |  |  | (4)
|  | Commercial mortgage-backed |  |  | 4 |  |  | - |  |  | 6 |  |  | - |  |  | 10 |  |  | -
| Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | Collateralized debt obligations |  |  | 1 |  |  | - |  |  | 81 |  |  | (21) |  |  | 82 |  |  | (21)
|  | Other asset-backed |  |  | 69 |  |  | - |  |  | 44 |  |  | (12) |  |  | 113 |  |  | (12)
|  |  | Total fixed-maturity investments |  |  | 845 |  |  | (2) |  |  | 1,220 |  |  | (145) |  |  | 2,065 |  |  | (147)
Perpetual debt and equity securities |  |  | 6 |  |  | - |  |  | - |  |  | - |  |  | 6 |  |  | -
Total AFS investments |  | $ | 851 |  | $ | (2) |  | $ | 1,220 |  | $ | (145) |  | $ | 2,071 |  | $ | (147)
HTM Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Corporate obligations |  | $ | - |  | $ | - |  | $ | 373 |  | $ | (202) |  | $ | 373 |  | $ | (202)
Total HTM investments |  | $ | - |  | $ | - |  | $ | 373 |  | $ | (202) |  | $ | 373 |  | $ | (202)
Gross unrealized losses on AFS s ecurities increased as of December 31, 2015 compared with December 31, 2014 p r imarily due to market price depreciation driven by higher interest rates. Gross unrealized losses on HTM securities increased as of December 31, 2015 compared with December 31, 2014 p r imarily due to widening of credit spreads. With the weighting applied on the fair value of each security relative to the total fair value, the weighted average contractual maturity of securities in an u nrealized loss position as of December 31, 2015 and 2014 was 17 and 13 years, respectively. As of December 31, 2015 and 2014, there were 65 and 143 securit ies, respectively, that were in an unrealized loss position for a continuous twelve-month period or longer, of which, fair value s of 22 and 23 securities, respectively, were below book val ue by more than 5%. The following table presents the distribution of securities in an unrealized loss position for a continuous twelve-month period or longer where fair value was below book value by more than 5% as of December 31, 2015:
|  |  | AFS Securities |  | HTM Securities
| Percentage of Fair Value |  | Number of |  | Book Value |  | Fair Value |  | Number of |  | Book Value |  | Fair Value
| Below Book Value |  | Securities |  | (in millions) |  | (in millions) |  | Securities |  | (in millions) |  | (in millions)
| > 5% to 15% |  | 8 |  | $ | 15 |  | $ | 14 |  | - |  | $ | - |  | $ | -
| > 15% to 25% |  | 3 |  |  | 25 |  |  | 20 |  | - |  |  | - |  |  | -
| > 25% to 50% |  | 7 |  |  | 46 |  |  | 28 |  | - |  |  | - |  |  | -
| > 50% |  | 3 |  |  | 123 |  |  | 20 |  | 1 |  |  | 575 |  |  | 280
| Total |  | 21 |  | $ | 209 |  | $ | 82 |  | 1 |  | $ | 575 |  | $ | 280
The following table presents the fair value and gross unrealized loss by credit rating category of ABS, MBS and corporate obligations included in the Company’s consolidated AFS investment portfolio, as of December 31, 2015, for which fair value was less than amortized cost. The credit ratings are based on ratings from Moody’s as of December 31, 2015 or an alternate ratings source, such as S&P, when a security is not rated by Moody’s. For investments that are insured by various third-party guarante e insurers, the credit rating reflects the higher of the insurer’s rating or the underlying bond’s rating.
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Below |  |  |  |  |  |  |  |  |  |  |  |
In millions |  | Aaa |  | Aa |  | A |  | Baa |  | Investment Grade |  | Not Rated |  | Total
|  |  | Fair |  | Unrealized |  | Fair |  | Unrealized |  | Fair |  | Unrealized |  | Fair |  | Unrealized |  | Fair |  | Unrealized |  | Fair |  | Unrealized |  | Fair |  | Unrealized
Asset Type |  | Value |  | Loss |  | Value |  | Loss |  | Value |  | Loss |  | Value |  | Loss |  | Value |  | Loss |  | Value |  | Loss |  | Value |  | Loss
ABS |  | $ | 182 |  | $ | (1) |  | $ | 82 |  | $ | (1) |  | $ | 2 |  | $ | - |  | $ | 5 |  | $ | - |  | $ | 29 |  | $ | (33) |  | $ | 7 |  | $ | - |  | $ | 307 |  | $ | (35)
MBS |  |  | 560 |  |  | (9) |  |  | 17 |  |  | - |  |  | 2 |  |  | - |  |  | 5 |  |  | - |  |  | 26 |  |  | (2) |  |  | 15 |  |  | (4) |  |  | 625 |  |  | (15)
Corporate obligations |  |  | 117 |  |  | (1) |  |  | 235 |  |  | (3) |  |  | 313 |  |  | (5) |  |  | 84 |  |  | (8) |  |  | 5 |  |  | - |  |  | 17 |  |  | (86) |  |  | 771 |  |  | (103)
| Total |  | $ | 859 |  | $ | (11) |  | $ | 334 |  | $ | (4) |  | $ | 317 |  | $ | (5) |  | $ | 94 |  | $ | (8) |  | $ | 60 |  | $ | (35) |  | $ | 39 |  | $ | (90) |  | $ | 1,703 |  | $ | (153)
The preceding table includes a corporate obligations security in the not rated category, for which the Company recorded additional credit loss impairment for the year ended December 31, 2015. Refer to “Credit Loss Rollforward” section within the OTTI section for further information. T he total ABS, MBS and corporate obligations reported in the preceding table include those which are guaranteed by financial guarantors. In addition, the following table presents information on ABS and MBS guaranteed b y the Company and third-party financial guarantors.
|  |  |  |  |  | Insured Securities Rated Below
|  |  |  |  |  | Investment Grade without the
|  |  |  |  |  | Effect of Guarantee
|  | Average Credit Rating with the |  | Average Credit Rating without the |  | (in millions) |  |  |
Asset Type |  | Effect of Guarantee |  | Effect of Guarantee |  | Fair Value |  | Percentage
ABS |  | Baa |  | Below Investment Grade |  | $ | 27 |  | 51 | %
MBS |  | Below Investment Grade |  | Below Investment Grade |  | $ | 19 |  | 100 | %
Refer to the table in the “Determination of Credit Loss Guaranteed by the Company and Other Third-Party Guarantors” section within the OTTI section of this note for information on the insured securities included in the table above. The Company concluded t hat it does not have the intent to sell securities in an unrealized loss position and it is more likely than not, that it w ould not have to sell these securities before recovery of their cost basis. In making this conclusion, the Company examined the cash flow projections for its investment portfolios, the potential sources and uses of cash in its businesses, and the cash resources available to its business other than sales of securities. It also considered the existence of any risk management or other plan s as of December 31, 2015 that would require the sale of impaired securities. Impaired securities that the Company intends to sell before the expected recovery of such securities’ fair values have been written down to fair value. Other-Than-Temporary Impairments Evaluating AFS Securities for OTTI The Company has an ongoing review process for all securities in its investment portfolio, including a quarterly assessment of OTTI. This evaluation includes both qualitative and quantitative considerations. In assessing whether a decline in value is related to a credit loss, the Company considers several factors, including but not limited to (i) the magnitude and duration of declines in fair value; (ii) the reasons for the decline s in fair value, such as general credit spread movements in each asset-backed sector, transaction-specific changes in credit spreads, credit rating downgrades, modeled defaults, and principal and interest payment priorities within each investment structure; and (iii) any guarantees associated with a security such as those provided by financial guarantee insurance companies, including MBIA Corp. and National. In calculating credit-related losses, the Company u se s cash flow modeling based on the type of security. The Company’s cash flow analysis considers all sources of cash, including credit enhancement, that support the payment of amounts owed by an issuer of a security. This includes the consideration of cash expected to be provided by financial guara ntors, including MBIA Corp. and National, resulting from an actual or potential insurance policy claim. In general, any change in the amount and/or timing of cash flows received or expected to be received, whether or not such cash flows are contractually d efined, is reflected in the Company’s cash flow analysis for purposes of assessing an OTTI loss on an impaired security. Each quarter, an internal committee, comprising staff that is independent of the Company’s evaluation process for determining OTTI of s ecurities, reviews and approves the valuation of investments. Among other responsibilities, this committee ensures that the Company’s process for identifying and calculating OTTI, including the use of models and assumptions, is reasonable and complies with the Company’s internal policy. Determination of Credit Loss on ABS, MBS and Corporate Obligations ABS investments are evaluated for OTTI using historical collateral performance, deal waterfall and structural protections, credit ratings, and forward lookin g projections of collateral performance based on business and economic conditions specific to each collateral type and risk. The underlying collateral is evaluated to identify any specific performance concerns, and stress scenarios are considered in foreca sting ultimate returns of principal. Based on this evaluation, if a principal default is projected for a security, estimated future cash flows are discounted at the security’s interest rate used to recognize interest income on the security. For CDO investm ents, the Company u s es the same tools as its RMBS investments discussed below, aggregating the bond level cash flows to the CDO investment level. If the present value of cash flows is less than the Company’s amortized cost for the security, the differ ence is recorded as an OTTI loss. RMBS investments are evaluated for OTTI using several quantitative tools. Loan level data is obtained and analyzed in a model that produces prepayment, default, and severity vectors. The model u s es macro inputs, including housing price assumptions and interest rates. The vector outputs are used as inputs to a third-party cash flow model, which considers deal waterfall dynamics and structural features, to generate cash flows for an RMBS investment. The expected cas h flows of the security are then discounted at the interest rate used to recognize interest income of the security to arrive at a present value amount. If the present value of the cash flows is less than the Company’s amortized cost for the investment, the difference is recorded as an OTTI loss. Corporate obligation investments are evaluated for OTTI using credit analysis techniques. The Company’s analysis includes a detailed review of a number of quantitative and qualitative factors impacting the value of an individual security. These factors include the interest rate of the security (fixed or floating), the security’s current market spread, any collateral supporting the security, the security’s position in the issuer’s capital structure, and credit rating upgrades or downgrades. Additionally, these factors include an assessment of various issuer-related credit metrics including market capitalization, earnings, cash flow, capitalization, interest coverage, leverage, liquidity, management and a third-party qu antitative default probability model. The Company’s analysis is augmented by comparing market prices for similar securities of other issuers in the same sector, as well as any recent corporate or government actions that may impact the ultimate return of pr incipal. If the Company determines that a principal default is projected, a recovery analysis is performed using the above data. If the Company’s estimated recovery value for the security is less than its amortized cost, the difference is recorded as an OT TI loss. Determination of Credit Loss Guaranteed by the Company and Other Third-Party Guarantors The Company does not record OTTI related to credit concerns about issuers of securities insured by MBIA Corp. and National since investors in these securities, including MBIA, are guaranteed payment of principal and interest when due by MBIA. Securities insured by the Company, whether or not owned by the Company, are evaluated for impairment as part of its insurance surveillance process and, therefore, losses on securities insured by the Company are recorded in accordance with its loss reserving policy. Refer to “Note 2: Significant Accounting Policies” included herein for information about the Company’s loss reserving policy and “Note 6: Loss and Loss Adjustment Expense Reserves” for in formation about loss reserves. In considering cash expected to be provided from other third-party financial guarantors, the Company assesses the financial guarantor’s ability to make claim payments under a variety of scenarios that test the guarantor’s ult imate claims paying ability. The weighted average outcome of these scenarios, combined with the cash flows provided by the insured security, are used to determine the recoverability of the Company’s amortized cost. The following table provides information about securities held by the Company as of December 31, 2015 that were in an unrealized loss position and insured by a financial guarantor, along with the amount of insurance loss reserves corresponding to the par amount owned by the Company:
|  |  |  |  |  |  | Unrealized |  | Insurance Loss |
| In millions |  | Fair Value |  | Loss |  | Reserve (2) |
| Asset-backed: |  |  |  |  |  |  |  |  |  |
|  | MBIA(1) |  | $ | 54 |  | $ | (33) |  | $ | 14 |
| Mortgage-backed: |  |  |  |  |  |  |  |  |  |
|  | MBIA(1) |  |  | 19 |  |  | (2) |  |  | 14 |
| Other: |  |  |  |  |  |  |  |  |  |
|  | MBIA(1) |  |  | 80 |  |  | (3) |  |  | - |
| Total |  | $ | 153 |  | $ | (38) |  | $ | 28 |
| _______________ |  |  |  |  |  |  |  |  |  |
| (1) - Includes investments insured by MBIA Corp. and National. |
| (2) - Insurance loss reserve estimates are based on the proportion of par value owned to the total amount of par value insured. |
Credit Loss Rollforward T h e p o r t i o n o f c e r t ai n OTTI lo ss e s o n f i x ed-m a t u r i t y s e c u r i t i e s t ha t d o e s no t r ep r e s en t cr edit lo ss e s i s r e c o g ni z e d i n AOCI. F o r t h e se i m p a i r m e n t s, t h e ne t a m ou n t r e c ogn i z e d i n e a r ning s r ep r e s en t s t h e di f f e r en ce be t wee n t h e a m o r t i z e d c o st o f t h e s e c u r i t y an d t h e n e t p r e s en t v a l u e of i t s p r o j e c t e d f u t u re d i s c o u n t e d c a sh f l ow s p r i o r t o i m p ai rm en t. A n y r e m ain i n g d i f f e r en ce be t wee n t h e f ai r v alu e and a m o r t i z e d c o st i s r e c ogn i z e d i n AOCI. T h e f o llow i n g t ab l e p r e s e n t s t h e a m oun t o f cr edi t l o s s i m pai rm en t s r e c o g ni z e d i n ea r nin g s o n f i x ed-m a t u r i t y s e c u r i t i e s he l d b y M B I A a s o f t h e da t e s in d i c a t e d, f o r wh i c h a po r t io n o f t h e OTTI lo ss e s wa s r e c og n i z e d i n AOCI, an d t h e c o rr e s po n din g c hang e s i n s u ch a m o unts. The additional credit loss impairments for the years ended December 31, 2015 and 2014, primarily related to a corporate obligation that incurred liquidity concerns, ongoing credit risk and other adverse financial conditions.
In millions |  | Years Ended December 31, |
Credit Losses Recognized in Earnings Related to OTTI |  | 2015 |  | 2014 |  | 2013 |
Beginning balance |  | $ | 16 |  | $ | 175 |  | $ | 197 |
Additions for credit loss impairments recognized in the |  |  |  |  |  |  |  |  |  |
| current period on securities not previously impaired |  |  | - |  |  | 15 |  |  | - |
Additions for credit loss impairments recognized in the |  |  |  |  |  |  |  |  |  |
| current period on securities previously impaired |  |  | 10 |  |  | 1 |  |  | - |
Reductions for credit loss impairments previously recognized |  |  |  |  |  |  |  |  |  |
| on securities sold during the period |  |  | - |  |  | (174) |  |  | (16) |
Reductions for increases in cash flows expected to be collected over the |  |  |  |  |  |  |  |  |  |
| remaining life of the security |  |  | - |  |  | (1) |  |  | (6) |
Ending balance |  | $ | 26 |  | $ | 16 |  | $ | 175 |
Sales of Available-for-Sale Investments Gross r eali z e d ga i n s and l o s s e s are recorded within “Net gains (losses) on financial instruments at fair value and foreign exchange” on the Company’s consolidated statements of operations. The proceeds and the gross realized gains and losses from sales of fixed-maturity securities held as AFS for the years ended December 31, 2015, 2014 and 2013 are as follows:
|  |  |  | Years Ended December 31, |
| In millions |  | 2015 |  | 2014 |  | 2013 |
| Proceeds from sales |  | $ | 1,145 |  | $ | 757 |  | $ | 1,726 |
| Gross realized gains |  | $ | 32 |  | $ | 66 |  | $ | 57 |
| Gross realized losses |  | $ | (16) |  | $ | (15) |  | $ | (29) |

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