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Investments | 6 Months Ended
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Jun. 30, 2016
Text Block [Abstract] |
Investments | Note 7: 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 comprise 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 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 June 30, 2016 a nd December 31, 2015:
|  |  |  |  |  | June 30, 2016
|  |  |  |  |  |  |  |  | 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 |  | $ | 996 |  | $ | 69 |  | $ | - |  | $ | 1,065 |  | $ | -
| State and municipal bonds |  |  | 1,607 |  |  | 134 |  |  | (2) |  |  | 1,739 |  |  | -
| Foreign governments |  |  | 187 |  |  | 4 |  |  | (1) |  |  | 190 |  |  | -
| Corporate obligations |  |  | 1,607 |  |  | 63 |  |  | (79) |  |  | 1,591 |  |  | (77)
| Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | Residential mortgage-backed agency |  |  | 946 |  |  | 12 |  |  | (1) |  |  | 957 |  |  | -
|  | Residential mortgage-backed non-agency |  |  | 51 |  |  | 1 |  |  | (7) |  |  | 45 |  |  | (4)
|  | Commercial mortgage-backed |  |  | 33 |  |  | - |  |  | - |  |  | 33 |  |  | -
| Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | Collateralized debt obligations |  |  | 27 |  |  | - |  |  | - |  |  | 27 |  |  | -
|  | Other asset-backed |  |  | 405 |  |  | 1 |  |  | (9) |  |  | 397 |  |  | -
|  |  | Total fixed-maturity investments |  |  | 5,859 |  |  | 284 |  |  | (99) |  |  | 6,044 |  |  | (81)
Money market securities |  |  | 82 |  |  | - |  |  | - |  |  | 82 |  |  | -
Perpetual debt and equity securities |  |  | 6 |  |  | 1 |  |  | - |  |  | 7 |  |  | -
Total AFS investments |  | $ | 5,947 |  | $ | 285 |  | $ | (99) |  | $ | 6,133 |  | $ | (81)
HTM Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Corporate obligations |  | $ | 890 |  | $ | - |  | $ | (381) |  | $ | 509 |  | $ | -
Total HTM investments |  | $ | 890 |  | $ | - |  | $ | (381) |  | $ | 509 |  | $ | -
_______________ |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
(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, 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.
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 June 30, 2016. 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 |  | $ | 447 |  | $ | 447 |  | $ | - |  | $ | -
Due after one year through five years |  |  | 1,642 |  |  | 1,677 |  |  | - |  |  | -
Due after five years through ten years |  |  | 844 |  |  | 903 |  |  | - |  |  | -
Due after ten years |  |  | 1,464 |  |  | 1,558 |  |  | 890 |  |  | 509
Mortgage-backed and asset-backed |  |  | 1,462 |  |  | 1,459 |  |  | - |  |  | -
Total fixed-maturity investments |  | $ | 5,859 |  | $ | 6,044 |  | $ | 890 |  | $ | 509
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 June 30, 2016 and December 31, 2015 wa s $11 million and $10 million, respectively. 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 equ 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 June 30, 2016 a nd December 31, 2015, 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 $431 m i llio n an d $457 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 June 30, 2016 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 $10 m i l lio n an d $12 m il l io n a s o f June 30, 2016 a nd December 31, 2015, 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 June 30, 2016 and December 31, 2015:
|  |  |  |  |  | June 30, 2016
|  |  |  |  |  | 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 |  | $ | 27 |  | $ | - |  | $ | - |  | $ | - |  | $ | 27 |  | $ | -
| State and municipal bonds |  |  | 7 |  |  | - |  |  | 17 |  |  | (2) |  |  | 24 |  |  | (2)
| Foreign governments |  |  | 3 |  |  | - |  |  | 2 |  |  | (1) |  |  | 5 |  |  | (1)
| Corporate obligations |  |  | 152 |  |  | - |  |  | 62 |  |  | (79) |  |  | 214 |  |  | (79)
| Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | Residential mortgage-backed agency |  |  | 61 |  |  | - |  |  | 144 |  |  | (1) |  |  | 205 |  |  | (1)
|  | Residential mortgage-backed non-agency |  |  | 9 |  |  | (1) |  |  | 29 |  |  | (6) |  |  | 38 |  |  | (7)
|  | Commercial mortgage-backed |  |  | 21 |  |  | - |  |  | 4 |  |  | - |  |  | 25 |  |  | -
| Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | Collateralized debt obligations |  |  | 4 |  |  | - |  |  | 20 |  |  | - |  |  | 24 |  |  | -
|  | Other asset-backed |  |  | 133 |  |  | (1) |  |  | 81 |  |  | (8) |  |  | 214 |  |  | (9)
|  |  | Total fixed-maturity investments |  |  | 417 |  |  | (2) |  |  | 359 |  |  | (97) |  |  | 776 |  |  | (99)
Perpetual debt and equity securities |  |  | - |  |  | - |  |  | 1 |  |  | - |  |  | 1 |  |  | -
Total AFS investments |  | $ | 417 |  | $ | (2) |  | $ | 360 |  | $ | (97) |  | $ | 777 |  | $ | (99)
HTM Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Corporate obligations |  | $ | 297 |  | $ | (18) |  | $ | 212 |  | $ | (363) |  | $ | 509 |  | $ | (381)
Total HTM investments |  | $ | 297 |  | $ | (18) |  | $ | 212 |  | $ | (363) |  | $ | 509 |  | $ | (381)
|  |  |  |  |  | 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)
Gross unrealized losses on AFS s ecurities de creased as of June 30, 2016 compared with December 31, 2015 p r imarily due to market price appreciation driven by lower interest rates. Gross unrealized losses on HTM securities increased as of June 30, 2016 compared with December 31, 2015 p r imarily due to widening credit spreads partially offset by lower interest rates. With the weighting applied on the fair value of each security relative to the total fair v alue, the weighted average contractual maturity of securities in an unrealized loss position as of June 30, 2016 and December 31, 2015 was 21 and 17 years, respectively. As of June 30, 2016 and December 31, 2015, there were 87 and 65 securities, respectively, that were in an unrealized loss position for a continuous twelve-month period or longer, of which, fair value s of 29 and 22 securities, respectively, were below book value 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 w here fair value was below book value by more than 5% as of June 30, 2016:
|  |  | 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% |  | 13 |  | $ | 12 |  | $ | 11 |  | - |  | $ | - |  | $ | -
| > 15% to 25% |  | 9 |  |  | 79 |  |  | 64 |  | - |  |  | - |  |  | -
| > 25% to 50% |  | 5 |  |  | 3 |  |  | 2 |  | - |  |  | - |  |  | -
| > 50% |  | 1 |  |  | 104 |  |  | 26 |  | 1 |  |  | 575 |  |  | 211
| Total |  | 28 |  | $ | 198 |  | $ | 103 |  | 1 |  | $ | 575 |  | $ | 211
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 June 30, 2016, for which fair value was less than amortized cost. The credit ratings are based on ratings from Moody’s as of June 30, 2016 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 |  | $ | 126 |  | $ | (1) |  | $ | 73 |  | $ | (1) |  | $ | 2 |  | $ | - |  | $ | 5 |  | $ | - |  | $ | 32 |  | $ | (7) |  | $ | - |  | $ | - |  | $ | 238 |  | $ | (9)
MBS |  |  | 220 |  |  | (1) |  |  | 3 |  |  | - |  |  | 2 |  |  | - |  |  | 5 |  |  | - |  |  | 24 |  |  | (3) |  |  | 14 |  |  | (4) |  |  | 268 |  |  | (8)
Corporate obligations |  |  | 88 |  |  | - |  |  | 50 |  |  | - |  |  | 16 |  |  | - |  |  | 26 |  |  | (1) |  |  | 8 |  |  | (1) |  |  | 26 |  |  | (77) |  |  | 214 |  |  | (79)
| Total |  | $ | 434 |  | $ | (2) |  | $ | 126 |  | $ | (1) |  | $ | 20 |  | $ | - |  | $ | 36 |  | $ | (1) |  | $ | 64 |  | $ | (11) |  | $ | 40 |  | $ | (81) |  | $ | 720 |  | $ | (96)
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 |  | Below Investment Grade |  | Below Investment Grade |  | $ | 31 |  | 61 | %
MBS |  | Below Investment Grade |  | Below Investment Grade |  | $ | 17 |  | 100 | %
Refer to the table within the OTTI section of this note for information on the insured securities included in the table above. The Company concluded that 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 so urces 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 pla ns as of June 30, 2016 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 The Company’s fixed-maturity securities for which fair value is less than amortized cost are reviewed quarterly in order to determine whether a credit loss exists. The portion of certain OTTI losses on fixed-maturity securities that d o e s no t r ep r e s en t cr edit lo sses i s r e c o g ni z e d i n accumulated other comprehensive income (loss) (“AOCI”). Refer to “Note 8: Investments” in the Notes to Consolidated Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2015 for a discussion of the Company’s policy for OTTI and its determination of credit loss. The following table presents the amount of credit loss impairments recognized in earnings on fixed-maturity securities held by MBIA as of the dates indicated, for which a portion of the OTTI losses was recognized in AOCI, and the corresponding changes in such amounts.
In millions |  | Three Months Ended June 30, |  | Six Months Ended June 30,
Credit Losses Recognized in Earnings Related to Other-Than-Temporary Impairments |  | 2016 |  |  | 2015 |  | 2016 |  |  | 2015
Beginning balance |  | $ | 26 |  | $ | 16 |  | $ | 26 |  | $ | 16
Additions for credit loss impairments recognized in the current period on securities not |  |  |  |  |  |  |  |  |  |  |  |
| previously impaired |  |  | - |  |  | 6 |  |  | - |  |  | 6
Ending balance |  | $ | 26 |  | $ | 22 |  | $ | 26 |  | $ | 22
The Company does not reco gnize OTTI on securities insured by MBIA Corp. and National since those secur ities, whether or not owned by the Company, are evaluated for impairment in accordance with its loss reserving policy. The following table provides information about securities held by the Company as of June 30, 2016 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) |  | $ | 51 |  | $ | (7) |  | $ | 17 |
| Mortgage-backed: |  |  |  |  |  |  |  |  |  |
|  | MBIA(1) |  |  | 17 |  |  | (3) |  |  | 4 |
| Other: |  |  |  |  |  |  |  |  |  |
|  | MBIA(1) |  |  | 8 |  |  | (1) |  |  | - |
|  | Other |  |  | 2 |  |  | - |  |  | - |
|  |  | Total other |  |  | 10 |  |  | (1) |  |  | - |
| Total |  | $ | 78 |  | $ | (11) |  | $ | 21 |
| _______________ |  |  |  |  |  |  |  |  |  |
| (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. |
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 increase in proceeds and net gains on the sales of investments for the three and six months ended June 30, 2016 when compared with th e same periods of 2015 were primarily due to sales to generat e liquidity for expected payments on certain Puerto Rico exposures. The proceeds and the gross realized gains and losses from sales of fixed-maturity securities held as AFS for the three and six months ended June 30, 2016 and 2015 are as follows:
|  |  |  | Three Months Ended June 30, |  | Six Months Ended June 30, |
| In millions |  | 2016 |  | 2015 |  | 2016 |  | 2015 |
| Proceeds from sales |  | $ | 656 |  | $ | 187 |  | $ | 937 |  | $ | 379 |
| Gross realized gains |  | $ | 26 |  | $ | 3 |  | $ | 37 |  | $ | 8 |
| Gross realized losses |  | $ | (13) |  | $ | (2) |  | $ | (18) |  | $ | (9) |

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