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Fair Value of Financial Instruments (Tables) | 3 Months Ended
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Mar. 31, 2020
Text Block [Abstract] |
Quantitative Information Regarding The Significant Unobservable Inputs For Certain Assets And Liabilities Measured At Fair Value On A Recurring Basis | The following tables provide quantitative information regarding the significant unobservable inputs used by the Company for assets and liabilities measured at fair value on a recurring basis as of March 31, 2020 and December 31, 2019:
In millions |  | Fair Value as of March 31, 2020 |  | Valuation Techniques |  | Unobservable Input |  | Range (Weighted Average) |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |
Loans receivable at fair value |  | $ | 98 |  |  | Market prices adjusted for financial guarantees provided to VIE obligations |  | Impact of financial guarantee (2) |  |  | -28% - 161% (19%) (1) |
Loan repurchase commitments |  |  | 506 |  |  | Discounted cash flow |  | Recovery rates (3) Breach rates (3) |  |  |  |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |
Variable interest entity notes |  |  | 281 |  |  | Market prices of VIE assets adjusted for financial guarantees provided |  | Impact of financial guarantee |  |  | 34% - 74% (60%) (1) |
C redit d eri vative liabilit i es – CMBS |  |  | 8 |  |  | Direct Price Model |  | Nonperformance risk |  |  | 54% - 54% (54%) |
Other derivative liabilities |  |  | 37 |  |  | Discounted cash flow |  | Cash flows |  |  | $0 - $49 ($25) (4) |
(1) - | Weighted average represents the total MBIA guarantees as a percentage of total instrument fair value.
(2) - | Negative percentage represents financial guarantee policies in a receivable position.
(3) - | Recovery rates include assumptions about legal risk in the enforcement of the Company’s contract and breach rates represent estimates of the percentage of ineligible loans.
(4) - | Midpoint of cash flows are used for the weighted average.
In millions |  | Fair Value as of December 31, 2019 |  |  | Valuation Techniques |  | Unobservable Input |  | Range (Weighted Average) |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |
Loans receivable at fair value |  | $ | 136 |  |  | Market prices adjusted for financial guarantees provided to VIE obligations |  | Impact of financial guarantee (1) |  |  | -20% - 99% (22%) |
Loan repurchase commitments |  |  | 486 |  |  | Discounted cash flow |  | Recovery rates (2) Breach rates (2) |  |  |  |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |
Variable interest entity notes |  |  | 347 |  |  | Market prices of VIE assets adjusted for financial guarantees provided |  | Impact of financial guarantee |  |  | 37% - 76% (61%) |
Credit d e rivative liabilities – CMBS |  |  | 7 |  |  | Direct Price Model |  | Nonperformance risk |  |  | 54% - 54% (54%) |
Other derivative liabilities |  |  | 34 |  |  | Discounted cash flow |  | Cash flows |  |  | $0 - $49 ($25) (3) |
(1) - | Negative percentage represents financial guarantee policies in a receivable position.
(2) - | Recovery rates include assumptions about legal risk in the enforcement of the Company’s contract and breach rates represent estimates of the percentage of ineligible loans.
(3) - | Midpoint of cash flows are used for the weighted average.
Company's Assets And Liabilities Measured At Fair Value On Recurring Basis | The following tables present the fair value of the Company’s assets (including short-term investments) and liabilities measured and reported at fair value on a recurring basis as of March 31, 2020 and December 31, 2019:
|  | Fair Value Measurements at Reporting Date Using |  |  |  |
In millions |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  |  | Significant Other Observable Inputs (Level 2) |  |  | Significant Unobservable Inputs (Level 3) |  |  | Counterparty and Cash Collateral Netting |  |  | Balance as of March 31, 2020 |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed-maturity investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury and government agency |  | $ | 763 |  |  | $ | 105 |  |  | $ | - |  |  | $ | - |  |  | $ | 868 |
State and municipal bonds |  |  | - |  |  |  | 192 |  |  |  | - |  |  |  | - |  |  |  | 192 |
Foreign governments |  |  | - |  |  |  | 11 |  |  |  | - |  |  |  | - |  |  |  | 11 |
Corporate obligations |  |  | - |  |  |  | 1,234 |  |  |  | - |  |  |  | - |  |  |  | 1,234 |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage-backed agency |  |  | - |  |  |  | 283 |  |  |  | - |  |  |  | - |  |  |  | 283 |
Residential mortgage-backed non-agency |  |  | - |  |  |  | 22 |  |  |  | - |  |  |  | - |  |  |  | 22 |
Commercial mortgage-backed |  |  | - |  |  |  | 21 |  |  |  | - |  |  |  | - |  |  |  | 21 |
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateralized debt obligations |  |  | - |  |  |  | 114 |  |  |  | - |  |  |  | - |  |  |  | 114 |
Other asset-backed |  |  | - |  |  |  | 279 |  |  |  | 1 |  |  |  | - |  |  |  | 280 |
Total fixed-maturity investments |  |  | 763 |  |  |  | 2,261 |  |  |  | 1 |  |  |  | - |  |  |  | 3,025 |
Money market securities |  |  | 35 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 35 |
Perpetual debt and equity securities |  |  | 27 |  |  |  | 21 |  |  |  | - |  |  |  | - |  |  |  | 48 |
Fixed-income fund |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 45 | (1)
Cash and cash equivalents |  |  | 212 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 212 |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Non-insured derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | - |  |  |  | 1 |
|  | Fair Value Measurements at Reporting Date Using |  |  |
In millions |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Counterparty and Cash Collateral Netting |  | Balance as of March 31, 2020 |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate obligations |  |  | - |  |  |  | 8 |  |  |  | - |  |  |  | - |  |  |  | 8 |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage-backed non-agency |  |  | - |  |  |  | 38 |  |  |  | - |  |  |  | - |  |  |  | 38 |
Commercial mortgage-backed |  |  | - |  |  |  | 15 |  |  |  | - |  |  |  | - |  |  |  | 15 |
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateralized debt obligations |  |  | - |  |  |  | 7 |  |  |  | - |  |  |  | - |  |  |  | 7 |
Other asset-backed |  |  | - |  |  |  | 7 |  |  |  | - |  |  |  | - |  |  |  | 7 |
Cash |  |  | 5 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 5 |
Loans receivable at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential loans receivable |  |  | - |  |  |  | - |  |  |  | 98 |  |  |  | - |  |  |  | 98 |
Loan repurchase commitments |  |  | - |  |  |  | - |  |  |  | 506 |  |  |  | - |  |  |  | 506 |
Other assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Currency derivatives |  |  | - |  |  |  | - |  |  |  | 18 |  |  |  | - |  |  |  | 18 |
Other |  |  | - |  |  |  | - |  |  |  | 15 |  |  |  | - |  |  |  | 15 |
Total assets |  | $ | 1,042 |  |  | $ | 2,358 |  |  | $ | 638 |  |  | $ | - |  |  | $ | 4,083 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Medium-term notes |  | $ | - |  |  | $ | - |  |  | $ | 98 |  |  | $ | - |  |  | $ | 98 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Insured derivatives: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  |  | - |  |  |  | 2 |  |  |  | 8 |  |  |  | - |  |  |  | 10 |
Non-insured derivatives: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives |  |  | - |  |  |  | 190 |  |  |  | - |  |  |  | (31 | ) |  |  | 159 |
Other |  |  | - |  |  |  | - |  |  |  | 37 |  |  |  | - |  |  |  | 37 |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable interest entity notes |  |  | - |  |  |  | 50 |  |  |  | 281 |  |  |  | - |  |  |  | 331 |
Total liabilities |  | $ | - |  |  | $ | 242 |  |  | $ | 424 |  |  | $ | (31 | ) |  | $ | 635 |
(1) - | Investment that was measured at fair value by applying the net asset value per share practical expedient, and was required not to be classified in the fair value hierarchy.
|  | Fair Value Measurements at Reporting Date Using |  |  |
|  | Quoted Prices in |  | Significant |  |  |  |  |
|  | Active Markets |  | Other |  | Significant |  |  |
|  | for Identical |  | Observable |  | Unobservable |  | Balance as of |
|  | Assets |  | Inputs |  | Inputs |  | December 31, |
In millions |  | (Level 1) |  | (Level 2) |  | (Level 3) |  | 2019 |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed-maturity investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury and government agency |  | $ | 791 |  |  | $ | 97 |  |  | $ | - |  |  | $ | 888 |
State and municipal bonds |  |  | - |  |  |  | 200 |  |  |  | - |  |  |  | 200 |
Foreign governments |  |  | - |  |  |  | 10 |  |  |  | - |  |  |  | 10 |
Corporate obligations |  |  | - |  |  |  | 1,266 |  |  |  | - |  |  |  | 1,266 |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage-backed agency |  |  | - |  |  |  | 330 |  |  |  | - |  |  |  | 330 |
Residential mortgage-backed non-agency |  |  | - |  |  |  | 19 |  |  |  | - |  |  |  | 19 |
Commercial mortgage-backed |  |  | - |  |  |  | 22 |  |  |  | - |  |  |  | 22 |
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateralized debt obligations |  |  | - |  |  |  | 140 |  |  |  | - |  |  |  | 140 |
Other asset-backed |  |  | - |  |  |  | 326 |  |  |  | 1 |  |  |  | 327 |
Total fixed-maturity investments |  |  | 791 |  |  |  | 2,410 |  |  |  | 1 |  |  |  | 3,202 |
Money market securities |  |  | 154 |  |  |  | - |  |  |  | - |  |  |  | 154 |
Perpetual debt and equity securities |  |  | 30 |  |  |  | 25 |  |  |  | - |  |  |  | 55 |
Fixed-income fund |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 51 | (1)
Cash and cash equivalents |  |  | 75 |  |  |  | - |  |  |  | - |  |  |  | 75 |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Non-insured derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | 1 |
|  | Fair Value Measurements at Reporting Date Using |  |  |
In millions |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Balance as of December 31, 2019 |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate obligations |  |  | - |  |  |  | 8 |  |  |  | - |  |  |  | 8 |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage-backed non-agency |  |  | - |  |  |  | 45 |  |  |  | - |  |  |  | 45 |
Commercial mortgage-backed |  |  | - |  |  |  | 16 |  |  |  | - |  |  |  | 16 |
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateralized debt obligations |  |  | - |  |  |  | 6 |  |  |  | - |  |  |  | 6 |
Other asset-backed |  |  | - |  |  |  | 8 |  |  |  | - |  |  |  | 8 |
Cash |  |  | 8 |  |  |  | - |  |  |  | - |  |  |  | 8 |
Loans receivable at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential loans receivable |  |  | - |  |  |  | - |  |  |  | 136 |  |  |  | 136 |
Loan repurchase commitments |  |  | - |  |  |  | - |  |  |  | 486 |  |  |  | 486 |
Other assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Currency derivatives |  |  | - |  |  |  | - |  |  |  | 8 |  |  |  | 8 |
Other |  |  | - |  |  |  | - |  |  |  | 18 |  |  |  | 18 |
Total assets |  | $ | 1,058 |  |  | $ | 2,519 |  |  | $ | 649 |  |  | $ | 4,277 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Medium-term notes |  | $ | - |  |  | $ | - |  |  | $ | 108 |  |  | $ | 108 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Insured derivatives: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  |  | - |  |  |  | 2 |  |  |  | 7 |  |  |  | 9 |
Non-insured derivatives: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives |  |  | - |  |  |  | 132 |  |  |  | - |  |  |  | 132 |
Other |  |  | - |  |  |  | - |  |  |  | 34 |  |  |  | 34 |
Other liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other payable |  |  | - |  |  |  | - |  |  |  | 4 |  |  |  | 4 |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable interest entity notes |  |  | - |  |  |  | 56 |  |  |  | 347 |  |  |  | 403 |
Total liabilities |  | $ | - |  |  | $ | 190 |  |  | $ | 500 |  |  | $ | 690 |
(1) | - Investment that was measured at fair value by applying the net asset value per share practical expedient, and was required not to be classified in the fair value hierarchy.
Level 3 assets at fair value as of March 31, 2020 and December 31, 2019 represented approximately 16% and 15%, respectively, of total assets measured at fair value. Level 3 liabilities at fair value as of March 31, 2020 and December 31, 2019 represented approximately 67% and 72%, respectively, of total liabilities measured at fair value.
Fair Value Hierarchy Table Presents The Company's Assets And Liabilities Not Recorded At Fair Value On The Company's Consolidated Balance Sheet |
|  | Fair Value Measurements at Reporting Date Using |  |  |  |  |  |  |
In millions |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  |  | Significant Other Observable Inputs (Level 2) |  |  | Significant Unobservable Inputs (Level 3) |  |  | Fair Value Balance as of March 31, 2020 |  |  | Carry Value Balance as of March 31, 2020 |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments held-to-maturity |  | $ | - |  |  | $ | - |  |  | $ | 572 |  |  | $ | 572 |  |  | $ | 529 |
Total assets |  | $ | - |  |  | $ | - |  |  | $ | 572 |  |  | $ | 572 |  |  | $ | 529 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Long-term debt |  | $ | - |  |  | $ | 856 |  |  | $ | - |  |  | $ | 856 |  |  | $ | 2,261 |
Medium-term notes |  |  | - |  |  |  | - |  |  |  | 377 |  |  |  | 377 |  |  |  | 563 |
Investment agreements |  |  | - |  |  |  | - |  |  |  | 415 |  |  |  | 415 |  |  |  | 295 |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable interest entity notes |  |  | - |  |  |  | 261 |  |  |  | 570 |  |  |  | 831 |  |  |  | 829 |
Total liabilities |  | $ | - |  |  | $ | 1,117 |  |  | $ | 1,362 |  |  | $ | 2,479 |  |  | $ | 3,948 |
Financial Guarantees: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Gross liability (recoverable) |  | $ | - |  |  | $ | - |  |  | $ | 723 |  |  | $ | 723 |  |  | $ | (177 | )
Ceded |  |  | - |  |  |  | - |  |  |  | 51 |  |  |  | 51 |  |  |  | 15 |
|  | Fair Value Measurements at Reporting Date Using |  |  |  |  |  |  |
In millions |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  |  | Significant Other Observable Inputs (Level 2) |  |  | Significant Unobservable Inputs (Level 3) |  |  | Fair Value Balance as of December 31, 2019 |  |  | Carry Value Balance as of December 31, 2019 |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments held-to-maturity |  | $ | - |  |  | $ | - |  |  | $ | 892 |  |  | $ | 892 |  |  | $ | 890 |
Total assets |  | $ | - |  |  | $ | - |  |  | $ | 892 |  |  | $ | 892 |  |  | $ | 890 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Long-term debt |  | $ | - |  |  | $ | 1,073 |  |  | $ | - |  |  | $ | 1,073 |  |  | $ | 2,228 |
Medium-term notes |  |  | - |  |  |  | - |  |  |  | 396 |  |  |  | 396 |  |  |  | 570 |
Investment agreements |  |  | - |  |  |  | - |  |  |  | 394 |  |  |  | 394 |  |  |  | 304 |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable interest entity notes |  |  | - |  |  |  | 261 |  |  |  | 892 |  |  |  | 1,153 |  |  |  | 1,136 |
Total liabilities |  | $ | - |  |  | $ | 1,334 |  |  | $ | 1,682 |  |  | $ | 3,016 |  |  | $ | 4,238 |
Financial Guarantees: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Gross liability (recoverable) |  | $ | - |  |  | $ | - |  |  | $ | 556 |  |  | $ | 556 |  |  | $ | (311 | )
Ceded |  |  | - |  |  |  | - |  |  |  | 56 |  |  |  | 56 |  |  |  | 24 |
Changes In Level 3 Assets Measured At Fair Value On A Recurring Basis | Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Three Months Ended March 31, 2020
In millions |  | Balance, Beginning of Period |  |  | Total Gains / (Losses) Included in Earnings |  |  | Unrealized Gains / (Losses) Included in OCI (1) |  |  | Purchases |  |  | Issuances |  |  | Settlements |  |  | Sales |  |  | Transfers into Level 3 |  |  | Transfers out of Level 3 |  |  | Ending Balance |  |  | Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets still held as of March 31, 2020 |  |  | Change in Unrealized Gains (Losses) for the Period Included in OCI for Assets still held as of March 31, 2020 (1) |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other asset-backed |  | $ | 1 |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 1 |  |  | $ | - |  |  | $ | - |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans receivable- residential |  |  | 136 |  |  |  | (35 | ) |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (3 | ) |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 98 |  |  |  | (35 | ) |  |  | - |
Loan repurchase commitments |  |  | 486 |  |  |  | 20 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 506 |  |  |  | 20 |  |  |  | - |
Currency derivatives |  |  | 8 |  |  |  | 10 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 18 |  |  |  | 10 |  |  |  | - |
Other |  |  | 18 |  |  |  | (3 | ) |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 15 |  |  |  | (3 | ) |  |  | - |
Total assets |  | $ | 649 |  |  | $ | (8 | ) |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | (3 | ) |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 638 |  |  | $ | (8 | ) |  | $ | - |
Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Three Months Ended March 31, 2019
In millions |  | Balance, Beginning of Period |  |  | Total Gains / (Losses) Included in Earnings |  |  | Unrealized Gains / (Losses) Included in OCI |  |  | Purchases |  |  | Issuances |  |  | Settlements |  |  | Sales |  |  | Transfers into Level 3 (1) |  |  | Transfers out of Level 3 (1) |  |  | Ending Balance |  |  | Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets still held as of March 31, 2019 |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial mortgage-backed |  | $ | 7 |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | (1 | ) |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 6 |  |  | $ | - |
Other asset-backed |  |  | 3 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (1 | ) |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 2 |  |  |  | - |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate obligations |  |  | 5 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 5 |  |  |  | - |
Collateralized debt obligations |  |  | 1 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 1 |  |  |  | - |
Loans receivable-residential |  |  | 172 |  |  |  | 42 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (8 | ) |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 206 |  |  |  | 42 |
Loan repurchase commitments |  |  | 418 |  |  |  | 2 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 420 |  |  |  | 2 |
Currency derivatives |  |  | 17 |  |  |  | (3 | ) |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 14 |  |  |  | (3 | )
Other |  |  | 14 |  |  |  | 1 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 15 |  |  |  | 1 |
Total assets |  | $ | 637 |  |  | $ | 42 |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | (10 | ) |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 669 |  |  | $ | 42 |
Changes In Level 3 Liabilities Measured At Fair Value On A Recurring Basis |
In millions |  | Balance, Beginning of Period |  |  | Total (Gains) / Losses Included in Earnings |  |  | Unrealized (Gains) / Losses Included in in OCI (2) |  |  | Purchases |  |  | Issuances |  |  | Settlements |  |  | Sales |  |  | Transfers into Level 3 |  |  | Transfers out of Level 3 |  |  | Ending Balance |  |  | Change in Unrealized (Gains) Losses for the Period Included in Earnings for Liabilities still held as of March 31, 2020 |  |  | Change in Unrealized (Gains) Losses for the Period Included in OCI for Liabilities still held as of March 31, 2020 (2) |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Medium-term notes |  | $ | 108 |  |  | $ | 2 |  |  | $ | (12 | ) |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 98 |  |  | $ | 2 |  |  | $ | (12 | )
Credit derivatives |  |  | 7 |  |  |  | 1 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 8 |  |  |  | 1 |  |  |  | - |
Other derivatives |  |  | 34 |  |  |  | 3 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 37 |  |  |  | 3 |  |  |  | - |
Other payable |  |  | 4 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (4 | ) |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
VIE notes |  |  | 347 |  |  |  | (25 | ) |  |  | (36 | ) |  |  | - |  |  |  | - |  |  |  | (5 | ) |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 281 |  |  |  | (28 | ) |  |  | (34 | )
Total liabilities |  | $ | 500 |  |  | $ | (19 | ) |  | $ | (48 | ) |  | $ | - |  |  | $ | - |  |  | $ | (9 | ) |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 424 |  |  | $ | (22 | ) |  | $ | (46 | )
(1) - | Reported within the “Unrealized gains (losses) on available-for-sale securities” on MBIA’s Consolidated Statement of Comprehensive Income/Loss.
(2) - | Reported within the “Instrument-specific credit risk of liabilities measured at fair value” on MBIA’s Consolidated Statement of Comprehensive Income/Loss.
In millions |  | Balance, Beginning of Period |  |  | Total (Gains) / Losses Included in Earnings |  |  | Unrealized (Gains) / Losses Included in OCI |  |  | Purchases |  |  | Issuances |  |  | Settlements |  |  | Sales |  |  | Transfers into Level 3 (1) |  |  | Transfers out of Level 3 (1) |  |  | Ending Balance |  |  | Change in Unrealized (Gains) Losses for the Period Included in Earnings for Liabilities still held as of March 31, 2019 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Medium-term notes |  | $ | 102 |  |  | $ | 8 |  |  | $ | (4 | ) |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 106 |  |  | $ | 7 |
Credit derivatives |  |  | 33 |  |  |  | (14 | ) |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 19 |  |  |  | (14 | )
Other derivatives |  |  | 7 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 7 |  |  |  | - |
Other payable |  |  | 5 |  |  |  | 1 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (3 | ) |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 3 |  |  |  | 1 |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
VIE notes |  |  | 366 |  |  |  | 41 |  |  |  | (7 | ) |  |  | - |  |  |  | 5 |  |  |  | (8 | ) |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 397 |  |  |  | 32 |
Total liabilities |  | $ | 513 |  |  | $ | 36 |  |  | $ | (11 | ) |  | $ | - |  |  | $ | 5 |  |  | $ | (11 | ) |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 532 |  |  | $ | 26 |
(1) | - Transferred in and out at the end of the period.
Gains And Losses (Realized And Unrealized) Included In Earnings Pertaining To Level 3 Assets And Liabilities |
|  | Three Months Ended March 31, 2020 |  |  | Three Months Ended March 31, 2019 |
|  |  |  |  | Change in |  |  |  |  |  | Change in |
|  |  |  |  | Unrealized |  |  |  |  |  | Unrealized |
|  |  |  |  | Gains (Losses) |  |  |  |  |  | Gains (Losses) |
|  |  |  |  | for the |  |  |  |  |  | for the |
|  |  |  |  | Period Included |  |  |  |  |  | Period Included |
|  |  |  |  | in Earnings |  |  |  |  |  | in Earnings |
|  |  |  |  | for Assets |  |  |  |  |  | for Assets |
|  |  |  |  | and |  |  |  |  |  | and |
|  | Total Gains |  |  | Liabilities still |  |  | Total Gains |  |  | Liabilities still |
|  | (Losses) |  |  | held as of |  |  | (Losses) |  |  | held as of |
|  | Included |  |  | March 31, |  |  | Included |  |  | March 31, |
In millions |  | in Earnings |  |  | 2020 |  |  | in Earnings |  |  | 2019 |
Revenues: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized gains (losses) on insured derivatives |  | $ | (1 | ) |  | $ | (1 | ) |  | $ | 14 |  |  | $ | 14 |
Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | (5 | ) |  |  | (5 | ) |  |  | (7 | ) |  |  | (7 | )
Other net realized gains (losses) |  |  | - |  |  |  | - |  |  |  | (1 | ) |  |  | (1 | )
Revenues of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | 17 |  |  |  | 20 |  |  |  | 1 |  |  |  | 10 |
Total |  | $ | 11 |  |  | $ | 14 |  |  | $ | 7 |  |  | $ | 16 |
Changes In Fair Value Included In The Company's Consolidated Statements Of Operations |
|  | Three Months Ended March 31, |
In millions |  | 2020 |  |  | 2019 |
Investments carried at fair value (1) |  | $ | (20 | ) |  | $ | 6 |
Fixed-maturity securities held at fair value-VIE (2) |  |  | (6 | ) |  |  | 26 |
Loans receivable at fair value: |  |  |  |  |  |  |  |
Residential mortgage loans (2) |  |  | (35 | ) |  |  | 34 |
Loan repurchase commitments (2) |  |  | 20 |  |  |  | 2 |
Other assets-VIE (2) |  |  | (3 | ) |  |  | - |
Medium-term notes (1) |  |  | (2 | ) |  |  | (7 | )
Other liabilities (3) |  |  | - |  |  |  | (1 | )
Variable interest entity notes (2) |  |  | 27 |  |  |  | 84 |
(1) - | Reported within “Net gains (losses) of financial instruments at fair value and foreign exchange” on MBIA’s consolidated statements of operations.
(2) - | Reported within “Net gains (losses) of financial instruments at fair value and foreign exchange-VIE” on MBIA’s consolidated statements of operations.
(3) - | Reported within “Other net realized gains (losses)” on MBIA’s consolidated statements of operations.
Difference Between Aggregate Fair Value And The Aggregate Remaining Contractual Principal Balance Outstanding |
|  | As of March 31, 2020 |  | As of December 31, 2019
|  | Contractual |  |  |  |  |  | Contractual |  |  |  |  |
|  | Outstanding |  | Fair |  |  |  | Outstanding |  | Fair |  |  |
In millions |  | Principal |  | Value |  | Difference |  | Principal |  | Value |  | Difference |
Loans receivable at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage loans |  | $ | 96 |  |  | $ | 87 |  |  | $ | 9 |  |  | $ | 107 |  |  | $ | 107 |  |  | $ | - |
Residential mortgage loans (90 days or more past due) |  |  | 123 |  |  |  | 11 |  |  |  | 112 |  |  |  | 154 |  |  |  | 29 |  |  |  | 125 |
Total loans receivable and other instruments at fair value |  | $ | 219 |  |  | $ | 98 |  |  | $ | 121 |  |  | $ | 261 |  |  | $ | 136 |  |  | $ | 125 |
Variable interest entity notes |  | $ | 1,097 |  |  | $ | 331 |  |  | $ | 766 |  |  | $ | 1,126 |  |  | $ | 403 |  |  | $ | 723 |
Medium-term notes |  | $ | 110 |  |  | $ | 98 |  |  | $ | 12 |  |  | $ | 112 |  |  | $ | 108 |  |  | $ | 4 |

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