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Fair Value of Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 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 June 30, 2020 and December 31, 2019:
 
          
          
          
          
In millions
  
Fair Value as of
June 30, 2020
  
Valuation Techniques
  
Unobservable Input
  
Range

(Weighted Average)
Assets of consolidated VIEs:
  
  
  
  
Loans receivable at fair value
  
$
116
 
  
Market prices adjusted for financial guarantees provided to VIE obligations
  
Impact of financial guarantee
(2)
  
 
-30% - 106% (14%)
(1)
 
Loan repurchase commitments
  
 
524
 
  
Discounted cash flow
  
Recovery rates
(3)
Breach rates
(3)
  
Liabilities of consolidated VIEs:
  
  
  
  
Variable interest entity notes
  
 
291
 
  
Market prices of VIE
assets adjusted for
financial guarantees
provided
  
Impact of financial guarantee
  
 
31% - 72% (58%)
(1)
 
Credit derivative liabilities – 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 derivative 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 June 30, 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
June 30,
2020
Assets:
  
  
  
  
  
Fixed-maturity investments:
  
  
  
  
  
U.S. Treasury and government agency
  
$
771
 
  
$
105
 
  
$
-
 
  
$
-
 
  
$
876
 
State and municipal bonds
  
 
-
 
  
 
192
 
  
 
-
 
  
 
-
 
  
 
192
 
Foreign governments
  
 
-
 
  
 
15
 
  
 
-
 
  
 
-
 
  
 
15
 
Corporate obligations
  
 
-
 
  
 
1,071
 
  
 
-
 
  
 
-
 
  
 
1,071
 
Mortgage-backed securities:
  
  
  
  
  
Residential mortgage-backed agency
  
 
-
 
  
 
266
 
  
 
-
 
  
 
-
 
  
 
266
 
Residential mortgage-backed non-agency
  
 
-
 
  
 
22
 
  
 
-
 
  
 
-
 
  
 
22
 
Commercial mortgage-backed
  
 
-
 
  
 
25
 
  
 
-
 
  
 
-
 
  
 
25
 
Asset-backed securities:
  
  
  
  
  
Collateralized debt obligations
  
 
-
 
  
 
125
 
  
 
-
 
  
 
-
 
  
 
125
 
Other asset-backed
  
 
-
 
  
 
163
 
  
 
1
 
  
 
-
 
  
 
164
 
  
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
Total fixed-maturity investments
  
 
771
 
  
 
1,984
 
  
 
1
 
  
 
-
 
  
 
2,756
 
Money market securities
  
 
74
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
74
 
Perpetual debt and equity securities
  
 
31
 
  
 
21
 
  
 
-
 
  
 
-
 
  
 
52
 
Fixed-income fund
  
 
-
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
47
(1)
 
 
Cash and cash equivalents
  
 
446
 
  
 
-
 
  
 
-
 
  
 
-
 
  
 
446
 
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
June 30,
2020
Assets of consolidated VIEs:
  
  
  
  
 
Corporate obligations
  
 
-
 
  
 
6
 
  
 
-
 
  
 
-
 
 
 
6
 
Mortgage-backed securities:
  
  
  
  
 
Residential mortgage-backed non-agency
  
 
-
 
  
 
40
 
  
 
-
 
  
 
-
 
 
 
40
 
Commercial mortgage-backed
  
 
-
 
  
 
15
 
  
 
-
 
  
 
-
 
 
 
15
 
Asset-backed securities:
  
  
  
  
 
Collateralized debt obligations
  
 
-
 
  
 
8
 
  
 
-
 
  
 
-
 
 
 
8
 
Other asset-backed
  
 
-
 
  
 
7
 
  
 
-
 
  
 
-
 
 
 
7
 
Cash
  
 
8
 
  
 
-
 
  
 
-
 
  
 
-
 
 
 
8
 
Loans receivable at fair value:
  
  
  
  
 
Residential loans receivable
  
 
-
 
  
 
-
 
  
 
116
 
  
 
-
 
 
 
116
 
Loan repurchase commitments
  
 
-
 
  
 
-
 
  
 
524
 
  
 
-
 
 
 
524
 
Other assets:
  
  
  
  
 
Currency derivatives
  
 
-
 
  
 
-
 
  
 
14
 
  
 
-
 
 
 
14
 
Other
  
 
-
 
  
 
-
 
  
 
14
 
  
 
-
 
 
 
14
 
  
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
  
 
 
 
Total assets
  
$
1,330
 
  
$
2,082
 
  
$
669
 
  
$
-
 
 
$
4,128
 
  
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
  
 
 
 
Liabilities:
  
  
  
  
 
Medium-term notes
  
$
-
 
  
$
-
 
  
$
96
 
  
$
-
 
 
$
96
 
Derivative liabilities:
  
  
  
  
 
Insured derivatives:
  
  
  
  
 
Credit derivatives
  
 
-
 
  
 
2
 
  
 
8
 
  
 
-
 
 
 
10
 
Non-insured derivatives:
  
  
  
  
 
Interest rate derivatives
  
 
-
 
  
 
189
 
  
 
-
 
  
 
(3
) 
 
 
186
 
Other
  
 
-
 
  
 
-
 
  
 
37
 
  
 
-
 
 
 
37
 
Liabilities of consolidated VIEs:
  
  
  
  
 
Variable interest entity notes
  
 
-
 
  
 
51
 
  
 
291
 
  
 
-
 
 
 
342
 
  
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
  
 
 
 
Total liabilities
  
$
-
 
  
$
242
 
  
$
432
 
  
$
(3
) 
 
$
671
 
  
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
(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.
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
June 30,
2020
  
Carry Value
Balance as of
June 30,
2020
Assets:
    
 
      
 
      
 
      
 
      
 
  
Assets of consolidated VIEs:
    
 
      
 
      
 
      
 
      
 
  
Investments held-to-maturity
   $ -
 
   $ -
 
   $
574
     $
574
     $
552
  
  
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
Total assets
   $ -
 
   $ -
 
   $
574
     $
574
     $
552
  
  
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
Liabilities:
    
 
      
 
      
 
      
 
      
 
  
Long-term debt
   $ -
 
   $
749
     $ -
 
   $
749
     $
2,289
  
Medium-term notes
  
 
 -    
 
 -      
363
      
363
      
571
  
Investment agreements
  
 
 -    
 
 -      
407
      
407
      
289
  
Liabilities of consolidated VIEs:
    
 
      
 
      
 
      
 
      
 
  
Variable interest entity notes
  
 
 -      
223
      
573
      
796
      
836
  
  
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
Total liabilities
   $ -
 
   $
972
     $
1,343
     $
2,315
     $
3,985
  
  
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
   
 
 
 
Financial Guarantees:
    
 
      
 
      
 
      
 
      
 
  
Gross liability (recoverable)
   $ -
 
   $ -
 
   $
861
     $
861
     $
(81
 )
Ceded
  
 
 -    
 
 -      
48
      
48
      
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 June 30, 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

June 30,
2020
 
 
Change in
Unrealized
Gains
(Losses) for
the Period
Included in
OCI for
Assets still
held as of
June 30,
2020
(1)
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
Other asset-backed
 
$
 1
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
1
 
 
$
-
 
 
$
-
 
Assets of consolidated VIEs:
 
 
 
 
 
 
 
 
 
 
 
 
Loans receivable-residential
 
 
98
 
 
 
22
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
(4
)
 
 
-
 
 
 
-
 
 
 
-
 
 
 
116
 
 
 
20
 
 
 
-
 
Loan repurchase commitments
 
 
506
 
 
 
18
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
524
 
 
 
18
 
 
 
-
 
Currency derivatives
 
 
18
 
 
 
(4
)
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
14
 
 
 
(4
)
 
 
-
 
Other
 
 
15
 
 
 
(1
)
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
14
 
 
 
(1
)
 
 
-
 
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Total assets
 
$
638
 
 
$
35
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
(4
)
 
$
-
 
 
$
-
 
 
$
-
 
 
$
669
 
 
$
33
 
 
$
-
 
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Three Months Ended June 30, 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 June 30,
2019
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Commercial mortgage-backed
 
$
6
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
(2
)
 
$
-
 
 
$
-
 
 
$
-
 
 
$
4
 
 
$
-
 
Other asset-backed
 
 
2
 
 
 
(1
)
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
1
 
 
 
-
 
Assets of consolidated VIEs:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate obligations
 
 
5
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
(2
)
 
 
-
 
 
 
-
 
 
 
(3
)
 
 
-
 
 
 
-
 
Collateralized debt obligations
 
 
1
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
(1
)
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
Loans receivable-residential
 
 
206
 
 
 
1
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
(5
)
 
 
(48
)
 
 
-
 
 
 
-
 
 
 
154
 
 
 
(1
)
Loan repurchase
commitments
 
 
420
 
 
 
8
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
428
 
 
 
8
 
Currency derivatives
 
 
14
 
 
 
(3
)
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
11
 
 
 
(3
)
Other
 
 
15
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
15
 
 
 
-
 
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Total assets
 
$
669
 
 
$
5
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
(9
)
 
$
(49
)
 
$
-
 
 
$
(3
)
 
$
613
 
 
$
4
 
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
 
Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Six Months Ended June 30, 2020
 
               
               
               
               
               
               
               
               
               
               
               
               
In millions
 
Balance,
Beginning
of Year
 
 
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 June 30,
2020
 
 
Change in
Unrealized
Gains
(Losses) for
the Period
Included in
OCI for
Assets still
held as of
June 30,
2020
(1)
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other asset-backed
 
$
1
 
 
$
-
 
 
$
  -
 
 
$
  -
 
 
$
  -
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
1
 
 
$
-
 
 
$
-
 
Assets of consolidated VIEs:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Loans receivable- residential
 
 
136
 
 
 
(13
)
 
 
-
 
 
 
-
 
 
 
-
 
 
 
(7
)
 
 
-
 
 
 
-
 
 
 
-
 
 
 
116
 
 
 
(14
)
 
 
-
 
Loan repurchase commitments
 
 
486
 
 
 
38
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
524
 
 
 
38
 
 
 
-
 
Currency derivatives
 
 
8
 
 
 
6
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
14
 
 
 
6
 
 
 
-
 
Other
 
 
18
 
 
 
(4
)
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
14
 
 
 
(4
)
 
 
-
 
   
 
 
 
 
      
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Total assets
 
$
649
 
 
$
27
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
(7
)
 
$
-
 
 
$
-
 
 
$
-
 
 
$
669
 
 
$
26
 
 
$
-
 
   
 
 
 
 
      
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Six Months Ended June 30, 2019
 
               
               
               
               
               
               
               
               
               
               
               
In millions
 
Balance,
Beginning
of Year
 
 
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 June 30,
2019
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Commercial mortgage-backed
 
 
7
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
(3
)
 
 
-
 
 
 
-
 
 
 
-
 
 
 
4
 
 
 
-
 
Other asset-backed
 
 
3
 
 
 
(1
)
 
 
-
 
 
 
-
 
 
 
-
 
 
 
(1
)
 
 
-
 
 
 
-
 
 
 
-
 
 
 
1
 
 
 
-
 
Assets of consolidated VIEs:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate obligations
 
 
5
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
(2
)
 
 
-
 
 
 
-
 
 
 
(3
)
 
 
-
 
 
 
-
 
Collateralized debt obligations
 
 
1
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
(1
)
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
Loans receivable-residential
 
 
172
 
 
 
43
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
(13
)
 
 
(48
)
 
 
-
 
 
 
-
 
 
 
154
 
 
 
38
 
Loan repurchase
commitments
 
 
418
 
 
 
10
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
428
 
 
 
10
 
Currency derivatives
 
 
17
 
 
 
(6
)
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
11
 
 
 
(6
)
Other
 
 
14
 
 
 
1
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
15
 
 
 
1
 
                                                                                         
Total assets
   $
637
     $
47
     $
-
     $
-
     $
-
     $
(19
 )   $
(49
 )   $
-
     $
(3
 )   $
613
     $
43
  
                                                                                         
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 June 30,
2020
 
 
Change in
Unrealized
(Gains)
Losses for
the Period
Included in
OCI for
Liabilities
still held
as of
June 30,
2020
(2)
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Medium-term notes
 
$
98
 
 
$
(1
)
 
$
(1
)
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
96
 
 
$
(1
)
 
$
(1
)
Credit derivatives
 
 
8
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
8
 
 
 
-
 
 
 
-
 
Other derivatives
 
 
37
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
37
 
 
 
-
 
 
 
-
 
Liabilities of consolidated VIEs:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
VIE notes
 
 
281
 
 
 
16
 
 
 
(3
)
 
 
-
 
 
 
-
 
 
 
(3
)
 
 
-
 
 
 
-
 
 
 
-
 
 
 
291
 
 
 
15
 
 
 
(3
)
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Total liabilities
 
$
424
 
 
$
15
 
 
$
(4
)
 
$
-
 
 
$
-
 
 
$
(3
)
 
$
-
 
 
$
-
 
 
$
-
 
 
$
432
 
 
$
14
 
 
$
(4
)
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
 
(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 June 30,
2019
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Medium-term notes
 
$
106
 
 
$
(3
)
 
$
10
 
 
$
-
 
 
$
-
 
 
$
(3
)
 
$
-
 
 
$
-
 
 
$
-
 
 
$
110
 
 
$
(2
)
Credit derivatives
 
 
19
 
 
 
1
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
(2
)
 
 
-
 
 
 
-
 
 
 
-
 
 
 
18
 
 
 
-
 
Other derivatives
 
 
7
 
 
 
9
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
16
 
 
 
9
 
Other payable
 
 
3
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
3
 
 
 
-
 
Liabilities of consolidated VIEs:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
VIE notes
 
 
397
 
 
 
9
 
 
 
(1
)
 
 
-
 
 
 
-
 
 
 
(3
)
 
 
(60
)
 
 
-
 
 
 
-
 
 
 
342
 
 
 
10
 
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Total liabilities
 
$
532
 
 
$
16
 
 
$
9
 
 
$
-
 
 
$
-
 
 
$
(8
)
 
$
(60
)
 
$
-
 
 
$
-
 
 
$
489
 
 
$
17
 
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
 
(1)  -
Transferred in and out at the end of the period.
 
               
               
               
               
               
               
               
               
               
               
               
               
In millions
 
Balance,
Beginning
of Year
 
 
Total
(Gains) /
Losses
Included
in
Earnings
 
 
Unrealized
(Gains) /
Losses
Included
in Credit
Risk 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 June 30,
2020
 
 
Change in
Unrealized
(Gains)
Losses for
the Period
Included
in OCI for
Liabilities
still held
as of
June 30,
2020
(2)
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Medium-term notes
 
$
108
 
 
$
1
 
 
$
(13
)
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
-
 
 
$
96
 
 
$
1
 
 
$
(13
)
Credit derivatives
 
 
7
 
 
 
1
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
8
 
 
 
1
 
 
 
-
 
Other derivatives
 
 
34
 
 
 
3
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
37
 
 
 
3
 
 
 
-
 
Other payable
 
 
4
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
(4
)
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
Liabilities of consolidated VIEs:
 
 
 
 
 
 
 
 
 
 
 
 
VIE notes
 
 
347
 
 
 
(9
)
 
 
(38
)
 
 
-
 
 
 
-
 
 
 
(9
)
 
 
-
 
 
 
-
 
 
 
-
 
 
 
291
 
 
 
(12
)
 
 
(37
)
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Total liabilities
 
$
500
 
 
$
(4
)
 
$
(51
)
 
$
-
 
 
$
-
 
 
$
(13
)
 
$
-
 
 
$
-
 
 
$
-
 
 
$
432
 
 
$
(7
)
 
$
(50
)
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
 
(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 Year
 
 
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 June 30,
2019
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Medium-term notes
 
$
102
 
 
$
5
 
 
$
6
 
 
$
-
 
 
$
-
 
 
$
(3
)
 
$
-
 
 
$
-
 
 
$
-
 
 
$
110
 
 
$
4
 
Credit derivatives
 
 
33
 
 
 
(13
)
 
 
-
 
 
 
-
 
 
 
-
 
 
 
(2
)
 
 
-
 
 
 
-
 
 
 
-
 
 
 
18
 
 
 
(14
)
Other derivatives
 
 
7
 
 
 
9
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
16
 
 
 
9
 
Other payable
 
 
5
 
 
 
1
 
 
 
-
 
 
 
-
 
 
 
-
 
 
 
(3
)
 
 
-
 
 
 
-
 
 
 
-
 
 
 
3
 
 
 
1
 
Liabilities of consolidated VIEs:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
VIE notes
 
 
366
 
 
 
50
 
 
 
(7
)
 
 
-
 
 
 
4
 
 
 
(11
)
 
 
(60
)
 
 
-
 
 
 
-
 
 
 
342
 
 
 
43
 
                                                                                         
Total liabilities
 
$
513
 
 
$
52
 
 
$
(1
)
 
$
-
 
 
$
4
 
 
$
(19
)
 
$
(60
)
 
$
-
 
 
$
-
 
 
$
489
 
 
$
43
 
                                                                                         
 
(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 June 30, 2020
 
 
Three Months Ended June 30, 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
 
 
June 30,
 
 
Included
 
 
June 30,
 
In millions
 
in Earnings
 
 
2020
 
 
in Earnings
 
 
2019
 
Revenues:
    
 
      
 
      
 
      
 
  
Realized gains (losses) and other
settlements on insured derivatives
   $
-
     $
-
     $
(1
 )   $
-
  
Net gains (losses) on financial instruments
at fair value and foreign exchange
    
1
      
1
      
(6
 )    
(7
 )
Net investment losses related to other-than-temporary impairments
    
-
      
-
      
(1
 )    
-
  
Revenues of consolidated VIEs:
 
 
 
 
Net gains (losses) on financial instruments at fair value and foreign exchange
    
19
      
18
      
(3
 )    
(6
 )
 
 
 
    
 
 
    
 
 
    
 
 
  
Total
   $
20
     $
19
     $
(11
 )   $
(13
 )
 
 
 
    
 
 
    
 
 
    
 
 
  
Gains and losses (realized and unrealized) included in earnings relating to Level 3 assets and liabilities for the six months ended June 30, 2020 and 2019 are reported on the Company’s consolidated statements of operations as follows:
               
               
               
               
 
 
Six Months Ended June 30, 2020
 
 
Six Months Ended June 30, 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
 
 
June 30,
 
 
Included
 
 
June 30,
 
In millions
 
in Earnings
 
 
2020
 
 
in Earnings
 
 
2019
 
Revenues:
    
 
      
 
      
 
      
 
  
Unrealized gains (losses) on insured derivatives
   $
(1
 )   $
(1
 )   $
14
     $
14
  
Realized gains (losses) and other settlements on insured derivatives
    
-
      
-
      
(1
 )    
-
  
Net gains (losses) on financial
instruments at fair value and foreign exchange
    
(4
 )    
(4
 )    
(14
 )    
(13
 )
Net investment losses related to other-than-temporary impairments
    
-
      
-
      
(1
 )    
-
  
Other net realized gains (losses)
    
-
      
-
      
(1
 )    
(1
 )
Revenues of consolidated VIEs:
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
Net gains (losses) on financial instruments at fair value and
foreign exchange
    
36
      
38
      
(2
 )    
-
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total
   $
31
     $
33
     $
(5
 )   $
-
  
 
 
 
    
 
 
    
 
 
    
 
 
  
Changes In Fair Value Included In The Company's Consolidated Statements Of Operations
                                                                                         
 
  
Three Months Ended June 30,
  
Six Months Ended June 30,
In millions
  
2020
  
2019
  
2020
  
2019
Investments carried at fair value
(1)
   $
13
     $
4
     $
(7
 )   $
11
  
Fixed-maturity securities held at fair value-VIE
(2)
    
4
      
26
      
(2
 )    
56
  
Loans receivable at fair value:
    
 
      
 
      
 
      
 
  
Residential mortgage loans
(2)
    
22
      
1
      
(13
 )    
43
  
Loan repurchase commitments
(2)
    
18
      
9
      
38
      
10
  
Other assets-VIE
(2)
    
(1
 )    
-
      
(3
 )    
-
  
Medium-term notes
(1)
    
1
      
3
      
(1
 )    
(5
 )
Other liabilities
(3)
    
-
      
(1
 )    
-
      
(1
 )
Variable interest entity notes
(2)
    
(18
 )    
(24
 )    
9
      
(80
 )
 
(1) - Reported within “Net gains (losses) on financial instruments at fair value and foreign exchange” on MBIA’s consolidated statements of operations.
(2) - Reported within “Net gains (losses) on 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 June 30, 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 - current
   $
93
     $
93
     $
-
     $
107
     $
107
     $
-
  
Residential mortgage loans (90 days or more past due)
    
124
      
23
      
101
      
154
      
29
      
125
  
                                                 
Total loans receivable and other instruments at fair value
   $
217
     $
116
     $
101
     $
261
     $
136
     $
125
  
Variable interest entity notes
   $
1,097
     $
342
     $
755
     $
1,126
     $
403
     $
723
  
Medium-term notes
   $
112
     $
96
     $
16
     $
112
     $
108
     $
4