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Fair Value of Financial Instruments (Tables) | 6 Months Ended
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Jun. 30, 2021
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, 2021 and December 31, 2020:
In millions |  | Fair Value as of June 30, 2021 |  | Valuation Techniques |  | Unobservable Input |  | Range (Weighted Average)
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |
Loans receivable at fair value |  | $ | 129 |  |  | Market prices adjusted for financial guarantees provided to VIE obligations |  | Impact of financial guarantee (2) |  |  | -34% - 69% (21%) (1) |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |
Variable interest entity notes |  |  | 290 |  |  | Market prices of VIE assets adjusted for financial guarantees provided |  | Impact of financial guarantee |  |  | 31% - 72% (58%) (1) |
(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.
In millions |  | Fair Value as of December 31, 2020 |  | Valuation Techniques |  | Unobservable Input |  | Range (Weighted Average)
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |
Loans receivable at fair value |  | $ | 120 |  |  | Market prices adjusted for financial guarantees provided to VIE obligations |  | Impact of financial guarantee (2) |  |  | -28% - 109% (22%) (1) |
Loan repurchase commitments |  |  | 604 |  |  | Discounted cash flow |  | Recovery value (3) |  |  |  |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |
Variable interest entity notes |  |  | 303 |  |  | Market prices of VIE assets adjusted for financial guarantees provided |  | Impact of financial guarantee |  |  | 30% - 73% (57%) (1) |
Other derivative liabilities |  |  | 49 |  |  | Discounted cash flow |  | Cash flows |  |  | $49 - $49 ($49) |
(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 value reflects an estimate of the amount to be awarded to the Company as part of litigation seeking to enforce its contractual rights.
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, 2021 and December 31, 2020:
|  | 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 June 30, 2021
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed-maturity investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury and government agency |  | $ | 707 |  |  | $ | 97 |  |  | $ | - |  |  | $ | 804 |
State and municipal bonds |  |  | - |  |  |  | 186 |  |  |  | - |  |  |  | 186 |
Foreign governments |  |  | - |  |  |  | 20 |  |  |  | - |  |  |  | 20 |
Corporate obligations |  |  | - |  |  |  | 990 |  |  |  | - |  |  |  | 990 |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage-backed agency |  |  | - |  |  |  | 228 |  |  |  | - |  |  |  | 228 |
Residential mortgage-backed non-agency |  |  | - |  |  |  | 102 |  |  |  | - |  |  |  | 102 |
Commercial mortgage-backed |  |  | - |  |  |  | 15 |  |  |  | - |  |  |  | 15 |
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateralized debt obligations |  |  | - |  |  |  | 140 |  |  |  | - |  |  |  | 140 |
Other asset-backed |  |  | - |  |  |  | 145 |  |  |  | - |  |  |  | 145 |
Total fixed-maturity investments |  |  | 707 |  |  |  | 1,923 |  |  |  | - |  |  |  | 2,630 |
Money market securities |  |  | 101 |  |  |  | - |  |  |  | - |  |  |  | 101 |
Perpetual debt and equity securities |  |  | 43 |  |  |  | 23 |  |  |  | - |  |  |  | 66 |
Cash and cash equivalents |  |  | 342 |  |  |  | - |  |  |  | - |  |  |  | 342 |
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 June 30, 2021
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate obligations |  |  | - |  |  |  | 5 |  |  |  | - |  |  |  | 5 |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage-backed non-agency |  |  | - |  |  |  | 28 |  |  |  | - |  |  |  | 28 |
Commercial mortgage-backed |  |  | - |  |  |  | 15 |  |  |  | - |  |  |  | 15 |
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateralized debt obligations |  |  | - |  |  |  | 7 |  |  |  | - |  |  |  | 7 |
Other asset-backed |  |  | - |  |  |  | 8 |  |  |  | - |  |  |  | 8 |
Cash |  |  | 5 |  |  |  | - |  |  |  | - |  |  |  | 5 |
Loans receivable at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential loans receivable |  |  | - |  |  |  | - |  |  |  | 129 |  |  |  | 129 |
Other assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Currency derivatives |  |  | - |  |  |  | - |  |  |  | 8 |  |  |  | 8 |
Other |  |  | - |  |  |  | - |  |  |  | 13 |  |  |  | 13 |
Total assets |  | $ | 1,198 |  |  | $ | 2,010 |  |  | $ | 150 |  |  | $ | 3,358 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Medium-term notes |  | $ | - |  |  | $ | - |  |  | $ | 105 |  |  | $ | 105 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Insured derivatives: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | 1 |
Non-insured derivatives: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives |  |  | - |  |  |  | 139 |  |  |  | - |  |  |  | 139 |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable interest entity notes |  |  | - |  |  |  | 31 |  |  |  | 290 |  |  |  | 321 |
Total liabilities |  | $ | - |  |  | $ | 171 |  |  | $ | 395 |  |  | $ | 566 |
|  | 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, 2020
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed-maturity investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury and government agency |  | $ | 750 |  |  | $ | 105 |  |  | $ | - |  |  | $ | 855 |
State and municipal bonds |  |  | - |  |  |  | 195 |  |  |  | - |  |  |  | 195 |
Foreign governments |  |  | - |  |  |  | 15 |  |  |  | - |  |  |  | 15 |
Corporate obligations |  |  | - |  |  |  | 975 |  |  |  | - |  |  |  | 975 |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage-backed agency |  |  | - |  |  |  | 319 |  |  |  | - |  |  |  | 319 |
Residential mortgage-backed non-agency |  |  | - |  |  |  | 32 |  |  |  | - |  |  |  | 32 |
Commercial mortgage-backed |  |  | - |  |  |  | 20 |  |  |  | - |  |  |  | 20 |
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateralized debt obligations |  |  | - |  |  |  | 121 |  |  |  | - |  |  |  | 121 |
Other asset-backed |  |  | - |  |  |  | 141 |  |  |  | - |  |  |  | 141 |
Total fixed-maturity investments |  |  | 750 |  |  |  | 1,923 |  |  |  | - |  |  |  | 2,673 |
Money market securities |  |  | 1 |  |  |  | - |  |  |  | - |  |  |  | 1 |
Perpetual debt and equity securities |  |  | 37 |  |  |  | 25 |  |  |  | - |  |  |  | 62 |
Cash and cash equivalents |  |  | 158 |  |  |  | - |  |  |  | - |  |  |  | 158 |
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, 2020
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate obligations |  |  | - |  |  |  | 6 |  |  |  | - |  |  |  | 6 |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage-backed non-agency |  |  | - |  |  |  | 40 |  |  |  | - |  |  |  | 40 |
Commercial mortgage-backed |  |  | - |  |  |  | 16 |  |  |  | - |  |  |  | 16 |
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateralized debt obligations |  |  | - |  |  |  | 8 |  |  |  | - |  |  |  | 8 |
Other asset-backed |  |  | - |  |  |  | 7 |  |  |  | - |  |  |  | 7 |
Cash |  |  | 9 |  |  |  | - |  |  |  | - |  |  |  | 9 |
Loans receivable at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential loans receivable |  |  | - |  |  |  | - |  |  |  | 120 |  |  |  | 120 |
Loan repurchase commitments |  |  | - |  |  |  | - |  |  |  | 604 |  |  |  | 604 |
Other assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Currency derivatives |  |  | - |  |  |  | - |  |  |  | 6 |  |  |  | 6 |
Other |  |  | - |  |  |  | - |  |  |  | 14 |  |  |  | 14 |
Total assets |  | $ | 955 |  |  | $ | 2,026 |  |  | $ | 744 |  |  | $ | 3,725 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Medium-term notes |  | $ | - |  |  | $ | - |  |  | $ | 110 |  |  | $ | 110 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Insured derivatives: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  |  | - |  |  |  | 2 |  |  |  | - |  |  |  | 2 |
Non-insured derivatives: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives |  |  | - |  |  |  | 164 |  |  |  | - |  |  |  | 164 |
Other |  |  | - |  |  |  | - |  |  |  | 49 |  |  |  | 49 |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable interest entity notes |  |  | - |  |  |  | 47 |  |  |  | 303 |  |  |  | 350 |
Total liabilities |  | $ | - |  |  | $ | 213 |  |  | $ | 462 |  |  | $ | 675 |
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, 2021 |  | Carry Value Balance as of June 30, 2021
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Long-term debt |  | $ | - |  |  | $ | 595 |  |  | $ | - |  |  | $ | 595 |  |  | $ | 2,283 |
Medium-term notes |  |  | - |  |  |  | - |  |  |  | 328 |  |  |  | 328 |  |  |  | 532 |
Investment agreements |  |  | - |  |  |  | - |  |  |  | 358 |  |  |  | 358 |  |  |  | 269 |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable interest entity notes |  |  | - |  |  |  | 133 |  |  |  | - |  |  |  | 133 |  |  |  | 129 |
Total liabilities |  | $ | - |  |  | $ | 728 |  |  | $ | 686 |  |  | $ | 1,414 |  |  | $ | 3,213 |
Financial Guarantees: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Gross liability (recoverable) |  | $ | - |  |  | $ | - |  |  | $ | 921 |  |  | $ | 921 |  |  | $ | (235 | )
Ceded recoverable (liability) |  |  | - |  |  |  | - |  |  |  | 47 |  |  |  | 47 |  |  |  | (20 | )
|  | 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, 2020 |  | Carry Value Balance as of December 31, 2020
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Long-term debt |  | $ | - |  |  | $ | 631 |  |  | $ | - |  |  | $ | 631 |  |  | $ | 2,229 |
Medium-term notes |  |  | - |  |  |  | - |  |  |  | 396 |  |  |  | 396 |  |  |  | 598 |
Investment agreements |  |  | - |  |  |  | - |  |  |  | 376 |  |  |  | 376 |  |  |  | 269 |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable interest entity notes |  |  | - |  |  |  | 276 |  |  |  | - |  |  |  | 276 |  |  |  | 273 |
Total liabilities |  | $ | - |  |  | $ | 907 |  |  | $ | 772 |  |  | $ | 1,679 |  |  | $ | 3,369 |
Financial Guarantees: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Gross liability (recoverable) |  | $ | - |  |  | $ | - |  |  | $ | 811 |  |  | $ | 811 |  |  | $ | (282 | )
Ceded recoverable (liability) |  |  | - |  |  |  | - |  |  |  | 45 |  |  |  | 45 |  |  |  | (17 | )
Changes In Level 3 Assets 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 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, 2021 |  | Change in Unrealized Gains (Losses) for the Period Included in OCI for Assets still held as of June 30, 2021 (1)
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans receivable- residential |  | $ | 124 |  |  | $ | 24 |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | (5 | ) |  | $ | (14 | ) |  | $ | - |  |  | $ | - |  |  | $ | 129 |  |  | $ | 24 |  |  | $ | - |
Currency derivatives |  |  | 9 |  |  |  | (1 | ) |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 8 |  |  |  | (1 | ) |  |  | - |
Other |  |  | 14 |  |  |  | (1 | ) |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 13 |  |  |  | (1 | ) |  |  | - |
Total assets |  | $ | 147 |  |  | $ | 22 |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | (5 | ) |  | $ | (14 | ) |  | $ | - |  |  | $ | - |  |  | $ | 150 |  |  | $ | 22 |  |  | $ | - |
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 |  |  | $ | - |
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, 2021 |  | Change in Unrealized Gains (Losses) for the Period Included in OCI for Assets still held as of June 30, 2021 (1)
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans receivable- residential |  | $ | 120 |  |  | $ | 34 |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | (11 | ) |  | $ | (14 | ) |  | $ | - |  |  | $ | - |  |  | $ | 129 |  |  | $ | 31 |  |  | $ | - |  |
Loan repurchase commitments |  |  | 604 |  |  |  | (4 | ) |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (600 | ) |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |
Currency derivatives |  |  | 6 |  |  |  | 2 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 8 |  |  |  | 2 |  |  |  | - |  |
Other |  |  | 14 |  |  |  | (1 | ) |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 13 |  |  |  | (1 | ) |  |  | - |  |
Total assets |  | $ | 744 |  |  | $ | 31 |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | (611 | ) |  | $ | (14 | ) |  | $ | - |  |  | $ | - |  |  | $ | 150 |  |  | $ | 32 |  |  | $ | - |  |
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 Earnings 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 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 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, 2021 |  | Change in Unrealized (Gains) Losses for the Period Included in OCI for Liabilities still held as of June 30, 2021 (2)
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Medium-term notes |  | $ | 105 |  |  | $ | (2 | ) |  | $ | 2 |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 105 |  |  | $ | (2 | ) |  | $ | 2 |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
VIE notes |  |  | 280 |  |  |  | 26 |  |  |  | (8 | ) |  |  | - |  |  |  | - |  |  |  | (3 | ) |  |  | (5 | ) |  |  | - |  |  |  | - |  |  |  | 290 |  |  |  | 24 |  |  |  | (7 | )
Total liabilities |  | $ | 385 |  |  | $ | 24 |  |  | $ | (6 | ) |  | $ | - |  |  | $ | - |  |  | $ | (3 | ) |  | $ | (5 | ) |  | $ | - |  |  | $ | - |  |  | $ | 395 |  |  | $ | 22 |  |  | $ | (5 | )
(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 (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 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, 2021 |  | Change in Unrealized (Gains) Losses for the Period Included in OCI for Liabilities still held as of June 30, 2021 (2)
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Medium-term notes |  | $ | 110 |  |  | $ | (9 | ) |  | $ | 4 |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 105 |  |  | $ | (9 | ) |  | $ | 4 |
Other derivatives |  |  | 49 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (49 | ) |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
VIE notes |  |  | 303 |  |  |  | 48 |  |  |  | (24 | ) |  |  | - |  |  |  | - |  |  |  | (32 | ) |  |  | (5 | ) |  |  | - |  |  |  | - |  |  |  | 290 |  |  |  | 28 |  |  |  | (5 | )
Total liabilities |  | $ | 462 |  |  | $ | 39 |  |  | $ | (20 | ) |  | $ | - |  |  | $ | - |  |  | $ | (81 | ) |  | $ | (5 | ) |  | $ | - |  |  | $ | - |  |  | $ | 395 |  |  | $ | 19 |  |  | $ | (1 | )
(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 (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) - | 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 | Gains and losses (realized and unrealized) included in earnings related to Level 3 assets and liabilities for the three months ended June 30, 2021 and 2020 are reported on the Company’s consolidated statements of operations as follows:
|  | Three Months Ended June 30, 2021 |  | Three Months Ended June 30, 2020
In millions |  | Total Gains (Losses) Included in Earnings |  | Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets and Liabilities still held as of June 30, 2021 |  | Total Gains (Losses) Included in Earnings |  | Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets and Liabilities still held as of June 30, 2020
Revenues: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net gains (losses) on financial instruments at fair value and foreign exchange |  | $ | 2 |  |  | $ | 2 |  |  | $ | 1 |  |  | $ | 1 |
Revenues of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | (4 | ) |  |  | (2 | ) |  |  | 19 |  |  |  | 18 |
Total |  | $ | (2 | ) |  | $ | - |  |  | $ | 20 |  |  | $ | 19 |
Gains and losses (realized and unrealized) included in earnings relating to Level 3 assets and liabilities for the six months ended June 30, 2021 and 2020 are reported on the Company’s consolidated statements of operations as follows:
|  | Six Months Ended June 30, 2021 |  | Six Months Ended June 30, 2020
In millions |  | Total Gains (Losses) Included in Earnings |  | Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets and Liabilities still held as of June 30, 2021 |  | Total Gains (Losses) Included in Earnings |  | Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets and Liabilities still held as of June 30, 2020
Revenues: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized gains (losses) on insured derivatives |  | $ | - |  |  | $ | - |  |  | $ | (1 | ) |  | $ | (1 | )
Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | 9 |  |  |  | 9 |  |  |  | (4 | ) |  |  | (4 | )
Revenues of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | (17 | ) |  |  | 4 |  |  |  | 36 |  |  |  | 38 |
Total |  | $ | (8 | ) |  | $ | 13 |  |  | $ | 31 |  |  | $ | 33 |
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 |  | 2021 |  | 2020 |  | 2021 |  | 2020
Investments carried at fair value (1) |  | $ | 3 |  |  | $ | 13 |  |  | $ | 6 |  |  | $ | (7 | )
Fixed-maturity securities held at fair value-VIE (2) |  |  | 1 |  |  |  | 4 |  |  |  | 2 |  |  |  | (2 | )
Loans receivable at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage loans (2) |  |  | 24 |  |  |  | 22 |  |  |  | 34 |  |  |  | (13 | )
Loan repurchase commitments (2) |  |  | - |  |  |  | 18 |  |  |  | (4 | ) |  |  | 38 |
Other assets-VIE (2) |  |  | (1 | ) |  |  | (1 | ) |  |  | (1 | ) |  |  | (3 | )
Medium-term notes (1) |  |  | 2 |  |  |  | 1 |  |  |  | 9 |  |  |  | (1 | )
Variable interest entity notes (2) |  |  | (26 | ) |  |  | (18 | ) |  |  | (50 | ) |  |  | 9 |
(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.
Difference Between Aggregate Fair Value And The Aggregate Remaining Contractual Principal Balance Outstanding |
|  | As of June 30, 2021 |  | As of December 31, 2020
|  | Contractual |  |  |  |  |  | Contractual |  |  |  |
|  | Outstanding |  | Fair |  |  |  | Outstanding |  | Fair |  |
In millions |  | Principal |  | Value |  | Difference |  | Principal |  | Value |  | Difference
Loans receivable at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage loans - current |  | $ | 72 |  |  | $ | 72 |  |  | $ | - |  |  | $ | 89 |  |  | $ | 89 |  |  | $ | - |
Residential mortgage loans (90 days or more past due) |  |  | 145 |  |  |  | 57 |  |  |  | 88 |  |  |  | 147 |  |  |  | 31 |  |  |  | 116 |
Total loans receivable and other instruments at fair value |  | $ | 217 |  |  | $ | 129 |  |  | $ | 88 |  |  | $ | 236 |  |  | $ | 120 |  |  | $ | 116 |
Variable interest entity notes |  | $ | 951 |  |  | $ | 321 |  |  | $ | 630 |  |  | $ | 1,117 |  |  | $ | 350 |  |  | $ | 767 |
Medium-term notes |  | $ | 119 |  |  | $ | 105 |  |  | $ | 14 |  |  | $ | 122 |  |  | $ | 110 |  |  | $ | 12 |

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