XML 49 R39.htm IDEA: XBRL DOCUMENT
v3.24.0.1

Derivative Instruments (Tables) | 12 Months Ended
--- | ---
Dec. 31, 2023
Text Block [Abstract] |
Credit Derivatives Sold |
$ in millions |  | As of December 31, 2023 |
|  |  |  | Notional Value |  |  |  |
Credit Derivatives Sold |  | Weighted Average Remaining Expected Maturity |  | AAA |  |  | AA |  |  | A |  |  | BBB |  |  | Below Investment Grade |  |  | Total Notional |  |  | Fair Value Asset (Liability) |
Insured swaps |  | 13.3 Years |  | $ | - |  |  | $ | 42 |  |  | $ | 962 |  |  | $ | 205 |  |  | $ | 60 |  |  | $ | 1,269 |  |  | $ | (1 | )
Total fair value |  |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | (1 | ) |  |  |  |  | $ | (1 | )
$ in millions |  | As of December 31, 2022 |
|  |  |  | Notional Value |  |  |  |
Credit Derivatives Sold |  | Weighted Average Remaining Expected Maturity |  | AAA |  |  | AA |  |  | A |  |  | BBB |  |  | Below Investment Grade |  |  | Total Notional |  |  | Fair Value Asset (Liability) |
Insured swaps |  | 13.7 Years |  | $ | - |  |  | $ | 50 |  |  | $ | 1,013 |  |  | $ | 227 |  |  | $ | 60 |  |  | $ | 1,350 |  |  | $ | - |
Total fair value |  |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  |  |  |  | $ | - |
Total Fair Value Of Company's Derivative Assets And Liabilities By Instrument And Balance Sheet Location, Before Counterparty Netting | The following tables present the total fair value of the Company’s derivative assets and liabilities by instrument and balance sheet location, before counterparty netting, as of December 31, 2023 and 2022:
|  |  | December 31, 2023 |
In millions |  |  |  |  | Derivative Assets |  |  | Derivative Liabilities |
|  |  | Notional |  |  |  |  |  |  |  |  |  |  |
|  |  | Amount |  |  |  |  | Fair |  |  |  |  | Fair |
Derivative Instruments |  | Outstanding |  |  | Balance Sheet Location |  | Value |  |  | Balance Sheet Location |  | Value |
Not designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |
| Insured swaps |  | $ | 1,269 |  |  | Other assets |  | $ | - |  |  | Derivative liabilities |  | $ | (1 | )
| Interest rate swaps |  |  | 55 |  |  | Other assets |  |  | - |  |  | Derivative liabilities |  |  | (1 | )
| Currency swaps-VIE |  |  | 39 |  |  | Other assets-VIE |  |  | - |  |  | Derivative liabilities-VIE |  |  | (14 | )
Total non-designated derivatives |  | $ | 1,363 |  |  |  |  | $ | - |  |  |  |  | $ | (16 | )
|  |  | December 31, 2022 |
In millions |  |  |  |  | Derivative Assets |  |  | Derivative Liabilities |
|  |  | Notional |  |  |  |  |  |  |  |  |  |  |
|  |  | Amount |  |  |  |  | Fair |  |  |  |  | Fair |
Derivative Instruments |  | Outstanding |  |  | Balance Sheet Location |  | Value |  |  | Balance Sheet Location |  | Value |
Not designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |
| Insured swaps |  | $ | 1,350 |  |  | Other assets |  | $ | - |  |  | Derivative liabilities |  | $ | - |
| Interest rate swaps |  |  | 380 |  |  | Other assets |  |  | - |  |  | Derivative liabilities |  |  | (49 | )
| Currency swaps-VIE |  |  | 36 |  |  | Other assets-VIE |  |  | - |  |  | Derivative liabilities-VIE |  |  | (6 | )
Total non-designated derivatives |  | $ | 1,766 |  |  |  |  | $ | - |  |  |  |  | $ | (55 | )
The Company has elected to bifurcate the complex interest calculations embedded in certain MTNs into separate derivatives. The fair value of the bifurcate embedded derivatives is measured quarterly and in accordance with the accounting guidance for derivative instruments and hedging activities, the balance sheet location of the Company’s embedded derivative instruments is determined by the location of the related host contract, MTNs. The change in fair value of the Company's embedded derivatives is primarily driven by the redemption of their related MTNs. As of December 31, 2023 and 2022, the Company had embedded derivative assets of $1 million and embedded derivative liabilities of $3 million and $2 million, respectively. MBIA Inc. and Subsidiaries Notes to Consolidated Financial Statements Note 9: Derivative Instruments (continued)
Effect Of Derivative Instruments On Consolidated Statements Of Operations | The following table presents the effect of derivative instruments on the consolidated statements of operations for the years ended December 31, 2023, 2022 and 2021:
In millions |  |  |  |  |  |  |  |  |  |  |
Derivatives Not Designated |  |  |  | Years Ended December 31, |
as Hedging Instruments |  | Location of Gain (Loss) Recognized in Income on Derivative |  | 2023 |  |  | 2022 |  |  | 2021 |
Insured swaps |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  | $ | - |  |  | $ | 1 |  |  | $ | - |
Interest rate swaps |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | 13 |  |  |  | 79 |  |  |  | 18 |
Currency swaps-VIE |  | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |  |  | (7 | ) |  |  | (15 | ) |  |  | 3 |
Total |  |  |  | $ | 6 |  |  | $ | 65 |  |  | $ | 21 |

X
- Definition Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4J -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4J Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4K -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4K Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4L -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4L + Details
Name: | us-gaap_DisclosureOfCreditDerivativesTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the location and amount of derivative instruments and nonderivative instruments designated as hedging instruments reported before netting adjustments, and the amount of gain (loss) on derivative instruments and nonderivative instruments designated and qualified as hedging instruments. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 4E -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4E Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4C Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4A -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4A + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsGainLossInStatementOfFinancialPerformanceTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4B + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsInStatementOfFinancialPositionFairValueTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- References No definition available. + Details
Name: | us-gaap_TextBlockAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration