☒ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
☐ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Connecticut | 06-1185706 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) | |
1 Manhattanville Road, Suite 301, Purchase, New York | 10577 | |
(Address of principal executive offices) | (Zip Code) |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||
Common Stock | MBI | New York Stock Exchange |
Large accelerated filer | ☐ | Accelerated filer | ☒ | |||
Non-accelerated filer | ☐ | Smaller reporting company | ☐ | |||
Emerging growth company | ☐ |
PAGE | ||||||
Item 1. | ||||||
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2 | ||||||
3 | ||||||
4 | ||||||
5 | ||||||
6 | ||||||
6 | ||||||
8 | ||||||
9 | ||||||
10 | ||||||
30 | ||||||
34 | ||||||
36 | ||||||
37 | ||||||
38 | ||||||
Item 2. | ||||||
Item 3. | ||||||
Item 4. | ||||||
June 30, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Investments: | ||||||||
Fixed-maturity securities held as available-for-sale, | $ | 2,154 | $ | 2,257 | ||||
Investments carried at fair value | 223 | 196 | ||||||
Investments pledged as collateral, at fair value (amortized cost $2 and $6) | 2 | 1 | ||||||
Short-term investments, at fair value (amortized cost $418 and $281) | 418 | 282 | ||||||
Total investments | 2,797 | 2,736 | ||||||
Cash and cash equivalents | 342 | 158 | ||||||
Premiums receivable (net of allowance for credit losses $5 and $5) | 206 | 216 | ||||||
Deferred acquisition costs | 46 | 50 | ||||||
Insurance loss recoverable | 1,561 | 1,677 | ||||||
Other assets | 82 | 84 | ||||||
Assets of consolidated variable interest entities: | ||||||||
Cash | 5 | 9 | ||||||
Investments carried at fair value | 63 | 77 | ||||||
Loans receivable at fair value | 129 | 120 | ||||||
Loan repurchase commitments | 0 | 604 | ||||||
Other assets | 21 | 20 | ||||||
Total assets | $ | 5,252 | $ | 5,751 | ||||
Liabilities and Equity | ||||||||
Liabilities: | ||||||||
Unearned premium revenue | $ | 372 | $ | 405 | ||||
Loss and loss adjustment expense reserves | 954 | 990 | ||||||
Long-term debt | 2,283 | 2,229 | ||||||
Medium-term notes (includes financial instruments carried at fair value of $105 and $110) | 638 | 710 | ||||||
Investment agreements | 269 | 269 | ||||||
Derivative liabilities | 140 | 215 | ||||||
Other liabilities | 169 | 161 | ||||||
Liabilities of consolidated variable interest entities: | ||||||||
Variable interest entity notes (includes financial instruments carried at fair value of $321 and $350) | 450 | 623 | ||||||
Total liabilities | 5,275 | 5,602 | ||||||
Commitments and contingencies (Refer to Note 13: Commitments and Contingencies) | 0 | 0 | ||||||
Equity: | ||||||||
Preferred stock, par value $1 per share; authorized shares issued and outstanding - 10,000,000; - 0ne | 0 | 0 | ||||||
Common stock, par value $1 per share; authorized shares issued - 400,000,000;shares - 283,186,115 and 283,186,115 | 283 | 283 | ||||||
Additional paid-in capital | 2,934 | 2,962 | ||||||
Retained earnings (deficit) | (180 | ) | (13 | ) | ||||
Accumulated other comprehensive income (loss), net of tax of $8 and $8 | 103 | 115 | ||||||
Treasury stock, at cost and 229,508,967 shares - 228,780,540 | (3,176 | ) | (3,211 | ) | ||||
Total shareholders’ equity of MBIA Inc. | (36 | ) | 136 | |||||
Preferred stock of subsidiary | 13 | 13 | ||||||
Total equity | (23 | ) | 149 | |||||
Total liabilities and equity | $ | 5,252 | $ | 5,751 | ||||
June 30, 2022 | December 31, 2021 | |||||||
Assets | ||||||||
Investments: | ||||||||
Fixed-maturity securities held as available-for-sale, at fair value (net of allowance for credit losses $3 and $-, amortized cost $2,350 and $2,016) | $ | 2,188 | $ | 2,157 | ||||
Investments carried at fair value | 332 | 258 | ||||||
Investments pledged as collateral, at fair value (amortized cost $- and $4) | - | 4 | ||||||
Short-term investments, at fair value (amortized cost $458 and $374) | 458 | 374 | ||||||
Total investments | 2,978 | 2,793 | ||||||
Cash and cash equivalents | 202 | 151 | ||||||
Premiums receivable (net of allowance for credit losses $5 and $5) | 171 | 178 | ||||||
Deferred acquisition costs | 39 | 42 | ||||||
Insurance loss recoverable | 443 | 1,296 | ||||||
Other assets | 85 | 67 | ||||||
Assets of consolidated variable interest entities: | ||||||||
Cash | 5 | 9 | ||||||
Investments carried at fair value | 51 | 60 | ||||||
Loans receivable at fair value | 68 | 77 | ||||||
Other assets | 25 | 23 | ||||||
Total assets | $ | 4,067 | $ | 4,696 | ||||
Liabilities and Equity | ||||||||
Liabilities: | ||||||||
Unearned premium revenue | $ | 297 | $ | 322 | ||||
Loss and loss adjustment expense reserves | 965 | 894 | ||||||
Long-term debt | 2,359 | 2,331 | ||||||
Medium-term notes (includes financial instruments carried at fair value of $42 and $98) | 493 | 590 | ||||||
Investment agreements | 277 | 274 | ||||||
Derivative liabilities | 72 | 131 | ||||||
Other liabilities | 122 | 163 | ||||||
Liabilities of consolidated variable interest entities: | ||||||||
Variable interest entity notes carried at fair value | 217 | 291 | ||||||
Total liabilities | 4,802 | 4,996 | ||||||
Commitments and contingencies (Refer to Note 13: Commitments and Contingencies) | 0 | 0 | ||||||
Equity: | ||||||||
Preferred stock, par value $1 per share; authorized shares -- 10,000,000; issued and outstanding — NaN | - | - | ||||||
Common stock, par value $1 per share; authorized shares -- 400,000,000; issued shares -- 283,186,115 and 283,186,115 | 283 | 283 | ||||||
Additional paid-in capital | 2,919 | 2,931 | ||||||
Retained earnings (deficit) | (567 | ) | (458 | ) | ||||
Accumulated other comprehensive income (loss), net of tax of $8 and $8 | (231 | ) | 100 | |||||
Treasury stock, at cost -- 228,286,399 and 228,630,003 shares | (3,152 | ) | (3,169 | ) | ||||
Total shareholders’ equity of MBIA Inc. | (748 | ) | (313 | ) | ||||
Preferred stock of subsidiary | 13 | 13 | ||||||
Total equity | (735 | ) | (300 | ) | ||||
Total liabilities and equity | $ | 4,067 | $ | 4,696 | ||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Revenues | ||||||||||||||||
Premiums earned: | ||||||||||||||||
Scheduled premiums earned | $ | 12 | $ | 15 | $ | 27 | $ | 31 | ||||||||
Refunding premiums earned | 2 | 4 | 7 | 8 | ||||||||||||
Premiums earned (net of ceded premiums of $1, $1, $2 and $2) | 14 | 19 | 34 | 39 | ||||||||||||
Net investment income | 14 | 20 | 29 | 43 | ||||||||||||
Fees and reimbursements | 1 | 0 | 1 | 0 | ||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | (20 | ) | 24 | 31 | (39 | ) | ||||||||||
Net gains (losses) on extinguishment of debt | 14 | 0 | 14 | 0 | ||||||||||||
Revenues of consolidated variable interest entities: | ||||||||||||||||
Net investment income | 0 | 5 | 0 | 13 | ||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 0 | 23 | (14 | ) | 38 | |||||||||||
Other net realized gains (losses) | (5 | ) | 23 | (5 | ) | 14 | ||||||||||
Total revenues | 18 | 114 | 90 | 108 | ||||||||||||
Expenses | ||||||||||||||||
Losses and loss adjustment | 9 | 136 | 107 | 379 | ||||||||||||
Amortization of deferred acquisition costs | 3 | 3 | 5 | 5 | ||||||||||||
Operating | 21 | 22 | 47 | 40 | ||||||||||||
Interest | 41 | 45 | 82 | 92 | ||||||||||||
Expenses of consolidated variable interest entities: | ||||||||||||||||
Operating | 1 | 1 | 3 | 3 | ||||||||||||
Interest | 4 | 13 | 13 | 28 | ||||||||||||
Total expenses | 79 | 220 | 257 | 547 | ||||||||||||
Income (loss) before income taxes | (61 | ) | (106 | ) | (167 | ) | (439 | ) | ||||||||
Provision (benefit) for income taxes | 0 | 0 | 0 | 0 | ||||||||||||
Net income (loss) | $ | (61 | ) | $ | (106 | ) | $ | (167 | ) | $ | (439 | ) | ||||
Net income (loss) per common share | ||||||||||||||||
Basic | $ | (1.23 | ) | $ | (1.69 | ) | $ | (3.38 | ) | $ | (6.51 | ) | ||||
Diluted | $ | (1.23 | ) | $ | (1.69 | ) | $ | (3.38 | ) | $ | (6.51 | ) | ||||
Weighted average number of common shares outstanding | ||||||||||||||||
Basic | 49,488,368 | 62,605,656 | 49,373,883 | 67,347,335 | ||||||||||||
Diluted | 49,488,368 | 62,605,656 | 49,373,883 | 67,347,335 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Revenues | ||||||||||||||||
Premiums earned: | ||||||||||||||||
Scheduled premiums earned | $ | 10 | $ | 12 | $ | 21 | $ | 27 | ||||||||
Refunding premiums earned | 1 | 2 | 5 | 7 | ||||||||||||
Premiums earned (net of ceded premiums of $- , $1, $1 and $2) | 11 | 14 | 26 | 34 | ||||||||||||
Net investment income | 25 | 14 | 43 | 29 | ||||||||||||
Net realized investment gains (losses) | (21 | ) | - | (24 | ) | (1 | ) | |||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 9 | (20 | ) | 26 | 32 | |||||||||||
Net gains (losses) on extinguishment of debt | 4 | 14 | 4 | 14 | ||||||||||||
Fees and reimbursements | 4 | 1 | 4 | 1 | ||||||||||||
Other net realized gains (losses) | (16 | ) | - | (19 | ) | - | ||||||||||
Revenues of consolidated variable interest entities: | ||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 24 | - | 20 | (14 | ) | |||||||||||
Other net realized gains (losses) | - | (5 | ) | - | (5 | ) | ||||||||||
Total revenues | 40 | 18 | 80 | 90 | ||||||||||||
Expenses | ||||||||||||||||
Losses and loss adjustment | 20 | 9 | 69 | 107 | ||||||||||||
Amortization of deferred acquisition costs | 1 | 3 | 3 | 5 | ||||||||||||
Operating | 11 | 21 | 30 | 47 | ||||||||||||
Interest | 43 | 41 | 84 | 82 | ||||||||||||
Expenses of consolidated variable interest entities: | ||||||||||||||||
Operating | 1 | 1 | 3 | 3 | ||||||||||||
Interest | - | 4 | - | 13 | ||||||||||||
Total expenses | 76 | 79 | 189 | 257 | ||||||||||||
Income (loss) before income taxes | (36 | ) | (61 | ) | (109 | ) | (167 | ) | ||||||||
Provision (benefit) for income taxes | - | - | - | - | ||||||||||||
Net income (loss) | $ | (36 | ) | $ | (61 | ) | $ | (109 | ) | $ | (167 | ) | ||||
Net income (loss) per common share | ||||||||||||||||
Basic | $ | (0.72 | ) | $ | (1.23 | ) | $ | (2.20 | ) | $ | (3.38 | ) | ||||
Diluted | $ | (0.72 | ) | $ | (1.23 | ) | $ | (2.20 | ) | $ | (3.38 | ) | ||||
Weighted average number of common shares outstanding | ||||||||||||||||
Basic | 49,826,695 | 49,488,368 | 49,729,610 | 49,373,883 | ||||||||||||
Diluted | 49,826,695 | 49,488,368 | 49,729,610 | 49,373,883 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Net income (loss) | $ | (61 | ) | $ | (106 | ) | $ | (167 | ) | $ | (439 | ) | ||||
Other comprehensive income (loss): | ||||||||||||||||
Available-for-sale | ||||||||||||||||
Unrealized gains (losses) arising during the period | 55 | 40 | (32 | ) | 88 | |||||||||||
Reclassification adjustments for (gains) losses included in net income (loss) | (3 | ) | (5 | ) | (8 | ) | (8 | ) | ||||||||
Foreign currency translation: | ||||||||||||||||
Foreign currency translation gains (losses) | 2 | (1 | ) | 3 | (1 | ) | ||||||||||
Instrument-specific credit risk of liabilities measured at fair value: | ||||||||||||||||
Unrealized gains (losses) arising during the period | 6 | 3 | 1 | 49 | ||||||||||||
Reclassification adjustments for (gains) losses included in net income (loss) | 4 | 1 | 24 | 3 | ||||||||||||
Total other comprehensive income (loss) | 64 | 38 | (12 | ) | 131 | |||||||||||
Comprehensive income (loss) | $ | 3 | $ | (68 | ) | $ | (179 | ) | $ | (308 | ) | |||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Net income (loss) | $ | (36 | ) | $ | (61 | ) | $ | (109 | ) | $ | (167 | ) | ||||
Other comprehensive income (loss): | ||||||||||||||||
Available-for-sale securities with no credit losses: | ||||||||||||||||
Unrealized gains (losses) arising during the period | (126 | ) | 55 | (297 | ) | (32 | ) | |||||||||
Reclassification adjustments for (gains) losses included in net income (loss) | (2 | ) | (3 | ) | (2 | ) | (8 | ) | ||||||||
Available-for-sale securities with credit losses: | ||||||||||||||||
Unrealized gains (losses) arising during the period | (1 | ) | - | (1 | ) | - | ||||||||||
Foreign currency translation: | ||||||||||||||||
Foreign currency translation gains (losses) | 1 | 2 | 1 | 3 | ||||||||||||
Instrument-specific credit risk of liabilities measured at fair value: | ||||||||||||||||
Unrealized gains (losses) arising during the period | (6 | ) | 6 | (20 | ) | 1 | ||||||||||
Reclassification | (15 | ) | 4 | (12 | ) | 24 | ||||||||||
Total other comprehensive income (loss) | (149 | ) | 64 | (331 | ) | (12 | ) | |||||||||
Comprehensive income (loss) | $ | (185 | ) | $ | 3 | $ | (440 | ) | $ | (179 | ) | |||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Common shares | ||||||||||||||||
Balance at beginning and end of period | 283,186,115 | 283,433,401 | 283,186,115 | 283,433,401 | ||||||||||||
Common stock amount | ||||||||||||||||
Balance at beginning and end of period | $ | 283 | $ | 283 | $ | 283 | $ | 283 | ||||||||
Additional paid-in capital | ||||||||||||||||
Balance at beginning of period | $ | 2,934 | $ | 2,961 | $ | 2,962 | $ | 2,999 | ||||||||
Period change | 0 | (3 | ) | (28 | ) | (41 | ) | |||||||||
Balance at end of period | $ | 2,934 | $ | 2,958 | $ | 2,934 | $ | 2,958 | ||||||||
Retained earnings | ||||||||||||||||
Balance at beginning of period | $ | (119 | ) | $ | 232 | $ | (13 | ) | $ | 607 | ||||||
ASU 2016-13 transition adjustment | 0 | 0 | 0 | (42 | ) | |||||||||||
Net income (loss) | (61 | ) | (106 | ) | (167 | ) | (439 | ) | ||||||||
Balance at end of period | $ | (180 | ) | $ | 126 | $ | (180 | ) | $ | 126 | ||||||
Accumulated other comprehensive income (loss) | ||||||||||||||||
Balance at beginning of period | $ | 39 | $ | 91 | $ | 115 | $ | (2 | ) | |||||||
Other comprehensive income (lo s s) | 64 | 38 | (12 | ) | 131 | |||||||||||
Balance at end of period | $ | 103 | $ | 129 | $ | 103 | $ | 129 | ||||||||
Treasury shares | ||||||||||||||||
Balance at beginning of period | (228,837,465 | ) | (211,272,995 | ) | (229,508,967 | ) | (204,000,108 | ) | ||||||||
Treasury shares acquired under share repurchase program | 0 | (9,765,326 | ) | 0 | (17,848,082 | ) | ||||||||||
Other | 56,925 | 114,240 | 728,427 | 924,109 | ||||||||||||
Balance at end of period | (228,780,540 | ) | (220,924,081 | ) | (228,780,540 | ) | (220,924,081 | ) | ||||||||
Treasury stock amount | ||||||||||||||||
Balance at beginning of period | $ | (3,179 | ) | $ | (3,083 | ) | $ | (3,211 | ) | $ | (3,061 | ) | ||||
Treasury shares acquired under share repurchase program | 0 | (71 | ) | 0 | (136 | ) | ||||||||||
Other | 3 | 5 | 35 | 48 | ||||||||||||
Balance at end of period | $ | (3,176 | ) | $ | (3,149 | ) | $ | (3,176 | ) | $ | (3,149 | ) | ||||
Total shareholders’ equity of MBIA Inc. | ||||||||||||||||
Balance at beginning of period | $ | (42 | ) | $ | 484 | $ | 136 | $ | 826 | |||||||
Period change | 6 | (137 | ) | (172 | ) | (479 | ) | |||||||||
Balance at end of period | $ | (36 | ) | $ | 347 | $ | (36 | ) | $ | 347 | ||||||
Preferred stock of subsidiary shares | ||||||||||||||||
Balance at beginning and end of period | 1,315 | 1,315 | 1,315 | 1,315 | ||||||||||||
Preferred stock of subsidiary amount | ||||||||||||||||
Balance at beginning and end of period | $ | 13 | $ | 13 | $ | 13 | $ | 13 | ||||||||
Total equity | $ | (23 | ) | $ | 360 | $ | (23 | ) | $ | 360 | ||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Common shares | ||||||||||||||||
Balance at beginning and end of period | 283,186,115 | 283,186,115 | 283,186,115 | 283,186,115 | ||||||||||||
Common stock amount | ||||||||||||||||
Balance at beginning and end of period | $ | 283 | $ | 283 | $ | 283 | $ | 283 | ||||||||
Additional paid-in capital | ||||||||||||||||
Balance at beginning of period | $ | 2,919 | $ | 2,934 | $ | 2,931 | $ | 2,962 | ||||||||
Period change | - | - | (12 | ) | (28 | ) | ||||||||||
Balance at end of period | $ | 2,919 | $ | 2,934 | $ | 2,919 | $ | 2,934 | ||||||||
Retained earnings | ||||||||||||||||
Balance at beginning of period | $ | (531 | ) | $ | (119 | ) | $ | (458 | ) | $ | (13 | ) | ||||
Net income (loss) | (36 | ) | (61 | ) | (109 | ) | (167 | ) | ||||||||
Balance at end of period | $ | (567 | ) | $ | (180 | ) | $ | (567 | ) | $ | (180 | ) | ||||
Accumulated other comprehensive income (loss) | ||||||||||||||||
Balance at beginning of period | $ | (82 | ) | $ | 39 | $ | 100 | $ | 115 | |||||||
Other comprehensive income (loss) | (149 | ) | 64 | (331 | ) | (12 | ) | |||||||||
Balance at end of period | $ | (231 | ) | $ | 103 | $ | (231 | ) | $ | 103 | ||||||
Treasury shares | ||||||||||||||||
Balance at beginning of period | (228,329,115 | ) | (228,837,465 | ) | (228,630,003 | ) | (229,508,967 | ) | ||||||||
Other | 42,716 | 56,925 | 343,604 | 728,427 | ||||||||||||
Balance at end of period | (228,286,399 | ) | (228,780,540 | ) | (228,286,399 | ) | (228,780,540 | ) | ||||||||
Treasury stock amount | ||||||||||||||||
Balance at beginning of period | $ | (3,154 | ) | $ | (3,179 | ) | $ | (3,169 | ) | $ | (3,211 | ) | ||||
Other | 2 | 3 | 17 | 35 | ||||||||||||
Balance at end of period | $ | (3,152 | ) | $ | (3,176 | ) | $ | (3,152 | ) | $ | (3,176 | ) | ||||
Total shareholders’ equity of MBIA Inc. | ||||||||||||||||
Balance at beginning of period | $ | (565 | ) | $ | (42 | ) | $ | (313 | ) | $ | 136 | |||||
Period change | (183 | ) | 6 | (435 | ) | (172 | ) | |||||||||
Balance at end of period | $ | (748 | ) | $ | (36 | ) | $ | (748 | ) | $ | (36 | ) | ||||
Preferred stock of subsidiary shares | ||||||||||||||||
Balance at beginning and end of period | 1,315 | 1,315 | 1,315 | 1,315 | ||||||||||||
Preferred stock of subsidiary amount | ||||||||||||||||
Balance at beginning and end of period | $ | 13 | $ | 13 | $ | 13 | $ | 13 | ||||||||
Total equity | $ | (735 | ) | $ | (23 | ) | $ | (735 | ) | $ | (23 | ) | ||||
Six Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2021 | 2020 | 2022 | 2021 | |||||||||||||
Cash flows from operating activities: | ||||||||||||||||
Premiums, fees and reimbursements received | $ | 12 | $ | 12 | $ | 12 | $ | 12 | ||||||||
Investment income received | 41 | 66 | 41 | 41 | ||||||||||||
Financial guarantee losses and loss adjustment expenses paid | (77 | ) | (115 | ) | (356 | ) | (77 | ) | ||||||||
Proceeds from recoveries and reinsurance | 49 | 27 | ||||||||||||||
Proceeds from recoveries and reinsurance , net of salvage paid to reinsurers | 604 | 49 | ||||||||||||||
Proceeds from loan repurchase commitments | 600 | 0 | - | 600 | ||||||||||||
Operating and employee related expenses paid | (43 | ) | (46 | ) | ||||||||||||
Operating expenses paid and other operating | (44 | ) | (43 | ) | ||||||||||||
Interest paid, net of interest converted to principal | (37 | ) | (47 | ) | (25 | ) | (37 | ) | ||||||||
Income taxes (paid) received | 0 | 14 | ||||||||||||||
Net cash provided (used) by operating activities | 545 | (89 | ) | 232 | 545 | |||||||||||
Cash flows from investing activities: | ||||||||||||||||
Purchases of available-for-sale | (671 | ) | (574 | ) | (662 | ) | (671 | ) | ||||||||
Sales of available-for-sale | 396 | 569 | 520 | 396 | ||||||||||||
Paydowns and maturities of available-for-sale | 330 | 464 | 221 | 330 | ||||||||||||
Purchases of investments at fair value | (103 | ) | (85 | ) | (82 | ) | (103 | ) | ||||||||
Sales, paydowns, maturities and other proceeds of investments at fair value | 108 | 88 | 72 | 108 | ||||||||||||
Sales, paydowns and maturities (purchases) of short-term investments, net | (138 | ) | 172 | (78 | ) | (138 | ) | |||||||||
Sales, paydowns and maturities of held-to-maturity | 0 | 315 | ||||||||||||||
Paydowns and maturities of loans receivable | 25 | 7 | 4 | 25 | ||||||||||||
(Payments) proceeds for derivative settlements | (57 | ) | (7 | ) | (7 | ) | (57 | ) | ||||||||
Collateral (to) from counterparties | 0 | (8 | ) | |||||||||||||
Net cash provided (used) by investing activities | (110 | ) | 941 | (12 | ) | (110 | ) | |||||||||
Cash flows from financing activities: | ||||||||||||||||
Proceeds from investment agreements | 0 | 7 | 3 | - | ||||||||||||
Principal paydowns of investment agreements | (2 | ) | (20 | ) | (2 | ) | (2 | ) | ||||||||
Principal paydowns of medium-term notes | (49 | ) | 0 | (74 | ) | (49 | ) | |||||||||
Principal paydowns of variable interest entity notes | (203 | ) | (327 | ) | (68 | ) | (203 | ) | ||||||||
Principal paydowns of long-term debt | (29 | ) | - | |||||||||||||
Purchases of treasury stock | (1 | ) | (134 | ) | (2 | ) | (1 | ) | ||||||||
Other financing | 0 | (7 | ) | |||||||||||||
Net cash provided (used) by financing activities | (255 | ) | (481 | ) | (172 | ) | (255 | ) | ||||||||
Effect of exchange rate changes on cash and cash equivalents | (1 | ) | - | |||||||||||||
Net increase (decrease) in cash and cash equivalents | 180 | 371 | 47 | 180 | ||||||||||||
Cash and cash equivalents - beginning of period | 167 | 83 | 160 | 167 | ||||||||||||
Cash and cash equivalents - end of period | $ | 347 | $ | 454 | $ | 207 | $ | 347 | ||||||||
Reconciliation of net income (loss) to net cash provided (used) by operating activities: | ||||||||||||||||
Net income (loss) | $ | (167 | ) | $ | (439 | ) | $ | (109 | ) | $ | (167 | ) | ||||
Adjustments to reconcile net income (loss) to net cash provided (used) by operating activities: | ||||||||||||||||
Change in: | ||||||||||||||||
Premiums receivable | 9 | 10 | 7 | 9 | ||||||||||||
Unearned premium revenue | (33 | ) | (38 | ) | (25 | ) | (33 | ) | ||||||||
Loss and loss adjustment expense reserves | (40 | ) | 133 | 65 | (40 | ) | ||||||||||
Insurance loss recoverable | 116 | 151 | 302 | 116 | ||||||||||||
Loan repurchase commitments | 604 | 0 | - | 604 | ||||||||||||
Accrued interest payable | 52 | 68 | 51 | 52 | ||||||||||||
Other liabilities | (54 | ) | (6 | ) | ||||||||||||
Net realized investment gains (losses) | 24 | 1 | ||||||||||||||
Net (gains) losses on financial instruments at fair value and foreign exchange | (21 | ) | 1 | (46 | ) | (22 | ) | |||||||||
Other net realized (gains) losses | 5 | (14 | ) | 19 | 5 | |||||||||||
Other operating | 20 | 39 | (2 | ) | 26 | |||||||||||
Total adjustments to net income (loss) | 712 | 350 | 341 | 712 | ||||||||||||
Net cash provided (used) by operating activities | $ | 545 | $ | (89 | ) | $ | 232 | $ | 545 | |||||||
Supplementary Disclosure of Consolidated Cash Flow Information: | ||||||||||||||||
Fixed-maturity securities held as available-for-sale, | $ | 459 | $ | - | ||||||||||||
Investments carried at fair value, received as salvage | $ | 112 | $ | - |
June 30, 2021 | June 30, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||
Carrying Value of Assets | Carrying Value of Liabilities | Carrying Value of Assets | Carrying Value of Liabilities | |||||||||||||||||||||||||||||||||||||||||||||
In millions | Maximum Exposure to Loss | Investments | Premiums Receivable | Insurance Loss Recoverable | Unearned Premium Revenue | Loss and Loss Adjustment Expense Reserves | Maximum Exposure to Loss | Investments | Premiums Receivable | Insurance Loss Recoverable | Unearned Premium Revenue | Loss and Loss Adjustment Expense Reserves | ||||||||||||||||||||||||||||||||||||
Insurance: | ||||||||||||||||||||||||||||||||||||||||||||||||
Global structured finance: | ||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-backed residential | $ | 1,383 | $ | 87 | $ | 14 | $ | 45 | $ | 12 | $ | 434 | $ | 1,189 | $ | 127 | $ | 13 | $ | 28 | $ | 10 | $ | 368 | ||||||||||||||||||||||||
Consumer asset-backed | 261 | 0 | 1 | 1 | 1 | 11 | 193 | - | 1 | 3 | - | 5 | ||||||||||||||||||||||||||||||||||||
Corporate asset-backed | 534 | 0 | 4 | 289 | 5 | 3 | 476 | - | 3 | 207 | 4 | - | ||||||||||||||||||||||||||||||||||||
Total global structured finance | 2,178 | 87 | 19 | 335 | 18 | 448 | 1,858 | 127 | 17 | 238 | 14 | 373 | ||||||||||||||||||||||||||||||||||||
Global public finance | 1,050 | 0 | 6 | 0 | 6 | 0 | 773 | - | 5 | - | 5 | - | ||||||||||||||||||||||||||||||||||||
Total insurance | $ | 3,228 | $ | 87 | $ | 25 | $ | 335 | $ | 24 | $ | 448 | $ | 2,631 | $ | 127 | $ | 22 | $ | 238 | $ | 19 | $ | 373 | ||||||||||||||||||||||||
December 31, 2021 | ||||||||||||||||||||||||
Carrying Value of Assets | Carrying Value of Liabilities | |||||||||||||||||||||||
In millions | Maximum Exposure to Loss | Investments | Premiums Receivable | Insurance Loss Recoverable | Unearned Premium Revenue | Loss and Loss Adjustment Expense Reserves | ||||||||||||||||||
Insurance: | ||||||||||||||||||||||||
Global structured finance: | ||||||||||||||||||||||||
Mortgage-backed residential | $ | 1,261 | $ | 87 | $ | 14 | $ | 40 | $ | 11 | $ | 430 | ||||||||||||
Consumer asset-backed | 226 | - | 1 | 1 | 1 | 6 | ||||||||||||||||||
Corporate asset-backed | 503 | - | 3 | 200 | 4 | 11 | ||||||||||||||||||
Total global structured finance | 1,990 | 87 | 18 | 241 | 16 | 447 | ||||||||||||||||||
Global public finance | 834 | - | 6 | - | 5 | - | ||||||||||||||||||
Total insurance | $ | 2,824 | $ | 87 | $ | 24 | $ | 241 | $ | 21 | $ | 447 | ||||||||||||
December 31, 2020 | ||||||||||||||||||||||||
Carrying Value of Assets | Carrying Value of Liabilities | |||||||||||||||||||||||
In millions | Maximum Exposure to Loss | Investments | Premiums Receivable | Insurance Loss Recoverable | Unearned Premium Revenue | Loss and Loss Adjustment Expense Reserves | ||||||||||||||||||
Insurance: | ||||||||||||||||||||||||
Global structured finance: | ||||||||||||||||||||||||
Mortgage-backed residential | $ | 1,835 | $ | 21 | $ | 16 | $ | 90 | $ | 14 | $ | 482 | ||||||||||||
Consumer asset-backed | 293 | 0 | 1 | 1 | 1 | 15 | ||||||||||||||||||
Corporate asset-backed | 735 | 0 | 5 | 364 | 5 | 0 | ||||||||||||||||||
Total global structured finance | 2,863 | 21 | 22 | 455 | 20 | 497 | ||||||||||||||||||
Global public finance | 1,434 | 0 | 7 | 0 | 7 | 2 | ||||||||||||||||||
Total insurance | $ | 4,297 | $ | 21 | $ | 29 | $ | 455 | $ | 27 | $ | 499 | ||||||||||||
As of June 30, 2021 | As of December 31, 2020 | As of June 30, 2022 | As of December 31, 2021 | |||||||||||||||||||||||||||||
In millions | Balance Sheet Line Item | Balance Sheet Line Item | ||||||||||||||||||||||||||||||
In millions - | Balance Sheet Line Item | Balance Sheet Line Item | ||||||||||||||||||||||||||||||
Insurance loss recoverable | Loss and LAE reserves (2) | Insurance loss recoverable | Loss and LAE reserves (2) | Insurance loss recoverable | Loss and LAE reserves (1) | Insurance loss recoverable | Loss and LAE reserves (1) | |||||||||||||||||||||||||
U.S. Public Finance Insurance | $ | 1,226 | $ | 484 | $ | 1,220 | $ | 469 | $ | 205 | $ | 576 | $ | 1,054 | $ | 425 | ||||||||||||||||
International and Structured Finance Insurance: | ||||||||||||||||||||||||||||||||
Before VIE eliminations | 354 | 697 | 1,082 | 780 | 240 | 596 | 244 | 687 | ||||||||||||||||||||||||
VIE eliminations | (19 | ) | (227 | ) | (625 | ) | (259 | ) | (2 | ) | (207 | ) | (2 | ) | (218 | ) | ||||||||||||||||
Total international and structured finance insurance | 335 | 470 | 457 | 521 | 238 | 389 | 242 | 469 | ||||||||||||||||||||||||
Total | $ | 1,561 | $ | 954 | $ | 1,677 | $ | 990 | $ | 443 | $ | 965 | $ | 1,296 | $ | 894 | ||||||||||||||||
In millions | Changes in Loss and LAE Reserves for the Six Months Ended June 30, 2021 | |||||||||||||
Gross Loss and LAE Reserves as of December 31, 2020 (1) | Loss Payments | Accretion of Claim Liability Discount | Changes in Discount Rates | Changes in Assumptions | Changes in Unearned Premium Revenue | Other | Gross Loss and LAE Reserves as of June 30, 2021 (1) | |||||||
$990 | $(66) | $7 | $(21) | $43 | $2 | $(1) | $954 | |||||||
In millions | Changes in Loss and LAE Reserves for the Six Months Ended June 30, 2022 | |||||||||||
Gross Loss and LAE Reserves as of December 31, 2021 (1) | Loss and LAE Payments | Accretion of Claim Liability Discount | Changes in Discount Rates | Changes in Assumptions | Changes in Unearned Premium Revenue | Gross Loss and LAE Reserves as of June 30, 2022 (1) | ||||||
$894 | $(355) | $10 | $(59) | $473 | $ 2 | $965 | ||||||
Changes in Insurance Loss Recoverable | ||||||||||||||||||||||||||||
for the Six Months Ended June 30, 2021 | ||||||||||||||||||||||||||||
In millions | Gross Reserve as of December 31, 2020 | Collections for Cases | Accretion of Recoveries | Changes in Discount Rates | Changes in Assumptions (1) | Other (2) | Gross Reserve as of June 30, 2021 | |||||||||||||||||||||
Insurance loss recoverable | $ | 1,677 | $ | (44 | ) | $ | 8 | $ | (63 | ) | $ | (18 | ) | $ | 1 | $ | 1,561 | |||||||||||
Changes in Insurance Loss Recoverable | ||||||||||||||||||||||||
for the Six Months Ended June 30, 2022 | ||||||||||||||||||||||||
In millions | Gross Recoverable as of December 31, 2021 | Collections for Cases | Accretion of Recoveries | Changes in Discount Rates | Changes in Assumptions | Gross Recoverable as of June 30, 2022 | ||||||||||||||||||
Insurance loss recoverable | $ | 1,296 | $ | (1,199 | ) | $ | 3 | $ | (20 | ) | $ | 363 | $ | 443 | ||||||||||
Surveillance Categories | ||||||||||||||||||||
$ in millions | Caution List Low | Caution List Medium | Caution List High | Classified List | Total | |||||||||||||||
Number of policies | 58 | 3 | 0 | 209 | 270 | |||||||||||||||
Number of issues (1) | 17 | 2 | 0 | 90 | 109 | |||||||||||||||
Remaining weighted average contract period (in years) | 6.1 | 2.4 | - | 8.0 | 7.4 | |||||||||||||||
Gross insured contractual payments outstanding: (2) | ||||||||||||||||||||
Principal | $ | 1,490 | $ | 7 | $ | 0 | $ | 2,948 | $ | 4,445 | ||||||||||
Interest | 1,968 | 1 | 0 | 1,314 | 3,283 | |||||||||||||||
Total | $ | 3,458 | $ | 8 | $ | 0 | $ | 4,262 | $ | 7,728 | ||||||||||
Gross Claim Liability (3) | $ | 0 | $ | 0 | $ | 0 | $ | 983 | $ | 983 | ||||||||||
Less: | ||||||||||||||||||||
Gross Potential Recoveries (4) | 0 | 0 | 0 | 2,002 | 2,002 | |||||||||||||||
Discount, net (5) | 0 | 0 | 0 | (405 | ) | (405 | ) | |||||||||||||
Net claim liability (recoverable) | $ | 0 | $ | 0 | $ | 0 | $ | (614 | ) | $ | (614 | ) | ||||||||
Unearned premium revenue | $ | 9 | $ | 0 | $ | 0 | $ | 31 | $ | 40 | ||||||||||
Reinsurance recoverable on paid and unpaid losses (6) | $ | 11 |
Surveillance Categories | ||||||||||||||||||||
$ in millions | Caution List Low | Caution List Medium | Caution List High | Classified List | Total | |||||||||||||||
Number of policies | 55 | 3 | - | 170 | 228 | |||||||||||||||
Number of issues (1) | 16 | 2 | - | 85 | 103 | |||||||||||||||
Remaining weighted average contract period (in years) | 5.9 | 2.1 | - | 8.3 | 7.4 | |||||||||||||||
Gross insured contractual payments outstanding: (2) | ||||||||||||||||||||
Principal | $ | 1,309 | $ | 6 | $ | - | $ | 2,292 | $ | 3,607 | ||||||||||
Interest | 1,812 | 1 | - | 1,036 | 2,849 | |||||||||||||||
Total | $ | 3,121 | $ | 7 | $ | - | $ | 3,328 | $ | 6,456 | ||||||||||
Gross Claim Liability (3) | $ | - | $ | - | $ | - | $ | 1,246 | $ | 1,246 | ||||||||||
Less: | ||||||||||||||||||||
Gross Potential Recoveries (4) | - | - | - | 504 | 504 | |||||||||||||||
Discount, net (5) | - | - | - | 217 | 217 | |||||||||||||||
Net claim liability (recoverable) | $ | - | $ | - | $ | - | $ | 525 | $ | 525 | ||||||||||
Unearned premium revenue | $ | 7 | $ | - | $ | - | $ | 24 | $ | 31 | ||||||||||
Reinsurance recoverable on paid and unpaid losses (6) | $ | 17 |
(1) - | An “issue” represents the aggregate of financial guarantee policies that share the same revenue source for purposes of making debt service payments on the insured debt. |
(2) - | Represents contractual principal and interest payments due by the issuer of the obligations insured by MBIA. |
(3) - | The gross claim liability with respect to Puerto Rico exposures are net of expected recoveries for policies in a net payable position. |
(4) - | Gross potential recoveries with respect to certain Puerto Rico exposures are net of the claim liability for policies in a net recoverable position. |
(5) - | Represents discount related to Gross Claim Liability and Gross Potential Recoveries. |
(6) - | Included in “Other assets” on the Company’s consolidated balance sheets. |
Surveillance Categories | ||||||||||||||||||||
$ in millions | Caution List Low | Caution List Medium | Caution List High | Classified List | Total | |||||||||||||||
Number of policies | 46 | 16 | 0 | 219 | 281 | |||||||||||||||
Number of issues (1) | 16 | 3 | 0 | 100 | 119 | |||||||||||||||
Remaining weighted average contract period (in years) | 6.4 | 6.4 | - | 7.9 | 7.4 | |||||||||||||||
Gross insured contractual payments outstanding: (2) | ||||||||||||||||||||
Principal | $ | 1,422 | $ | 123 | $ | 0 | $ | 3,302 | $ | 4,847 | ||||||||||
Interest | 1,974 | 54 | 0 | 1,441 | 3,469 | |||||||||||||||
Total | $ | 3,396 | $ | 177 | $ | 0 | $ | 4,743 | $ | 8,316 | ||||||||||
Gross Claim Liability (3) | $ | 0 | $ | 0 | $ | 0 | $ | 1,088 | $ | 1,088 | ||||||||||
Less: | ||||||||||||||||||||
Gross Potential Recoveries (4) | 0 | 0 | 0 | 1,947 | 1,947 | |||||||||||||||
Discount, net (5) | 0 | 0 | 0 | (173 | ) | (173 | ) | |||||||||||||
Net claim liability (recoverable) | $ | 0 | $ | 0 | $ | 0 | $ | (686 | ) | $ | (686 | ) | ||||||||
Unearned premium revenue | $ | 10 | $ | 0 | $ | 0 | $ | 35 | $ | 45 | ||||||||||
Reinsurance recoverable on paid and unpaid losses (6) | $ | 11 |
Surveillance Categories | ||||||||||||||||||||
$ in millions | Caution List Low | Caution List Medium | Caution List High | Classified List | Total | |||||||||||||||
Number of policies | 55 | 3 | - | 202 | 260 | |||||||||||||||
Number of issues (1) | 16 | 2 | - | 88 | 106 | |||||||||||||||
Remaining weighted average contract period (in years) | 6.1 | 2.6 | - | 8.1 | 7.4 | |||||||||||||||
Gross insured contractual payments outstanding: (2) | ||||||||||||||||||||
Principal | $ | 1,366 | $ | 6 | $ | - | $ | 2,719 | $ | 4,091 | ||||||||||
Interest | 1,867 | 1 | - | 1,214 | 3,082 | |||||||||||||||
Total | $ | 3,233 | $ | 7 | $ | - | $ | 3,933 | $ | 7,173 | ||||||||||
Gross Claim Liability (3) | $ | - | $ | - | $ | - | $ | 1,051 | $ | 1,051 | ||||||||||
Less: | ||||||||||||||||||||
Gross Potential Recoveries (4) | - | - | - | 1,498 | 1,498 | |||||||||||||||
Discount, net (5) | - | - | - | (32 | ) | (32 | ) | |||||||||||||
Net claim liability (recoverable) | $ | - | $ | - | $ | - | $ | (415 | ) | $ | (415 | ) | ||||||||
Unearned premium revenue | $ | 8 | $ | - | $ | - | $ | 29 | $ | 37 | ||||||||||
Reinsurance recoverable on paid and unpaid losses (6) | $ | 7 |
(1) - | An “issue” represents the aggregate of financial guarantee policies that share the same revenue source for purposes of making debt service payments on the insured debt. |
(2) - | Represents contractual principal and interest payments due by the issuer of the obligations insured by MBIA. |
(3) - | The gross claim liability with respect to Puerto Rico exposures are net of expected recoveries for policies in a net payable position. |
(4) - | Gross potential recoveries with respect to certain Puerto Rico exposures are net of the claim liability for policies in a net recoverable position. |
(5) - | Represents discount related to Gross Claim Liability and Gross Potential Recoveries. |
(6) - | Included in “Other assets” on the Company’s consolidated balance sheets. |
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) |
In millions | Fair Value as of June 30, 2022 | Valuation Techniques | Unobservable Input | Range (Weighted Average) | ||||||||
Assets of consolidated VIEs: | ||||||||||||
Loans receivable at f a ir value | $ | 68 | Market prices of similar liabilities or internal cash flow models adjusted for financial guarantees provided to VIE obligations | Impact of financial guarantee | 12% - 82% (55%) (1) | |||||||
Liabilities of consolidated VIEs: | ||||||||||||
Variable interest entity notes | 217 | Market prices of VIE assets adjusted for financial guarantees provided or market prices of similar liabilities | Impact of financial guarantee | 39% - 77% (66%) (1) |
(1) | - Weighted average represents the total MBIA guarantees as a percentage of total instrument fair value. |
|
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. |
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 | $ | 0 | $ | 804 | ||||||||
State and municipal bonds | 0 | 186 | 0 | 186 | ||||||||||||
Foreign governments | 0 | 20 | 0 | 20 | ||||||||||||
Corporate obligations | 0 | 990 | 0 | 990 | ||||||||||||
Mortgage-backed securities: | ||||||||||||||||
Residential mortgage-backed agency | 0 | 228 | 0 | 228 | ||||||||||||
Residential mortgage-backed non-agency | 0 | 102 | 0 | 102 | ||||||||||||
Commercial mortgage-backed | 0 | 15 | 0 | 15 | ||||||||||||
Asset-backed securities: | ||||||||||||||||
Collateralized debt obligations | 0 | 140 | 0 | 140 | ||||||||||||
Other asset-backed | 0 | 145 | 0 | 145 | ||||||||||||
Total fixed-maturity investments | 707 | 1,923 | 0 | 2,630 | ||||||||||||
Money market securities | 101 | 0 | 0 | 101 | ||||||||||||
Perpetual debt and equity securities | 43 | 23 | 0 | 66 | ||||||||||||
Cash and cash equivalents | 342 | 0 | 0 | 342 | ||||||||||||
Derivative assets: | ||||||||||||||||
Non-insured derivative assets: | ||||||||||||||||
Interest rate derivatives | 0 | 1 | 0 | 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, 2022 | ||||||||||||
Assets: | ||||||||||||||||
Fixed-maturity investments: | ||||||||||||||||
U.S. Treasury and government agency | $ | 630 | $ | 81 | $ | - | $ | 711 | ||||||||
State and municipal bonds | - | 451 | - | 451 | ||||||||||||
Foreign governments | - | 18 | - | 18 | ||||||||||||
Corporate obligations | - | 878 | - | 878 | ||||||||||||
Mortgage-backed securities: | ||||||||||||||||
Residential mortgage-backed agency | - | 198 | - | 198 | ||||||||||||
Residential mortgage-backed non-agency | - | 89 | 55 | 144 | ||||||||||||
Commercial mortgage-backed | - | 17 | - | 17 | ||||||||||||
Asset-backed securities: | ||||||||||||||||
Collateralized debt obligations | - | 167 | - | 167 | ||||||||||||
Other asset-backed | - | 154 | - | 154 | ||||||||||||
Total fixed-maturity investments | 630 | 2,053 | 55 | 2,738 | ||||||||||||
Money market securities | 181 | - | - | 181 | ||||||||||||
Perpetual debt and equity securities | 39 | 20 | - | 59 | ||||||||||||
Cash and cash equivalents | 202 | - | - | 202 | ||||||||||||
Derivative assets: | ||||||||||||||||
Non-insured interest rate derivatives | - | 1 | - | 1 | ||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||
Corporate obligations | - | 4 | - | 4 | ||||||||||||
Mortgage-backed securities: | ||||||||||||||||
Residential mortgage-backed non-agency | - | 24 | - | 24 | ||||||||||||
Commercial mortgage-backed | - | 10 | - | 10 | ||||||||||||
Asset-backed securities: | ||||||||||||||||
Collateralized debt obligations | - | 6 | - | 6 | ||||||||||||
Other asset-backed | - | 7 | - | 7 | ||||||||||||
Cash | 5 | - | - | 5 | ||||||||||||
Loans receivable at fair value: | ||||||||||||||||
Residential loans receivable | - | - | 68 | 68 | ||||||||||||
Other assets: | ||||||||||||||||
Currency derivatives | - | - | 9 | 9 | ||||||||||||
Other | - | - | 16 | 16 | ||||||||||||
Total assets | $ | 1,057 | $ | 2,125 | $ | 148 | $ | 3,330 | ||||||||
Liabilities: | ||||||||||||||||
Medium-term notes | $ | - | $ | - | $ | 42 | $ | 42 | ||||||||
Derivative liabilities: | ||||||||||||||||
Non-insured interest rate derivatives | - | 72 | - | 72 | ||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||
Variable interest entity notes | - | - | 217 | 217 | ||||||||||||
Total liabilities | $ | - | $ | 72 | $ | 259 | $ | 331 | ||||||||
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 | 0 | 5 | 0 | 5 | ||||||||||||
Mortgage-backed securities: | ||||||||||||||||
Residential mortgage-backed non-agency | 0 | 28 | 0 | 28 | ||||||||||||
Commercial mortgage-backed | 0 | 15 | 0 | 15 | ||||||||||||
Asset-backed securities: | ||||||||||||||||
Collateralized debt obligations | 0 | 7 | 0 | 7 | ||||||||||||
Other asset-backed | 0 | 8 | 0 | 8 | ||||||||||||
Cash | 5 | 0 | 0 | 5 | ||||||||||||
Loans receivable at fair value: | ||||||||||||||||
Residential loans receivable | 0 | 0 | 129 | 129 | ||||||||||||
Other assets: | ||||||||||||||||
Currency derivatives | 0 | 0 | 8 | 8 | ||||||||||||
Other | 0 | 0 | 13 | 13 | ||||||||||||
Total assets | $ | 1,198 | $ | 2,010 | $ | 150 | $ | 3,358 | ||||||||
Liabilities: | ||||||||||||||||
Medium-term notes | $ | 0 | $ | 0 | $ | 105 | $ | 105 | ||||||||
Derivative liabilities: | ||||||||||||||||
Insured derivatives: | ||||||||||||||||
Credit derivatives | 0 | 1 | 0 | 1 | ||||||||||||
Non-insured derivatives: | ||||||||||||||||
Interest rate derivatives | 0 | 139 | 0 | 139 | ||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||
Variable interest entity notes | 0 | 31 | 290 | 321 | ||||||||||||
Total liabilities | $ | 0 | $ | 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 | $ | 0 | $ | 855 | ||||||||
State and municipal bonds | 0 | 195 | 0 | 195 | ||||||||||||
Foreign governments | 0 | 15 | 0 | 15 | ||||||||||||
Corporate obligations | 0 | 975 | 0 | 975 | ||||||||||||
Mortgage-backed securities: | ||||||||||||||||
Residential mortgage-backed agency | 0 | 319 | 0 | 319 | ||||||||||||
Residential mortgage-backed non-agency | 0 | 32 | 0 | 32 | ||||||||||||
Commercial mortgage-backed | 0 | 20 | 0 | 20 | ||||||||||||
Asset-backed securities: | ||||||||||||||||
Collateralized debt obligations | 0 | 121 | 0 | 121 | ||||||||||||
Other asset-backed | 0 | 141 | 0 | 141 | ||||||||||||
Total fixed-maturity investments | 750 | 1,923 | 0 | 2,673 | ||||||||||||
Money market securities | 1 | 0 | 0 | 1 | ||||||||||||
Perpetual debt and equity securities | 37 | 25 | 0 | 62 | ||||||||||||
Cash and cash equivalents | 158 | 0 | 0 | 158 | ||||||||||||
Derivative assets: | ||||||||||||||||
Non-insured derivative assets: | ||||||||||||||||
Interest rate derivatives | 0 | 1 | 0 | 1 |
Fair Value Measurements at Reporting Date Using | 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 | 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, 2021 | ||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Fixed-maturity investments: | ||||||||||||||||||||||||||||||||
U.S. Treasury and government agency | $ | 750 | $ | 95 | $ | - | $ | 845 | ||||||||||||||||||||||||
State and municipal bonds | - | 168 | - | 168 | ||||||||||||||||||||||||||||
Foreign governments | - | 17 | - | 17 | ||||||||||||||||||||||||||||
Corporate obligations | - | 1,050 | - | 1,050 | ||||||||||||||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||||||||||
Residential mortgage-backed agency | - | 198 | - | 198 | ||||||||||||||||||||||||||||
Residential mortgage-backed non-agency | - | 98 | - | 98 | ||||||||||||||||||||||||||||
Commercial mortgage-backed | - | 13 | - | 13 | ||||||||||||||||||||||||||||
Asset-backed securities: | ||||||||||||||||||||||||||||||||
Collateralized debt obligations | - | 150 | - | 150 | ||||||||||||||||||||||||||||
Other asset-backed | - | 106 | - | 106 | ||||||||||||||||||||||||||||
Total fixed-maturity investments | 750 | 1,895 | - | 2,645 | ||||||||||||||||||||||||||||
Money market securities | 78 | - | - | 78 | ||||||||||||||||||||||||||||
Perpetual debt and equity securities | 47 | 23 | - | 70 | ||||||||||||||||||||||||||||
Cash and cash equivalents | 151 | - | - | 151 | ||||||||||||||||||||||||||||
Derivative assets: | ||||||||||||||||||||||||||||||||
Non-insured interest rate derivatives | - | 1 | - | 1 | ||||||||||||||||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||||||||||||||
Corporate obligations | 0 | 6 | 0 | 6 | - | 5 | - | 5 | ||||||||||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||||||||||
Residential mortgage-backed non-agency | 0 | 40 | 0 | 40 | - | 27 | - | 27 | ||||||||||||||||||||||||
Commercial mortgage-backed | 0 | 16 | 0 | 16 | - | 10 | - | 10 | ||||||||||||||||||||||||
Asset-backed securities: | ||||||||||||||||||||||||||||||||
Collateralized debt obligations | 0 | 8 | 0 | 8 | - | 6 | 4 | 10 | ||||||||||||||||||||||||
Other asset-backed | 0 | 7 | 0 | 7 | - | 8 | - | 8 | ||||||||||||||||||||||||
Cash | 9 | 0 | 0 | 9 | 9 | - | - | 9 | ||||||||||||||||||||||||
Loans receivable at fair value: | ||||||||||||||||||||||||||||||||
Residential loans receivable | 0 | 0 | 120 | 120 | - | - | 77 | 77 | ||||||||||||||||||||||||
Loan repurchase commitments | 0 | 0 | 604 | 604 | ||||||||||||||||||||||||||||
Other assets: | ||||||||||||||||||||||||||||||||
Currency derivatives | 0 | 0 | 6 | 6 | - | - | 9 | 9 | ||||||||||||||||||||||||
Other | 0 | 0 | 14 | 14 | - | - | 14 | 14 | ||||||||||||||||||||||||
Total assets | $ | 955 | $ | 2,026 | $ | 744 | $ | 3,725 | $ | 1,035 | $ | 1,975 | $ | 104 | $ | 3,114 | ||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Medium-term notes | $ | 0 | $ | 0 | $ | 110 | $ | 110 | $ | - | $ | - | $ | 98 | $ | 98 | ||||||||||||||||
Derivative liabilities: | ||||||||||||||||||||||||||||||||
Insured derivatives: | ||||||||||||||||||||||||||||||||
Credit derivatives | 0 | 2 | 0 | 2 | ||||||||||||||||||||||||||||
Non-insured derivatives: | ||||||||||||||||||||||||||||||||
Interest rate derivatives | 0 | 164 | 0 | 164 | ||||||||||||||||||||||||||||
Other | 0 | 0 | 49 | 49 | ||||||||||||||||||||||||||||
Insured credit derivatives | - | 1 | - | 1 | ||||||||||||||||||||||||||||
Non-insured interest rate derivatives | - | 130 | - | 130 | ||||||||||||||||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||||||||||||||
Variable interest entity notes | 0 | 47 | 303 | 350 | - | - | 291 | 291 | ||||||||||||||||||||||||
Total liabilities | $ | 0 | $ | 213 | $ | 462 | $ | 675 | $ | - | $ | 131 | $ | 389 | $ | 520 | ||||||||||||||||
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 | $ | 0 | $ | 595 | $ | 0 | $ | 595 | $ | 2,283 | ||||||||||
Medium-term notes | 0 | 0 | 328 | 328 | 532 | |||||||||||||||
Investment agreements | 0 | 0 | 358 | 358 | 269 | |||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||
Variable interest entity notes | 0 | 133 | 0 | 133 | 129 | |||||||||||||||
Total liabilities | $ | 0 | $ | 728 | $ | 686 | $ | 1,414 | $ | 3,213 | ||||||||||
Financial Guarantees: | ||||||||||||||||||||
Gross liability (recoverable) | $ | 0 | $ | 0 | $ | 921 | $ | 921 | $ | (235 | ) | |||||||||
Ceded recoverable (liability) | 0 | 0 | 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 | $ | 0 | $ | 631 | $ | 0 | $ | 631 | $ | 2,229 | ||||||||||
Medium-term notes | 0 | 0 | 396 | 396 | 598 | |||||||||||||||
Investment agreements | 0 | 0 | 376 | 376 | 269 | |||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||
Variable interest entity notes | 0 | 276 | 0 | 276 | 273 | |||||||||||||||
Total liabilities | $ | 0 | $ | 907 | $ | 772 | $ | 1,679 | $ | 3,369 | ||||||||||
Financial Guarantees: | ||||||||||||||||||||
Gross liability (recoverable) | $ | 0 | $ | 0 | $ | 811 | $ | 811 | $ | (282 | ) | |||||||||
Ceded recoverable (liability) | 0 | 0 | 45 | 45 | (17 | ) |
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, 2022 | Carry Value Balance as of June 30, 2022 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Long-term debt | $ | - | $ | 449 | $ | - | $ | 449 | $ | 2,359 | ||||||||||
Medium-term notes | - | - | 302 | 302 | 451 | |||||||||||||||
Investment agreements | - | - | 321 | 321 | 277 | |||||||||||||||
Total liabilities | $ | - | $ | 449 | $ | 623 | $ | 1,072 | $ | 3,087 | ||||||||||
Financial Guarantees: | ||||||||||||||||||||
Gross liability (recoverable) | $ | - | $ | - | $ | 1,084 | $ | 1,084 | $ | 819 | ||||||||||
Ceded recoverable (liability) | - | - | 29 | 29 | 17 |
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, 2021 | Carry Value Balance as of December 31, 2021 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Long-term debt | $ | - | $ | 433 | $ | - | $ | 433 | $ | 2,331 | ||||||||||
Medium-term notes | - | - | 322 | 322 | 490 | |||||||||||||||
Investment agreements | - | - | 355 | 355 | 274 | |||||||||||||||
Total liabilities | $ | - | $ | 433 | $ | 677 | $ | 1,110 | $ | 3,095 | ||||||||||
Financial Guarantees: | ||||||||||||||||||||
Gross liability (recoverable) | $ | - | $ | - | $ | 848 | $ | 848 | $ | (80 | ) | |||||||||
Ceded recoverable (liability) | - | - | 30 | 30 | (42 | ) |
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 | $ | 0 | $ | 0 | $ | 0 | $ | (5 | ) | $ | (14 | ) | $ | 0 | $ | 0 | $ | 129 | $ | 24 | $ | 0 | ||||||||||||||||||||||
Currency derivatives | 9 | (1 | ) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 8 | (1 | ) | 0 | ||||||||||||||||||||||||||||||||||
Other | 14 | (1 | ) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 13 | (1 | ) | 0 | ||||||||||||||||||||||||||||||||||
Total assets | $ | 147 | $ | 22 | $ | 0 | $ | 0 | $ | 0 | $ | (5 | ) | $ | (14 | ) | $ | 0 | $ | 0 | $ | 150 | $ | 22 | $ | 0 | ||||||||||||||||||||||
�� | ||||||||||||||||||||||||||||||||||||||||||||||||
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, 2022 | Change in Unrealized Gains (Losses) for the Period Included in OCI for Assets still held as of June 30, 2022 (1) | ||||||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Residential mortgage- backed non-agency | $ | 38 | $ | 1 | $ | (5 | ) | $ | 21 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 55 | $ | - | $ | (3 | ) | ||||||||||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||
Loans receivable -residential | 76 | (6 | ) | - | - | - | (2 | ) | - | - | - | 68 | (8 | ) | - | |||||||||||||||||||||||||||||||||
Currency derivatives | 9 | - | - | - | - | - | - | - | - | 9 | - | - | ||||||||||||||||||||||||||||||||||||
Other | 15 | 1 | - | - | - | - | - | - | - | 16 | 1 | - | ||||||||||||||||||||||||||||||||||||
Total assets | $ | 138 | $ | (4 | ) | $ | (5 | ) | $ | 21 | $ | - | $ | (2 | ) | $ | - | $ | - | $ | - | $ | 148 | $ | (7 | ) | $ | (3 | ) | |||||||||||||||||||
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, 2022 | Change in Unrealized (Gains) Losses for the Period Included in OCI for Liabilities still held as of June 30, 2022 (2) | ||||||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||
Medium-term notes | $ | 99 | $ | (13 | ) | $ | 3 | $ | - | $ | - | $ | (47 | ) | $ | - | $ | - | $ | - | $ | 42 | $ | (12 | ) | $ | 5 | |||||||||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||
VIE notes | 285 | (30 | ) | 18 | - | - | (56 | ) | - | - | - | 217 | (6 | ) | 3 | |||||||||||||||||||||||||||||||||
Total liabilities | $ | 384 | $ | (43 | ) | $ | 21 | $ | - | $ | - | $ | (103 | ) | $ | - | $ | - | $ | - | $ | 259 | $ | (18 | ) | $ | 8 | |||||||||||||||||||||
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 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 105 | $ | (2 | ) | $ | 2 | ||||||||||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||
VIE notes | 280 | 26 | (8 | ) | 0 | 0 | (3 | ) | (5 | ) | 0 | 0 | 290 | 24 | (7 | ) | ||||||||||||||||||||||||||||||||
Total liabilities | $ | 385 | $ | 24 | $ | (6 | ) | $ | 0 | $ | 0 | $ | (3 | ) | $ | (5 | ) | $ | 0 | $ | 0 | $ | 395 | $ | 22 | $ | (5 | ) | ||||||||||||||||||||
(1) - | Reported within the “Unrealized gains (losses) on available-for-sale /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 (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 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 1 | $ | 0 | $ | 0 | ||||||||||||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||
Loans receivable-residential | 98 | 22 | 0 | 0 | 0 | (4 | ) | 0 | 0 | 0 | 116 | 20 | 0 | |||||||||||||||||||||||||||||||||||
Loan repurchase commitments | 506 | 18 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 524 | 18 | 0 | ||||||||||||||||||||||||||||||||||||
Currency derivatives | 18 | (4 | ) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 14 | (4 | ) | 0 | ||||||||||||||||||||||||||||||||||
Other | 15 | (1 | ) | 0 | 0 | 0 | 0 | �� | 0 | 0 | 0 | 14 | (1 | ) | 0 | |||||||||||||||||||||||||||||||||
Total assets | $ | 638 | $ | 35 | $ | 0 | $ | 0 | $ | 0 | $ | (4 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 669 | $ | 33 | $ | 0 | |||||||||||||||||||||||
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 (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 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 96 | $ | (1 | ) | $ | (1 | ) | ||||||||||||||||||||
Credit derivatives | 8 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 8 | 0 | 0 | ||||||||||||||||||||||||||||||||||||
Other derivatives | 37 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 37 | 0 | 0 | ||||||||||||||||||||||||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||
VIE notes | 281 | 16 | (3 | ) | 0 | 0 | (3 | ) | 0 | 0 | 0 | 291 | 15 | (3 | ) | |||||||||||||||||||||||||||||||||
Total liabilities | $ | 424 | $ | 15 | $ | (4 | ) | $ | 0 | $ | 0 | $ | (3 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 432 | $ | 14 | $ | (4 | ) | |||||||||||||||||||||
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 |
(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 (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, 2022 | Change in Unrealized Gains (Losses) for the Period Included in OCI for Assets still held as of June 30, 2022 (1) | ||||||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Residential mortgage- backed non-agency | $ | - | $ | 1 | $ | (5 | ) | $ | 59 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 55 | $ | - | $ | - | |||||||||||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||
Collateralized debt obligations | 4 | - | - | - | - | (4 | ) | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||
Loans receivable - residential | 77 | (5 | ) | - | - | - | (4 | ) | - | - | - | 68 | (9 | ) | - | |||||||||||||||||||||||||||||||||
Currency derivatives | 9 | - | - | - | - | - | - | - | - | 9 | - | - | ||||||||||||||||||||||||||||||||||||
Other | 14 | 2 | - | - | - | - | - | - | - | 16 | 2 | - | ||||||||||||||||||||||||||||||||||||
Total assets | $ | 104 | $ | (2 | ) | $ | (5 | ) | $ | 59 | $ | - | $ | (8 | ) | $ | - | $ | - | $ | - | $ | 148 | $ | (7 | ) | $ | - | ||||||||||||||||||||
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, 2022 | Change in Unrealized (Gains) Losses for the Period Included in OCI for Liabilities still held as of June 30, 2022 (2) | ||||||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||
Medium-term notes | $ | 98 | $ | (22 | ) | $ | 13 | $ | - | $ | - | $ | (47 | ) | $ | - | $ | - | $ | - | $ | 42 | $ | (20 | ) | $ | 14 | |||||||||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||
VIE notes | 291 | (26 | ) | 20 | - | - | (68 | ) | - | - | - | 217 | (8 | ) | 6 | |||||||||||||||||||||||||||||||||
Total liabilities | $ | 389 | $ | (48 | ) | $ | 33 | $ | - | $ | - | $ | (115 | ) | $ | - | $ | - | $ | - | $ | 259 | $ | (28 | ) | $ | 20 | |||||||||||||||||||||
(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 (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 | $ | 0 | $ | 0 | $ | 0 | $ | (11 | ) | $ | (14 | ) | $ | 0 | $ | 0 | $ | 129 | $ | 31 | $ | 0 | |||||||||||||||||||||||
Loan repurchase commitments | 604 | (4 | ) | 0 | 0 | 0 | (600 | ) | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||||||||||
Currency derivatives | 6 | 2 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 8 | 2 | 0 | |||||||||||||||||||||||||||||||||||||
Other | 14 | (1 | ) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 13 | (1 | ) | - | |||||||||||||||||||||||||||||||||||
Total assets | $ | 744 | $ | 31 | $ | 0 | $ | 0 | $ | 0 | $ | (611 | ) | $ | (14 | ) | $ | 0 | $ | 0 | $ | 150 | $ | 32 | $ | 0 | |||||||||||||||||||||||
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 Earnings 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 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 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 105 | $ | (9 | ) | $ | 4 | ||||||||||||||||||||||
Other derivatives | 49 | 0 | 0 | 0 | 0 | (49 | ) | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||
VIE notes | 303 | 48 | (24 | ) | 0 | 0 | (32 | ) | (5 | ) | 0 | 0 | 290 | 28 | (5 | ) | ||||||||||||||||||||||||||||||||
Total liabilities | $ | 462 | $ | 39 | $ | (20 | ) | $ | 0 | $ | 0 | $ | (81 | ) | $ | (5 | ) | $ | 0 | $ | 0 | $ | 395 | $ | 19 | $ | (1 | ) | ||||||||||||||||||||
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, 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 n otes | $ | 110 | $ | (9 | ) | $ | 4 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 105 | $ | (9 | ) | $ | 4 | ||||||||||||||||||||||
Other derivatives | 49 | - | - | - | - | (49 | ) | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||
Liabilities of consolidated | ||||||||||||||||||||||||||||||||||||||||||||||||
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 |
(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 (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 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 1 | $ | 0 | $ | 0 | |||||||||||||||||||||||
Assets of consolidated VIEs: | |||||||||||||||||||||||||||||||||||||||||||||||
Loans receivable - residential | 136 | (13 | ) | 0 | 0 | 0 | (7 | ) | 0 | 0 | 0 | 116 | (14 | ) | 0 | ||||||||||||||||||||||||||||||||
Loan repurchase commitments | 486 | 38 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 524 | 38 | 0 | |||||||||||||||||||||||||||||||||||
Currency derivatives | 8 | 6 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 14 | 6 | 0 | |||||||||||||||||||||||||||||||||||
Other | 18 | (4 | ) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 14 | (4 | ) | 0 | |||||||||||||||||||||||||||||||||
Total assets | $ | 649 | $ | 27 | $ | 0 | $ | 0 | $ | 0 | $ | (7 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 669 | $ | 26 | $ | 0 | ||||||||||||||||||||||
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 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 96 | $ | 1 | $ | (13 | ) | ||||||||||||||||||||||
Credit derivatives | 7 | 1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 8 | 1 | 0 | ||||||||||||||||||||||||||||||||||||
Other derivatives | 34 | 3 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 37 | 3 | 0 | ||||||||||||||||||||||||||||||||||||
Other payable | 4 | 0 | 0 | 0 | 0 | (4 | ) | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||||||||||
Liabilities of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||
VIE notes | 347 | (9 | ) | (38 | ) | 0 | 0 | (9 | ) | 0 | 0 | 0 | 291 | (12 | ) | (37 | ) | |||||||||||||||||||||||||||||||
Total liabilities | $ | 500 | $ | (4 | ) | $ | (51 | ) | $ | 0 | $ | 0 | $ | (13 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 432 | $ | (7 | ) | $ | (50 | ) | |||||||||||||||||||
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 | ) | $ | 0 | $ | 20 | $ | 19 | |||||||
Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||||||||||
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, 2022 | 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 | ||||||||||||
Revenues: | ||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | $ | 14 | $ | 12 | $ | 2 | $ | 2 | ||||||||
Revenues of consolidated VIEs: | ||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 25 | (1 | ) | (4 | ) | (2 | ) | |||||||||
Total | $ | 39 | $ | 11 | $ | (2 | ) | $ | - | |||||||
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 | $ | 0 | $ | 0 | $ | (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 | |||||||
Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||||||||||
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, 2022 | 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 | ||||||||||||
Revenues: | ||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | $ | 23 | $ | 20 | $ | 9 | $ | 9 | ||||||||
Revenues of consolidated VIEs: | ||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 23 | 1 | (17 | ) | 4 | |||||||||||
Total | $ | 46 | $ | 21 | $ | (8 | ) | $ | 13 | |||||||
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) | 0 | 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 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||
In millions | 2022 | 2021 | 2022 | 2021 | ||||||||||||||
Investments carried at fair value (1) | $ | (26 | ) | $ | 3 | $ | (34 | ) | $ | 6 | ||||||||
Fixed-maturity securities held at fair value-VIE (2) | (2 | ) | 1 | (3 | ) | 2 | ||||||||||||
Loans receivable at fair value: | ||||||||||||||||||
Residential mortgage loans (2) | (6 | ) | 24 | (5 | ) | 34 | ||||||||||||
Loan repurchase commitments (2) | - | - | - | (4 | ) | |||||||||||||
Other assets-VIE (2) | 1 | (1 | ) | 2 | (1 | ) | ||||||||||||
Medium-term notes (1) | 13 | 2 | 22 | 9 | ||||||||||||||
Variable interest entity notes (2) | 28 | (26 | ) | 23 | (50 | ) |
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 | $ | 0 | $ | 89 | $ | 89 | $ | 0 | ||||||||||||
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 |
As of June 30, 2022 | As of December 31, 2021 | |||||||||||||||||||||||
In millions | Contractual Outstanding Principal | Fair Value | Difference | Contractual Outstanding Principal | Fair Value | Difference | ||||||||||||||||||
Loans receivable at fair value: | ||||||||||||||||||||||||
Residential mortgage loans - current | $ | 40 | $ | 40 | $ | - | $ | 40 | $ | 40 | $ | - | ||||||||||||
Residential mortgage loans (90 days or more past due) | 144 | 28 | 116 | 141 | 37 | 104 | ||||||||||||||||||
Total loans receivable and other instruments at fair value | $ | 184 | $ | 68 | $ | 116 | $ | 181 | $ | 77 | $ | 104 | ||||||||||||
Variable interest entity notes | $ | 832 | $ | 217 | $ | 615 | $ | 922 | $ | 291 | $ | 631 | ||||||||||||
Medium-term notes | $ | 52 | $ | 42 | $ | 10 | $ | 108 | $ | 98 | $ | 10 |
June 30, 2021 | ||||||||||||||||||||
In millions | Amortized Cost | Allowance for Credit Losses | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | |||||||||||||||
AFS Investments | ||||||||||||||||||||
Fixed-maturity investments: | ||||||||||||||||||||
U.S. Treasury and government agency | $ | 739 | $ | 0 | $ | 58 | $ | (1 | ) | $ | 796 | |||||||||
State and municipal bonds | 156 | 0 | 29 | 0 | 185 | |||||||||||||||
Foreign governments | 16 | 0 | 1 | 0 | 17 | |||||||||||||||
Corporate obligations | 864 | 0 | 43 | (5 | ) | 902 | ||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||
Residential mortgage-backed agency | 219 | 0 | 5 | (1 | ) | 223 | ||||||||||||||
Residential mortgage-backed non-agency | 85 | 0 | 10 | 0 | 95 | |||||||||||||||
Commercial mortgage-backed | 12 | 0 | 0 | 0 | 12 | |||||||||||||||
Asset-backed securities: | ||||||||||||||||||||
Collateralized debt obligations | 118 | 0 | 0 | (1 | ) | 117 | ||||||||||||||
Other asset-backed | 126 | 0 | 0 | 0 | 126 | |||||||||||||||
Total AFS investments | $ | 2,335 | $ | 0 | $ | 146 | $ | (8 | ) | $ | 2,473 | |||||||||
December 31, 2020 | ||||||||||||||||||||
In millions | Amortized Cost | Allowance for Credit Losses | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | |||||||||||||||
AFS Investments | ||||||||||||||||||||
Fixed-maturity investments: | ||||||||||||||||||||
U.S. Treasury and government agency | $ | 775 | $ | 0 | $ | 75 | $ | (1 | ) | $ | 849 | |||||||||
State and municipal bonds | 162 | 0 | 32 | 0 | 194 | |||||||||||||||
Foreign governments | 11 | 0 | 1 | 0 | 12 | |||||||||||||||
Corporate obligations | 827 | 0 | 64 | (1 | ) | 890 | ||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||
Residential mortgage-backed agency | 305 | 0 | 8 | (1 | ) | 312 | ||||||||||||||
Residential mortgage-backed non-agency | 22 | 0 | 3 | 0 | 25 | |||||||||||||||
Commercial mortgage-backed | 17 | 0 | 1 | 0 | 18 | |||||||||||||||
Asset-backed securities: | - | |||||||||||||||||||
Collateralized debt obligations | 120 | 0 | 0 | (2 | ) | 118 | ||||||||||||||
Other asset-backed | 121 | 0 | 0 | 0 | 121 | |||||||||||||||
Total AFS investments | $ | 2,360 | $ | 0 | $ | 184 | $ | (5 | ) | $ | 2,539 | |||||||||
June 30, 2022 | ||||||||||||||||||||
In millions | Amortized Cost | Allowance for Credit Losses | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | |||||||||||||||
AFS Investments | ||||||||||||||||||||
Fixed-maturity investments: | ||||||||||||||||||||
U.S. Treasury and government agency | $ | 716 | $ | - | $ | 15 | $ | (30 | ) | $ | 701 | |||||||||
State and municipal bonds | 353 | - | 7 | (7 | ) | 353 | ||||||||||||||
Foreign governments | 21 | - | - | (4 | ) | 17 | ||||||||||||||
Corporate obligations | 909 | (3 | ) | 2 | (112 | ) | 796 | |||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||
Residential mortgage-backed agency | 205 | - | - | (14 | ) | 191 | ||||||||||||||
Residential mortgage-backed non-agency | 144 | - | 4 | (11 | ) | 137 | ||||||||||||||
Commercial mortgage-backed | 17 | - | - | (1 | ) | 16 | ||||||||||||||
Asset-backed securities: | ||||||||||||||||||||
Collateralized debt obligations | 122 | - | - | (5 | ) | 117 | ||||||||||||||
Other asset-backed | 140 | - | - | (3 | ) | 137 | ||||||||||||||
Total AFS investments | $ | 2,627 | $ | (3 | ) | $ | 28 | $ | (187 | ) | $ | 2,465 | ||||||||
December 31, 2021 | ||||||||||||||||||||
In millions | Amortized Cost | Allowance for Credit Losses | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | |||||||||||||||
AFS Investments | ||||||||||||||||||||
Fixed-maturity investments: | ||||||||||||||||||||
U.S. Treasury and government agency | $ | 782 | $ | - | $ | 54 | $ | (2 | ) | $ | 834 | |||||||||
State and municipal bonds | 140 | - | 27 | - | 167 | |||||||||||||||
Foreign governments | 13 | - | 1 | - | 14 | |||||||||||||||
Corporate obligations | 905 | - | 53 | (5 | ) | 953 | ||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||
Residential mortgage-backed agency | 190 | - | 3 | (1 | ) | 192 | ||||||||||||||
Residential mortgage-backed non-agency | 80 | - | 12 | - | 92 | |||||||||||||||
Commercial mortgage-backed | 10 | - | - | - | 10 | |||||||||||||||
Asset-backed securities: | ||||||||||||||||||||
Collateralized debt obligations | 101 | - | - | - | 101 | |||||||||||||||
Other asset-backed | 95 | - | - | (1 | ) | 94 | ||||||||||||||
Total AFS investments | $ | 2,316 | $ | - | $ | 150 | $ | (9 | ) | $ | 2,457 | |||||||||
AFS Securities | ||||||||
In millions | Net Amortized Cost | Fair Value | ||||||
Due in one year or less | $ | 509 | $ | 509 | ||||
Due after one year through five years | 311 | 326 | ||||||
Due after five years through ten years | 307 | 327 | ||||||
Due after ten years | 648 | 738 | ||||||
Mortgage-backed and asset-backed | 560 | 573 | ||||||
Total fixed-maturity investments | $ | 2,335 | $ | 2,473 | ||||
AFS Securities | ||||||||
In millions | Net Amortized Cost | Fair Value | ||||||
Due in one year or less | $ | 349 | $ | 349 | ||||
Due after one year through five years | 354 | 345 | ||||||
Due after five years through ten years | 392 | 358 | ||||||
Due after ten years | 901 | 815 | ||||||
Mortgage-backed and asset-backed | 628 | 598 | ||||||
Total fixed-maturity investments | $ | 2,624 | $ | 2,465 | ||||
June 30, 2021 | ||||||||||||||||||||||||
Less than 12 Months | 12 Months or Longer | Total | ||||||||||||||||||||||
In millions | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
AFS Investments | ||||||||||||||||||||||||
Fixed-maturity investments: | ||||||||||||||||||||||||
U.S. Treasury and government agency | $ | 65 | $ | (1 | ) | $ | 0 | $ | 0 | $ | 65 | $ | (1 | ) | ||||||||||
Foreign governments | 7 | 0 | 0 | 0 | 7 | 0 | ||||||||||||||||||
Corporate obligations | 238 | (5 | ) | 7 | 0 | 245 | (5 | ) | ||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||
Residential mortgage-backed agency | 99 | (1 | ) | 0 | 0 | 99 | (1 | ) | ||||||||||||||||
Residential mortgage-backed non-agency | 5 | 0 | 1 | 0 | 6 | 0 | ||||||||||||||||||
Commercial mortgage-backed | 1 | 0 | 0 | 0 | 1 | 0 | ||||||||||||||||||
Asset-backed securities: | ||||||||||||||||||||||||
Collateralized debt obligations | 28 | 0 | 49 | (1 | ) | 77 | (1 | ) | ||||||||||||||||
Other asset-backed | 78 | 0 | 1 | 0 | 79 | 0 | ||||||||||||||||||
Total AFS investments | $ | 521 | $ | (7 | ) | $ | 58 | $ | (1 | ) | $ | 579 | $ | (8 | ) | |||||||||
December 31, 2020 | ||||||||||||||||||||||||
Less than 12 Months | 12 Months or Longer | Total | ||||||||||||||||||||||
In millions | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
AFS Investments | ||||||||||||||||||||||||
Fixed-maturity investments: | ||||||||||||||||||||||||
U.S. Treasury and government agency | $ | 99 | $ | (1 | ) | $ | 0 | $ | 0 | $ | 99 | $ | (1 | ) | ||||||||||
Foreign governments | 2 | 0 | 0 | 0 | 2 | 0 | ||||||||||||||||||
Corporate obligations | 103 | (1 | ) | 7 | 0 | 110 | (1 | ) | ||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||
Residential mortgage-backed agency | 53 | (1 | ) | 0 | 0 | 53 | (1 | ) | ||||||||||||||||
Residential mortgage-backed non-agency | 2 | 0 | 1 | 0 | 3 | 0 | ||||||||||||||||||
Commercial mortgage-backed | 0 | 0 | 5 | 0 | 5 | 0 | ||||||||||||||||||
Asset-backed securities: | ||||||||||||||||||||||||
Collateralized debt obligations | 37 | 0 | 78 | (2 | ) | 115 | (2 | ) | ||||||||||||||||
Other asset-backed | 29 | 0 | 0 | 0 | 29 | 0 | ||||||||||||||||||
Total AFS investments | $ | 325 | $ | (3 | ) | $ | 91 | $ | (2 | ) | $ | 416 | $ | (5 | ) | |||||||||
June 30, 2022 | ||||||||||||||||||||||||
Less than 12 Months | 12 Months or Longer | Total | ||||||||||||||||||||||
In millions | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
AFS Investments | ||||||||||||||||||||||||
Fixed-maturity investments: | ||||||||||||||||||||||||
U.S. Treasury and government agency | $ | 318 | $ | (27 | ) | $ | 19 | $ | (3 | ) | $ | 337 | $ | (30 | ) | |||||||||
State and municipal bonds | 53 | (7 | ) | - | - | 53 | (7 | ) | ||||||||||||||||
Foreign governments | 15 | (4 | ) | 1 | - | 16 | (4 | ) | ||||||||||||||||
Corporate obligations | 732 | (105 | ) | 25 | (7 | ) | 757 | (112 | ) | |||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||
Residential mortgage-backed agency | 146 | (7 | ) | 41 | (7 | ) | 187 | (14 | ) | |||||||||||||||
Residential mortgage-backed non-agency | 118 | (11 | ) | 1 | - | 119 | (11 | ) | ||||||||||||||||
Commercial mortgage-backed | 16 | (1 | ) | - | - | 16 | (1 | ) | ||||||||||||||||
Asset-backed securities: | ||||||||||||||||||||||||
Collateralized debt obligations | 81 | (3 | ) | 36 | (2 | ) | 117 | (5 | ) | |||||||||||||||
Other asset-backed | 132 | (3 | ) | 1 | - | 133 | (3 | ) | ||||||||||||||||
Total AFS investments | $ | 1,611 | $ | (168 | ) | $ | 124 | $ | (19 | ) | $ | 1,735 | $ | (187 | ) | |||||||||
December 31, 2021 | ||||||||||||||||||||||||
Less than 12 Months | 12 Months or Longer | Total | ||||||||||||||||||||||
In millions | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
AFS Investments | ||||||||||||||||||||||||
Fixed-maturity investments: | ||||||||||||||||||||||||
U.S. Treasury and government agency | $ | 161 | $ | (1 | ) | $ | 16 | $ | (1 | ) | $ | 177 | $ | (2 | ) | |||||||||
State and municipal bonds | 11 | - | - | - | 11 | - | ||||||||||||||||||
Foreign governments | 3 | - | - | - | 3 | - | ||||||||||||||||||
Corporate obligations | 270 | (5 | ) | 8 | - | 278 | (5 | ) | ||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||
Residential mortgage-backed agency | 94 | (1 | ) | 1 | - | 95 | (1 | ) | ||||||||||||||||
Residential mortgage-backed non-agency | 3 | - | 1 | - | 4 | - | ||||||||||||||||||
Commercial mortgage-backed | 2 | - | - | - | 2 | - | ||||||||||||||||||
Asset-backed securities: | ||||||||||||||||||||||||
Collateralized debt obligations | 60 | - | 29 | - | 89 | - | ||||||||||||||||||
Other asset-backed | 72 | (1 | ) | - | - | 72 | (1 | ) | ||||||||||||||||
Total AFS investments | $ | 676 | $ | (8 | ) | $ | 55 | $ | (1 | ) | $ | 731 | $ | (9 | ) | |||||||||
AFS Securities | ||||||||||||
Percentage of Fair Value Below Book Value | Number of Securities | Book Value (in millions) | Fair Value (in millions) | |||||||||
> 5% to 15% | 1 | $ | 0 | $ | 0 | |||||||
> 15% to 25% | 3 | 1 | 1 | |||||||||
> 50% | 2 | 0 | 0 | |||||||||
Total | 6 | $ | 1 | $ | 1 | |||||||
AFS Securities | ||||||||||||
Percentage of Fair Value Below Book Value | Number of Securities | Book Value (in millions) | Fair Value (in millions) | |||||||||
> 5% to 15% | 36 | $ | 53 | $ | 49 | |||||||
> 15% to 25% | 18 | 51 | 42 | |||||||||
> 25% to 50% | 24 | 15 | 10 | |||||||||
> 50% | 3 | - | - | |||||||||
Total | 81 | $ | 119 | $ | 101 | |||||||
Three Months Ended June 30, 2022 | ||||||||||||||||||||||||||||||||||||
In millions | Balance as of March 31, 2022 | Additions not previously recorded | Additions arising from PCD Assets | Reductions from Securities Sold | Reductions- Intent to sell or MLTN | Change in Allowance Previously Recorded | Write Offs | Recoveries | Balance as of June 30, 2022 | |||||||||||||||||||||||||||
AFS Investments | ||||||||||||||||||||||||||||||||||||
Fixed-maturity investments: | ||||||||||||||||||||||||||||||||||||
Corporate obligations | $ | 3 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 3 | ||||||||||||||||||
Total Allowance on AFS investments | $ | 3 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 3 | ||||||||||||||||||
Six Months Ended June 30, 2022 | ||||||||||||||||||||||||||||||||||||
In millions | Balance as of December 31, 2021 | Additions not previously recorded | Additions arising from PCD Assets | Reductions from Securities Sold | Reductions- Intent to sell or MLTN | Change in Previously Allowance Recorded | Write Offs | Recoveries | Balance as of June 30, 2022 | |||||||||||||||||||||||||||
AFS Investments | ||||||||||||||||||||||||||||||||||||
Fixed-maturity investments: | ||||||||||||||||||||||||||||||||||||
Corporate obligations | $ | - | $ | 3 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 3 | ||||||||||||||||||
Total Allowance on AFS investments | $ | - | $ | 3 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 3 | ||||||||||||||||||
�� | ||||||||||||
In millions | Fair Value | Unrealized Loss | Insurance Loss Reserve (1) | |||||||||
Mortgage-backed | $ | 1 | $ | 0 | $ | 0 | ||||||
Corporate obligations | 62 | (3) | 0 | |||||||||
Total | $ | 63 | $ | (3) | $ | 0 | ||||||
In millions | Fair Value | Unrealized Loss | Insurance Loss Reserve (1) | |||||||||
Mortgage-backed | $ | 110 | $ | (10) | $ | 125 | ||||||
Corporate oblig ations | 86 | (16) | - | |||||||||
Total | $ | 196 | $ | (26) | $ | 125 | ||||||
(1) - | Insurance loss reserve estimates are based on the proportion of par value owned to the total amount of par value insured and are discounted using a discount rate equal to the risk-free rate applicable to the currency and weighted average remaining life of the insurance contract and may differ from the fair value. |
Three Months Ended June 30, 2020 | ||||||||||||||||||||||||
In millions | Balance, Beginning of Period | Current period provision for expected credit losses | Initial allowance recognized for PCD assets | Write-Offs | Recoveries | Balance as of June 30, 2020 | ||||||||||||||||||
HTM Investments | ||||||||||||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||||||
Corporate obligations | $ | 46 | $ | (23 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 23 | |||||||||||
Total Allowance on HTM investments | $ | 46 | $ | (23 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 23 | |||||||||||
Six Months Ended June 30, 2020 | ||||||||||||||||||||||||
In millions | Balance as of January 1, 2020 (1) | Current period provision for expected credit losses | Initial allowance recognized for PCD assets | Write-Offs | Recoveries | Balance as of June 30, 2020 | ||||||||||||||||||
HTM Investments | ||||||||||||||||||||||||
Assets of consolidated VIEs: | ||||||||||||||||||||||||
Corporate obligations | $ | 37 | $ | (14 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 23 | |||||||||||
Total Allowance on HTM investments | $ | 37 | $ | (14 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 23 | |||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
In millions | 2021 | 2020 | 2021 | 2020 | ||||||||||||
Proceeds from sales | $ | 218 | $ | 290 | $ | 396 | $ | 569 | ||||||||
Gross realized gains | $ | 2 | $ | 20 | $ | 6 | $ | 31 | ||||||||
Gross realized losses | $ | (3 | ) | $ | (4 | ) | $ | (8 | ) | $ | (12 | ) |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
In millions | 2022 | 2021 | 2022 | 2021 | ||||||||||||
Proceeds from sales | $ | 414 | $ | 218 | $ | 520 | $ | 396 | ||||||||
Gross realized gains | $ | 1 | $ | 2 | $ | 1 | $ | 6 | ||||||||
Gross realized losses | $ | (22 | ) | $ | (3 | ) | $ | (25 | ) | $ | (8 | ) |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
In millions | 2021 | 2020 | 2021 | 2020 | ||||||||||||
Net gains (losses) recognized during the period on equity securities | $ | 3 | $ | 8 | $ | 5 | $ | (5 | ) | |||||||
Less: | ||||||||||||||||
Net gains (losses) recognized during the period on equity securities sold during the period | 0 | 0 | 0 | 0 | ||||||||||||
Unrealized gains (losses) recognized during the period on equity securities still held at the reporting date | $ | 3 | $ | 8 | $ | 5 | $ | (5 | ) | |||||||
In millions | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Net gains (losses) recognized during the period on equity and trading securities | $ | (18 | ) | $ | 3 | $ | (28 | ) | $ | 5 | ||||||
Less: | ||||||||||||||||
Net gains (losses) recognized during the period on equity and trading securities sold during the period | (1 | ) | - | - | - | |||||||||||
Unrealized gains (losses) recognized during the period on equity and trading securities still held at the reporting date | $ | (17 | ) | $ | 3 | $ | (28 | ) | $ | 5 | ||||||
$ in millions | As of June 30, 2021 | |||||||||||||||||||||||||||||||
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 | 13.5 Years | $ | 0 | $ | 55 | $ | 1,306 | $ | 358 | $ | 0 | $ | 1,719 | $ | (1 | ) | ||||||||||||||||
Total notional | $ | 0 | $ | 55 | $ | 1,306 | $ | 358 | $ | 0 | $ | 1,719 | ||||||||||||||||||||
Total fair value | $ | 0 | $ | 0 | $ | (1 | ) | $ | 0 | $ | - | $ | (1 | ) | ||||||||||||||||||
$ in millions | As of December 31, 2020 | |||||||||||||||||||||||||||||||
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 | 13.9 Years | $ | 0 | $ | 58 | $ | 1,327 | $ | 358 | $ | 0 | $ | 1,743 | $ | (2 | ) | ||||||||||||||||
Total notional | $ | 0 | $ | 58 | $ | 1,327 | $ | 358 | $ | 0 | $ | 1,743 | ||||||||||||||||||||
Total fair value | $ | 0 | $ | 0 | $ | (1 | ) | $ | (1 | ) | $ | - | $ | (2 | ) | |||||||||||||||||
$ in millions | As of June 30, 2022 | |||||||||||||||||||||||||||||||
Credit Derivatives Sold | Weighted Average Remaining Expected Maturity | AAA | AA | A | BBB | Below Investment Grade | Total Notional | Fair Value Asset (Liability) | ||||||||||||||||||||||||
Insured swaps | 14.1 Years | $ | - | $ | 53 | $ | 1,026 | $ | 292 | $ | - | $ | 1,371 | $ | - | |||||||||||||||||
Total fair value | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | ||||||||||||||||||||
$ in millions | As of December 31, 2021 | |||||||||||||||||||||||||||||||
Credit Derivatives Sold | Weighted Average Remaining Expected Maturity | AAA | AA | A | BBB | Below Investment Grade | Total Notional | Fair Value Asset (Liability) | ||||||||||||||||||||||||
Insured swaps | 14.1 Years | $ | - | $ | 61 | $ | 1,136 | $ | 292 | $ | - | $ | 1,489 | $ | (1 | ) | ||||||||||||||||
Total fair value | $ | - | $ | - | $ | (1 | ) | $ | - | $ | - | $ | (1 | ) | ||||||||||||||||||
In millions | Derivative Assets (1) | Derivative Liabilities (1) | ||||||||||||||
Derivative Instruments | Notional Amount Outstanding | Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||||
Not designated as hedging instruments: | ||||||||||||||||
Insured swaps | $ | 1,719 | Other assets | $ | 0 | Derivative liabilities | $ | (1 | ) | |||||||
Interest rate swaps | 427 | Other assets | 1 | Derivative liabilities | (139 | ) | ||||||||||
Interest rate swaps-embedded | 243 | Medium-term notes | 0 | Medium-term notes | (9 | ) | ||||||||||
Currency swaps-VIE | 51 | Other assets-VIE | 8 | Derivative liabilities-VIE | 0 | |||||||||||
Total non-designated derivatives | $ | 2,440 | $ | 9 | $ | (149 | ) | |||||||||
June 30, 2022 | ||||||||||||||||||||
In millions | Derivative Assets (1) | Derivative Liabilities (1) | ||||||||||||||||||
Derivative Instruments | Notional Amount Outstanding | Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||||||||
Not designated as hedging instruments: | ||||||||||||||||||||
Insured swaps | $ | 1,371 | Other assets | $ | - | Derivative liabilities | $ | - | ||||||||||||
Interest rate swaps | 379 | Other assets | 1 | Derivative liabilities | (72 | ) | ||||||||||||||
Interest rate swaps-embedded | 190 | Medium-term notes | - | Medium-term notes | (4 | ) | ||||||||||||||
Currency swaps-VIE | 47 | Other assets-VIE | 9 | Derivative liabilities-VIE | - | |||||||||||||||
Total non-designated derivatives | $ | 1,987 | $ | 10 | $ | (76 | ) | |||||||||||||
(1) - | 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. |
December 31, 2021 | ||||||||||||||||||||
In millions | Derivative Assets (1) | Derivative Liabilities (1) | ||||||||||||||||||
Derivative Instruments | Notional Amount Outstanding | Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||||||||
Not designated as hedging instruments: | ||||||||||||||||||||
Insured swaps | $ | 1,489 | Other assets | $ | - | Derivative liabilities | $ | (1 | ) | |||||||||||
Interest rate swaps | 399 | Other assets | 1 | Derivative liabilities | (130 | ) | ||||||||||||||
Interest rate swaps-embedded | 206 | Medium-term notes | - | Medium-term notes | (9 | ) | ||||||||||||||
Currency swaps-VIE | 50 | Other assets-VIE | 9 | Derivative liabilities-VIE | - | |||||||||||||||
Total non-designated derivatives | $ | 2,144 | $ | 10 | $ | (140 | ) | |||||||||||||
(1) - | 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. |
In millions | ||||||||||
Derivatives Not Designated as | Three Months Ended June 30, | |||||||||
Hedging Instruments | Location of Gain (Loss) Recognized in Income on Derivative | 2022 | 2021 | |||||||
Insured swaps | Net gains (losses)on financial instruments at fair value andforeign exchange | $ | 1 | $ | - | |||||
Interest rate swaps | Net gains (losses) on financial instruments at fair value and foreign exchange | 26 | (18 | ) | ||||||
Currency swaps-VIE | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE | - | (1 | ) | ||||||
Total | $ | 27 | $ | (19 | ) | |||||
In millions | Derivative Assets (1) | Derivative Liabilities (1) | ||||||||||||||
Derivative Instruments | Notional Amount Outstanding | Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||||
Not designated as hedging instruments: | ||||||||||||||||
Insured swaps | $ | 1,743 | Other assets | $ | 0 | Derivative liabilities | $ | (2 | ) | |||||||
Interest rate swaps | 437 | Other assets | 1 | Derivative liabilities | (164 | ) | ||||||||||
Interest rate swaps-embedded | 252 | Medium-term notes | 0 | Medium-term notes | (10 | ) | ||||||||||
Currency swaps-VIE | 53 | Other assets-VIE | 6 | Derivative liabilities-VIE | 0 | |||||||||||
All other | 49 | Other assets | 0 | Derivative liabilities | (49 | ) | ||||||||||
Total non-designated derivatives | $ | 2,534 | $ | 7 | $ | (225 | ) | |||||||||
In millions | ||||||||||
Derivatives Not Designated as | Three Months Ended June 30, | |||||||||
Hedging Instruments | Location of Gain (Loss) Recognized in Income on Derivative | 2021 | 2020 | |||||||
Interest rate swaps | Net gains (losses) on financial instruments at fair value and foreign exchange | $ | (18 | ) | $ | (3 | ) | |||
Currency swaps-VIE | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE | (1 | ) | (5 | ) | |||||
Total | $ | (19 | ) | $ | (8 | ) | ||||
In millions | ||||||||||
Derivatives Not Designated as | Six Months Ended June 30, | |||||||||
Hedging Instruments | Location of Gain (Loss) Recognized in Income on Derivative | 2021 | 2020 | |||||||
Insured credit default swaps | Unrealized gains (losses) on insured derivatives | $ | 0 | $ | (1 | ) | ||||
Interest rate swaps | Net gains (losses) on financial instruments at fair value and foreign exchange | 17 | (59 | ) | ||||||
Currency swaps-VIE | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE | 1 | 5 | |||||||
All other | Net gains (losses) on financial instruments at fair value and foreign exchange | 0 | (3 | ) | ||||||
Total | $ | 18 | $ | (58 | ) | |||||
In millions | ||||||||||
Derivatives Not Designated as Hedging Instruments | Six Months Ended June 30, | |||||||||
Location of Gain (Loss) Recognized in Income on Derivative | 2022 | 2021 | ||||||||
Insured swaps | Net gains (losses)on financial instruments at fair value andforeign exchange | $ | 1 | $ | - | |||||
Interest rate swaps | Net gains (losses) on financial instruments at fair value and foreign exchange | 56 | 17 | |||||||
Currency swaps-VIE | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE | - | 1 | |||||||
Total | $ | 57 | $ | 18 | ||||||
Three Months Ended June 30, | Six Months Ended June 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
In millions | 2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||||
Income (loss) before income taxes | $ | (61 | ) | $ | (106 | ) | $ | (167 | ) | $ | (439 | ) | $ | (36 | ) | $ | (61 | ) | $ | (109 | ) | $ | (167 | ) | ||||||||
Provision (benefit) for income taxes | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | - | $ | - | $ | - | $ | - | ||||||||||||||||
Effective tax rate | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
Three Months Ended June 30, 2022 | ||||||||||||||||||||
U.S. Public | International | |||||||||||||||||||
and Structured | ||||||||||||||||||||
Finance | Finance | |||||||||||||||||||
In millions | Insurance | Corporate | Insurance | Eliminations | Consolidated | |||||||||||||||
Revenues (1) | $ | (13 | ) | $ | 4 | $ | 12 | $ | - | $ | 3 | |||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | (21 | ) | 37 | (7 | ) | - | 9 | |||||||||||||
Net gains (losses) on extinguishment of debt | - | 4 | - | - | 4 | |||||||||||||||
Revenues of consolidated VIEs | - | - | 24 | - | 24 | |||||||||||||||
Inter-segment revenues (2) | 6 | 14 | 2 | (22 | ) | - | ||||||||||||||
Total revenues | (28 | ) | 59 | 31 | (22 | ) | 40 | |||||||||||||
Losses and loss adjustment | 49 | - | (29 | ) | - | 20 | ||||||||||||||
Amortization of deferred acquisition costs and operating | 1 | 8 | 3 | - | 12 | |||||||||||||||
Interest | - | 14 | 29 | - | 43 | |||||||||||||||
Expenses of consolidated VIEs | - | - | 1 | - | 1 | |||||||||||||||
Inter-segment expenses (2) | 10 | 6 | 5 | (21 | ) | - | ||||||||||||||
Total expenses | 60 | 28 | 9 | (21 | ) | 76 | ||||||||||||||
Income (loss) before income taxes | $ | (88 | ) | $ | 31 | $ | 22 | $ | (1 | ) | $ | (36 | ) | |||||||
Identifiable assets | $ | 3,079 | $ | 665 | $ | 1,729 | $ | (1,406 | ) (3) | $ | 4,067 | |||||||||
(1) - | Consists of net premiums earned, net investment income, net realized investment gains (losses), fees and reimbursements and other net realized gains (losses). |
(2) - | Primarily represents intercompany service charges and intercompany net investment income and expenses. |
(3) - | Consists principally of intercompany reinsurance balances. |
Three Months Ended June 30, 2021 | ||||||||||||||||||||
U.S. Public | International | |||||||||||||||||||
and Structured | ||||||||||||||||||||
Finance | Finance | |||||||||||||||||||
In millions | Insurance | Corporate | Insurance | Eliminations | Consolidated | |||||||||||||||
Revenues (1) | $ | 21 | $ | 2 | $ | 6 | $ | - | $ | 29 | ||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 3 | (18 | ) | (5 | ) | - | (20 | ) | ||||||||||||
Net gains (losses) on extinguishment of debt | - | 14 | - | - | 14 | |||||||||||||||
Revenues of consolidated VIEs | - | - | (5 | ) | - | (5 | ) | |||||||||||||
Inter-segment revenues (2) | 6 | 18 | 4 | (28 | ) | - | ||||||||||||||
Total revenues | 30 | 16 | - | (28 | ) | 18 | ||||||||||||||
Losses and loss adjustment | (42 | ) | - | 51 | - | 9 | ||||||||||||||
Amortization of deferred acquisition costs and operating | 4 | 17 | 3 | - | 24 | |||||||||||||||
Interest | - | 14 | 27 | - | 41 | |||||||||||||||
Expenses of consolidated VIEs | - | - | 5 | - | 5 | |||||||||||||||
Inter-segment expenses (2) | 11 | 4 | 11 | (26 | ) | - | ||||||||||||||
Total expenses | (27 | ) | 35 | 97 | (26 | ) | 79 | |||||||||||||
Income (loss) before income taxes | $ | 57 | $ | (19 | ) | $ | (97 | ) | $ | (2 | ) | $ | (61 | ) | ||||||
(1) - | Consists of net premiums earned, net investment income, net realized investment gains (losses), fees and reimbursements and other net realized gains (losses). |
(2) - | Primarily represents intercompany service charges and intercompany net investment income and expenses. |
Six Months Ended June 30, 2022 | ||||||||||||||||||||
U.S. Public | International | |||||||||||||||||||
and Structured | ||||||||||||||||||||
Finance | Finance | |||||||||||||||||||
In millions | Insurance | Corporate | Insurance | Eliminations | Consolidated | |||||||||||||||
Revenues (1) | $ | 7 | $ | 6 | $ | 17 | $ | - | $ | 30 | ||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | (37 | ) | 76 | (13 | ) | - | 26 | |||||||||||||
Net gains (losses) on extinguishment of debt | - | 4 | - | - | 4 | |||||||||||||||
Revenues of consolidated VIEs | - | - | 20 | - | 20 | |||||||||||||||
Inter-segment revenues (2) | 14 | 31 | 5 | (50 | ) | - | ||||||||||||||
Total revenues | (16 | ) | 117 | 29 | (50 | ) | 80 | |||||||||||||
Losses and loss adjustment | 136 | - | (67 | ) | - | 69 | ||||||||||||||
Amortization of deferred acquisition costs and operating | 4 | 23 | 6 | - | 33 | |||||||||||||||
Interest | - | 28 | 56 | - | 84 | |||||||||||||||
Expenses of consolidated VIEs | - | - | 3 | - | 3 | |||||||||||||||
Inter-segment expenses (2) | 23 | 12 | 14 | (49 | ) | - | ||||||||||||||
Total expenses | 163 | 63 | 12 | (49 | ) | 189 | ||||||||||||||
Income (loss) before income taxes | $ | (179 | ) | $ | 54 | $ | 17 | $ | (1 | ) | $ | (109 | ) | |||||||
Identifiable assets | $ | 3,079 | $ | 665 | $ | 1,729 | $ | (1,406 | ) (3) | $ | 4,067 | |||||||||
Three Months Ended June 30, 2021 | ||||||||||||||||||||
U.S. | International | |||||||||||||||||||
Public | and Structured | |||||||||||||||||||
Finance | Finance | |||||||||||||||||||
In millions | Insurance | Corporate | Insurance | Eliminations | Consolidated | |||||||||||||||
Revenues (1) | $ | 21 | $ | 2 | $ | 6 | $ | 0 | $ | 29 | ||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 3 | (18 | ) | (5 | ) | 0 | (20 | ) | ||||||||||||
Net gains (losses) on extinguishment of debt | 0 | 14 | 0 | 0 | 14 | |||||||||||||||
Revenues of consolidated VIEs | 0 | 0 | (5 | ) | 0 | (5 | ) | |||||||||||||
Inter-segment revenues (2) | 6 | 18 | 4 | (28 | ) | 0 | ||||||||||||||
Total revenues | 30 | 16 | 0 | (28 | ) | 18 | ||||||||||||||
Losses and loss adjustmen t | (42 | ) | 0 | 51 | 0 | 9 | ||||||||||||||
Operating | 4 | 17 | 3 | 0 | 24 | |||||||||||||||
Interest | 0 | 14 | 27 | 0 | 41 | |||||||||||||||
Expenses of consolidated VIEs | 0 | 0 | 5 | 0 | 5 | |||||||||||||||
Inter-segment expenses (2) | 11 | 4 | 11 | (26 | ) | 0 | ||||||||||||||
Total expenses | (27 | ) | 35 | 97 | (26 | ) | 79 | |||||||||||||
Income (loss) before income taxes | $ | 57 | $ | (19 | ) | $ | (97 | ) | $ | (2 | ) | $ | (61 | ) | ||||||
Identifiable assets | $ | 3,593 | $ | 852 | $ | 3,346 | $ | (2,539 | ) (3) | $ | 5,252 | |||||||||
(1) - | Consists of |
(2) - | Primarily represents intercompany |
(3) - | Consists principally of intercompany reinsurance balances. |
Six Months Ended June 30, 2021 | ||||||||||||||||||||
U.S. Public | International | |||||||||||||||||||
and Structured | ||||||||||||||||||||
Finance | Finance | |||||||||||||||||||
In millions | Insurance | Corporate | Insurance | Eliminations | Consolidated | |||||||||||||||
Revenues (1) | $ | 44 | $ | 6 | $ | 13 | $ | - | $ | 63 | ||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | - | 38 | (6 | ) | - | 32 | ||||||||||||||
Net gains (losses) on extinguishment of de bt | - | 14 | - | - | 14 | |||||||||||||||
Revenues of consolidated VIEs | - | - | (19 | ) | - | (19 | ) | |||||||||||||
Inter-segment revenues (2) | 14 | 36 | 8 | (58 | ) | - | ||||||||||||||
Total revenues | 58 | 94 | (4 | ) | (58 | ) | 90 | |||||||||||||
Losses and loss adjustment | 67 | - | 40 | - | 107 | |||||||||||||||
Amortization of deferred acquisition costs and operating | 8 | 38 | 6 | - | 52 | |||||||||||||||
Interest | - | 28 | 54 | - | 82 | |||||||||||||||
Expenses of consolidated VIEs | - | - | 16 | - | 16 | |||||||||||||||
Inter-segment expenses (2) | 25 | 10 | 21 | (56 | ) | - | ||||||||||||||
Total expenses | 100 | 76 | 137 | (56 | ) | 257 | ||||||||||||||
Income (loss) before income taxes | $ | (42 | ) | $ | 18 | $ | (141 | ) | $ | (2 | ) | $ | (167 | ) | ||||||
Three Months Ended June 30, 2020 | ||||||||||||||||||||
U.S. | International | |||||||||||||||||||
Public | and Structured | |||||||||||||||||||
Finance | Finance | |||||||||||||||||||
In millions | Insurance | Corporate | Insurance | Eliminations | Consolidated | |||||||||||||||
Revenues (1) | $ | 26 | $ | 5 | $ | 8 | $ | 0 | $ | 39 | ||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 25 | 0 | (1 | ) | 0 | 24 | ||||||||||||||
Revenues of consolidated VIEs | 0 | 0 | 51 | 0 | 51 | |||||||||||||||
Inter-segment revenues (2) | 8 | 17 | 3 | (28 | ) | 0 | ||||||||||||||
Total revenues | 59 | 22 | 61 | (28 | ) | 114 | ||||||||||||||
Losses and loss adjustment | 72 | 0 | 64 | 0 | 136 | |||||||||||||||
Operating | 3 | 19 | 3 | 0 | 25 | |||||||||||||||
Interest | 0 | 16 | 29 | 0 | 45 | |||||||||||||||
Expenses of consolidated VIEs | 0 | 0 | 14 | 0 | 14 | |||||||||||||||
Inter-segment expenses (2) | 11 | 6 | 11 | (28 | ) | 0 | ||||||||||||||
Total expenses | 86 | 41 | 121 | (28 | ) | 220 | ||||||||||||||
Income (loss) before income taxes | $ | (27 | ) | $ | (19 | ) | $ | (60 | ) | $ | 0 | $ | (106 | ) | ||||||
(1) - | Consists of |
Six Months Ended June 30, 2021 | ||||||||||||||||||||
U.S. | International | |||||||||||||||||||
Public | and Structured | |||||||||||||||||||
Finance | Finance | |||||||||||||||||||
In millions | Insurance | Corporate | Insurance | Eliminations | Consolidated | |||||||||||||||
Revenues (1) | $ | 44 | $ | 7 | $ | 13 | $ | 0 | $ | 64 | ||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 0 | 37 | (6 | ) | 0 | 31 | ||||||||||||||
Net gains (losses) on extinguishment of debt | 0 | 14 | 0 | 0 | 14 | |||||||||||||||
Revenues of consolidated VIEs | 0 | 0 | (19 | ) | 0 | (19 | ) | |||||||||||||
Inter-segment revenues (2) | 14 | 36 | 8 | (58 | ) | 0 | ||||||||||||||
Total revenues | 58 | 94 | (4 | ) | (58 | ) | 90 | |||||||||||||
Losses and loss adjustment | 67 | 0 | 40 | 0 | 107 | |||||||||||||||
Operating | 8 | 38 | 6 | 0 | 52 | |||||||||||||||
Interest | 0 | 28 | 54 | 0 | 82 | |||||||||||||||
Expenses of consolidated VIEs | 0 | 0 | 16 | 0 | 16 | |||||||||||||||
Inter-segment expenses (2) | 25 | 10 | 21 | (56 | ) | 0 | ||||||||||||||
Total expenses | 100 | 76 | 137 | (56 | ) | 257 | ||||||||||||||
Income (loss) before income taxe s | $ | (42 | ) | $ | 18 | $ | (141 | ) | $ | (2 | ) | $ | (167 | ) | ||||||
Identifiable assets | $ | 3,593 | $ | 852 | $ | 3,346 | $ | (2,539 | ) (3) | $ | 5,252 | |||||||||
(2) - | Primarily represents intercompany |
Six Months Ended June 30, 2020 | ||||||||||||||||||||
U.S. | International | |||||||||||||||||||
Public | and Structured | |||||||||||||||||||
Finance | Finance | |||||||||||||||||||
In millions | Insurance | Corporate | Insurance | Eliminations | Consolidated | |||||||||||||||
Revenues (1) | $ | 57 | $ | 11 | $ | 14 | $ | 0 | $ | 82 | ||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 7 | (56 | ) | 10 | 0 | (39 | ) | |||||||||||||
Revenues of consolidated VIEs | 0 | 0 | 65 | 0 | 65 | |||||||||||||||
Inter-segment revenues (2) | 14 | 35 | 8 | (57 | ) | 0 | ||||||||||||||
Total revenues | 78 | (10 | ) | 97 | (57 | ) | 108 | |||||||||||||
Losses and loss adjustment | 120 | 0 | 259 | 0 | 379 | |||||||||||||||
Operating | 5 | 34 | 6 | 0 | 45 | |||||||||||||||
Interest | 0 | 32 | 60 | 0 | 92 | |||||||||||||||
Expenses of consolidated VIEs | 0 | 0 | 31 | 0 | 31 | |||||||||||||||
Inter-segment expenses (2) | 25 | 11 | 21 | (57 | ) | 0 | ||||||||||||||
Total expenses | 150 | 77 | 377 | (57 | ) | 547 | ||||||||||||||
Income (loss) before income taxes | $ | (72 | ) | $ | (87 | ) | $ | (280 | ) | $ | 0 | $ | (439 | ) | ||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
In millions except per share amounts | 2021 | 2020 | 2021 | 2020 | ||||||||||||
Basic earnings per share: | ||||||||||||||||
Net income (loss) | $ | (61 | ) | $ | (106 | ) | $ | (167 | ) | $ | (439 | ) | ||||
Less: undistributed earnings allocated to participating securities | 0 | 0 | 0 | 0 | ||||||||||||
Net income (loss) available to common shareholders | $ | (61 | ) | $ | (106 | ) | $ | (167 | ) | $ | (439 | ) | ||||
Basic weighted average shares (1) | 49.5 | 62.6 | 49.4 | 67.3 | ||||||||||||
Net income (loss) per basic common share | $ | (1.23 | ) | $ | (1.69 | ) | $ | (3.38 | ) | $ | (6.51 | ) | ||||
Diluted earnings per share: | ||||||||||||||||
Net income (loss) | $ | (61 | ) | $ | (106 | ) | $ | (167 | ) | $ | (439 | ) | ||||
Less: undistributed earnings allocated to participating securities | 0 | 0 | 0 | 0 | ||||||||||||
Net income (loss) available to common shareholders | $ | (61 | ) | $ | (106 | ) | $ | (167 | ) | $ | (439 | ) | ||||
Diluted weighted average shares | 49.5 | 62.6 | 49.4 | 67.3 | ||||||||||||
Net income (loss) per diluted common share | $ | (1.23 | ) | $ | (1.69 | ) | $ | (3.38 | ) | $ | (6.51 | ) | ||||
Potentially dilutive securities excluded from the calculation of diluted EPS because of antidilutive affect | 4.9 | 4.9 | 4.9 | 4.9 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
In millions except per share amounts | 2022 | 2021 | 2022 | 2021 | ||||||||||||
Basic earnings per share: | ||||||||||||||||
Net income (loss) | $ | (36 | ) | $ | (61 | ) | $ | (109 | ) | $ | (167 | ) | ||||
Less: undistributed earnings allocated to participating securities | - | - | - | - | ||||||||||||
Net income (loss) available to common shareholders | $ | (36 | ) | $ | (61 | ) | $ | (109 | ) | $ | (167 | ) | ||||
Basic weighted average shares (1) | 49.8 | 49.5 | 49.7 | 49.4 | ||||||||||||
Net income (loss) per basic common share | $ | (0.72 | ) | $ | (1.23 | ) | $ | (2.20 | ) | $ | (3.38 | ) | ||||
Diluted earnings per share: | ||||||||||||||||
Net income (loss) | $ | (36 | ) | $ | (61 | ) | $ | (109 | ) | $ | (167 | ) | ||||
Less: undistributed earnings allocated to participating securities | - | - | - | - | ||||||||||||
Net income (loss) available to common shareholders | $ | (36 | ) | $ | (61 | ) | $ | (109 | ) | $ | (167 | ) | ||||
Diluted weighted average shares | 49.8 | 49.5 | 49.7 | 49.4 | ||||||||||||
Net income (loss) per diluted common share | $ | (0.72 | ) | $ | (1.23 | ) | $ | (2.20 | ) | $ | (3.38 | ) | ||||
Potentially dilutive securities excluded from the calculation of diluted EPS because of antidilutive affect | 5.0 | 4.9 | 5.0 | 4.9 |
(1) - | Includes 0.8 million and 0.9 million of participating securities that met the service condition and were eligible to receive nonforfeitable dividends or dividend equivalents for each of the three months and six months ended June 30 , 2022 and 2021 , respectively. |
Unrealized | Instrument-Specific | Unrealized Gains (Losses) on AFS Securities, Net | Instrument- Specific | |||||||||||||||||||||||||||||
Gains (Losses) | Credit Risk of | Credit Risk of | ||||||||||||||||||||||||||||||
on AFS | Foreign Currency | Liabilities Measured | Foreign Currency | Liabilities Measured | ||||||||||||||||||||||||||||
In millions | Securities, Net | Translation, Net | at Fair Value, Net | Total | Translation, Net | at Fair Value, Net | Total | |||||||||||||||||||||||||
Balance, December 31, 2020 | $ | 176 | $ | (10 | ) | $ | (51 | ) | $ | 115 | ||||||||||||||||||||||
Balance, December 31, 2021 | $ | 138 | $ | (6 | ) | $ | (32 | ) | $ | 100 | ||||||||||||||||||||||
Other comprehensive income (loss) before reclassifications | (32 | ) | 3 | 1 | (28 | ) | (298 | ) | 1 | (20 | ) | (317 | ) | |||||||||||||||||||
Amounts reclassified from AOCI | (8 | ) | 0 | 24 | 16 | (2 | ) | - | (12 | ) | (14 | ) | ||||||||||||||||||||
Net period other comprehensive income (loss) | (40 | ) | 3 | 25 | (12 | ) | (300 | ) | 1 | (32 | ) | (331 | ) | |||||||||||||||||||
Balance, June 30, 2021 | $ | 136 | $ | (7 | ) | $ | (26 | ) | $ | 103 | ||||||||||||||||||||||
Balance, June 30, 2022 | $ | (162 | ) | $ | (5 | ) | $ | (64 | ) | $ | (231 | ) | ||||||||||||||||||||
In millions | Amounts Reclassified from AOCI | |||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||
Details about AOCI Components | 2021 | 2020 | 2021 | 2020 | Affected Line Item on the Consolidated Statements of Operations | |||||||||||||
Unrealized gains (losses) on AFS securities: | ||||||||||||||||||
Realized gains (losses) on sale of securities | $ | 3 | $ | 5 | $ | 8 | $ | 8 | Net gains (losses) on financial instruments at fair value and foreign exchange | |||||||||
Total unrealized gains (losses) on AFS securities | 3 | 5 | 8 | 8 | ||||||||||||||
Instrument-specific credit risk of liabilities: | ||||||||||||||||||
Settlement of liabilities | (4 | ) | (1 | ) | (24 | ) | (3 | ) | Net gains (losses) on financial instruments at fair value and foreign exchange | |||||||||
Total reclassifications for the period | $ | (1 | ) | $ | 4 | $ | (16 | ) | $ | 5 | Net income (loss) | |||||||
In millions | Amounts Reclassified from AOCI | |||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||
Details about AOCI Components | 2022 | 2021 | 2022 | 2021 | Affected Line Item on the Consolidated Statements of Operations | |||||||||||||
Unrealized gains (losses) on AFS securities: | ||||||||||||||||||
Realized gains (losses) on sale of securities | $ | 2 | $ | 3 | $ | 2 | $ | 8 | Net realized investment gains (losses) | |||||||||
Total unrealized gains (losses) on AFS securities | 2 | 3 | 2 | 8 | ||||||||||||||
Instrument-specific credit risk of liabilities: | ||||||||||||||||||
Settlement of liabilities | 15 | (4 | ) | 12 | (24 | ) | Net gains (losses) on financial instruments at fair value and foreign exchange - VIE | |||||||||||
Total reclassifications for the period | $ | 17 | $ | (1 | ) | $ | 14 | $ | (16 | ) | Net income (loss) | |||||||
$ in millions | As of June 30, 2021 | Balance Sheet Location | ||||||
Right-of-use | $ | 19 | Other assets | |||||
Lease liability | $ | 19 | Other liabilities | |||||
Weighted average remaining lease term (years) | 8.5 | |||||||
Discount rate used for operating leases | 7.5% | |||||||
Total future minimum lease payments | $ | 27 |
$ in millions | As of June 30, 2022 | Balance Sheet Location | ||||||
Right-of-use asset | $ | 18 | Other assets | |||||
Lease liability | $ | 18 | Other liabilities | |||||
Weighted average remaining lease term (years) | 7.3 | |||||||
Discount rate used for operating leases | 7.5% | |||||||
Total future minimum lease payments | $ | 24 |
�� | ||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
In millions except per share amounts | 2021 | 2020 | 2021 | 2020 | ||||||||||||
Net income (loss) | $ | (61) | $ | (106) | $ | (167) | $ | (439) | ||||||||
Net income (loss) per diluted share | $ | (1.23) | $ | (1.69) | $ | (3.38) | $ | (6.51) | ||||||||
Adjusted net income (loss) (1) | $ | 37 | $ | (72) | $ | (79) | $ | (119) | ||||||||
Adjusted net income (loss) per diluted share (1) | $ | 0.76 | $ | (1.15) | $ | (1.60) | $ | (1.77) | ||||||||
Cost of shares repurchased | $ | - | $ | 71 | $ | - | $ | 136 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
In millions except for per share amounts | 2021 | 2020 | 2021 | 2020 | ||||||||||||
Total revenues | $ | 18 | $ | 114 | $ | 90 | $ | 108 | ||||||||
Total expenses | 79 | 220 | 257 | 547 | ||||||||||||
Income (loss) before income taxes | (61 | ) | (106 | ) | (167 | ) | (439 | ) | ||||||||
Provision (benefit) for income taxes | - | - | - | - | ||||||||||||
Net income (loss) | $ | (61 | ) | $ | (106 | ) | $ | (167 | ) | $ | (439 | ) | ||||
Net income (loss) per common share: | ||||||||||||||||
Basic | $ | (1.23 | ) | $ | (1.69 | ) | $ | (3.38 | ) | $ | (6.51 | ) | ||||
Diluted | $ | (1.23 | ) | $ | (1.69 | ) | $ | (3.38 | ) | $ | (6.51 | ) | ||||
Weighted average number of common shares outstanding: | ||||||||||||||||
Basic | 49.5 | 62.6 | 49.4 | 67.3 | ||||||||||||
Diluted | 49.5 | 62.6 | 49.4 | 67.3 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
In millions except for per share, percentage and share amounts | 2022 | 2021 | 2022 | 2021 | ||||||||||||
Total revenues | $ | 40 | $ | 18 | $ | 80 | $ | 90 | ||||||||
Total expenses | 76 | 79 | 189 | 257 | ||||||||||||
Income (loss) before income taxes | (36 | ) | (61 | ) | (109 | ) | (167 | ) | ||||||||
Provision (benefit) for income taxes | - | - | - | - | ||||||||||||
Net income (loss) | $ | (36 | ) | $ | (61 | ) | $ | (109 | ) | $ | (167 | ) | ||||
Net income (loss) per basic and diluted common share | $ | (0.72 | ) | $ | (1.23 | ) | $ | (2.20 | ) | $ | (3.38 | ) | ||||
Effective tax rate | 0.0% | 0.0% | 0.0% | 0.0% | ||||||||||||
Adjusted net income (loss) (1) | $ | (47 | ) | $ | 37 | $ | (143 | ) | $ | (79 | ) | |||||
Adjusted net income (loss) per diluted share (1) | $ | (0.93 | ) | $ | 0.76 | $ | (2.87 | ) | $ | (1.60 | ) | |||||
Weighted average basic and diluted common shares outstanding | 49,826,695 | 49,488,368 | 49,729,610 | 49,373,883 |
(1) - | Adjusted net income (loss) and adjusted net income (loss) per diluted share are non-GAAP measures. Refer to the following Non-GAAP Adjusted Net Income (Loss) section for a discussion of adjusted net income (loss) and adjusted net income (loss) per diluted share and a reconciliation of GAAP net income (loss) to adjusted net income (loss) and GAAP net income (loss) per diluted share to adjusted net income (loss) per diluted share. |
Three Months Ended June 30, | Six Months Ended June 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
In millions except share and per share amounts | 2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||||
Net income (loss) | $ | (61 | ) | $ | (106 | ) | $ | (167 | ) | $ | (439 | ) | $ | (36 | ) | $ | (61 | ) | $ | (109 | ) | $ | (167 | ) | ||||||||
Less: adjusted net income (loss) adjustments: | ||||||||||||||||||||||||||||||||
Income (loss) before income taxes of our international and structured finance insurance segment and eliminations | (99 | ) | (59 | ) | (143 | ) | (279 | ) | 23 | (99 | ) | 18 | (143 | ) | ||||||||||||||||||
Adjustments to income before income taxes of our U.S. public finance insurance and corporate segments: | ||||||||||||||||||||||||||||||||
Mark-to-market gains (losses) on financial instruments (1) | (9 | ) | 17 | 29 | (60 | ) | 13 | (9 | ) | 37 | 29 | |||||||||||||||||||||
Foreign exchange gains (losses) (1) | (4 | ) | (8 | ) | 13 | - | 13 | (4 | ) | 19 | 13 | |||||||||||||||||||||
Net gains (losses) on sales of investments (1) | - | 16 | (1 | ) | 19 | |||||||||||||||||||||||||||
Net realized investment gains (losses) | (21 | ) | - | (23 | ) | (1 | ) | |||||||||||||||||||||||||
Net gains (losses) on extinguishment of debt | 14 | - | 14 | - | 5 | 14 | 5 | 14 | ||||||||||||||||||||||||
Adjusted net income adjustment to the (provision) benefit for income tax (2) | - | - | - | - | ||||||||||||||||||||||||||||
Net investment losses related to impairments of securities (2) | (22 | ) | - | (22 | ) | - | ||||||||||||||||||||||||||
Adjusted net income adjustment to the (provision) benefit for income tax | - | - | - | - | ||||||||||||||||||||||||||||
Adjusted net income (loss) | $ | 37 | $ | (72 | ) | $ | (79 | ) | $ | (119 | ) | $ | (47 | ) | $ | 37 | $ | (143 | ) | $ | (79 | ) | ||||||||||
Adjusted net income (loss) per diluted common share (3) | $ | 0.76 | $ | (1.15 | ) | $ | (1.60 | ) | $ | (1.77 | ) | $ | (0.93 | ) | $ | 0.76 | $ | (2.87 | ) | $ | (1.60 | ) |
(1) - | Reported within “Net gains (losses) on financial instruments at fair value and foreign exchange” on the Company’s consolidated statements of operations. |
(2) - | Reported within “Other net realized gains (losses)” on the Company’s consolidated statements of operations. |
(3) - | Adjusted net income (loss) per diluted common share is calculated by taking adjusted net income (loss) divided by the GAAP weighted average number of diluted common shares outstanding. |
As of June 30, | As of December 31, | |||||||||||||||||
In millions except share and per share amounts | As of June 30, 2021 | As of December 31, 2020 | In millions except share and per share amounts | 2022 | 2021 | |||||||||||||
Total shareholders’ equity of MBIA Inc. | $ | (36 | ) | $ | 136 | Total shareholders’ equity of MBIA Inc. | $ | (748 | ) | $ | (313 | ) | ||||||
Common shares outstanding | 54,405,575 | 53,677,148 | Common shares outstanding | 54,899,716 | 54,556,112 | |||||||||||||
GAAP book value per share | $ | (0.66 | ) | $ | 2.55 | GAAP book value per share | $ | (13.63 | ) | $ | (5.73 | ) | ||||||
Management’s adjustments described above: | Management’s adjustments described above: | |||||||||||||||||
Remove negative book value per share of MBIA Corp. | (33.51 | ) | (31.97 | ) | Remove negative book value per share of MBIA Corp. | (36.48 | ) | (35.94 | ) | |||||||||
Remove net unrealized gains (losses) on available-for-sale securities included in other comprehensive income (loss) | 2.01 | 2.86 | Remove net unrealized gains (losses) on available-for-sale securities included in other comprehensive income (loss) | (2.72 | ) | 2.02 | ||||||||||||
Include net unearned premium revenue in excess of expected losses | 3.87 | 4.29 | Include net unearned premium revenue in excess of expected losses | 3.28 | 3.58 |
Three Months Ended June 30, | Percent | Six Months Ended June 30, | Percent Change | Three Months Ended June 30, | Percent | Six Months Ended June 30, | Percent | |||||||||||||||||||||||||||||||||||||||||
In millions | 2021 | 2020 | Change | 2021 | 2020 | 2022 | 2021 | Change | 2022 | 2021 | Change | |||||||||||||||||||||||||||||||||||||
Net premiums earned | $ | 11 | $ | 15 | -27% | $ | 28 | $ | 30 | -7% | $ | 9 | $ | 11 | -18% | $ | 22 | $ | 28 | -21% | ||||||||||||||||||||||||||||
Net investment income | 14 | 19 | -26% | 28 | 40 | -30% | 21 | 14 | 50% | 38 | 28 | 36% | ||||||||||||||||||||||||||||||||||||
Net realized investment gains (losses) | (20 | ) | 1 | n/m | (21 | ) | - | n/m | ||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on financial instruments at fair | ||||||||||||||||||||||||||||||||||||||||||||||||
value and foreign exchange | (21 | ) | 2 | n/m | (37 | ) | - | n/m | ||||||||||||||||||||||||||||||||||||||||
Fees and reimbursements | 2 | - | n/m | 2 | 1 | 100% | - | 2 | -100% | 1 | 2 | -50% | ||||||||||||||||||||||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | 3 | 25 | -88% | - | 7 | -100% | ||||||||||||||||||||||||||||||||||||||||||
Other net realized gains (losses) | (17 | ) | - | n/m | (19 | ) | - | n/m | ||||||||||||||||||||||||||||||||||||||||
Total revenues | 30 | 59 | -49% | 58 | 78 | -26% | (28 | ) | 30 | n/m | (16 | ) | 58 | -128% | ||||||||||||||||||||||||||||||||||
Losses and loss adjustment | (42 | ) | 72 | n/m | 67 | 120 | -44% | 49 | (42 | ) | n/m | 136 | 67 | 103% | ||||||||||||||||||||||||||||||||||
Amortization of deferred acquisition costs | 3 | 4 | -25% | 7 | 7 | -% | 2 | 3 | -33% | 5 | 7 | -29% | ||||||||||||||||||||||||||||||||||||
Operating | 12 | 10 | 20% | 26 | 23 | 13% | 9 | 12 | -25% | 22 | 26 | -15% | ||||||||||||||||||||||||||||||||||||
Total expenses | (27 | ) | 86 | -131% | 100 | 150 | -33% | 60 | (27 | ) | n/m | 163 | 100 | 63% | ||||||||||||||||||||||||||||||||||
�� | ||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) before income taxes | $ | 57 | $ | (27 | ) | n/m | $ | (42 | ) | $ | (72 | ) | -42% | $ | (88 | ) | $ | 57 | n/m | $ | (179 | ) | $ | (42 | ) | n/m | ||||||||||||||||||||||
In millions | June 30, 2021 | December 31, 2020 | Percent Change | June 30, 2022 | December 31, 2021 | Percent Change | ||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Insurance loss recoverable | $ | 1,226 | $ | 1,220 | -% | $ | 205 | $ | 1,054 | -81% | ||||||||||||||
Reinsurance recoverable on paid and unpaid losses (1) | 5 | 6 | -17% | 13 | 3 | n/m | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Loss and LAE reserves | 484 | 469 | 3% | 576 | 425 | 36% | ||||||||||||||||||
Insurance loss recoverable - ceded (2) | 50 | 48 | 4% | |||||||||||||||||||||
Insurance loss recoverable-ceded (2) | 6 | 55 | -89% | |||||||||||||||||||||
Net reserve (salvage) | $ | (697 | ) | $ | (709 | ) | -2% | $ | 364 | $ | (577 | ) | n/m | |||||||||||
Three Months Ended June 30, | Percent | Six Months Ended June 30, | Percent | Three Months Ended June 30, | Percent | Six Months Ended June 30, | Percent | |||||||||||||||||||||||||||||||||||||||||
In millions | 2021 | 2020 | Change | 2021 | 2020 | Change | 2022 | 2021 | Change | 2022 | 2021 | Change | ||||||||||||||||||||||||||||||||||||
Gross expenses | $ | 12 | $ | 10 | 20% | $ | 26 | $ | 23 | 13% | $ | 10 | $ | 12 | -17% | $ | 23 | $ | 26 | -12% | ||||||||||||||||||||||||||||
Amortization of deferred acquisition costs | $ | 3 | $ | 5 | -40% | $ | 7 | $ | 7 | -% | $ | 2 | $ | 3 | -33% | $ | 5 | $ | 7 | -29% | ||||||||||||||||||||||||||||
Operating | 12 | 10 | 20% | 26 | 23 | 13% | 9 | 12 | -25% | 22 | 26 | -15% | ||||||||||||||||||||||||||||||||||||
Total insurance operating expenses | $ | 15 | $ | 15 | 0% | $ | 33 | $ | 30 | 10% | $ | 11 | $ | 15 | -27% | $ | 27 | $ | 33 | -18% | ||||||||||||||||||||||||||||
Gross Par Outstanding | Gross Par Outstanding | |||||||||||||||||||||||||||||||
In millions | June 30, 2021 | December 31, 2020 | June 30, 2022 | December 31, 2021 | ||||||||||||||||||||||||||||
Rating | Amount | % | Amount | % | Amount | % | Amount | % | ||||||||||||||||||||||||
AAA | $ | 2,028 | 5.1% | $ | 2,080 | 5.0% | $ | 1,579 | 4.6% | $ | 1,682 | 4.6% | ||||||||||||||||||||
AA | 16,167 | 40.9% | 16,299 | 39.0% | 14,342 | 41.5% | 14,874 | 40.8% | ||||||||||||||||||||||||
A | 11,060 | 28.0% | 12,888 | 30.8% | 10,790 | 31.2% | 10,439 | 28.6% | ||||||||||||||||||||||||
BBB | 6,753 | 17.1% | 7,019 | 16.7% | 5,024 | 14.5% | 6,187 | 17.0% | ||||||||||||||||||||||||
Below investment grade | 3,527 | 8.9% | 3,570 | 8.5% | 2,853 | 8.2% | 3,269 | 9.0% | ||||||||||||||||||||||||
Total | $ | 39,535 | 100.0% | $ | 41,856 | �� | 100.0% | $ | 34,588 | 100.0% | $ | 36,451 | 100.0% | |||||||||||||||||||
In millions | Gross Par Outstanding | Debt Service Outstanding | National Internal Rating | Gross Par Outstanding | Debt Service Outstanding | National Internal Rating | ||||||||||||||||||
Puerto Rico Electric Power Authority (PREPA) | $ | 903 | $ | 1,202 | d | $ | 809 | $ | 1,063 | d | ||||||||||||||
Puerto Rico Commonwealth GO | 290 | 369 | d | |||||||||||||||||||||
Puerto Rico Public Buildings Authority (PBA) (1) | 169 | 218 | d | |||||||||||||||||||||
Puerto Rico Highway and Transportation Authority Transportation Revenue (PRHTA) | 523 | 869 | d | 523 | 842 | d | ||||||||||||||||||
Puerto Rico Highway and Transportation Authority—Subordinated Transportation Revenue (PRHTA) | 27 | 34 | d | 27 | 33 | d | ||||||||||||||||||
Puerto Rico Highway and Transportation Authority Highway Revenue (PRHTA) | 41 | (2) | 60 | d | 39 | (1) | 57 | d | ||||||||||||||||
University of Puerto Rico System Revenue | 73 | 96 | d | 70 | 89 | d | ||||||||||||||||||
Inter American University of Puerto Rico Inc. | 19 | 23 | a3 | 17 | 21 | a3 | ||||||||||||||||||
Total | $ | 2,045 | $ | 2,871 | $ | 1,485 | $ | 2,105 | ||||||||||||||||
(1) - Includes | CABs that reflect the gross par amount at the time of issuance of the insurance policy. As of June 30, 2022, gross par outstanding plus CABs accreted interest was $41 million. |
In millions | Six Months Ending December 31, 2021 | 2022 | 2023 | 2024 | 2025 | Thereafter | Total | Six Months Ending December 31, 2022 | 2023 | 2024 | 2025 | 2026 | Thereafter | Total | ||||||||||||||||||||||||||||||||||||||||||
Puerto Rico Electric Power Authority (PREPA) | $ | 117 | $ | 140 | $ | 137 | $ | 137 | $ | 105 | $ | 566 | $ | 1,202 | $ | 119 | $ | 137 | $ | 137 | $ | 105 | $ | 57 | $ | 508 | $ | 1,063 | ||||||||||||||||||||||||||||
Puerto Rico Commonwealth GO | 74 | 19 | 14 | 13 | 75 | 174 | 369 | |||||||||||||||||||||||||||||||||||||||||||||||||
Puerto Rico Public Buildings Authority (PBA) | 19 | 9 | 27 | 43 | 36 | 84 | 218 | |||||||||||||||||||||||||||||||||||||||||||||||||
Puerto Rico Highway and Transportation Authority Transportation Revenue (PRHTA) | 13 | 27 | 36 | 33 | 36 | 724 | 869 | 13 | 36 | 33 | 36 | 35 | 689 | 842 | ||||||||||||||||||||||||||||||||||||||||||
Puerto Rico Highway and Transportation Authority—Subordinated Transportation Revenue (PRHTA) | 1 | 9 | 1 | 1 | 1 | 21 | 34 | 8 | 1 | 1 | 1 | 1 | 21 | 33 | ||||||||||||||||||||||||||||||||||||||||||
Puerto Rico Highway and Transportation Authority Highway Revenue (PRHTA) | 3 | 2 | 4 | 2 | 2 | 47 | 60 | 2 | 4 | 2 | 2 | 2 | 45 | 57 | ||||||||||||||||||||||||||||||||||||||||||
University of Puerto Rico System Revenue | 5 | 7 | 12 | 11 | 16 | 45 | 96 | 5 | 12 | 11 | 16 | 6 | 39 | 89 | ||||||||||||||||||||||||||||||||||||||||||
Inter American University of Puerto Rico Inc. | 3 | 3 | 3 | 3 | 3 | 8 | 23 | 2 | 3 | 3 | 3 | 3 | 7 | 21 | ||||||||||||||||||||||||||||||||||||||||||
Total | $ | 235 | $ | 216 | $ | 234 | $ | 243 | $ | 274 | $ | 1,669 | $ | 2,871 | $ | 149 | $ | 193 | $ | 187 | $ | 163 | $ | 104 | $ | 1,309 | $ | 2,105 | ||||||||||||||||||||||||||||
Three Months Ended June 30, | Percent | Six Months Ended June 30, | Percent | Three Months Ended June 30, | Percent | Six Months Ended June 30, | Percent | |||||||||||||||||||||||||||||||||||||||||
In millions | 2021 | 2020 | Change | 2021 | 2020 | Change | 2022 | 2021 | Change | 2022 | 2021 | Change | ||||||||||||||||||||||||||||||||||||
Net investment income | $ | 7 | $ | 8 | -13% | $ | 14 | $ | 16 | -13% | $ | 5 | $ | 7 | -29% | $ | 11 | $ | 14 | -21% | ||||||||||||||||||||||||||||
Fees | 13 | 14 | -7% | 29 | 30 | -3% | ||||||||||||||||||||||||||||||||||||||||||
Net realized investment gains (losses) | (1 | ) | (1 | ) | -% | (2 | ) | (1 | ) | 100% | ||||||||||||||||||||||||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | (18 | ) | - | n/m | 37 | (56 | ) | n/m | 37 | (17 | ) | n/m | 76 | 38 | 100% | |||||||||||||||||||||||||||||||||
Net gains (losses) on extinguishment of debt | 14 | - | n/m | 14 | - | n/m | 5 | 14 | -64% | 5 | 14 | -64% | ||||||||||||||||||||||||||||||||||||
Fees | 13 | 13 | -% | 27 | 29 | -7% | ||||||||||||||||||||||||||||||||||||||||||
Total revenues | 16 | 22 | -27% | 94 | (10 | ) | n/m | 59 | 16 | n/m | 117 | 94 | 24% | |||||||||||||||||||||||||||||||||||
Operating | 17 | 20 | -15% | 39 | 35 | 11% | 9 | 17 | -47% | 25 | 39 | -36% | ||||||||||||||||||||||||||||||||||||
Interest | 18 | 21 | -14% | 37 | 42 | -12% | 19 | 18 | 6% | 38 | 37 | 3% | ||||||||||||||||||||||||||||||||||||
Total expenses | 35 | 41 | -15% | 76 | 77 | -1% | 28 | 35 | -20% | 63 | 76 | -17% | ||||||||||||||||||||||||||||||||||||
Income (loss) before income taxes | $ | (19 | ) | $ | (19 | ) | -% | $ | 18 | $ | (87 | ) | -121% | $ | 31 | $ | (19 | ) | n/m | $ | 54 | $ | 18 | n/m | ||||||||||||||||||||||||
Three Months Ended June 30, | Percent | Six Months Ended June 30, | Percent | Three Months Ended June 30, | Percent | Six Months Ended June 30, | Percent | |||||||||||||||||||||||||||||||||||||||||
In millions | 2021 | 2020 | Change | 2021 | 2020 | Change | 2022 | 2021 | Change | 2022 | 2021 | Change | ||||||||||||||||||||||||||||||||||||
Net premiums earned | $ | 5 | $ | 7 | -29% | $ | 11 | $ | 13 | -15% | $ | 3 | $ | 5 | -40% | $ | 7 | $ | 11 | -36% | ||||||||||||||||||||||||||||
Net investment income | 2 | 1 | 100% | 3 | 2 | 50% | 5 | 2 | 150% | 7 | 3 | 133% | ||||||||||||||||||||||||||||||||||||
Net realized investment gains (losses) | - | - | -% | (1 | ) | - | n/m | |||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | (7 | ) | (5 | ) | 40% | (13 | ) | (6 | ) | 117% | ||||||||||||||||||||||||||||||||||||||
Fees and reimbursements | 3 | 3 | -% | 7 | 7 | -% | 6 | 3 | 100% | 9 | 7 | 29% | ||||||||||||||||||||||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | (5 | ) | (1 | ) | n/m | (6 | ) | 10 | n/m | |||||||||||||||||||||||||||||||||||||||
Revenues of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | - | 5 | -100% | - | 13 | -100% | ||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange | - | 23 | -100% | (14 | ) | 38 | -137% | 24 | - | n/m | 20 | (14 | ) | n/m | ||||||||||||||||||||||||||||||||||
Other net realized gains (losses) | (5 | ) | 23 | -122% | (5 | ) | 14 | -136% | - | (5 | ) | -100% | - | (5 | ) | -100% | ||||||||||||||||||||||||||||||||
Total revenues | - | 61 | -100% | (4 | ) | 97 | -104% | 31 | - | n/m | 29 | (4 | ) | n/m | ||||||||||||||||||||||||||||||||||
Losses and loss adjustment | 51 | 64 | -20% | 40 | 259 | -85% | (29 | ) | 51 | n/m | (67 | ) | 40 | n/m | ||||||||||||||||||||||||||||||||||
Amortization of deferred acquisition costs | 4 | 4 | -% | 8 | 8 | -% | 2 | 4 | -50% | 6 | 8 | -25% | ||||||||||||||||||||||||||||||||||||
Operating | 6 | 7 | -14% | 13 | 14 | -7% | 5 | 6 | -17% | 11 | 13 | -15% | ||||||||||||||||||||||||||||||||||||
Interest | 29 | 30 | -3% | 56 | 61 | -8% | 29 | 29 | -% | 57 | 56 | 2% | ||||||||||||||||||||||||||||||||||||
Expenses of consolidated VIEs: | ||||||||||||||||||||||||||||||||||||||||||||||||
Operating | 1 | 1 | *% | 3 | 3 | -% | 1 | 1 | -% | 3 | 3 | -% | ||||||||||||||||||||||||||||||||||||
Interest | 6 | 15 | -60% | 17 | 32 | -47% | 1 | 6 | -83% | 2 | 17 | -88% | ||||||||||||||||||||||||||||||||||||
Total expenses | 97 | 121 | �� | -20% | 137 | 377 | -64% | 9 | 97 | -91% | 12 | 137 | -91% | |||||||||||||||||||||||||||||||||||
Income (loss) before income taxes | $ | (97 | ) | $ | (60 | ) | 62% | $ | (141 | ) | $ | (280 | ) | -50% | $ | 22 | $ | (97 | ) | -123% | $ | 17 | $ | (141 | ) | -112% | ||||||||||||||||||||||
Three Months Ended June 30, | Percent | Six Months Ended June 30, | Percent | Three Months Ended June 30, | Percent | Six Months Ended June 30, | Percent | |||||||||||||||||||||||||||||||||||||||||
In millions | 2021 | 2020 | Change | 2021 | 2020 | Change | 2022 | 2021 | Change | 2022 | 2021 | Change | ||||||||||||||||||||||||||||||||||||
Net premiums earned: | ||||||||||||||||||||||||||||||||||||||||||||||||
U.S. | $ | 1 | $ | 2 | -50% | $ | 2 | $ | 3 | -33% | $ | - | $ | 1 | -100% | $ | 1 | $ | 2 | -50% | ||||||||||||||||||||||||||||
Non-U.S. | 4 | 5 | -20% | 9 | 10 | -10% | 3 | 4 | -25% | 6 | 9 | -33% | ||||||||||||||||||||||||||||||||||||
Total net premiums earned | $ | 5 | $ | 7 | -29% | $ | 11 | $ | 13 | -15% | $ | 3 | $ | 5 | -40% | $ | 7 | $ | 11 | -36% | ||||||||||||||||||||||||||||
VIEs (eliminated in consolidation) | $ | 1 | $ | 1 | -% | $ | 1 | $ | (3 | ) | -133% | $ | - | $ | 1 | -100% | $ | - | $ | 1 | -100% |
June 30, | December 31, | Percent | ||||||||||||||||||||||
In millions | June 30, 2021 | December 31, 2020 | Percent Change | 2022 | 2021 | Change | ||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Insurance loss recoverable | $ | 335 | $ | 457 | -27% | $ | 238 | $ | 242 | -2% | ||||||||||||||
Reinsurance recoverable on paid and unpaid losses (1) | 5 | 5 | -% | 4 | 5 | -20% | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Loss and LAE reserves | 470 | 521 | -10% | 389 | 469 | -17% | ||||||||||||||||||
Net reserve (salvage) | $ | 130 | $ | 59 | 120% | $ | 147 | $ | 222 | -34% | ||||||||||||||
(1) - | Reported within “Other assets” on our consolidated balance sheets. |
Three Months Ended June 30, | Percent | Six Months Ended June 30, | Percent | Three Months Ended June 30, | Percent | Six Months Ended June 30, | Percent | |||||||||||||||||||||||||||||||||||||||||
In millions | 2021 | 2020 | Change | 2021 | 2020 | Change | 2022 | 2021 | Change | 2022 | 2021 | Change | ||||||||||||||||||||||||||||||||||||
Gross expenses | $ | 6 | $ | 7 | -14% | $ | 13 | $ | 14 | -7% | $ | 5 | $ | 6 | -17% | $ | 11 | $ | 13 | -15% | ||||||||||||||||||||||||||||
Amortization of deferred acquisition costs | $ | 4 | $ | 4 | -% | $ | 8 | $ | 8 | -% | $ | 2 | $ | 4 | -50% | $ | 6 | $ | 8 | -25% | ||||||||||||||||||||||||||||
Operating | 6 | 7 | -14% | 13 | 14 | -7% | 5 | 6 | -17% | 11 | 13 | -15% | ||||||||||||||||||||||||||||||||||||
Total insurance operating expenses | $ | 10 | $ | 11 | -9% | $ | 21 | $ | 22 | -5% | $ | 7 | $ | 10 | -30% | $ | 17 | $ | 21 | -19% | ||||||||||||||||||||||||||||
In millions | Gross Par Outstanding as of | |||||||||||
Collateral Type | June 30, 2021 | December 31, 2020 | Percent Change | |||||||||
HELOC Second-lien | $ | 13 | $ | 269 | -95% | |||||||
CES Second-lien | 32 | 104 | -69% | |||||||||
Alt-A First-lien (1) | 791 | 825 | -4% | |||||||||
Subprime First-lien | 251 | 285 | -12% | |||||||||
Prime First-lien | 5 | 6 | -17% | |||||||||
Total | $ | 1,092 | $ | 1,489 | -27% | |||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
In millions | 2021 | 2020 | 2021 | 2020 | ||||||||||||
Income (loss) before income taxes | $ | (61 | ) | $ | (106 | ) | $ | (167 | ) | $ | (439 | ) | ||||
Provision (benefit) for income taxes | $ | - | $ | - | $ | - | $ | - | ||||||||
Effective tax rate | 0.0% | 0.0% | 0.0% | 0.0% |
In millions except per share amounts | Six Months Ended June 30, | |||||||
2021 | 2020 | |||||||
Number of shares purchased or repurchased | - | 17.8 | ||||||
Average price paid per share | $ | - | $ | 7.62 | ||||
Remaining authorization as of June 30 | $ | - | $ | 62 |
As of June 30, | As of December 31, | |||||||
In millions | 2021 | 2020 | ||||||
Policyholders’ surplus | $ | 1,534 | $ | 1,526 | ||||
Contingency reserves | 428 | 445 | ||||||
Statutory capital | 1,962 | 1,971 | ||||||
Unearned premiums | 338 | 355 | ||||||
Present value of installment premiums (1) | 128 | 129 | ||||||
Premium resources (2) | 466 | 484 | ||||||
Net loss and LAE reserves (1) | (322) | (301) | ||||||
Salvage reserves on paid claims (1) | 1,000 | 961 | ||||||
Gross loss and LAE reserves | 678 | 660 | ||||||
Total claims-paying resources | $ | 3,106 | $ | 3,115 | ||||
As of June 30, | As of December 31, | |||||||
In millions | 2021 | 2020 | ||||||
Policyholders’ surplus | $ | 118 | $ | 106 | ||||
Contingency reserves | 42 | 167 | ||||||
Statutory capital | 160 | 273 | ||||||
Unearned premiums | 72 | 79 | ||||||
Present value of installment premiums (1) (2) | 64 | 73 | ||||||
Premium resources | 136 | 152 | ||||||
Net loss and LAE reserves (1) | 151 | (478) | ||||||
Salvage reserves on paid claims (1) | 339 | (3) | 1,045 | (4) | ||||
Gross loss and LAE reserves | 490 | 567 | ||||||
Total claims-paying resources | $ | 786 | $ | 992 | ||||
Six Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||
In millions | 2021 | 2020 | Percent Change | 2022 | 2021 | Percent Change | ||||||||||||||||||
Statement of cash flow data: | ||||||||||||||||||||||||
Net cash provided (used) by: | ||||||||||||||||||||||||
Operating activities | $ | 545 | $ | (89 | ) | n/m | $ | 232 | $ | 545 | -57% | |||||||||||||
Investing activities | (110 | ) | 941 | -112% | (12 | ) | (110 | ) | -89% | |||||||||||||||
Financing activities | (255 | ) | (481 | ) | -47% | (172 | ) | (255 | ) | -33% | ||||||||||||||
Effect of exchange rate changes on cash and cash equivalents | (1 | ) | - | n/m | ||||||||||||||||||||
Cash and cash equivalents - beginning of period | 167 | 83 | 101% | 160 | 167 | -4% | ||||||||||||||||||
Cash and cash equivalents - end of period | $ | 347 | $ | 454 | -24% | $ | 207 | $ | 347 | -40% | ||||||||||||||
In millions | As of June 30, 2022 | As of December 31, 2021 | ||||||
Policyholders’ surplus | $ | 1,597 | $ | 1,569 | ||||
Contingency reserves | 399 | 402 | ||||||
Statutory capital | 1,996 | 1,971 | ||||||
Unearned premiums | 289 | 311 | ||||||
Present value of installment premiums (1) | 120 | 121 | ||||||
Premium resources (2) | 409 | 432 | ||||||
Net loss and LAE reserves (1) | 55 | (386 | ) | |||||
Salvage reserves on paid claims (1) | 496 | 944 | ||||||
Gross loss and LAE reserves | 551 | 558 | ||||||
Total claims-paying resources | $ | 2,956 | $ | 2,961 | ||||
(1) - | Calculated using a discount rate of 3.65% as of June 30, 2022 and December 31, 2021. |
(2) - | Includes financial guarantee and insured derivative related premiums. |
As of June 30, | As of December 31, | |||||||
In millions | 2022 | 2021 | ||||||
Policyholders’ surplus | $ | 113 | $ | 97 | ||||
Contingency reserves | 5 | 37 | ||||||
Statutory capital | 118 | 134 | ||||||
Unearned premiums | 40 | 46 | ||||||
Present value of installment premiums (1) | 43 | 48 | ||||||
Premium resources (2) | 83 | 94 | ||||||
Net loss and LAE reserves (1) | 133 | 266 | ||||||
Salvage reserves on paid claims (1) (3) | 377 | 231 | ||||||
Gross loss and LAE reserves | 510 | 497 | ||||||
Total claims-paying resources | $ | 711 | $ | 725 | ||||
(1) - | Calculated using a discount rate of 4.99% as of June 30, 2022 and December 31, 2021. |
(2) - | Includes financial guarantee and insured derivative related premiums. |
(3) - | This amount primarily consists of expected recoveries related to the payment of claims on insured CDOs and RMBS. In addition, the June 30, 2022 balance includes salvage related to a permitted practice granted by NYSDFS. |
Change in Foreign Exchange Rates | ||||||||||||||||
Dollar Weakens | Dollar Strengthens | |||||||||||||||
In millions | 20% | 10% | 10% | 20% | ||||||||||||
Estimated change in fair value | $ | (5 | ) | $ | (2 | ) | $ | 2 | $ | 5 |
Total Number | Maximum | Total Number | Maximum | |||||||||||||||||||||||||||||
Total | Average | of Shares | Amount That May | Total | Average | of Shares | Amount That May | |||||||||||||||||||||||||
Number | Price | Purchased as | Be Purchased | Number | Price | Purchased as | Be Purchased | |||||||||||||||||||||||||
of Shares | Paid Per | Part of Publicly | Under the Plan | of Shares | Paid Per | Part of Publicly | Under the Plan | |||||||||||||||||||||||||
Month | Purchased (1) | Share | Announced Plan | (in millions) | Purchased (1) | Share | Announced Plan | (in millions) | ||||||||||||||||||||||||
April | 86 | $ | 10 | - | $ | - | 48 | $ | 13.05 | - | $ | - | ||||||||||||||||||||
May | 97 | 9.46 | - | - | 71 | 12.74 | - | - | ||||||||||||||||||||||||
June | 86 | 10.51 | - | - | 7,970 | 13.78 | - | - | ||||||||||||||||||||||||
269 | $ | 9.97 | - | $ | - | 8,089 | $ | 13.76 | - | $ | - |
(1) |
By-Laws as Amended as of March 27, 2020. | ||
*31.1. | Chief Executive Officer - Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | |
Chief Financial Officer - Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | ||
**32.1. | Chief Executive Officer - Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | |
**32.2. | Chief Financial Officer - Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | |
*101.INS. | Inline XBRL Instance Document – the instance document does not appear in the Interactive Data File because iXBRL tags are embedded within the Inline XBRL document. | |
*101.SCH. | Inline XBRL Taxonomy Extension Schema Document. | |
*101.CAL. | Inline XBRL Taxonomy Extension Calculation Linkbase Document. | |
*101.DEF. | Inline XBRL Taxonomy Extension Definition Linkbase Document. | |
*101.LAB. | Inline XBRL Taxonomy Extension Label Linkbase Document. | |
*101.PRE. | Inline XBRL Taxonomy Extension Presentation Linkbase Document. | |
*104. | Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101) |
* | Filed herewith. |
** | Furnished herewith. |
MBIA Inc. Registrant | ||||||
Date: August | /s/ Anthony McKiernan | |||||
Anthony McKiernan | ||||||
Chief Financial Officer | ||||||
Date: August 3, 2022 | /s/ Joseph R. Schachinger | |||||
Joseph R. Schachinger | ||||||
Controller (Chief Accounting Officer) |