SEC Info℠ | Home | Search | My Interests | Help | Sign In | Please Sign In | ||||||||||||||||||||
As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 5/11/20 Mbia Inc 10-Q 3/31/20 88:19M Donnelley … Solutions/FA |
Document/Exhibit Description Pages Size 1: 10-Q Quarterly Report HTML 2.57M 2: EX-31.1 Certification -- §302 - SOA'02 HTML 34K 3: EX-31.2 Certification -- §302 - SOA'02 HTML 34K 4: EX-32.1 Certification -- §906 - SOA'02 HTML 28K 5: EX-32.2 Certification -- §906 - SOA'02 HTML 28K 42: R1 Cover Page HTML 81K 74: R2 Consolidated Balance Sheets HTML 136K 64: R3 Consolidated Balance Sheets (Parenthetical) HTML 69K 14: R4 Consolidated Statements Of Operations (Unaudited) HTML 123K 41: R5 Consolidated Statements Of Operations (Unaudited) HTML 31K (Parenthetical) 73: R6 Consolidated Statements Of Comprehensive Income HTML 71K (Loss) (Unaudited) 63: R7 Consolidated Statements Of Changes In HTML 74K Shareholders' Equity (Unaudited) 11: R8 Consolidated Statements Of Cash Flows (Unaudited) HTML 139K 44: R9 Business Developments and Risks and Uncertainties HTML 56K 69: R10 Significant Accounting Policies HTML 43K 78: R11 Recent Accounting Pronouncements HTML 41K 48: R12 Variable Interest Entities HTML 151K 17: R13 Loss and Loss Adjustment Expense Reserves HTML 216K 70: R14 Fair Value Of Financial Instruments HTML 791K 79: R15 Investments HTML 344K 49: R16 Derivative Instruments HTML 176K 18: R17 Income Taxes HTML 47K 68: R18 Business Segments HTML 138K 80: R19 Earnings Per Share HTML 55K 32: R20 Accumulated Other Comprehensive Income HTML 69K 25: R21 Commitments and Contingencies HTML 67K 53: R22 Significant Accounting Policies (Policies) HTML 46K 81: R23 Variable Interest Entities (Tables) HTML 134K 33: R24 Loss and Loss Adjustment Expense Reserves (Tables) HTML 189K 26: R25 Fair Value of Financial Instruments (Tables) HTML 782K 54: R26 Investments (Tables) HTML 341K 82: R27 Derivative Instruments (Tables) HTML 168K 34: R28 Income Taxes (Tables) HTML 36K 23: R29 Business Segments (Tables) HTML 124K 20: R30 Earnings Per Share (Tables) HTML 51K 52: R31 Accumulated Other Comprehensive Income (Tables) HTML 71K 77: R32 Commitments and Contingencies (Tables) HTML 41K 67: R33 Business Developments And Risks And Uncertainties HTML 36K (Narrative) (Detail) 19: R34 Recent Accounting Pronouncements (Narrative) HTML 45K (Detail) 51: R35 Variable Interest Entities (Narrative) (Detail) HTML 49K 76: R36 Variable Interest Entities (Summary Of HTML 93K Nonconsolidated VIEs Assets And Liabilities) (Detail) 66: R37 Loss And Loss Adjustment Expense Reserves (Loss HTML 40K And LAE Activity) (Narrative) (Detail) 21: R38 Loss And Loss Adjustment Expense Reserves HTML 56K (Schedule Of Losses And Loss Adjustment Expenses Reserves and Recoveries) (Detail) 50: R39 Loss And Loss Adjustment Expense Reserves HTML 47K (Schedule Of Loss And Loss Adjustment Expenses Reserves) (Detail) 28: R40 Loss And Loss Adjustment Expense Reserves HTML 40K (Schedule Of Insurance Loss Recoverable) (Detail) 37: R41 Loss And Loss Adjustment Expense Reserves HTML 96K (Schedule Of Financial Guarantees And Related Claim Liability) (Detail) 88: R42 Fair Value Of Financial Instruments (Narrative) HTML 43K (Detail) 59: R43 Fair Value Of Financial Instruments (Quantitative HTML 82K Information Regarding The Significant Unobservable Inputs For Certain Assets And Liabilities Measured At Fair Value On A Recurring Basis) (Detail) 27: R44 Fair Value Of Financial Instruments (Company's HTML 253K Assets And Liabilities Measured At Fair Value On Recurring Basis) (Detail) 36: R45 Fair Value Of Financial Instruments (Fair Value HTML 81K Hierarchy Table Presents The Company's Assets And Liabilities At Fair Value Not Recorded On The Company's Consolidated Balance Sheet) (Detail) 87: R46 Fair Value Of Financial Instruments (Changes In HTML 171K Level 3 Assets And Liabilities Measured At Fair Value On A Recurring Basis) (Detail) 58: R47 Fair Value Of Financial Instruments (Realized And HTML 50K Unrealized Gains And Losses Included In Earnings Pertaining To Level 3 Assets And Liabilities) (Detail) 29: R48 Fair Value Of Financial Instruments (Gains And HTML 55K Losses On Fair Value Option Included In The Company's Consolidated Statements Of Operations) (Detail) 35: R49 Fair Value Of Financial Instruments (Aggregate HTML 59K Fair Value And Remaining Contractual Principal Balance Outstanding On Fair Value Option) (Detail) 40: R50 Investments (Narrative) (Detail) HTML 48K 13: R51 Investments (Amortized Cost And Fair Value Of HTML 104K Available-For-Sale and Held-To-Maturity Investment Portfolios) (Detail) 62: R52 Investments (Distribution By Contractual Maturity HTML 91K Of Available-For-Sale and Held-To-Maturity Investments) (Detail) 72: R53 Investments (Gross Unrealized Losses Related To HTML 79K Available-For-Sale And Held-To-Maturity Investments) (Detail) 43: R54 Investments (Distribution Of Securities By HTML 55K Percentage Of Fair Value Below Book Value By More Than 5% For A Continuous Twelve Month Period Or Longer) (Detail) 15: R55 Investments (Securities Held In Unrealized Loss HTML 37K Position And Insured By Financial Guarantor) (Detail) 65: R56 Investments - (Summary of Allowance for Credit HTML 49K Losses on HTM Investments) (Detail) 75: R57 Investments (Credit Losses Recognized In Earnings HTML 33K Related To OTTI Losses Recognized In Accumulated Other Comprehensive Income (Loss)) (Detail) 46: R58 Investments (Net Realized Gains (Losses) From HTML 36K Sales Of Available-For-Sale Securities) (Detail) 12: R59 Investments (Portion Of Unrealized Gains And HTML 37K Losses On Equity Investments Held) (Detail) 56: R60 Derivative Instruments (Narrative) (Detail) HTML 37K 83: R61 Derivative Instruments (Credit Derivatives Sold) HTML 63K (Detail) 38: R62 Derivative Instruments (Total Fair Value Of HTML 70K Company's Derivative Assets And Liabilities By Instrument And Balance Sheet Location, Before Counterparty Netting) (Detail) 30: R63 Derivative Instruments (Effect Of Derivative HTML 41K Instruments On Consolidated Statements Of Operations) (Detail) 57: R64 Income Taxes (Narrative) (Detail) HTML 41K 84: R65 Income Taxes (Income Taxes And Related Effective HTML 38K Tax Rates) (Detail) 39: R66 Business Segments (Narrative) (Detail) HTML 29K 31: R67 Business Segments (Summary Of Company's Segment HTML 122K Results) (Detail) 55: R68 Earnings Per Share (Narrative) (Detail) HTML 29K 86: R69 Earnings Per Share (Computation Of Basic And HTML 54K Diluted Earnings Per Share) (Detail) 71: R70 Accumulated Other Comprehensive Income (Changes In HTML 50K The Components Of AOCI) (Detail) 61: R71 Accumulated Other Comprehensive Income (Details Of HTML 46K The Reclassification From AOCI) (Detail) 16: R72 Commitments and Contingencies (Narrative) (Detail) HTML 32K 47: R73 Commitments and Contingencies (Lease Disclosures) HTML 39K (Detail) 24: XML IDEA XML File -- Filing Summary XML 170K 22: XML XBRL Instance -- d893688d10q_htm XML 7.02M 60: EXCEL IDEA Workbook of Financial Reports XLSX 124K 7: EX-101.CAL XBRL Calculations -- mbi-20200331_cal XML 191K 8: EX-101.DEF XBRL Definitions -- mbi-20200331_def XML 1.25M 9: EX-101.LAB XBRL Labels -- mbi-20200331_lab XML 1.48M 10: EX-101.PRE XBRL Presentations -- mbi-20200331_pre XML 1.40M 6: EX-101.SCH XBRL Schema -- mbi-20200331 XSD 245K 85: JSON XBRL Instance as JSON Data -- MetaLinks 423± 701K 45: ZIP XBRL Zipped Folder -- 0001193125-20-139189-xbrl Zip 365K
10-Q |
i ☒ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
i ☐ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Connecticut |
i 06-1185706 | |
(State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer Identification No.) | |
i 1 Manhattanville Road, Suite 301, i Purchase, i New York
|
i 10577 | |
(Address of principal executive offices) |
(Zip Code) |
Title of each class |
Trading Symbol(s) |
Name of each exchange on which registered | ||
i Common Stock |
i MBI |
i New York Stock Exchange |
Large accelerated filer |
☒ |
Accelerated filer |
☐ | |||
Non-accelerated filer |
☐ |
Smaller reporting company |
i ☐ | |||
Emerging growth company |
i ☐ |
|
PAGE |
|||||
Item 1. |
||||||
1 |
||||||
2 |
||||||
3 |
||||||
4 |
||||||
5 |
||||||
6 |
||||||
6 |
||||||
9 |
||||||
10 |
||||||
12 |
||||||
13 |
||||||
19 |
||||||
33 |
||||||
38 |
||||||
41 |
||||||
42 |
||||||
44 |
||||||
45 |
||||||
46 |
||||||
Item 2. |
49 |
|||||
Item 3. |
76 |
|||||
Item 4. |
76 |
|||||
Item 1. |
77 |
|||||
Item 1A. |
77 |
|||||
Item 2. |
80 |
|||||
Item 6. |
81 |
|||||
82 |
• | increased credit losses or impairments on public finance obligations that National Public Finance Guarantee Corporation (“National”) insures issued by state, local and territorial governments and finance authorities and other providers of public services, located in the U.S. or abroad, that are experiencing fiscal stress; |
• | the possibility that loss reserve estimates are not adequate to cover potential claims; |
• | a disruption in the cash flow from National or an inability to access the capital markets and our exposure to significant fluctuations in liquidity and asset values in the global credit markets as a result of collateral posting requirements; |
• | our ability to fully implement our strategic plan; |
• | the possibility that MBIA Insurance Corporation will have inadequate liquidity or resources to timely pay claims as a result of higher than expected losses on certain insured transactions or as a result of a delay or failure in collecting expected recoveries, which could lead the New York State Department of Financial Services (“NYSDFS”) to put MBIA Insurance Corporation into a rehabilitation or liquidation proceeding under Article 74 of the New York Insurance Law and/or take such other actions as the NYSDFS may deem necessary to protect the interests of MBIA Insurance Corporation’s policyholders; |
• | the impact on our insured portfolios or business operations caused by the global spread of the novel coronavirus COVID-19; |
• | deterioration in the economic environment and financial markets in the United States or abroad, real estate market performance, credit spreads, interest rates and foreign currency levels; and |
• | the effects of changes to governmental regulation, including insurance laws, securities laws, tax laws, legal precedents and accounting rules. |
Assets |
||||||||
Investments: |
||||||||
Fixed-maturity securities held as
available-for-sale, at fair value (amortized cost $ i 2,559 and $ i 2,705) |
$ | i 2,720 |
$ | i 2,820 |
||||
Investments carried at fair value |
i 187 |
i 209 |
||||||
Investments pledged as collateral, at fair value (amortized cost $ i 6 and $ i 15)
|
i 1 |
i 10 |
||||||
Short-term investments, at fair value (amortized cost $ i 247 and $ i 423)
|
i 245 |
i 423 |
||||||
Total investments |
i 3,153 |
i 3,462 |
||||||
Cash and cash equivalents |
i 212 |
i 75 |
||||||
Premiums receivable (net of allowance for credit losses $ i 4 and $ i -)
|
i 240 |
i 249 |
||||||
Deferred acquisition costs |
i 58 |
i 60 |
||||||
Insurance loss recoverable |
i 1,607 |
i 1,694 |
||||||
Other assets |
i 116 |
i 115 |
||||||
Assets of consolidated variable interest entities: |
||||||||
Cash |
i 5 |
i 8 |
||||||
Investments held-to-maturity, at amortized cost (net of allowance for credit losses $ i 46 and $ i -,
fair value $ i 572 and $ i 892) |
i 529 |
i 890 |
||||||
Investments carried at fair value |
i 75 |
i 83 |
||||||
Loans receivable at fair value |
i 98 |
i 136 |
||||||
Loan repurchase commitments |
i 506 |
i 486 |
||||||
Other assets |
i 33 |
i 26 |
||||||
Total assets |
$ |
i 6,632 |
$ |
i 7,284 |
||||
Liabilities and Equity |
||||||||
Liabilities: |
||||||||
Unearned premium revenue |
$ | i 464 |
$ | i 482 |
||||
Loss and loss adjustment expense reserves |
i 966 |
i 901 |
||||||
Long-term debt |
i 2,261 |
i 2,228 |
||||||
Medium-term notes (includes financial instruments carried at fair value of $ i 98 and $ i 108)
|
i 663 |
i 680 |
||||||
Investment agreements |
i 295 |
i 304 |
||||||
Derivative liabilities |
i 206 |
i 175 |
||||||
Other liabilities |
i 120 |
i 136 |
||||||
Liabilities of consolidated variable interest entities: |
||||||||
Variable interest entity notes (includes financial instruments carried at fair value of $ i 331 and $ i 403)
|
i 1,160 |
i 1,539 |
||||||
Total liabilities |
i 6,135 |
i 6,445 |
||||||
Commitments and contingencies (Refer to Note 13: Commitments and Contingencies) |
||||||||
Equity: |
||||||||
Preferred stock, par value $ i i 1 /
per share; authorized shares— i i 10,000,000 / ; issued and outstanding— i i i i no / / / ne
|
i — |
i — |
||||||
Common stock, par value $ i i 1 /
per share; authorized shares— i i 400,000,000 / ; issued shares— i 283,433,401
and i 283,433,401 |
i 283 |
i 283 |
||||||
Additional paid-in capital |
i 2,961 |
i 2,999 |
||||||
Retained earnings |
i 232 |
i 607 |
||||||
Accumulated other comprehensive income (loss), net of tax of $ i 8 and $ i 8
|
i 91 |
( i 2 |
) | |||||
Treasury stock, at cost— i 211,272,995 and i 204,000,108 shares |
( i 3,083 |
) | ( i 3,061 |
) | ||||
Total shareholders’ equity of MBIA Inc. |
i 484 |
i 826 |
||||||
Preferred stock of subsidiary |
i 13 |
i 13 |
||||||
Total equity |
i 497 |
i 839 |
||||||
Total liabilities and equity |
$ |
i 6,632 |
$ |
i 7,284 |
||||
Three Months Ended March 31, |
||||||||
2019 |
||||||||
Revenues: |
||||||||
Premiums earned: |
||||||||
Scheduled premiums earned |
$ | i 16 |
$ | i 18 |
||||
Refunding premiums earned |
i 4 |
i 5 |
||||||
Premiums earned (net of ceded premiums of $ i 1 and $ i 1) |
i 20 |
i 23 |
||||||
Net investment income |
i 23 |
i 32 |
||||||
Unrealized gains (losses) on insured derivatives |
i - |
i 14 |
||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
( i 63 |
) | i 22 |
|||||
Net investment losses related to other-than-temporary impairments: |
||||||||
Investment losses related to other-than-temporary impairments |
i - |
i - |
||||||
Other-than-temporary impairments recognized in accumulated other comprehensive income (loss) |
i - |
( i 28 |
) | |||||
Net investment losses related to other-than-temporary impairments |
i - |
( i 28 |
) | |||||
Other net realized gains (losses) |
i - |
i 1 |
||||||
Revenues of consolidated variable interest entities: |
||||||||
Net investment income |
i 8 |
i 10 |
||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
i 15 |
i 18 |
||||||
Other net realized gains (losses) |
( i 9 |
) | ( i 42 |
) | ||||
Total revenues |
( i 6 |
) | i 50 |
|||||
Expenses: |
||||||||
Losses and loss adjustment |
i 243 |
( i 38 |
) | |||||
Amortization of deferred acquisition costs |
i 2 |
i 4 |
||||||
Operating |
i 18 |
i 26 |
||||||
Interest |
i 47 |
i 52 |
||||||
Expenses of consolidated variable interest entities: |
||||||||
Operating |
i 2 |
i 3 |
||||||
Interest |
i 15 |
i 22 |
||||||
Total expenses |
i 327 |
i 69 |
||||||
Income (loss) before income taxes |
( i 333 |
) | ( i 19 |
) | ||||
Provision (benefit) for income taxes |
i - |
i 2 |
||||||
Net income (loss) |
$ |
( i 333 |
) |
$ |
( i 21 |
) | ||
Net income (loss) per common share: |
||||||||
Basic |
$ | ( i 4.62 |
) | $ | ( i 0.24 |
) | ||
Diluted |
$ | ( i 4.62 |
) | $ | ( i 0.24 |
) | ||
Weighted average number of common shares outstanding: |
||||||||
Basic |
i 72,089,016 |
i 85,554,236 |
||||||
Diluted |
i 72,089,016 |
i 85,554,236 |
Three Months Ended March 31, | |||||||||
2019 |
|||||||||
Net income (loss) |
$ | ( i 333 |
) | $ | ( i 21 |
) | |||
Other comprehensive income (loss): |
|||||||||
Available-for-sale securities with no credit losses: |
|||||||||
Unrealized gains (losses) arising during the period |
i 48 |
i 79 |
|||||||
Reclassification adjustments for (gains) losses included in net income (loss) |
( i 3 |
) | ( i 39 |
) | |||||
Available-for-sale securities with credit losses: |
|||||||||
Unrealized gains (losses) arising during the period |
i - |
i 11 |
|||||||
Reclassification adjustments for (gains) losses included in net income (loss) |
i - |
i 28 |
|||||||
Foreign currency translation: |
|||||||||
Foreign currency translation gains (losses) |
i - |
i 1 |
|||||||
Instrument-specific credit risk of liabilities measured at fair value: |
|||||||||
Unrealized gains (losses) arising during the period |
i 46 |
i 2 |
|||||||
Reclassification adjustments for (gains) losses included in net income (loss) |
i 2 |
i 4 |
|||||||
Total other comprehensive income (loss) |
i 93 |
i 86 |
|||||||
Comprehensive income (loss) |
$ |
( i 240 |
) |
$ |
i 65 |
||||
Three Months Ended March 31, |
||||||||
2019 |
||||||||
Common shares |
||||||||
Balance at beginning of period |
i 283,433,401 |
i 283,625,689 |
||||||
Common shares issued (cancelled), net |
- |
- |
||||||
Balance at end of period |
i 283,433,401 |
i 283,625,689 |
||||||
Common stock amount |
||||||||
Balance at beginning and end of period |
$ | i 283 |
$ | i 284 |
||||
Additional paid-in capital |
||||||||
Balance at beginning of period |
$ | i 2,999 |
$ | i 3,025 |
||||
Period change |
( i 38 |
) | ( i 29 |
) | ||||
Balance at end of period |
$ | i 2,961 |
$ | i 2,996 |
||||
Retained earnings |
||||||||
Balance at beginning of period |
$ | i 607 |
$ | i 966 |
||||
ASU 2016-13 transition adjustment |
( i 42 |
) | i - |
|||||
Net income (loss) |
( i 333 |
) | ( i 21 |
) | ||||
Balance at end of period |
$ | i 232 |
$ | i 945 |
||||
Accumulated other comprehensive income (loss) |
||||||||
Balance at beginning of period |
$ | ( i 2 |
) | $ | ( i 156 |
) | ||
Other comprehensive income (loss) |
i 93 |
i 86 |
||||||
Balance at end of period |
$ | i 91 |
$ | ( i 70 |
) | |||
Treasury shares |
||||||||
Balance at beginning of period |
( i 204,000,108 |
) | ( i 193,803,976 |
) | ||||
Treasury shares acquired under share repurchase program |
( i 8,082,756 |
) | ( i 487,606 |
) | ||||
Other |
i 809,869 |
i 845,414 |
||||||
Balance at end of period |
( i 211,272,995 |
) | ( i 193,446,168 |
) | ||||
Treasury stock amount |
||||||||
Balance at beginning of period |
$ | ( i 3,061 |
) | $ | ( i 3,000 |
) | ||
Treasury shares acquired under share repurchase program |
( i 65 |
) | ( i 4 |
) | ||||
Other |
i 43 |
i 37 |
||||||
Balance at end of period |
$ | ( i 3,083 |
) | $ | ( i 2,967 |
) | ||
Total shareholders’ equity of MBIA Inc. |
||||||||
Balance at beginning of period |
$ | i 826 |
$ | i 1,119 |
||||
Period change |
( i 342 |
) | i 69 |
|||||
Balance at end of period |
$ |
i 484 |
$ |
i 1,188 |
||||
Preferred stock of subsidiary shares |
||||||||
Balance at beginning and end of period |
i 1,315 |
i 1,315 |
||||||
Preferred stock of subsidiary amount |
||||||||
Balance at beginning and end of period |
$ | i 13 |
$ | i 13 |
||||
Total equity |
$ |
i 497 |
$ |
i 1,201 |
||||
Three Months Ended March 31, |
||||||||
2019 |
||||||||
Cash flows from operating activities: |
||||||||
Premiums, fees and reimbursements received |
$ | i 3 |
$ | i 3 |
||||
Investment income received |
i 37 |
i 44 |
||||||
Financial guarantee losses and loss adjustment expenses paid |
( i 75 |
) | ( i 95 |
) | ||||
Proceeds from recoveries and reinsurance |
i 10 |
i 60 |
||||||
Operating and employee related expenses paid |
( i 34 |
) | ( i 34 |
) | ||||
Interest paid, net of interest converted to principal |
( i 23 |
) | ( i 46 |
) | ||||
Income taxes (paid) received |
i - |
( i 2 |
) | |||||
Net cash provided (used) by operating activities |
( i 82 |
) | ( i 70 |
) | ||||
Cash flows from investing activities: |
||||||||
Purchases of available-for-sale investments |
( i 242 |
) | ( i 747 |
) | ||||
Sales of available-for-sale investments |
i 279 |
i 683 |
||||||
Paydowns and maturities of available-for-sale investments |
i 123 |
i 234 |
||||||
Purchases of investments at fair value |
( i 33 |
) | ( i 69 |
) | ||||
Sales, paydowns, maturities and other proceeds of investments at fair value |
i 34 |
i 122 |
||||||
Sales, paydowns and maturities (purchases) of short-term investments, net |
i 178 |
( i 154 |
) | |||||
Sales, paydowns and maturities of held-to-maturity investments |
i 315 |
i - |
||||||
Paydowns and maturities of loans receivable |
i 3 |
i 7 |
||||||
Consolidation of variable interest entities |
i - |
i 72 |
||||||
(Payments) proceeds for derivative settlements |
( i 3 |
) | ( i 11 |
) | ||||
Collateral (to) from counterparties |
( i 44 |
) | ( i 9 |
) | ||||
Net cash provided (used) by investing activities |
i 610 |
i 128 |
||||||
Cash flows from financing activities: |
||||||||
Proceeds from investment agreements |
i 3 |
i 3 |
||||||
Principal paydowns of investment agreements |
( i 12 |
) | i - |
|||||
Principal paydowns of variable interest entity notes |
( i 323 |
) | ( i 168 |
) | ||||
Purchases of treasury stock |
( i 62 |
) | ( i 10 |
) | ||||
Net cash provided (used) by financing activities |
( i 394 |
) | ( i 175 |
) | ||||
Net increase (decrease) in cash and cash equivalents |
i 134 |
( i 117 |
) | |||||
Cash and cash equivalents - beginning of period |
i 83 |
i 280 |
||||||
Cash and cash equivalents - end of period |
$ | i 217 |
$ | i 163 |
||||
Reconciliation of net income (loss) to net cash provided (used) by operating activities: |
||||||||
Net income (loss) |
$ | ( i 333 |
) | $ | ( i 21 |
) | ||
Adjustments to reconcile net income (loss) to net cash provided (used) by operating activities: |
||||||||
Change in: |
||||||||
Premiums receivable |
i 1 |
i 22 |
||||||
Deferred acquisition costs |
i 2 |
i 3 |
||||||
Unearned premium revenue |
( i 19 |
) | ( i 43 |
) | ||||
Loss and loss adjustment expense reserves |
i 84 |
( i 58 |
) | |||||
Insurance loss recoverable |
i 86 |
( i 20 |
) | |||||
Accrued interest payable |
i 35 |
i 30 |
||||||
Accrued expenses |
( i 19 |
) | ( i 11 |
) | ||||
Net investment losses related to other-than-temporary impairments |
i - |
i 28 |
||||||
Unrealized (gains) losses on insured derivatives |
i - |
( i 14 |
) | |||||
Net (gains) losses on financial instruments at fair value and foreign exchange |
i 48 |
( i 40 |
) | |||||
Other net realized (gains) losses |
i 9 |
i 41 |
||||||
Other operating |
i 24 |
i 13 |
||||||
Total adjustments to net income (loss) |
i 251 |
( i 49 |
) | |||||
Net cash provided (used) by operating activities |
$ | ( i 82 |
) | $ | ( i 70 |
) | ||
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 |
$ | i 2,122 |
$ | i 12 |
$ | i 17 |
$ | i 119 |
$ | i 16 |
$ | i 474 |
||||||||||||
Mortgage-backed commercial |
i 21 |
i - |
i - |
i - |
i - |
i - |
||||||||||||||||||
Consumer asset-backed |
i 363 |
i - |
i 1 |
i 1 |
i 1 |
i 17 |
||||||||||||||||||
Corporate asset-backed |
i 870 |
i - |
i 6 |
i 531 |
i 7 |
i 2 |
||||||||||||||||||
Total global structured finance |
i 3,376 |
i 12 |
i 24 |
i 651 |
i 24 |
i 493 |
||||||||||||||||||
Global public finance |
i 1,723 |
i - |
i 8 |
i - |
i 8 |
i - |
||||||||||||||||||
Total insurance |
$ | i 5,099 |
$ | i 12 |
$ | i 32 |
$ | i 651 |
$ | i 32 |
$ | i 493 |
||||||||||||
Carrying Value of Assets |
Carrying Value of Liabilities |
|||||||||||||||||||||||
Loss and Loss |
||||||||||||||||||||||||
Maximum |
Unearned |
Adjustment |
||||||||||||||||||||||
Exposure |
Premiums |
Insurance Loss |
Premium |
Expense |
||||||||||||||||||||
In millions |
to Loss |
Investments |
Receivable |
Recoverable |
Revenue |
Reserves |
||||||||||||||||||
Insurance: |
||||||||||||||||||||||||
Global structured finance: |
||||||||||||||||||||||||
Mortgage-backed residential |
$ | i 2,253 |
$ | i 15 |
$ | i 19 |
$ | i 107 |
$ | i 16 |
$ | i 436 |
||||||||||||
Mortgage-backed commercial |
i 26 |
i - |
i - |
i - |
i - |
i - |
||||||||||||||||||
Consumer asset-backed |
i 384 |
i - |
i 1 |
i 1 |
i 1 |
i 11 |
||||||||||||||||||
Corporate asset-backed |
i 937 |
i - |
i 6 |
i 673 |
i 7 |
i - |
||||||||||||||||||
Total global structured finance |
i 3,600 |
i 15 |
i 26 |
i 781 |
i 24 |
i 447 |
||||||||||||||||||
Global public finance |
i 1,926 |
i - |
i 8 |
i - |
i 9 |
i - |
||||||||||||||||||
Total insurance |
$ | i 5,526 |
$ | i 15 |
$ | i 34 |
$ | i 781 |
$ | i 33 |
$ | i 447 |
||||||||||||
|
As of March 31, 2020 |
As of December 31, 2019 | |||||||||||||||
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) |
|||||||||||||
U.S. Public Finance Insurance |
$ | i 954 |
$ | i 451 |
$ | i 911 |
$ | i 432 |
|||||||||
International and Structured Finance Insurance: |
|
|
|
|
|||||||||||||
Before VIE eliminations (1) |
i 1,181 |
i 799 |
i 1,286 |
i 749 |
|||||||||||||
VIE eliminations (1) |
( i 528 |
) | ( i 284 |
) | ( i 503 |
) | ( i 280 |
) | |||||||||
Total international and structured finance insurance |
i 653 |
i 515 |
i 783 |
i 469 |
|||||||||||||
Total |
$ | i 1,607 |
$ | i 966 |
$ | i 1,694 |
$ | i 901 |
|||||||||
(1) - | Includes loan repurchase commitments of $ i 506 million and $ i 486 million as of March 31, 2020 and December 31, 2019, respectively. |
(2) - | Amounts are net of expected recoveries. |
In millions |
Changes in Loss and LAE Reserves for the Three Months Ended March 31, 2020 |
|||||||||||||||||||||||||||||
|
Loss Payments |
Accretion of Claim Liability Discount |
Changes in Discount Rates |
Changes in Assumptions |
Changes in Unearned Premium Revenue |
Other |
|
|||||||||||||||||||||||
$ | i 901 |
$ | ( i 68 |
) | $ | i 4 |
$ | ( i 98 |
) | $ | i 222 |
$ | i 6 |
( i 1 |
) | $ | i 966 |
|||||||||||||
(1) - | Amounts are net of expected recoveries of unpaid claims. |
|
|
Changes in Insurance Loss Recoverable |
|
|||||||||||||||||||||||||
|
|
for the Three Months Ended March 31, 2020 |
|
|||||||||||||||||||||||||
In millions |
|
Collections for Cases |
Accretion of Recoveries |
Changes in Discount Rates |
Changes in Assumptions (1) |
Other (2) |
|
|||||||||||||||||||||
Insurance loss recoverable |
$ | i 1,694 |
$ | ( i 8 |
) | $ | i 7 |
$ | i 157 |
$ | ( i 241 |
) | $ | ( i 2 |
) | $ | i 1,607 |
|||||||||||
(1) - | Includes amounts related to paid claims and LAE that are expected to be recovered in the future. |
(2) - | Primarily changes in amount and timing of collections. |
|
Surveillance Categories |
|||||||||||||||||||
$ in millions |
Caution List Low |
Caution List Medium |
Caution List High |
Classified List |
Total |
|||||||||||||||
Number of policies |
i 42 |
i 18 |
i - |
i 219 |
i 279 |
|||||||||||||||
Number of issues (1) |
i 12 |
i 5 |
i - |
i 99 |
i 116 |
|||||||||||||||
Remaining weighted average contract period (in years) |
i 6.6 |
i 7.1 |
- |
i 7.7 |
i 7.4 |
|||||||||||||||
Gross insured contractual payments outstanding: (2) |
|
|
|
|
|
|||||||||||||||
Principal |
$ | i 1,192 |
$ | i 224 |
$ | i - |
$ | i 3,736 |
$ | i 5,152 |
||||||||||
Interest |
i 1,914 |
i 99 |
i - |
i 1,566 |
i 3,579 |
|||||||||||||||
Total |
$ | i 3,106 |
$ | i 323 |
$ | i - |
$ | i 5,302 |
$ | i 8,731 |
||||||||||
Gross Claim Liability (3) |
$ | i - |
$ | i - |
$ | i - |
$ | i 1,068 |
$ | i 1,068 |
||||||||||
Less: |
|
|
|
|
|
|||||||||||||||
Gross Potential Recoveries (4) |
i - |
i - |
i - |
i 1,781 |
i 1,781 |
|||||||||||||||
Discount, net (5) |
i - |
i - |
i - |
( i 91 |
) | ( i 91 |
) | |||||||||||||
Net claim liability (recoverable) |
$ | i - |
$ | i - |
$ | i - |
$ | ( i 622 |
) | $ | ( i 622 |
) | ||||||||
Unearned premium revenue |
$ | i 6 |
$ | i 3 |
$ | i - |
$ | i 38 |
$ | i 47 |
||||||||||
Reinsurance recoverable on paid and unpaid losses (6) |
|
|
|
|
$ | i 13 |
(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 |
i 45 |
i 19 |
i - |
i 212 |
i 276 |
|||||||||||||||
Number of issues (1) |
i 13 |
i 5 |
i - |
i 94 |
i 112 |
|||||||||||||||
Remaining weighted average contract period (in years) |
i 7.3 |
i 7.2 |
- |
i 7.9 |
i 7.7 |
|||||||||||||||
Gross insured contractual payments outstanding: (2) |
|
|
|
|
|
|||||||||||||||
Principal |
$ | i 1,546 |
$ | i 248 |
$ | i - |
$ | i 3,794 |
$ | i 5,588 |
||||||||||
Interest |
i 2,107 |
i 110 |
i - |
i 1,668 |
i 3,885 |
|||||||||||||||
Total |
$ | i 3,653 |
$ | i 358 |
$ | i - |
$ | i 5,462 |
$ | i 9,473 |
||||||||||
Gross Claim Liability (3) |
$ | i - |
$ | i - |
$ | i - |
$ | i 965 |
$ | i 965 |
||||||||||
Less: |
|
|
|
|
|
|||||||||||||||
Gross Potential Recoveries (4) |
i - |
i - |
i - |
i 2,184 |
i 2,184 |
|||||||||||||||
Discount, net (5) |
i - |
i - |
i - |
( i 453 |
) | ( i 453 |
) | |||||||||||||
Net claim liability (recoverable) |
$ | i - |
$ | i - |
$ | i - |
$ | ( i 766 |
) | $ | ( i 766 |
) | ||||||||
Unearned premium revenue |
$ | i 6 |
$ | i 3 |
$ | i - |
$ | i 39 |
$ | i 48 |
||||||||||
Reinsurance recoverable on paid and unpaid losses (6) |
|
|
|
|
$ | i 19 |
(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 |
Valuation Techniques |
Unobservable Input |
Range (Weighted Average) |
|||||||||
Assets of consolidated VIEs: |
|||||||||||||
Loans receivable at fair value |
$ | i 98 |
Market prices adjusted for financial guarantees provided to VIE obligations |
Impact of financial guarantee (2) |
- i 28% - i 161% ( i 19%) (1) |
||||||||
Loan repurchase commitments |
i 506 |
Discounted cash flow |
Recovery rates (3) Breach rates(3) |
||||||||||
Liabilities of consolidated VIEs: |
|||||||||||||
Variable interest entity notes |
i 281 |
Market prices of VIE assets adjusted for financial guarantees provided |
Impact of financial guarantee |
i 34%
- i 74% ( i 60%)(1) |
|||||||||
C CMBS redit d eri vative liabilit i es – |
i 8 |
Direct Price Model |
Nonperformance risk |
i 54% - i 54%
( i 54%) |
|||||||||
Other derivative liabilities |
i 37 |
Discounted cash flow |
Cash flows |
$ i 0 - $ i 49
($ i 25) (4) |
(1) - | Weighted average represents the total MBIA guarantees as a percentage of total instrument fair value. |
(2) - | Negative percentage represents financial guarantee policies in a receivable position. |
(3) - | Recovery rates include assumptions about legal risk in the enforcement of the Company’s contract and breach rates represent estimates of the percentage of ineligible loans. |
(4) - | Midpoint of cash flows are used for the weighted average. |
In millions |
Fair Value as of December 31, 2019 |
Valuation Techniques |
Unobservable Input |
Range (Weighted Average) |
||||||||
Assets of consolidated VIEs: |
||||||||||||
Loans receivable at fair value |
$ | i 136 |
Market prices adjusted for financial guarantees provided to VIE obligations |
Impact of financial guarantee (1) |
- i 20%
- i 99% ( i 22%) |
|||||||
Loan repurchase commitments |
i 486 |
Discounted cash flow |
Recovery rates (2) Breach rates(2) |
|||||||||
Liabilities of consolidated VIEs: |
||||||||||||
Variable interest entity notes |
i 347 |
Market prices of VIE assets adjusted for financial guarantees provided |
Impact of financial guarantee |
i 37% - i 76% ( i 61%)
|
||||||||
Credit d CMBS e rivative liabilities – |
i 7 |
Direct Price Model |
Nonperformance risk |
i 54% - i 54%
( i 54%) |
||||||||
Other derivative liabilities |
i 34 |
Discounted cash flow |
Cash flows |
$ i 0 - $ i 49
($ i 25) (3) |
(1) - | Negative percentage represents financial guarantee policies in a receivable position. |
(2) - | Recovery rates include assumptions about legal risk in the enforcement of the Company’s contract and breach rates represent estimates of the percentage of ineligible loans. |
(3) - | Midpoint of cash flows are used for the weighted average. |
|
Fair Value Measurements at Reporting Date Using |
|
||||||||||||||||||
In millions |
Quoted Prices in Active Markets for Identical Assets (Level 1) |
Significant Other Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
Counterparty and Cash Collateral Netting |
Balance as of March 31, 2020 |
|||||||||||||||
Assets: |
|
|
|
|
|
|||||||||||||||
Fixed-maturity investments: |
|
|
|
|
|
|||||||||||||||
U.S. Treasury and government agency |
$ | i 763 |
$ | i 105 |
$ | i - |
$ | - |
$ | i 868 |
||||||||||
State and municipal bonds |
i - |
i 192 |
i - |
- |
i 192 |
|||||||||||||||
Foreign governments |
i - |
i 11 |
i - |
- |
i 11 |
|||||||||||||||
Corporate obligations |
i - |
i 1,234 |
i - |
- |
i 1,234 |
|||||||||||||||
Mortgage-backed securities: |
|
|
|
|
|
|||||||||||||||
Residential mortgage-backed agency |
i - |
i 283 |
i - |
- |
i 283 |
|||||||||||||||
Residential mortgage-backed non-agency |
i - |
i 22 |
i - |
- |
i 22 |
|||||||||||||||
Commercial mortgage-backed |
i - |
i 21 |
i - |
- |
i 21 |
|||||||||||||||
Asset-backed securities: |
|
|
|
|
|
|||||||||||||||
Collateralized debt obligations |
i - |
i 114 |
i - |
- |
i 114 |
|||||||||||||||
Other asset-backed |
i - |
i 279 |
i 1 |
- |
i 280 |
|||||||||||||||
Total fixed-maturity investments |
i 763 |
i 2,261 |
i 1 |
- |
i 3,025 |
|||||||||||||||
Money market securities |
i 35 |
i - |
i - |
- |
i 35 |
|||||||||||||||
Perpetual debt and equity securities |
i 27 |
i 21 |
i - |
- |
i 48 |
|||||||||||||||
Fixed-income fund |
i - |
i - |
i - |
- |
i 45 |
(1) | ||||||||||||||
Cash and cash equivalents |
i 212 |
i - |
i - |
- |
i 212 |
|||||||||||||||
Derivative assets: |
|
|
|
|
|
|||||||||||||||
Non-insured derivative assets: |
|
|
|
|
|
|||||||||||||||
Interest rate derivatives |
i - |
i 1 |
i - |
- |
i 1 |
|
Fair Value Measurements at Reporting Date Using |
|
|||||||||||||||||||
In millions |
Quoted Prices in Active Markets for Identical Assets (Level 1) |
Significant Other Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
Counterparty and Cash Collateral Netting |
Balance as of March 31, 2020 |
||||||||||||||||
Assets of consolidated VIEs: |
|
|
|
|
|
||||||||||||||||
Corporate obligations |
i - |
i 8 |
i - |
- |
i 8 |
||||||||||||||||
Mortgage-backed securities: |
|
|
|
|
|
||||||||||||||||
Residential mortgage-backed non-agency |
i - |
i 38 |
i - |
- |
i 38 |
||||||||||||||||
Commercial mortgage-backed |
i - |
i 15 |
i - |
- |
i 15 |
||||||||||||||||
Asset-backed securities: |
|
|
|
|
|
||||||||||||||||
Collateralized debt obligations |
i - |
i 7 |
i - |
- |
i 7 |
||||||||||||||||
Other asset-backed |
i - |
i 7 |
i - |
- |
i 7 |
||||||||||||||||
Cash |
i 5 |
i - |
i - |
- |
i 5 |
||||||||||||||||
Loans receivable at fair value: |
|
|
|
|
|
||||||||||||||||
Residential loans receivable |
i - |
i - |
i 98 |
- |
i 98 |
||||||||||||||||
Loan repurchase commitments |
i - |
i - |
i 506 |
- |
i 506 |
||||||||||||||||
Other assets: |
|
|
|
|
|
||||||||||||||||
Currency derivatives |
i - |
i - |
i 18 |
- |
i 18 |
||||||||||||||||
Other |
i - |
i - |
i 15 |
- |
i 15 |
||||||||||||||||
Total assets |
$ | i 1,042 |
$ | i 2,358 |
$ | i 638 |
$ | - |
$ | i 4,083 |
|||||||||||
Liabilities: |
|
|
|
|
|
||||||||||||||||
Medium-term notes |
$ | i - |
$ | i - |
$ | i 98 |
$ | - |
$ | i 98 |
|||||||||||
Derivative liabilities: |
|
|
|
|
|
||||||||||||||||
Insured derivatives: |
|
|
|
|
|
||||||||||||||||
Credit derivatives |
i - |
i 2 |
i 8 |
- |
i 10 |
||||||||||||||||
Non-insured derivatives: |
|
|
|
|
|
||||||||||||||||
Interest rate derivatives |
i - |
i 190 |
i - |
( i 31 |
) | i 159 |
|||||||||||||||
Other |
i - |
i - |
i 37 |
- |
i 37 |
||||||||||||||||
Liabilities of consolidated VIEs: |
|
|
|
|
|
||||||||||||||||
Variable interest entity notes |
i - |
i 50 |
i 281 |
- |
i 331 |
||||||||||||||||
Total liabilities |
$ | i - |
$ | i 242 |
$ | i 424 |
$ | ( i 31 |
) | $ | i 635 |
||||||||||
(1) - | Investment that was measured at fair value by applying the net asset value per share practical expedient, and was required not to be classified in the fair value hierarchy. |
|
Fair Value Measurements at Reporting Date Using |
|
|||||||||||||||
|
Quoted Prices in |
Significant |
|
|
|||||||||||||
|
Active Markets |
Other |
Significant |
|
|||||||||||||
|
for Identical |
Observable |
Unobservable |
Balance as of |
|||||||||||||
|
Assets |
Inputs |
Inputs |
December 31, |
|||||||||||||
In millions |
(Level 1) |
(Level 2) |
(Level 3) |
2019 |
|||||||||||||
Assets: |
|
|
|
|
|||||||||||||
Fixed-maturity investments: |
|
|
|
|
|||||||||||||
U.S. Treasury and government agency |
$ | i 791 |
$ | i 97 |
$ | i - |
$ | i 888 |
|||||||||
State and municipal bonds |
i - |
i 200 |
i - |
i 200 |
|||||||||||||
Foreign governments |
i - |
i 10 |
i - |
i 10 |
|||||||||||||
Corporate obligations |
i - |
i 1,266 |
i - |
i 1,266 |
|||||||||||||
Mortgage-backed securities: |
|
|
|
|
|||||||||||||
Residential mortgage-backed agency |
i - |
i 330 |
i - |
i 330 |
|||||||||||||
Residential mortgage-backed non-agency |
i - |
i 19 |
i - |
i 19 |
|||||||||||||
Commercial mortgage-backed |
i - |
i 22 |
i - |
i 22 |
|||||||||||||
Asset-backed securities: |
|
|
|
|
|||||||||||||
Collateralized debt obligations |
i - |
i 140 |
i - |
i 140 |
|||||||||||||
Other asset-backed |
i - |
i 326 |
i 1 |
i 327 |
|||||||||||||
Total fixed-maturity investments |
i 791 |
i 2,410 |
i 1 |
i 3,202 |
|||||||||||||
Money market securities |
i 154 |
i - |
i - |
i 154 |
|||||||||||||
Perpetual debt and equity securities |
i 30 |
i 25 |
i - |
i 55 |
|||||||||||||
Fixed-income fund |
i - |
i - |
i - |
i 51 |
(1) | ||||||||||||
Cash and cash equivalents |
i 75 |
i - |
i - |
i 75 |
|||||||||||||
Derivative assets: |
|
|
|
|
|||||||||||||
Non-insured derivative assets: |
|
|
|
|
|||||||||||||
Interest rate derivatives |
i - |
i 1 |
i - |
i 1 |
|
Fair Value Measurements at Reporting Date Using |
|
|||||||||||||||
In millions |
Quoted Prices in Active Markets for Identical Assets (Level 1) |
Significant Other Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
Balance as of December 31, 2019 |
|||||||||||||
Assets of consolidated VIEs: |
|
|
|
|
|||||||||||||
Corporate obligations |
i - |
i 8 |
i - |
i 8 |
|||||||||||||
Mortgage-backed securities: |
|
|
|
|
|||||||||||||
Residential mortgage-backed non-agency |
i - |
i 45 |
i - |
i 45 |
|||||||||||||
Commercial mortgage-backed |
i - |
i 16 |
i - |
i 16 |
|||||||||||||
Asset-backed securities: |
|
|
|
|
|||||||||||||
Collateralized debt obligations |
i - |
i 6 |
i - |
i 6 |
|||||||||||||
Other asset-backed |
i - |
i 8 |
i - |
i 8 |
|||||||||||||
Cash |
i 8 |
i - |
i - |
i 8 |
|||||||||||||
Loans receivable at fair value: |
|
|
|
|
|||||||||||||
Residential loans receivable |
i - |
i - |
i 136 |
i 136 |
|||||||||||||
Loan repurchase commitments |
i - |
i - |
i 486 |
i 486 |
|||||||||||||
Other assets: |
|
|
|
|
|||||||||||||
Currency derivatives |
i - |
i - |
i 8 |
i 8 |
|||||||||||||
Other |
i - |
i - |
i 18 |
i 18 |
|||||||||||||
Total assets |
$ | i 1,058 |
$ | i 2,519 |
$ | i 649 |
$ | i 4,277 |
|||||||||
Liabilities: |
|
|
|
|
|||||||||||||
Medium-term notes |
$ | i - |
$ | i - |
$ | i 108 |
$ | i 108 |
|||||||||
Derivative liabilities: |
|
|
|
|
|||||||||||||
Insured derivatives: |
|
|
|
|
|||||||||||||
Credit derivatives |
i - |
i 2 |
i 7 |
i 9 |
|||||||||||||
Non-insured derivatives: |
|
|
|
|
|||||||||||||
Interest rate derivatives |
i - |
i 132 |
i - |
i 132 |
|||||||||||||
Other |
i - |
i - |
i 34 |
i 34 |
|||||||||||||
Other liabilities: |
|
|
|
|
|||||||||||||
Other payable |
i - |
i - |
i 4 |
i 4 |
|||||||||||||
Liabilities of consolidated VIEs: |
|
|
|
|
|||||||||||||
Variable interest entity notes |
i - |
i 56 |
i 347 |
i 403 |
|||||||||||||
Total liabilities |
$ | i - |
$ | i 190 |
$ | i 500 |
$ | i 690 |
|||||||||
(1) | - Investment that was measured at fair value by applying the net asset value per share practical expedient, and was required not to be classified in the fair value hierarchy. |
Fair Value 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) |
|
|
|||||||||||||||
Assets: |
||||||||||||||||||||
Assets of consolidated VIEs: |
||||||||||||||||||||
Investments held-to-maturity |
$ | i - |
$ | i - |
$ | i 572 |
$ | i 572 |
$ | i 529 |
||||||||||
Total assets |
$ | i - |
$ | i - |
$ | i 572 |
$ | i 572 |
$ | i 529 |
||||||||||
Liabilities: |
||||||||||||||||||||
Long-term debt |
$ | i - |
$ | i 856 |
$ | i - |
$ | i 856 |
$ | i 2,261 |
||||||||||
Medium-term notes |
i - |
i - |
i 377 |
i 377 |
i 563 |
|||||||||||||||
Investment agreements |
i - |
i - |
i 415 |
i 415 |
i 295 |
|||||||||||||||
Liabilities of consolidated VIEs: |
||||||||||||||||||||
Variable interest entity notes |
i - |
i 261 |
i 570 |
i 831 |
i 829 |
|||||||||||||||
Total liabilities |
$ | i - |
$ | i 1,117 |
$ | i 1,362 |
$ | i 2,479 |
$ | i 3,948 |
||||||||||
Financial Guarantees: |
||||||||||||||||||||
Gross liability (recoverable) |
$ | i - |
$ | i - |
$ | i 723 |
$ | i 723 |
$ | ( i 177 |
) | |||||||||
Ceded |
i - |
i - |
i 51 |
i 51 |
i 15 |
Fair Value Measurements at Reporting Date Using |
||||||||||||||||||||
In millions |
Quoted Prices in Active Markets for Identical Assets (Level 1) |
Significant Other Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
|
|
|||||||||||||||
Assets: |
||||||||||||||||||||
Assets of consolidated VIEs: |
||||||||||||||||||||
Investments held-to-maturity |
$ | i - |
$ | i - |
$ | i 892 |
$ | i 892 |
$ | i 890 |
||||||||||
Total assets |
$ | i - |
$ | i - |
$ | i 892 |
$ | i 892 |
$ | i 890 |
||||||||||
Liabilities: |
||||||||||||||||||||
Long-term debt |
$ | i - |
$ | i 1,073 |
$ | i - |
$ | i 1,073 |
$ | i 2,228 |
||||||||||
Medium-term notes |
i - |
i - |
i 396 |
i 396 |
i 570 |
|||||||||||||||
Investment agreements |
i - |
i - |
i 394 |
i 394 |
i 304 |
|||||||||||||||
Liabilities of consolidated VIEs: |
||||||||||||||||||||
Variable interest entity notes |
i - |
i 261 |
i 892 |
i 1,153 |
i 1,136 |
|||||||||||||||
Total liabilities |
$ | i - |
$ | i 1,334 |
$ | i 1,682 |
$ | i 3,016 |
$ | i 4,238 |
||||||||||
Financial Guarantees: |
||||||||||||||||||||
Gross liability (recoverable) |
$ | i - |
$ | i - |
$ | i 556 |
$ | i 556 |
$ | ( i 311 |
) | |||||||||
Ceded |
i - |
i - |
i 56 |
i 56 |
i 24 |
In millions |
Balance, Beginning of Period |
Total Gains / (Losses) Included in Earnings |
Unrealized Gains / (Losses) Included in OCI (1) |
Purchases |
Issuances |
Settlements |
Sales |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance |
Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets still held as of March 31, 2020 |
Change in Unrealized Gains (Losses) for the Period Included in OCI for Assets still held as of March 31, 2020 (1) |
||||||||||||||||||||||||||||||||||||
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||||||
Other asset-backed |
$ | i 1 |
$ | i - |
$ | i - |
$ | i - |
$ | i - |
$ | i - |
$ | i - |
$ | i - |
$ | i - |
$ | i 1 |
$ | i - |
$ | i - |
||||||||||||||||||||||||
Assets of consolidated VIEs: |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||||||
Loans receivable- residential |
i 136 |
( i 35 |
) | i - |
i - |
i - |
( i 3 |
) | i - |
i - |
i - |
i 98 |
( i 35 |
) | i - |
|||||||||||||||||||||||||||||||||
Loan repurchase commitments |
i 486 |
i 20 |
i - |
i - |
i - |
i - |
i - |
i - |
i - |
i 506 |
i 20 |
i - |
||||||||||||||||||||||||||||||||||||
Currency derivatives |
i 8 |
i 10 |
i - |
i - |
i - |
i - |
i - |
i - |
i - |
i 18 |
i 10 |
i - |
||||||||||||||||||||||||||||||||||||
Other |
i 18 |
( i 3 |
) | i - |
i - |
i - |
i - |
i - |
i - |
i - |
i 15 |
( i 3 |
) | i - |
||||||||||||||||||||||||||||||||||
Total assets |
$ | i 649 |
$ | ( i 8 |
) | $ | i - |
$ | i - |
$ | i - |
$ | ( i 3 |
) | $ | i - |
$ | i - |
$ | i - |
$ | i 638 |
$ | ( i 8 |
) | $ | i - |
|||||||||||||||||||||
In millions |
Balance, Beginning of Period |
Total (Gains) / Losses Included in Earnings |
Unrealized (Gains) / Losses Included in in OCI (2) |
Purchases |
Issuances |
Settlements |
Sales |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance |
Change in Unrealized (Gains) Losses for the Period Included in Earnings for Liabilities still held as of March 31, 2020 |
Change in Unrealized (Gains) Losses for the Period Included in OCI for Liabilities still held as of March 31, 2020 (2) |
||||||||||||||||||||||||||||||||||||
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||||||
Medium-term notes |
$ | i 108 |
$ | i 2 |
$ | ( i 12 |
) | $ | i - |
$ | i - |
$ | i - |
$ | i - |
$ | i - |
$ | i - |
$ | i 98 |
$ | i 2 |
$ | ( i 12 |
) | ||||||||||||||||||||||
Credit derivatives |
i 7 |
i 1 |
i - |
i - |
i - |
i - |
i - |
i - |
i - |
i 8 |
i 1 |
i - |
||||||||||||||||||||||||||||||||||||
Other derivatives |
i 34 |
i 3 |
i - |
i - |
i - |
i - |
i - |
i - |
i - |
i 37 |
i 3 |
i - |
||||||||||||||||||||||||||||||||||||
Other payable |
i 4 |
i - |
i - |
i - |
i - |
( i 4 |
) | i - |
i - |
i - |
i - |
i - |
i - |
|||||||||||||||||||||||||||||||||||
Liabilities of consolidated VIEs: |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||||||
VIE notes |
i 347 |
( i 25 |
) | ( i 36 |
) | i - |
i - |
( i 5 |
) | i - |
i - |
i - |
i 281 |
( i 28 |
) | ( i 34 |
) | |||||||||||||||||||||||||||||||
Total liabilities |
$ | i 500 |
$ | ( i 19 |
) | $ | ( i 48 |
) | $ | i - |
$ | i - |
$ | ( i 9 |
) | $ | i - |
$ | i - |
$ | i - |
$ | i 424 |
$ | ( i 22 |
) | $ | ( i 46 |
) | |||||||||||||||||||
(1) - | Reported within the “Unrealized gains (losses) on available-for-sale securities” on MBIA’s Consolidated Statement of Comprehensive Income/Loss. |
(2) - | Reported within the “Instrument-specific credit risk of liabilities measured at fair value” on MBIA’s Consolidated Statement of Comprehensive Income/Loss. |
In millions |
Balance, Beginning of Period |
Total Gains / (Losses) Included in Earnings |
Unrealized Gains / (Losses) Included in OCI |
Purchases |
Issuances |
Settlements |
Sales |
Transfers into Level 3 (1) |
Transfers out of Level 3 (1) |
Ending Balance |
Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets still held as of March 31, 2019 |
|||||||||||||||||||||||||||||||||
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
Commercial mortgage-backed |
$ | i 7 |
$ | i - |
$ | i - |
$ | i - |
$ | i - |
$ | ( i 1 |
) | $ | i - |
$ | i - |
$ | i - |
$ | i 6 |
$ | i - |
|||||||||||||||||||||
Other asset-backed |
i 3 |
i - |
i - |
i - |
i - |
( i 1 |
) | i - |
i - |
i - |
i 2 |
i - |
||||||||||||||||||||||||||||||||
Assets of consolidated VIEs: |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
Corporate obligations |
i 5 |
i - |
i - |
i - |
i - |
i - |
i - |
i - |
i - |
i 5 |
i - |
|||||||||||||||||||||||||||||||||
Collateralized debt obligations |
i 1 |
i - |
i - |
i - |
i - |
i - |
i - |
i - |
i - |
i 1 |
i - |
|||||||||||||||||||||||||||||||||
Loans receivable-residential |
i 172 |
i 42 |
i - |
i - |
i - |
( i 8 |
) | i - |
i - |
i - |
i 206 |
i 42 |
||||||||||||||||||||||||||||||||
Loan repurchase commitments |
i 418 |
i 2 |
i - |
i - |
i - |
i - |
i - |
i - |
i - |
i 420 |
i 2 |
|||||||||||||||||||||||||||||||||
Currency derivatives |
i 17 |
( i 3 |
) | i - |
i - |
i - |
i - |
i - |
i - |
i - |
i 14 |
( i 3 |
) | |||||||||||||||||||||||||||||||
Other |
i 14 |
i 1 |
i - |
i - |
i - |
i - |
i - |
i - |
i - |
i 15 |
i 1 |
|||||||||||||||||||||||||||||||||
Total assets |
$ | i 637 |
$ | i 42 |
$ | i - |
$ | i - |
$ | i - |
$ | ( i 10 |
) | $ | i - |
$ | i - |
$ | i - |
$ | i 669 |
$ | i 42 |
|||||||||||||||||||||
In millions |
Balance, Beginning of Period |
Total (Gains) / Losses Included in Earnings |
Unrealized (Gains) / Losses Included in OCI |
Purchases |
Issuances |
Settlements |
Sales |
Transfers into Level 3 (1) |
Transfers out of Level 3 (1) |
Ending Balance |
Change in Unrealized (Gains) Losses for the Period Included in Earnings for Liabilities still held as of March 31, 2019 |
|||||||||||||||||||||||||||||||||
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
Medium-term notes |
$ | i 102 |
$ | i 8 |
$ | ( i 4 |
) | $ | i - |
$ | i - |
$ | i - |
$ | i - |
$ | i - |
$ | i - |
$ | i 106 |
$ | i 7 |
|||||||||||||||||||||
Credit derivatives |
i 33 |
( i 14 |
) | i - |
i - |
i - |
i - |
i - |
i - |
i - |
i 19 |
( i 14 |
) | |||||||||||||||||||||||||||||||
Other derivatives |
i 7 |
i - |
i - |
i - |
i - |
i - |
i - |
i - |
i - |
i 7 |
- |
|||||||||||||||||||||||||||||||||
Other payable |
i 5 |
i 1 |
i - |
i - |
i - |
( i 3 |
) | i - |
i - |
i - |
i 3 |
i 1 |
||||||||||||||||||||||||||||||||
Liabilities of consolidated VIEs: |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
VIE notes |
i 366 |
i 41 |
( i 7 |
) | i - |
i 5 |
( i 8 |
) | i - |
i - |
i - |
i 397 |
i 32 |
|||||||||||||||||||||||||||||||
Total liabilities |
$ | i 513 |
$ | i 36 |
$ | ( i 11 |
) | $ | i - |
$ | i 5 |
$ | ( i 11 |
) | $ | i - |
$ | i - |
$ | i - |
$ | i 532 |
$ | i 26 |
||||||||||||||||||||
(1) | - Transferred in and out at the end of the period. |
|
Three Months Ended March 31, 2020 |
Three Months Ended March 31, 2019 |
||||||||||||||
|
|
Change in |
|
Change in |
||||||||||||
|
|
Unrealized |
|
Unrealized |
||||||||||||
|
|
Gains (Losses) |
|
Gains (Losses) |
||||||||||||
|
|
for the |
|
for the |
||||||||||||
|
|
Period Included |
|
Period Included |
||||||||||||
|
|
in Earnings |
|
in Earnings |
||||||||||||
|
|
for Assets |
|
for Assets |
||||||||||||
|
|
and |
|
and |
||||||||||||
|
Total Gains |
Liabilities still |
Total Gains |
Liabilities still |
||||||||||||
|
(Losses) |
held as of |
(Losses) |
held as of |
||||||||||||
|
Included |
March 31, |
Included |
March 31, |
||||||||||||
In millions |
in Earnings |
2020 |
in Earnings |
2019 |
||||||||||||
Revenues: |
|
|
|
|
||||||||||||
Unrealized gains (losses) on insured derivatives |
$ | ( i 1 |
) | $ | ( i 1 |
) | $ | i 14 |
$ | i 14 |
||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
( i 5 |
) | ( i 5 |
) | ( i 7 |
) | ( i 7 |
) | ||||||||
Other net realized gains (losses) |
i - |
i - |
( i 1 |
) | ( i 1 |
) | ||||||||||
Revenues of consolidated VIEs: |
|
|
|
|
||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
i 17 |
i 20 |
i 1 |
i 10 |
||||||||||||
Total |
$ | i 11 |
$ | i 14 |
$ | i 7 |
$ | i 16 |
||||||||
Three Months Ended March 31, |
||||||||
In millions |
2020 |
2019 |
||||||
Investments carried at fair value (1) |
$ | ( i 20 |
) | $ | i 6 |
|||
Fixed-maturity securities held at fair value-VIE (2) |
( i 6 |
) | i 26 |
|||||
Loans receivable at fair value: |
||||||||
Residential mortgage loans (2) |
( i 35 |
) | i 34 |
|||||
Loan repurchase commitments (2) |
i 20 |
i 2 |
||||||
Other assets-VIE (2) |
( i 3 |
) | i - |
|||||
Medium-term notes (1) |
( i 2 |
) | ( i 7 |
) | ||||
Other liabilities (3) |
i - |
( i 1 |
) | |||||
Variable interest entity notes (2) |
i 27 |
i 84 |
(1) - | Reported within “Net gains (losses) of financial instruments at fair value and foreign exchange” on MBIA’s consolidated statements of operations. |
(2) - | Reported within “Net gains (losses) of financial instruments at fair value and foreign exchange-VIE” on MBIA’s consolidated statements of operations. |
(3) - | Reported within “Other net realized gains (losses)” on MBIA’s consolidated statements of operations. |
|
As of March 31, 2020 |
As of December 31, 2019 | |||||||||||||||||||||||
|
Contractual |
|
|
Contractual |
|
|
|||||||||||||||||||
|
Outstanding |
Fair |
|
Outstanding |
Fair |
|
|||||||||||||||||||
In millions |
Principal |
Value |
Difference |
Principal |
Value |
Difference |
|||||||||||||||||||
Loans receivable at fair value: |
|
|
|
|
|
|
|||||||||||||||||||
Residential mortgage loans |
$ | i 96 |
$ | i 87 |
$ | i 9 |
$ | i 107 |
$ | i 107 |
$ | i - |
|||||||||||||
Residential mortgage loans (90 days or more past due) |
i 123 |
i 11 |
i 112 |
i 154 |
i 29 |
i 125 |
|||||||||||||||||||
Total loans receivable and other instruments at fair value |
$ | i 219 |
$ | i 98 |
$ | i 121 |
$ | i 261 |
$ | i 136 |
$ | i 125 |
|||||||||||||
Variable interest entity notes |
$ | i 1,097 |
$ | i 331 |
$ | i 766 |
$ | i 1,126 |
$ | i 403 |
$ | i 723 |
|||||||||||||
Medium-term notes |
$ | i 110 |
$ | i 98 |
$ | i 12 |
$ | i 112 |
$ | i 108 |
$ | i 4 |
|
|||||||||||||||||||||
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 |
$ | i 758 |
$ | i - |
$ | i 101 |
$ | i - |
$ | i 859 |
|||||||||||
State and municipal bonds |
i 168 |
i - |
i 23 |
i - |
i 191 |
||||||||||||||||
Foreign governments |
i 10 |
i - |
i - |
( i 1 |
) | i 9 |
|||||||||||||||
Corporate obligations |
i 1,114 |
i - |
i 90 |
( i 33 |
) | i 1,171 |
|||||||||||||||
Mortgage-backed securities: |
|
|
|
|
|
||||||||||||||||
Residential mortgage-backed agency |
i 266 |
i - |
i 8 |
i - |
i 274 |
||||||||||||||||
Residential mortgage-backed non-agency |
i 27 |
i - |
i 1 |
( i 7 |
) | i 21 |
|||||||||||||||
Commercial mortgage-backed |
i 20 |
i - |
i - |
( i 1 |
) | i 19 |
|||||||||||||||
Asset-backed securities: |
|
|
|
|
|
||||||||||||||||
Collateralized debt obligations |
i 131 |
i - |
i - |
( i 19 |
) | i 112 |
|||||||||||||||
Other asset-backed |
i 277 |
i - |
i - |
( i 2 |
) | i 275 |
|||||||||||||||
Total AFS investments |
$ | i 2,771 |
$ | i - |
$ | i 223 |
$ | ( i 63 |
) | $ | i 2,931 |
||||||||||
HTM Investments |
|
|
|
|
|
||||||||||||||||
Assets of consolidated VIEs: |
|
|
|
|
|
||||||||||||||||
Corporate obligations |
$ | i 575 |
$ | ( i 46 |
) | $ | i 43 |
$ | i - |
$ | i 572 |
||||||||||
Total HTM investments |
$ | i 575 |
$ | ( i 46 |
) | $ | i 43 |
$ | i - |
$ | i 572 |
||||||||||
|
|||||||||||||||||||||
In millions |
Amortized Cost |
Gross Unrealized Gains |
Gross Unrealized Losses |
Fair Value |
Other-Than- Temporary Impairments (1) |
||||||||||||||||
AFS Investments |
|
|
|
|
|
||||||||||||||||
Fixed-maturity investments: |
|
|
|
|
|
||||||||||||||||
U.S. Treasury and government agency |
$ | i 838 |
$ | i 46 |
$ | ( i 2 |
) | $ | i 882 |
$ | i - |
||||||||||
State and municipal bonds |
i 178 |
i 22 |
i - |
i 200 |
i - |
||||||||||||||||
Foreign governments |
i 8 |
i 1 |
i - |
i 9 |
i - |
||||||||||||||||
Corporate obligations |
i 1,140 |
i 52 |
( i 1 |
) | i 1,191 |
i - |
|||||||||||||||
Mortgage-backed securities: |
|
|
|
|
|
||||||||||||||||
Residential mortgage-backed agency |
i 317 |
i 3 |
i - |
i 320 |
i - |
||||||||||||||||
Residential mortgage-backed non-agency |
i 23 |
i 1 |
( i 5 |
) | i 19 |
i - |
|||||||||||||||
Commercial mortgage-backed |
i 20 |
i - |
i - |
i 20 |
i - |
||||||||||||||||
Asset-backed securities: |
|
|
|
|
|
||||||||||||||||
Collateralized debt obligations |
i 139 |
i - |
( i 2 |
) | i 137 |
i - |
|||||||||||||||
Other asset-backed |
i 321 |
i 1 |
( i 1 |
) | i 321 |
i - |
|||||||||||||||
Total AFS investments |
$ | i 2,984 |
$ | i 126 |
$ | ( i 11 |
) | $ | i 3,099 |
$ | i - |
||||||||||
HTM Investments |
|
|
|
|
|
||||||||||||||||
Assets of consolidated VIEs: |
|
|
|
|
|
||||||||||||||||
Corporate obligations |
$ | i 890 |
$ | i 2 |
$ | i - |
$ | i 892 |
$ | i - |
|||||||||||
Total HTM investments |
$ | i 890 |
$ | i 2 |
$ | i - |
$ | i 892 |
$ | i - |
|||||||||||
(1) - | Represents unrealized gains or losses on OTTI securities recognized in AOCI, which includes the non-credit component of impairments, as well as all subsequent changes in fair value of such impaired securities reported in AOCI. |
|
AFS Securities |
HTM Securities | |||||||||||||||
|
|
|
Consolidated VIEs | ||||||||||||||
In millions |
Net Amortized Cost |
Fair Value |
Net Amortized Cost |
Fair Value |
|||||||||||||
Due in one year or less |
$ | i 476 |
$ | i 476 |
$ | i - |
$ | i - |
|||||||||
Due after one year through five years |
i 500 |
i 506 |
i - |
i - |
|||||||||||||
Due after five years through ten years |
i 345 |
i 357 |
i - |
i - |
|||||||||||||
Due after ten years |
i 729 |
i 891 |
i 529 |
i 572 |
|||||||||||||
Mortgage-backed and asset-backed |
i 721 |
i 701 |
i - |
i - |
|||||||||||||
Total fixed-maturity investments |
$ | i 2,771 |
$ | i 2,931 |
$ | i 529 |
$ | i 572 |
|||||||||
|
|||||||||||||||||||||||||
|
Less than 12 Months |
12 Months or Longer |
Total | ||||||||||||||||||||||
|
Fair |
Unrealized |
Fair |
Unrealized |
Fair |
Unrealized |
|||||||||||||||||||
In millions |
Value |
Losses |
Value |
Losses |
Value |
Losses |
|||||||||||||||||||
AFS Investments |
|
|
|
|
|
|
|||||||||||||||||||
Fixed-maturity investments: |
|
|
|
|
|
|
|||||||||||||||||||
U.S. Treasury and government agency |
$ | i 4 |
$ | i - |
$ | i - |
$ | i - |
$ | i 4 |
$ | i - |
|||||||||||||
State and municipal bonds |
i 31 |
i - |
i - |
i - |
i 31 |
i - |
|||||||||||||||||||
Foreign governments |
i 7 |
( i 1 |
) | i - |
i - |
i 7 |
( i 1 |
) | |||||||||||||||||
Corporate obligations |
i 482 |
( i 31 |
) | i 6 |
( i 2 |
) | i 488 |
( i 33 |
) | ||||||||||||||||
Mortgage-backed securities: |
|
|
|
|
|
|
|||||||||||||||||||
Residential mortgage-backed non-agency |
i 9 |
( i 1 |
) | i 9 |
( i 6 |
) | i 18 |
( i 7 |
) | ||||||||||||||||
Commercial mortgage-backed |
i 9 |
( i 1 |
) | i - |
i - |
i 9 |
( i 1 |
) | |||||||||||||||||
Asset-backed securities: |
|
|
|
|
|
|
|||||||||||||||||||
Collateralized debt obligations |
i 49 |
( i 4 |
) | i 64 |
( i 15 |
) | i 113 |
( i 19 |
) | ||||||||||||||||
Other asset-backed |
i 170 |
( i 2 |
) | i - |
i - |
i 170 |
( i 2 |
) | |||||||||||||||||
Total AFS investments |
$ | i 761 |
$ | ( i 40 |
) | $ | i 79 |
$ | ( i 23 |
) | $ | i 840 |
$ | ( i 63 |
) | ||||||||||
|
|||||||||||||||||||||||||
|
Less than 12 Months |
12 Months or Longer |
Total | ||||||||||||||||||||||
|
Fair |
Unrealized |
Fair |
Unrealized |
Fair |
Unrealized |
|||||||||||||||||||
In millions |
Value |
Losses |
Value |
Losses |
Value |
Losses |
|||||||||||||||||||
AFS Investments |
|
|
|
|
|
|
|||||||||||||||||||
Fixed-maturity investments: |
|
|
|
|
|
|
|||||||||||||||||||
U.S. Treasury and government agency |
$ | i 148 |
$ | ( i 1 |
) | $ | i 79 |
$ | ( i 1 |
) | $ | i 227 |
$ | ( i 2 |
) | ||||||||||
State and municipal bonds |
i 11 |
i - |
i 15 |
i - |
i 26 |
i - |
|||||||||||||||||||
Corporate obligations |
i 53 |
( i 1 |
) | i 10 |
i - |
i 63 |
( i 1 |
) | |||||||||||||||||
Mortgage-backed securities: |
|
|
|
|
|
|
|||||||||||||||||||
Residential mortgage-backed agency |
i 62 |
i - |
i 7 |
i - |
i 69 |
i - |
|||||||||||||||||||
Residential mortgage-backed non-agency |
i - |
i - |
i 11 |
( i 5 |
) | i 11 |
( i 5 |
) | |||||||||||||||||
Commercial mortgage-backed |
i 5 |
i - |
i - |
i - |
i 5 |
i - |
|||||||||||||||||||
Asset-backed securities: |
|
|
|
|
|
|
|||||||||||||||||||
Collateralized debt obligations |
i 44 |
i - |
i 77 |
( i 2 |
) | i 121 |
( i 2 |
) | |||||||||||||||||
Other asset-backed |
i 48 |
( i 1 |
) | i 7 |
i - |
i 55 |
( i 1 |
) | |||||||||||||||||
Total AFS investments |
$ | i 371 |
$ | ( i 3 |
) | $ | i 206 |
$ | ( i 8 |
) | $ | i 577 |
$ | ( i 11 |
) | ||||||||||
|
AFS Securities | ||||||||||||
Percentage of Fair Value Below Book Value |
Number of Securities |
Book Value (in millions) |
Fair Value (in millions) |
||||||||||
> i 5% to i 15%
|
i 8 |
$ | i 21 |
$ | i 20 |
||||||||
> i 15% to i 25%
|
i 18 |
i 48 |
i 38 |
||||||||||
> i 25% to i 50%
|
i 13 |
i 33 |
i 21 |
||||||||||
> i 50% |
i 2 |
i - |
i - |
||||||||||
Total |
i 41 |
$ | i 102 |
$ | i 79 |
||||||||
In millions |
Fair Value |
Unrealized Loss |
Insurance Loss Reserve (2) |
||||||||||
Mortgage-backed: |
|
|
|
||||||||||
MBIA (1) |
$ | i 9 |
$ | ( i 6) |
$ | i 22 |
(1) - | Includes investments insured by MBIA Corp. and National. |
(2) - | Insurance loss reserve estimates are based on the proportion of par value owned to the total amount of par value insured. |
In millions |
Three Months Ended March 31, 2020 |
||||||||||||||||||||||||
Balance as of |
Current period provision for expected credit losses |
Initial allowance recognized for PCD assets |
Write-Offs |
Recoveries |
Balance as of |
||||||||||||||||||||
HTM Investments |
|||||||||||||||||||||||||
Assets of consolidated VIEs: |
|||||||||||||||||||||||||
Corporate obligations |
$ | i 37 |
$ | i 9 |
$ | i - |
$ | i - |
$ | i - |
$ | i 46 |
|||||||||||||
Total Allowance on HTM investments |
$ | i 37 |
$ | i 9 |
$ | i - |
$ | i - |
$ | i - |
$ | i 46 |
|||||||||||||
(1) - | Represents transition adjustment upon adoption of ASU 2016-13. |
In millions |
Three Months Ended |
||||
Credit Losses Recognized in Earnings Related to Other-Than-Temporary Impairments |
|||||
Beginning balance |
$ | i 37 |
|||
Additions for credit loss impairments recognized in the current period on securities previously impaired |
i 28 |
||||
Ending balance |
$ | i 65 |
|||
Three Months Ended March 31, | |||||||||
In millions |
2020 |
2019 |
|||||||
Proceeds from sales |
$ | i 279 |
$ | i 683 |
|||||
Gross realized gains |
$ | i 11 |
$ | i 5 |
|||||
Gross realized losses |
$ | ( i 8 |
) | $ | ( i 1 |
) |
Three Months Ended March 31, | |||||||||
In millions |
2020 |
2019 |
|||||||
Net gains and (losses) recognized during the period on equity securities |
$ | ( i 13 |
) | $ | i 5 |
||||
Less: |
|||||||||
Net gains and (losses) recognized during the period on equity securities sold during the period |
i - |
i 1 |
|||||||
Unrealized gains and (losses) recognized during the period on equity securities still held at the reporting date |
$ | ( i 13 |
) | $ | i 4 |
||||
$ in millions |
As of March 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 credit default swaps |
i 0.8 Years |
$ | i - |
$ | i - |
$ | i - |
$ | i - |
$ | i 24 |
$ | i 24 |
$ | ( i 8 |
) | |||||||||||||||||
Insured swaps |
i 15.0 Years |
i - |
i 64 |
i 1,256 |
i 374 |
i - |
i 1,694 |
( i 2 |
) | ||||||||||||||||||||||||
Total notional |
$ | i - |
$ | i 64 |
$ | i 1,256 |
$ | i 374 |
$ | i 24 |
$ | i 1,718 |
|||||||||||||||||||||
Total fair value |
$ | i - |
$ | i - |
$ | ( i 1 |
) | $ | ( i 1 |
) | $ | ( i 8 |
) | $ | ( i 10 |
) | |||||||||||||||||
$ in millions |
As of December 31, 2019 | ||||||||||||||||||||||||||||||||
Notional Value |
|||||||||||||||||||||||||||||||||
Credit Derivatives Sold |
Weighted Average Remaining Expected Maturity |
AAA |
AA |
A |
BBB |
Below Investment Grade |
Total Notional |
Fair Value Asset (Liability) |
|||||||||||||||||||||||||
Insured credit default swaps |
i 1.0 Years |
$ | i - |
$ | i - |
$ | i - |
$ | i - |
$ | i 32 |
$ | i 32 |
$ | ( i 7 |
) | |||||||||||||||||
Insured swaps |
i 14.6 Years |
i - |
i 66 |
i 1,284 |
i 445 |
i - |
i 1,795 |
( i 2 |
) | ||||||||||||||||||||||||
Total notional |
$ | i - |
$ | i 66 |
$ | i 1,284 |
$ | i 445 |
$ | i 32 |
$ | i 1,827 |
|||||||||||||||||||||
Total fair value |
$ | i - |
$ | i - |
$ | ( i 1 |
) | $ | ( i 1 |
) | $ | ( i 7 |
) | $ | ( i 9 |
) | |||||||||||||||||
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 credit default swaps |
$ | i 24 |
Other assets |
$ | i - |
Derivative liabilities |
$ | ( i 8 |
) | ||||||||||||
Insured swaps |
i 1,694 |
Other assets |
i - |
Derivative liabilities |
( i 2 |
) | |||||||||||||||
Interest rate swaps |
i 439 |
Other assets |
i 1 |
Derivative liabilities |
( i 190 |
) | |||||||||||||||
Interest rate swaps-embedded |
i 227 |
Medium-term notes |
i - |
Medium-term notes |
( i 10 |
) | |||||||||||||||
Currency swaps-VIE |
i 57 |
Other assets-VIE |
i 18 |
Derivative liabilities-VIE |
i - |
||||||||||||||||
All other |
i 49 |
Other assets |
i - |
Derivative liabilities |
( i 37 |
) | |||||||||||||||
Total non-designated derivatives |
$ | i 2,490 |
$ | i 19 |
$ | ( i 247 |
) | ||||||||||||||
(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 |
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 credit default swaps |
$ | i 32 |
Other assets |
$ | i - |
Derivative liabilities |
$ | ( i 7 |
) | ||||||||||||
Insured swaps |
i 1,795 |
Other assets |
i - |
Derivative liabilities |
( i 2 |
) | |||||||||||||||
Interest rate swaps |
i 441 |
Other assets |
i 1 |
Derivative liabilities |
( i 132 |
) | |||||||||||||||
Interest rate swaps-embedded |
i 232 |
Medium-term notes |
i - |
Medium-term notes |
( i 15 |
) | |||||||||||||||
Currency swaps-VIE |
i 58 |
Other assets-VIE |
i 8 |
Derivative liabilities-VIE |
i - |
||||||||||||||||
All other |
i 49 |
Other assets |
i - |
Derivative liabilities |
( i 34 |
) | |||||||||||||||
Total non-designated derivatives |
$ | i 2,607 |
$ | i 9 |
$ | ( i 190 |
) | ||||||||||||||
(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 March 31, |
|||||||||
Hedging Instruments |
Location of Gain (Loss) Recognized in Income on Derivative |
2020 |
2019 |
|||||||
Insured credit default swaps |
Unrealized gains (losses) on insured derivatives |
$ | ( i 1 |
) | $ | i 14 |
||||
Interest rate swaps |
Net gains (losses) on financial instruments at fair value and foreign exchange |
( i 56 |
) | ( i 20 |
) | |||||
Currency swaps-VIE |
Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |
i 10 |
( i 3 |
) | ||||||
All other |
Net gains (losses) on financial instruments at fair value and foreign exchange |
( i 3 |
) | i - |
||||||
Total |
$ | ( i 50 |
) | $ | ( i 9 |
) | ||||
Three Months Ended March 31, | |||||||||
In millions |
2020 |
2019 |
|||||||
Income (loss) before income taxes |
$ | ( i 333 |
) | $ | ( i 19 |
) | |||
Provision (benefit) for income taxes |
$ | i - |
$ | i 2 |
|||||
Effective tax rate |
i 0.0% |
- i 10.5% |
• | MBIA Inc.; |
• | GFL; |
• | IMC; |
• | MZ Funding LLC; and |
• | LaCrosse Financial Products, LLC, a wholly-owned affiliate, to which MBIA Insurance Corporation has written insurance policies guaranteeing the obligations under CDS. Certain policies cover payments potentially due under CDS, including termination payments that may become due in certain circumstances, including the occurrence of certain insolvency or payment defaults under the CDS or derivatives contracts by the insured counterparty or by the guarantor. |
|
Three Months Ended March 31, 2020 |
|||||||||||||||||||
In millions |
U.S. Public Finance Insurance |
Corporate |
International and Structured Finance Insurance |
Eliminations |
Consolidated |
|||||||||||||||
Revenues (1) |
$ | i 30 |
$ | i 6 |
$ | i 7 |
$ | i - |
$ | i 43 |
||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
( i 18) |
( i 56) |
i 11 |
i - |
( i 63) |
|||||||||||||||
Revenues of consolidated VIEs |
i - |
i - |
i 14 |
i - |
i 14 |
|||||||||||||||
Inter-segment revenues (2) |
i 7 |
i 18 |
i 4 |
( i 29) |
i - |
|||||||||||||||
Total revenues |
i 19 |
( i 32) |
i 36 |
( i 29) |
( i 6) |
|||||||||||||||
Losses and loss adjustment |
i 48 |
i - |
i 195 |
i - |
i 243 |
|||||||||||||||
Operating |
i 2 |
i 14 |
i 4 |
i - |
i 20 |
|||||||||||||||
Interest |
i - |
i 16 |
i 31 |
i - |
i 47 |
|||||||||||||||
Expenses of consolidated VIEs |
i - |
i - |
i 17 |
i - |
i 17 |
|||||||||||||||
Inter-segment expenses (2) |
i 14 |
i 6 |
i 9 |
( i 29) |
i - |
|||||||||||||||
Total expenses |
i 64 |
i 36 |
i 256 |
( i 29) |
i 327 |
|||||||||||||||
Income (loss) before income taxes |
$ | ( i 45) |
$ | ( i 68) |
$ | ( i 220) |
$ | i - |
$ | ( i 333) |
||||||||||
Identifiable assets |
$ | i 3,867 |
$ | i 1,000 |
$ | i 4,051 |
$ | ( i 2,286) |
(3) |
$ | i 6,632 |
|||||||||
(1) - | Represents the sum of third-party financial guarantee net premiums earned, net investment income, insurance-related fees and reimbursements and other fees. |
(2) - | Represents intercompany premium income and expense and intercompany interest income and expense pertaining to intercompany receivables and payables. |
(3) - | Consists primarily of intercompany reinsurance balances and repurchase agreements. |
|
Three Months Ended March 31, 2019 |
|||||||||||||||||||
In millions |
U.S. Public Finance Insurance |
Corporate |
International and Structured Finance Insurance |
Eliminations |
Consolidated |
|||||||||||||||
Revenues (1) |
$ | i 38 |
$ | i 7 |
$ | i 10 |
$ | i - |
$ | i 55 |
||||||||||
Net change in fair value of insured derivatives |
i - |
i - |
i 14 |
i - |
i 14 |
|||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
i 40 |
( i 18) |
i - |
i - |
i 22 |
|||||||||||||||
Net investment losses related to other-than-temporary impairments |
( i 28) |
i - |
i - |
i - |
( i 28) |
|||||||||||||||
Other net realized gains (losses) |
i 1 |
( i 1) |
i 1 |
i - |
i 1 |
|||||||||||||||
Revenues of consolidated VIEs |
( i 14) |
i - |
i - |
i - |
( i 14) |
|||||||||||||||
Inter-segment revenues (2) |
i 7 |
i 19 |
i 3 |
( i 29) |
i - |
|||||||||||||||
Total revenues |
i 44 |
i 7 |
i 28 |
( i 29) |
i 50 |
|||||||||||||||
Losses and loss adjustment |
( i 50) |
i - |
i 12 |
i - |
( i 38) |
|||||||||||||||
Operating |
i 2 |
i 22 |
i 6 |
i - |
i 30 |
|||||||||||||||
Interest |
i - |
i 19 |
i 33 |
i - |
i 52 |
|||||||||||||||
Expenses of consolidated VIEs |
i - |
i - |
i 25 |
i - |
i 25 |
|||||||||||||||
Inter-segment expenses (2) |
i 15 |
i 6 |
i 8 |
( i 29) |
i - |
|||||||||||||||
Total expenses |
( i 33) |
i 47 |
i 84 |
( i 29) |
i 69 |
|||||||||||||||
Income (loss) before income taxes |
$ | i 77 |
$ | ( i 40) |
$ | ( i 56) |
$ | i - |
$ | ( i 19) |
||||||||||
(1) - | Represents the sum of third-party financial guarantee net premiums earned, net investment income, insurance-related fees and reimbursements and other fees. |
(2) - | Represents intercompany premium income and expense and intercompany interest income and expense pertaining to intercompany receivables and payables. |
Three Months Ended March 31, | |||||||||
In millions except per share amounts |
2020 |
2019 |
|||||||
Basic earnings per share: |
|||||||||
Net income (loss) available to common shareholders |
( i 333 |
) | ( i 21 |
) | |||||
Basic weighted average shares (1) |
i 72.1 |
i 85.6 |
|||||||
Net income (loss) per basic common share |
$ | ( i 4.62 |
) | $ | ( i 0.24 |
) | |||
Diluted earnings per share: |
|||||||||
Net income (loss) available to common shareholders |
( i 333 |
) | ( i 21 |
) | |||||
Diluted weighted average shares (1) |
i 72.1 |
i 85.6 |
|||||||
Net income (loss) per diluted common share |
$ | ( i 4.62 |
) | $ | ( i 0.24 |
) | |||
Potentially dilutive securities excluded from the calculation of diluted EPS because of antidilutive affect |
i 4.9 |
i 4.5 |
(1) - | Includes i i 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 ended March 31, 2020 and 2019, respectively. |
In millions |
Unrealized Gains (Losses) on AFS Securities, Net |
Foreign Currency Translation, Net |
Instrument-Specific Credit Risk of Liabilities Measured at Fair Value, Net |
Total |
|||||||||||||
Balance, December 31, 2019 |
$ | i 112 |
$ | ( i 7 |
) | $ | ( i 107 |
) | $ | ( i 2 |
) | ||||||
Other comprehensive income (loss) before reclassifications |
i 48 |
i - |
i 46 |
i 94 |
|||||||||||||
Amounts reclassified from AOCI |
( i 3 |
) | i - |
i 2 |
( i 1 |
) | |||||||||||
Net period other comprehensive income (loss) |
i 45 |
i - |
i 48 |
i 93 |
|||||||||||||
Balance, March 31, 2020 |
$ | i 157 |
$ | ( i 7 |
) | $ | ( i 59 |
) | $ | i 91 |
|||||||
In millions |
Amounts Reclassified from AOCI |
|||||||||
Three Months Ended March 31, |
||||||||||
Details about AOCI Components |
2020 |
2019 |
Affected Line Item on the Consolidated Statements of Operations | |||||||
Unrealized gains (losses) on AFS securities: |
||||||||||
Realized gains (losses) on sale of securities |
$ | i 3 |
$ | i 39 |
Net gains (losses) on financial instruments at fair value and foreign exchange | |||||
Credit losses |
i - |
( i 28)
|
Net investment losses related to OTTI | |||||||
Total unrealized gains (losses) on AFS securities |
i 3 |
i 11 |
||||||||
Instrument-specific credit risk of liabilities: |
||||||||||
Settlement of liabilities |
( i 2) |
( i 4) |
Net gains (losses) on financial instruments at fair value and foreign exchange | |||||||
Total reclassifications for the period |
$ | i 1 |
$ | i 7 |
Net income (loss) | |||||
$ in millions |
As of March 31, 2020 |
Balance Sheet Location |
||||||
Right-of-use asset |
$ | i 21 |
Other assets |
|||||
Lease liability |
$ | i 21 |
Other liabilities |
|||||
Weighted average remaining lease term (years) |
i 8.3 |
|||||||
Discount rate used for operating leases |
i 7.5 |
% | ||||||
Total future minimum lease payments |
$ | i 31 |
Three Months Ended March 31, | |||||||||
In millions except per share amounts |
2020 |
2019 |
|||||||
Net income (loss) |
$ | (333) |
$ | (21) |
|||||
Net income (loss) per diluted share |
$ | (4.62) |
$ | (0.24) |
|||||
Adjusted net income (loss) (1) |
$ | (47) |
$ | 39 |
|||||
Adjusted net income (loss) per diluted share (1) |
$ | (0.65) |
$ | 0.45 |
|||||
Cost of shares purchased or repurchased |
$ | 65 |
$ | 4 |
(1) - | Adjusted net income (loss) and adjusted net income (loss) per diluted share are non-GAAP measures. Refer to the following “Results of Operations” section for a discussion of adjusted net income (loss) and adjusted net income (loss) per diluted share and a reconciliation of GAAP net income to adjusted net income (loss) and GAAP net income per diluted share to adjusted net income (loss) per diluted share. |
Three Months Ended March 31, | |||||||||
In millions except per share amounts |
2020 |
2019 |
|||||||
Total revenues |
$ | (6 |
) | $ | 50 |
||||
Total expenses |
327 |
69 |
|||||||
Income (loss) before income taxes |
(333 |
) | (19 |
) | |||||
Provision (benefit) for income taxes |
- |
2 |
|||||||
Net income (loss) |
$ | (333 |
) | $ | (21 |
) | |||
Net income (loss) per common share: |
|||||||||
Basic |
$ | (4.62 |
) | $ | (0.24 |
) | |||
Diluted |
$ | (4.62 |
) | $ | (0.24 |
) | |||
Weighted average number of common shares outstanding: |
|||||||||
Basic |
72.1 |
85.6 |
|||||||
Diluted |
72.1 |
85.6 |
• | Mark-to-market gains (losses) on financial instruments mark-to-market gains (losses) on financial instruments that primarily include interest rate swaps and hybrid financial instruments. These amounts fluctuate based on market interest rates, credit spreads and other market factors. |
• | Foreign exchange gains (losses) non-functional currencies. Given the possibility of volatility in foreign exchange markets, we exclude the impact of foreign exchange gains (losses) to provide a measurement of comparability of adjusted net income (loss). |
• | Net gains (losses) on sales of investments and impaired securities |
• | Income taxes pre-tax adjustments, if applicable. |
Three Months Ended March 31, | |||||||||
In millions except share and per share amounts |
2020 |
2019 |
|||||||
Net income (loss) |
$ | (333 |
) | $ | (21 |
) | |||
Less: adjusted net income (loss) adjustments: |
|||||||||
Income (loss) before income taxes of our international and structured finance insurance segment and eliminations |
(220 |
) | (55 |
) | |||||
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) |
(77 |
) | (16 |
) | |||||
Foreign exchange gains (losses) (1) |
8 |
7 |
|||||||
Net gains (losses) on sales of investments (1) |
3 |
33 |
|||||||
Net investment losses related to impairments of securities |
- |
(28 |
) | ||||||
Other net realized gains (losses) |
- |
(1 |
) | ||||||
Adjusted net income adjustment to the (provision) benefit for income tax (2) |
- |
- |
|||||||
Adjusted net income (loss) |
$ | (47 |
) | $ | 39 |
||||
Adjusted net income (loss) per diluted common share (3) |
(0.65 |
) | 0.45 |
||||||
Gain (loss) related to our U.S. public finance insurance segment VIE consolidations included in adjusted net income (loss) |
- |
(13 |
) | ||||||
Gain (loss) related to our U.S. public finance insurance segment VIE consolidations per diluted common share included in adjusted net income (loss) per diluted common share |
- |
(0.15 |
) |
(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 “Provision (benefit) for income taxes” 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. |
• | Negative Book value of MBIA Corp. |
• | Net unrealized (gains) losses on available-for-sale (“AFS”) securities excluding MBIA Corp. |
• | Net unearned premium revenue in excess of expected losses of National |
In millions except share and per share amounts |
As of March 31, 2020 |
As of December 31, 2019 |
|||||||
Total shareholders’ equity of MBIA Inc. |
$ | 484 |
$ | 826 |
|||||
Common shares outstanding |
72,160,406 |
79,433,293 |
|||||||
GAAP book value per share |
$ | 6.70 |
$ | 10.40 |
|||||
Management’s adjustments described above: |
|||||||||
Remove negative book value per share of MBIA Corp. |
(21.65 |
) | (16.81 |
) | |||||
Remove net unrealized gains (losses) on available-for-sale securities included in other comprehensive income (loss) |
2.06 |
1.29 |
|||||||
Include net unearned premium revenue in excess of expected losses |
3.74 |
3.46 |
Three Months Ended March 31, |
Percent |
||||||||||||
In millions |
2020 |
2019 |
Change |
||||||||||
Net premiums earned |
$ | 15 |
$ | 18 |
-17% |
||||||||
Net investment income |
21 |
27 |
-22% |
||||||||||
Fees and reimbursements |
1 |
1 |
-% |
||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
(18 |
) | 40 |
-145% |
|||||||||
Net investment losses related to other-than-temporary impairments |
- |
(28 |
) | -100% |
|||||||||
Other net realized gains (losses) |
- |
1 |
-100% |
||||||||||
Revenues of consolidated VIEs: |
|||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
- |
28 |
-100% |
||||||||||
Other net realized gains (losses) |
- |
(43 |
) | -100% |
|||||||||
Total revenues |
19 |
44 |
-57% |
||||||||||
Losses and loss adjustment |
48 |
(50 |
) | n/m |
|||||||||
Amortization of deferred acquisition costs |
3 |
4 |
-25% |
||||||||||
Operating |
13 |
13 |
-% |
||||||||||
Total expenses |
64 |
(33 |
) | n/m |
|||||||||
Income (loss) before income taxes |
$ | (45 |
) | $ | 77 |
n/m |
|||||||
In millions |
Percent Change |
||||||||||||
Assets: |
|||||||||||||
Insurance loss recoverable |
$ | 954 |
$ | 911 |
5% |
||||||||
Reinsurance recoverable on paid and unpaid losses (1) |
7 |
14 |
-50% |
||||||||||
Liabilities: |
|||||||||||||
Loss and LAE reserves |
451 |
432 |
5% |
||||||||||
Insurance loss recoverable - ceded (2) |
20 |
19 |
6% |
||||||||||
Net reserve (salvage) |
$ | (490 |
) | $ | (474 |
) | 4% |
||||||
(1) - | Reported within “Other assets” on our consolidated balance sheets. |
(2) - | Reported within “Other liabilities” on our consolidated balance sheets. |
Three Months Ended March 31, |
Percent Change |
||||||||||||
In millions |
2020 |
2019 |
|||||||||||
Gross expenses |
$ | 13 |
$ | 13 |
-% |
||||||||
Amortization of deferred acquisition costs |
$ | 3 |
$ | 4 |
-25% |
||||||||
Operating |
13 |
13 |
-% |
||||||||||
Total insurance operating expenses |
$ | 16 |
$ | 17 |
-6% |
||||||||
Gross Par Outstanding | |||||||||||||||||
In millions |
|||||||||||||||||
Rating |
Amount |
% |
Amount |
% |
|||||||||||||
AAA |
$ | 2,595 |
5.5% |
$ | 2,709 |
5.5% |
|||||||||||
AA |
18,723 |
39.5% |
19,155 |
39.2% |
|||||||||||||
A |
14,639 |
30.9% |
15,022 |
30.7% |
|||||||||||||
BBB |
7,647 |
16.2% |
8,225 |
16.8% |
|||||||||||||
Below investment grade |
3,747 |
7.9% |
3,809 |
7.8% |
|||||||||||||
Total |
$ | 47,351 |
100.0% |
$ | 48,920 |
100.0% |
|||||||||||
In millions |
Gross Par Outstanding |
Debt Service Outstanding |
National Internal Rating |
||||||||||
Puerto Rico Electric Power Authority (PREPA) |
$ | 968 |
$ | 1,315 |
d |
||||||||
Puerto Rico Commonwealth GO |
485 |
587 |
d |
||||||||||
Puerto Rico Public Buildings Authority (PBA) (1) |
170 |
228 |
d |
||||||||||
Puerto Rico Highway and Transportation Authority Transportation Revenue (PRHTA) |
523 |
895 |
d |
||||||||||
Puerto Rico Highway and Transportation Authority - Subordinated Transportation Revenue (PRHTA) |
27 |
36 |
d |
||||||||||
Puerto Rico Highway and Transportation Authority Highway Revenue (PRHTA) |
54 |
(2) |
75 |
d |
|||||||||
University of Puerto Rico System Revenue |
76 |
103 |
d |
||||||||||
Inter American University of Puerto Rico Inc. |
19 |
26 |
a3 |
||||||||||
Total |
$ | 2,322 |
$ | 3,265 |
|||||||||
(1) - | Additionally secured by the guarantee of the Commonwealth of Puerto Rico. |
(2) - | Includes CABs that reflect the gross par amount at the time of issuance of the insurance policy. As of March 31, 2020, gross par outstanding plus CABs accreted interest was $56 million. |
Nine Months |
|||||||||||||||||||||||||||||
Ending |
|||||||||||||||||||||||||||||
2021 |
2022 |
2023 |
2024 |
Thereafter |
Total |
||||||||||||||||||||||||
Puerto Rico Electric Power Authority (PREPA) |
$ | 90 |
$ | 140 |
$ | 140 |
$ | 137 |
$ | 137 |
$ | 671 |
$ | 1,315 |
|||||||||||||||
Puerto Rico Commonwealth GO |
210 |
82 |
19 |
14 |
13 |
249 |
587 |
||||||||||||||||||||||
Puerto Rico Public Buildings Authority (PBA) |
5 |
24 |
9 |
27 |
43 |
120 |
228 |
||||||||||||||||||||||
Puerto Rico Highway and Transportation Authority Transportation Revenue (PRHTA) |
13 |
27 |
27 |
36 |
33 |
759 |
895 |
||||||||||||||||||||||
Puerto Rico Highway and Transportation Authority - Subordinated Transportation Revenue (PRHTA) |
1 |
1 |
9 |
1 |
1 |
23 |
36 |
||||||||||||||||||||||
Puerto Rico Highway and Transportation Authority Highway Revenue (PRHTA) |
14 |
4 |
2 |
4 |
2 |
49 |
75 |
||||||||||||||||||||||
University of Puerto Rico System Revenue |
6 |
7 |
7 |
12 |
11 |
60 |
103 |
||||||||||||||||||||||
Inter American University of Puerto Rico Inc. |
3 |
3 |
3 |
3 |
3 |
11 |
26 |
||||||||||||||||||||||
Total |
$ | 342 |
$ | 288 |
$ | 216 |
$ | 234 |
$ | 243 |
$ | 1,942 |
$ | 3,265 |
|||||||||||||||
Three Months Ended March 31, |
Percent | |||||||||
In millions |
2020 |
2019 |
Change | |||||||
Net investment income |
$ | 8 |
$ | 10 |
-20% | |||||
Fees |
16 |
16 |
-% | |||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
(56 |
) | (18 |
) | n/m | |||||
Other net realized gains (losses) |
- |
(1 |
) | -100% | ||||||
Total revenues |
(32 |
) | 7 |
n/m | ||||||
Operating |
15 |
23 |
-35% | |||||||
Interest |
21 |
24 |
-13% | |||||||
Total expenses |
36 |
47 |
-23% | |||||||
Income (loss) before income taxes |
(68 |
) | (40 |
) | 70% | |||||
Three Months Ended March 31, |
Percent |
||||||||||||
In millions |
2020 |
2019 |
Change |
||||||||||
Net premiums earned |
$ | 6 |
$ | 7 |
-14% |
||||||||
Net investment income |
1 |
2 |
-50% |
||||||||||
Fees and reimbursements |
4 |
4 |
-% |
||||||||||
Unrealized gains (losses) on insured derivatives |
- |
14 |
-100% |
||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
11 |
- |
n/m |
||||||||||
Other net realized gains (losses) |
- |
1 |
-100% |
||||||||||
Revenues of consolidated VIEs: |
|||||||||||||
Net investment income |
8 |
10 |
-20% |
||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
15 |
(10 |
) | n/m |
|||||||||
Other net realized gains (losses) |
(9 |
) | - |
n/m |
|||||||||
Total revenues |
36 |
28 |
29% |
||||||||||
Losses and loss adjustment |
195 |
12 |
n/m |
||||||||||
Amortization of deferred acquisition costs |
4 |
5 |
-20% |
||||||||||
Operating |
7 |
7 |
-% |
||||||||||
Interest |
31 |
33 |
-6% |
||||||||||
Expenses of consolidated VIEs: |
|||||||||||||
Operating |
2 |
3 |
-33% |
||||||||||
Interest |
17 |
24 |
-29% |
||||||||||
Total expenses |
256 |
84 |
n/m |
||||||||||
Income (loss) before income taxes |
(220 |
) | (56 |
) | n/m |
||||||||
Three Months Ended March 31, |
Percent Change |
|||||||||||
In millions |
2020 |
2019 |
||||||||||
Net premiums earned: |
||||||||||||
Non-U.S. |
$ | 5 |
$ | 6 |
-17% |
|||||||
U.S. |
1 |
1 |
-% |
|||||||||
Total net premiums earned |
$ | 6 |
$ | 7 |
-14% |
|||||||
VIEs (eliminated in consolidation) |
$ | (4) |
$ | 2 |
n/m |
|||||||
March 31, |
December 31, |
Percent |
||||||||||
In millions |
2020 |
2019 |
Change |
|||||||||
Assets: |
||||||||||||
Insurance loss recoverable |
$ | 653 |
$ | 783 |
-17% |
|||||||
Reinsurance recoverable on paid and unpaid losses (1) |
5 |
5 |
-% |
|||||||||
Liabilities: |
||||||||||||
Loss and LAE reserves |
515 |
469 |
10% |
|||||||||
Net reserve (salvage) |
$ | (143) |
$ | (319) |
-56% |
|||||||
Three Months Ended March 31, |
Percent |
||||||||||||
In millions |
2020 |
2019 |
Change |
||||||||||
Gross expenses |
$ | 7 |
$ | 7 |
-% |
||||||||
Amortization of deferred acquisition costs |
$ | 4 |
$ | 5 |
-20% |
||||||||
Operating |
7 |
7 |
-% |
||||||||||
Total insurance operating expenses |
$ | 11 |
$ | 12 |
-8% |
||||||||
In millions |
Gross Par Outstanding as of |
Percent |
||||||||||
March 31, |
December 31, |
|||||||||||
Collateral Type |
2020 |
2019 |
Change |
|||||||||
HELOC Second-lien |
$ | 353 |
$ | 381 |
-7% |
|||||||
CES Second-lien |
129 |
136 |
-5% |
|||||||||
Alt-A First-lien(1) |
849 |
909 |
-7% |
|||||||||
Subprime First-lien |
327 |
343 |
-5% |
|||||||||
Prime First-lien |
7 |
7 |
-% |
|||||||||
Total |
$ | 1,665 |
$ | 1,776 |
-6% |
|||||||
(1) | - Includes international exposure of $210 million and $248 million as of March 31, 2020 and December 31, 2019, respectively. |
Three Months Ended March 31, | |||||||||
In millions |
2020 |
2019 |
|||||||
Income (loss) before income taxes |
$ | (333 |
) | $ | (19 |
) | |||
Provision (benefit) for income taxes |
$ | - |
$ | 2 |
|||||
Effective tax rate |
-% |
-10.5% |
In millions except per share amounts |
Three Months Ended March 31, |
|||||||
2019 |
||||||||
Number of shares purchased or repurchased |
8.1 |
0.5 |
||||||
Average price paid per share |
$ | 7.99 |
$ | 8.94 |
||||
Remaining authorization as of March 31 |
$ | 36 |
$ | 198 |
As of March 31, |
As of December 31, |
|||||||
In millions |
2020 |
2019 |
||||||
Policyholders’ surplus |
$ | 1,618 |
$ | 1,891 |
||||
Contingency reserves |
481 |
485 |
||||||
Statutory capital |
2,099 |
2,376 |
||||||
Unearned premiums |
399 |
411 |
||||||
Present value of installment premiums (1) |
132 |
139 |
||||||
Premium resources (2) |
531 |
550 |
||||||
Net loss and LAE reserves (1) |
(42) |
(169) |
||||||
Salvage reserves (1) |
745 |
789 |
||||||
Gross loss and LAE reserves |
703 |
620 |
||||||
Total claims-paying resources |
$ | 3,333 |
$ | 3,546 |
||||
As of March 31, |
As of December 31, |
|||||||
In millions |
2020 |
2019 |
||||||
Policyholders’ surplus |
$ | 206 |
$ | 282 |
||||
Contingency reserves |
176 |
194 |
||||||
Statutory capital |
382 |
476 |
||||||
Unearned premiums |
84 |
93 |
||||||
Present value of installment premiums (1) (4) |
86 |
92 |
||||||
Premium resources (2) |
170 |
185 |
||||||
Net loss and LAE reserves (1) |
(582) |
(669) |
||||||
Salvage reserves (1) (3) |
1,121 |
1,247 |
||||||
Gross loss and LAE reserves |
539 |
578 |
||||||
Total claims-paying resources |
$ | 1,091 |
$ | 1,239 |
||||
• | principal and interest receipts on assets held in its investment portfolio, including proceeds from the sale of assets; |
• | recoveries associated with insurance loss payments; and |
• | installment premiums. |
• | loss payments and LAE on insured transactions; |
• | payments of dividends; and |
• | payments of operating expenses, taxes and investment portfolio asset purchases. |
• | dividends from National; |
• | available cash and liquid assets not subject to collateral posting requirements; |
• | principal and interest receipts on assets held in its investment portfolio, including proceeds from the sale of assets; |
• | release of funds under the tax sharing agreement; and |
• | access to capital markets. |
• | servicing outstanding unsecured corporate debt obligations and MTNs; |
• | meeting collateral posting requirements under investment agreements and derivative arrangements; |
• | payments related to interest rate swaps; |
• | payments of operating expenses; and |
• | funding share repurchases and debt buybacks. |
• | recoveries associated with insurance loss payments; |
• | installment premiums and fees; and |
• | principal and interest receipts on assets held in its investment portfolio, including the proceeds from the sale of assets. |
• | loss and LAE or commutation payments on insured transactions; |
• | repayment of the Refinanced Facility; and |
• | payments of operating expenses. |
Three Months Ended March 31, |
|||||||||||||
In millions |
2020 |
2019 |
Percent Change |
||||||||||
Statement of cash flow data: |
|||||||||||||
Net cash provided (used) by: |
|||||||||||||
Operating activities |
$ | (82 |
) | $ | (70 |
) | 17% |
||||||
Investing activities |
610 |
128 |
n/m |
||||||||||
Financing activities |
(394 |
) | (175 |
) | 125% |
||||||||
Cash and cash equivalents - beginning of period |
83 |
280 |
-70% |
||||||||||
Cash and cash equivalents - end of period |
$ | 217 |
$ | 163 |
33% |
||||||||
As of March 31, |
As of December 31, |
Percent |
||||||||||
In millions |
2020 |
2019 |
Change |
|||||||||
Available-for-sale investments:(1) |
||||||||||||
U.S. public finance insurance: |
||||||||||||
Amortized cost |
$ | 1,976 |
$ | 2,051 |
-4% |
|||||||
Unrealized net gain (loss) |
51 |
40 |
28% |
|||||||||
Fair value |
2,027 |
2,091 |
-3% |
|||||||||
Corporate: |
||||||||||||
Amortized cost |
631 |
759 |
-17% |
|||||||||
Unrealized net gain (loss) |
99 |
63 |
57% |
|||||||||
Fair value |
730 |
822 |
-11% |
|||||||||
International and structured finance insurance: |
||||||||||||
Amortized cost |
164 |
174 |
-6% |
|||||||||
Unrealized net gain (loss) |
10 |
12 |
-17% |
|||||||||
Fair value |
174 |
186 |
-6% |
|||||||||
Total available-for-sale investments: |
||||||||||||
Amortized cost |
2,771 |
2,984 |
-7% |
|||||||||
Unrealized net gain (loss) |
160 |
115 |
39% |
|||||||||
Total available-for-sale investments at fair value |
2,931 |
3,099 |
-5% |
|||||||||
Investments carried at fair value: (2) |
||||||||||||
U.S. public finance insurance |
159 |
260 |
-39% |
|||||||||
Corporate |
48 |
79 |
-39% |
|||||||||
International and structured finance insurance |
15 |
24 |
-38% |
|||||||||
Total investments carried at fair value |
222 |
363 |
-39% |
|||||||||
Consolidated investments at carrying value |
$ | 3,153 |
$ | 3,462 |
-9% |
|||||||
International |
|||||||||||||||||
U.S. Public |
and Structured |
||||||||||||||||
Finance |
Finance |
||||||||||||||||
Insurance |
Corporate |
Insurance |
Total |
||||||||||||||
Weighted average credit quality ratings |
Aa |
Aa |
Aa |
Aa |
|||||||||||||
Investment grade percentage |
97% |
99% |
94% |
98% |
Change in Interest Rates | |||||||||||||||||||||||||
300 Basis |
200 Basis |
100 Basis |
100 Basis |
200 Basis |
300 Basis |
||||||||||||||||||||
Point |
Point |
Point |
Point |
Point |
Point |
||||||||||||||||||||
In millions |
Decrease |
Decrease |
Decrease |
Increase |
Increase |
Increase |
|||||||||||||||||||
Estimated change in fair value |
$ | 319 |
$ | 177 |
$ | 76 |
$ | (65 |
) | $ | (117 |
) | $ | (157 |
) |
Change in Credit Spreads |
||||||||||||
50 Basis |
50 Basis |
200 Basis |
||||||||||
Point |
Point |
Point |
||||||||||
In millions |
Decrease |
Increase |
Increase |
|||||||||
Estimated change in fair value |
$ | 26 |
$ | (24) |
$ | (73) |
Total Number |
Maximum |
||||||||||||||||
Total |
Average |
of Shares |
Amount That May |
||||||||||||||
Number |
Price |
Purchased as |
Be Purchased |
||||||||||||||
of Shares |
Paid Per |
Part of Publicly |
Under the Plan |
||||||||||||||
Month |
Purchased (1) |
Share |
Announced Plan |
(in millions) |
|||||||||||||
January |
2,573,334 |
$ | 9.17 |
2,543,621 |
$ | 77 |
|||||||||||
February |
1,114,025 |
8.87 |
1,112,100 |
68 |
|||||||||||||
March |
4,526,891 |
7.12 |
4,427,035 |
36 |
|||||||||||||
8,214,250 |
$ | 8.00 |
8,082,756 |
$ | 36 |
(1) | - 1,925 shares in February and 86 shares in March were repurchased in open market transactions as investments in the Company’s non-qualified deferred compensation plan and 29,713 shares in January and 99,770 shares in March were repurchased by the Company in open market transactions for settling awards under the Company’s long-term incentive plans. |
*31.1. |
||||
*31.2. |
||||
**32.1. |
||||
**32.2. |
||||
*101.INS. |
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. |
XBRL Taxonomy Extension Schema Document. | |||
*101.CAL. |
XBRL Taxonomy Extension Calculation Linkbase Document. | |||
*101.DEF. |
XBRL Taxonomy Extension Definition Linkbase Document. | |||
*101.LAB. |
XBRL Taxonomy Extension Label Linkbase Document. | |||
*101.PRE. |
XBRL Taxonomy Extension Presentation Linkbase Document. | |||
*104. |
Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101) |
* |
||||
** |
Furnished herewith. |
MBIA Inc. Registrant | ||
Date: May 11, 2020 |
||
Chief Financial Officer | ||
Date: May 11, 2020 |
||
Controller (Chief Accounting Officer) |
This ‘10-Q’ Filing | Date | Other Filings | ||
---|---|---|---|---|
1/15/33 | ||||
12/31/22 | ||||
3/31/21 | ||||
12/31/20 | ||||
6/4/20 | SC 13G/A | |||
5/25/20 | ||||
5/15/20 | 11-K, 4 | |||
Filed on: | 5/11/20 | 8-K | ||
5/5/20 | 8-K, DEF 14A | |||
5/4/20 | ||||
5/3/20 | ||||
4/28/20 | ||||
4/15/20 | ||||
For Period end: | 3/31/20 | |||
3/27/20 | ||||
3/12/20 | ||||
3/11/20 | ||||
2/28/20 | ||||
2/9/20 | ||||
2/5/20 | SC 13G/A | |||
2/3/20 | ||||
1/16/20 | ||||
1/1/20 | ||||
12/31/19 | 10-K, 11-K, 4 | |||
12/17/19 | ||||
12/5/19 | ||||
11/11/19 | ||||
11/8/19 | 4 | |||
10/21/19 | ||||
10/17/19 | ||||
10/15/19 | ||||
10/9/19 | ||||
10/1/19 | ||||
9/30/19 | 10-Q | |||
9/27/19 | ||||
9/26/19 | ||||
9/9/19 | 8-K | |||
8/23/19 | ||||
8/8/19 | ||||
8/2/19 | ||||
7/24/19 | ||||
7/9/19 | ||||
7/2/19 | ||||
7/1/19 | 4 | |||
6/27/19 | ||||
6/20/19 | ||||
6/17/19 | ||||
6/5/19 | ||||
5/20/19 | ||||
5/9/19 | ||||
5/3/19 | 8-K | |||
5/2/19 | ||||
4/16/19 | ||||
3/31/19 | 10-Q | |||
3/19/19 | ||||
3/12/19 | 10-K/A | |||
2/15/19 | ||||
2/12/19 | ||||
2/4/19 | ||||
1/28/19 | ||||
1/1/19 | ||||
12/21/18 | ||||
10/3/18 | 4 | |||
9/13/18 | ||||
8/8/18 | 10-Q, 8-K | |||
5/2/18 | 8-K, DEF 14A | |||
11/3/17 | ||||
9/14/17 | ||||
7/19/17 | ||||
7/18/17 | ||||
7/2/17 | ||||
5/21/17 | ||||
5/5/17 | 8-K | |||
5/3/17 | 8-K, DEF 14A | |||
3/31/17 | 10-Q | |||
6/30/16 | 10-Q | |||
1/15/16 | ||||
11/2/15 | 3, 4, 8-K | |||
1/15/13 | 8-K | |||
12/31/09 | 10-K, 11-K | |||
List all Filings |