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As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 8/03/22 Mbia Inc. 10-Q 6/30/22 87:22M Donnelley … Solutions/FA |
Document/Exhibit Description Pages Size 1: 10-Q Quarterly Report HTML 5.25M 2: EX-3.1 Articles of Incorporation/Organization or Bylaws HTML 170K 3: EX-31.1 Certification -- §302 - SOA'02 HTML 30K 4: EX-31.2 Certification -- §302 - SOA'02 HTML 30K 5: EX-32.1 Certification -- §906 - SOA'02 HTML 26K 6: EX-32.2 Certification -- §906 - SOA'02 HTML 26K 12: R1 Cover Page HTML 78K 13: R2 Consolidated Balance Sheets HTML 143K 14: R3 Consolidated Balance Sheets (Parenthetical) HTML 60K 15: R4 Consolidated Statements Of Operations HTML 126K 16: R5 Consolidated Statements Of Operations HTML 29K (Parenthetical) 17: R6 Consolidated Statements Of Comprehensive Income HTML 72K (Loss) 18: R7 Consolidated Statements Of Changes In HTML 84K Shareholders' Equity 19: R8 Consolidated Statements Of Cash Flows HTML 139K 20: R9 Business Developments and Risks and Uncertainties HTML 49K 21: R10 Significant Accounting Policies HTML 37K 22: R11 Recent Accounting Pronouncements HTML 40K 23: R12 Variable Interest Entities HTML 126K 24: R13 Loss and Loss Adjustment Expense Reserves HTML 228K 25: R14 Fair Value Of Financial Instruments HTML 1.00M 26: R15 Investments HTML 407K 27: R16 Derivative Instruments HTML 167K 28: R17 Income Taxes HTML 46K 29: R18 Business Segments HTML 306K 30: R19 Earnings Per Share HTML 74K 31: R20 Accumulated Other Comprehensive Income HTML 84K 32: R21 Commitments and Contingencies HTML 56K 33: R22 Significant Accounting Policies (Policies) HTML 51K 34: R23 Variable Interest Entities (Tables) HTML 114K 35: R24 Loss and Loss Adjustment Expense Reserves (Tables) HTML 208K 36: R25 Fair Value of Financial Instruments (Tables) HTML 986K 37: R26 Investments (Tables) HTML 407K 38: R27 Derivative Instruments (Tables) HTML 165K 39: R28 Income Taxes (Tables) HTML 39K 40: R29 Business Segments (Tables) HTML 294K 41: R30 Earnings Per Share (Tables) HTML 70K 42: R31 Accumulated Other Comprehensive Income (Tables) HTML 85K 43: R32 Commitments and Contingencies (Tables) HTML 37K 44: R33 Business Developments And Risks And Uncertainties HTML 65K (Narrative) (Detail) 45: R34 Variable Interest Entities (Narrative) (Detail) HTML 53K 46: R35 Variable Interest Entities (Summary of HTML 94K Nonconsolidated VIEs Assets and Liabilities) (Detail) 47: R36 Loss And Loss Adjustment Expense Reserves (Loss HTML 37K And LAE Activity) (Narrative) (Detail) 48: R37 Loss and Loss Adjustment Expense Reserves HTML 48K (Schedule of Losses and Loss Adjustment Expenses Reserves and Recoveries) (Detail) 49: R38 Loss and Loss Adjustment Expense Reserves HTML 42K (Schedule of Loss and Loss Adjustment Expenses Reserves) (Detail) 50: R39 Loss and Loss Adjustment Expense Reserves HTML 36K (Schedule of Insurance Loss Recoverable) (Detail) 51: R40 Loss And Loss Adjustment Expense Reserves HTML 88K (Schedule Of Financial Guarantees And Related Claim Liability) (Detail) 52: R41 Fair Value Of Financial Instruments (Narrative) HTML 42K (Detail) 53: R42 Fair Value Of Financial Instruments (Quantitative HTML 54K Information Regarding The Significant Unobservable Inputs For Certain Assets And Liabilities Measured At Fair Value On A Recurring Basis) (Detail) 54: R43 Fair Value Of Financial Instruments (Company's HTML 202K Assets And Liabilities Measured At Fair Value On Recurring Basis) (Detail) 55: R44 Fair Value Of Financial Instruments (Fair Value HTML 58K Hierarchy Table Presents The Company's Assets And Liabilities At Fair Value Not Recorded On The Company's Consolidated Balance Sheet) (Detail) 56: R45 Fair Value Of Financial Instruments (Changes In HTML 181K Level 3 Assets And Liabilities Measured At Fair Value On A Recurring Basis) (Detail) 57: R46 Fair Value Of Financial Instruments (Realized And HTML 44K Unrealized Gains And Losses Included In Earnings Pertaining To Level 3 Assets And Liabilities) (Detail) 58: R47 Fair Value Of Financial Instruments (Gains And HTML 54K Losses On Fair Value Option Included In The Company's Consolidated Statements Of Operations) (Detail) 59: R48 Fair Value Of Financial Instruments (Aggregate HTML 56K Fair Value And Remaining Contractual Principal Balance Outstanding On Fair Value Option) (Detail) 60: R49 Investments (Narrative) (Detail) HTML 46K 61: R50 Investments (Amortized Cost And Fair Value Of HTML 72K Available-For-Sale and Held-To-Maturity Investment Portfolios) (Detail) 62: R51 Investments (Distribution By Contractual Maturity HTML 55K Of Available-For-Sale and Held-To-Maturity Investments) (Detail) 63: R52 Investments (Gross Unrealized Losses Related To HTML 81K Available-For-Sale And Held-To-Maturity Investments) (Detail) 64: R53 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) 65: R54 Investments - (Summary of Allowance for Credit HTML 52K Losses on AFS Investments) (Detail) 66: R55 Investments (Securities Held In Unrealized Loss HTML 40K Position And Insured By Financial Guarantor) (Detail) 67: R56 Investments (Net Realized Gains (Losses) From HTML 34K Sales Of Available-For-Sale Securities) (Detail) 68: R57 Investments (Portion Of Unrealized Gains And HTML 37K Losses On Equity Investments Held) (Detail) 69: R58 Derivative Instruments (Narrative) (Detail) HTML 35K 70: R59 Derivative Instruments (Credit Derivatives Sold) HTML 52K (Detail) 71: R60 Derivative Instruments (Total Fair Value Of HTML 59K Company's Derivative Assets And Liabilities By Instrument And Balance Sheet Location, Before Counterparty Netting) (Detail) 72: R61 Derivative Instruments (Effect Of Derivative HTML 38K Instruments On Consolidated Statements Of Operations) (Detail) 73: R62 Income Taxes (Narrative) (Detail) HTML 34K 74: R63 Income Taxes (Income Taxes And Related Effective HTML 38K Tax Rates) (Detail) 75: R64 Business Segments (Narrative) (Detail) HTML 28K 76: R65 Business Segments (Summary Of Company's Segment HTML 112K Results) (Detail) 77: R66 Earnings Per Share (Narrative) (Detail) HTML 28K 78: R67 Earnings Per Share (Computation Of Basic And HTML 77K Diluted Earnings Per Share) (Detail) 79: R68 Accumulated Other Comprehensive Income (Changes In HTML 52K The Components Of AOCI) (Detail) 80: R69 Accumulated Other Comprehensive Income (Details Of HTML 52K The Reclassification From AOCI) (Detail) 81: R70 Commitments and Contingencies (Narrative) (Detail) HTML 30K 82: R71 Commitments and Contingencies (Lease Disclosures) HTML 42K (Detail) 85: XML IDEA XML File -- Filing Summary XML 166K 83: XML XBRL Instance -- d373093d10q_htm XML 8.09M 84: EXCEL IDEA Workbook of Financial Reports XLSX 200K 8: EX-101.CAL XBRL Calculations -- mbi-20220630_cal XML 179K 9: EX-101.DEF XBRL Definitions -- mbi-20220630_def XML 1.21M 10: EX-101.LAB XBRL Labels -- mbi-20220630_lab XML 1.43M 11: EX-101.PRE XBRL Presentations -- mbi-20220630_pre XML 1.34M 7: EX-101.SCH XBRL Schema -- mbi-20220630 XSD 244K 86: JSON XBRL Instance as JSON Data -- MetaLinks 498± 794K 87: ZIP XBRL Zipped Folder -- 0001193125-22-211347-xbrl Zip 517K
Form 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 |
i 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 | ☐ |
i Accelerated filer | ☒ | |||
Non-accelerated filer | ☐ |
Smaller reporting company | i ☐ | |||
Emerging growth company | i ☐ |
PAGE |
||||||
PART I FINANCIAL INFORMATION |
||||||
Item 1. |
||||||
1 |
||||||
2 |
||||||
3 |
||||||
4 |
||||||
5 |
||||||
6 |
||||||
6 |
||||||
8 |
||||||
9 |
||||||
10 |
||||||
11 |
||||||
16 |
||||||
26 |
||||||
30 |
||||||
33 |
||||||
34 |
||||||
36 |
||||||
37 |
||||||
38 |
||||||
Item 2. |
41 |
|||||
Item 3. |
65 |
|||||
Item 4. |
65 |
|||||
PART II OTHER INFORMATION |
||||||
66 |
||||||
66 |
||||||
68 |
||||||
69 |
||||||
70 |
• |
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 (net of allowance for credit losses $ i 3 and $ i -,
amortized cost $ i 2,350 and $ i 2,016) |
$ |
i 2,188 |
$ |
i 2,157 |
||||
Investments carried at fair value |
i 332 |
i 258 |
||||||
Investments pledged as collateral, at fair value (amortized cost $ i - and $ i 4) |
i - |
i 4 |
||||||
Short-term investments, at fair value (amortized cost $ i 458 and $ i 374) |
i 458 |
i 374 |
||||||
|
|
|
|
|
| |||
Total investments |
i 2,978 |
i 2,793 |
||||||
Cash and cash equivalents |
i 202 |
i 151 |
||||||
Premiums receivable (net of allowance for credit losses $ i 5 and $ i 5) |
i 171 |
i 178 |
||||||
Deferred acquisition costs |
i 39 |
i 42 |
||||||
Insurance loss recoverable |
i 443 |
i 1,296 |
||||||
Other assets |
i 85 |
i 67 |
||||||
Assets of consolidated variable interest entities: |
||||||||
Cash |
i 5 |
i 9 |
||||||
Investments carried at fair value |
i 51 |
i 60 |
||||||
Loans receivable at fair value |
i 68 |
i 77 |
||||||
Other assets |
i 25 |
i 23 |
||||||
|
|
|
|
|
| |||
Total assets |
$ |
i 4,067 |
$ |
i 4,696 |
||||
|
|
|
|
|
| |||
Liabilities and Equity |
||||||||
Liabilities: |
||||||||
Unearned premium revenue |
$ |
i 297 |
$ |
i 322 |
||||
Loss and loss adjustment expense reserves |
i 965 |
i 894 |
||||||
Long-term debt |
i 2,359 |
i 2,331 |
||||||
Medium-term notes (includes financial instruments carried at fair value of $ i 42 and $ i 98) |
i 493 |
i 590 |
||||||
Investment agreements |
i 277 |
i 274 |
||||||
Derivative liabilities |
i 72 |
i 131 |
||||||
Other liabilities |
i 122 |
i 163 |
||||||
Liabilities of consolidated variable interest entities: |
||||||||
Variable interest entity notes carried at fair value |
i 217 |
i 291 |
||||||
|
|
|
|
|
| |||
Total liabilities |
i 4,802 |
i 4,996 |
||||||
|
|
|
|
|
| |||
Commitments and contingencies (Refer to Note 13: Commitments and Contingencies) |
i | i | ||||||
Equity: |
||||||||
Preferred stock, par value $ i i 1 /
per share; authorized shares -- i i 10,000,000 / ;
issued and outstanding — i i i i none / / / |
i - |
i - |
||||||
Common stock, par value $ i i 1 /
per share; authorized shares -- i i 400,000,000 / ; issued
shares -- i 283,186,115 and i 283,186,115 |
i 283 |
i 283 |
||||||
Additional paid-in capital |
i 2,919 |
i 2,931 |
||||||
Retained earnings (deficit) |
( i 567 |
) |
( i 458 |
) | ||||
Accumulated other comprehensive income (loss), net of tax of $ i 8 and $ i 8 |
( i 231 |
) |
i 100 |
|||||
Treasury stock, at cost -- i 228,286,399 and i 228,630,003 shares |
( i 3,152 |
) |
( i 3,169 |
) | ||||
|
|
|
|
|
| |||
Total shareholders’ equity of MBIA Inc. |
( i 748 |
) |
( i 313 |
) | ||||
Preferred stock of subsidiary |
i 13 |
i 13 |
||||||
|
|
|
|
|
| |||
Total equity |
( i 735 |
) |
( i 300 |
) | ||||
|
|
|
|
|
| |||
Total liabilities and equity |
$ |
i 4,067 |
$ |
i 4,696 |
||||
|
|
|
|
|
|
Three Months Ended June 30, |
Six Months Ended June 30, | |||||||||||||||
2021 |
2022 |
2021 | ||||||||||||||
Revenues |
||||||||||||||||
Premiums earned: |
||||||||||||||||
Scheduled premiums earned |
$ |
i 10 |
$ |
i 12 |
$ |
i 21 |
$ |
i 27 |
||||||||
Refunding premiums earned |
i 1 |
i 2 |
i 5 |
i 7 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Premiums earned (net of ceded premiums of $ i - , $ i 1, $ i 1
and $ i 2) |
i 11 |
i 14 |
i 26 |
i 34 |
||||||||||||
Net investment income |
i 25 |
i 14 |
i 43 |
i 29 |
||||||||||||
Net realized investment gains (losses) |
( i 21 |
) |
i - |
( i 24 |
) |
( i 1 |
) | |||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
i 9 |
( i 20 |
) |
i 26 |
i 32 |
|||||||||||
Net gains (losses) on extinguishment of debt |
i 4 |
i 14 |
i 4 |
i 14 |
||||||||||||
Fees and reimbursements |
i 4 |
i 1 |
i 4 |
i 1 |
||||||||||||
Other net realized gains (losses) |
( i 16 |
) |
i - |
( i 19 |
) |
i - |
||||||||||
Revenues of consolidated variable interest entities: |
||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
i 24 |
i - |
i 20 |
( i 14 |
) | |||||||||||
Other net realized gains (losses) |
i - |
( i 5 |
) |
i - |
( i 5 |
) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total revenues |
i 40 |
i 18 |
i 80 |
i 90 |
||||||||||||
Expenses |
||||||||||||||||
Losses and loss adjustment |
i 20 |
i 9 |
i 69 |
i 107 |
||||||||||||
Amortization of deferred acquisition costs |
i 1 |
i 3 |
i 3 |
i 5 |
||||||||||||
Operating |
i 11 |
i 21 |
i 30 |
i 47 |
||||||||||||
Interest |
i 43 |
i 41 |
i 84 |
i 82 |
||||||||||||
Expenses of consolidated variable interest entities: |
||||||||||||||||
Operating |
i 1 |
i 1 |
i 3 |
i 3 |
||||||||||||
Interest |
i - |
i 4 |
i - |
i 13 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total expenses |
i 76 |
i 79 |
i 189 |
i 257 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Income (loss) before income taxes |
( i 36 |
) |
( i 61 |
) |
( i 109 |
) |
( i 167 |
) | ||||||||
Provision (benefit) for income taxes |
i - |
i - |
i - |
i - |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Net income (loss) |
$ |
( i 36 |
) |
$ |
( i 61 |
) |
$ |
( i 109 |
) |
$ |
( i 167 |
) | ||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Net income (loss) per common share |
||||||||||||||||
Basic |
$ |
( i 0.72 |
) |
$ |
( i 1.23 |
) |
$ |
( i 2.20 |
) |
$ |
( i 3.38 |
) | ||||
Diluted |
$ |
( i 0.72 |
) |
$ |
( i 1.23 |
) |
$ |
( i 2.20 |
) |
$ |
( i 3.38 |
) | ||||
Weighted average number of common shares outstanding |
||||||||||||||||
Basic |
i 49,826,695 |
i 49,488,368 |
i 49,729,610 |
i 49,373,883 |
||||||||||||
Diluted |
i 49,826,695 |
i 49,488,368 |
i 49,729,610 |
i 49,373,883 |
Three Months Ended June 30, |
Six Months Ended June 30, | |||||||||||||||
2021 |
2022 |
2021 | ||||||||||||||
Net income (loss) |
$ |
( i 36 |
) |
$ |
( i 61 |
) |
$ |
( i 109 |
) |
$ |
( i 167 |
) | ||||
Other comprehensive income (loss): |
||||||||||||||||
Available-for-sale securities with no credit losses: |
||||||||||||||||
Unrealized gains (losses) arising during the period |
( i 126 |
) |
i 55 |
( i 297 |
) |
( i 32 |
) | |||||||||
Reclassification adjustments for (gains) losses included in net income (loss) |
( i 2 |
) |
( i 3 |
) |
( i 2 |
) |
( i 8 |
) | ||||||||
Available-for-sale securities with credit losses: |
||||||||||||||||
Unrealized gains (losses) arising during the period |
( i 1 |
) |
i - |
( i 1 |
) |
i - |
||||||||||
Foreign currency translation: |
||||||||||||||||
Foreign currency translation gains (losses) |
i 1 |
i 2 |
i 1 |
i 3 |
||||||||||||
Instrument-specific credit risk of liabilities measured at fair value: |
||||||||||||||||
Unrealized gains (losses) arising during the period |
( i 6 |
) |
i 6 |
( i 20 |
) |
i 1 |
||||||||||
Reclassification |
( i 15 |
) |
i 4 |
( i 12 |
) |
i 24 |
||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total other comprehensive income (loss) |
( i 149 |
) |
i 64 |
( i 331 |
) |
( i 12 |
) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Comprehensive income (loss) |
$ |
( i 185 |
) |
$ |
i 3 |
$ |
( i 440 |
) |
$ |
( i 179 |
) | |||||
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended June 30, |
Six Months Ended June 30, | |||||||||||||||
2021 |
2022 |
2021 | ||||||||||||||
Common shares |
||||||||||||||||
Balance at beginning and end of period |
i 283,186,115 |
i 283,186,115 |
i 283,186,115 |
i 283,186,115 |
||||||||||||
Common stock amount |
|
|||||||||||||||
Balance at beginning and end of period |
$ |
i 283 |
$ |
i 283 |
$ |
i 283 |
$ |
i 283 |
||||||||
Additional paid-in capital |
|
|||||||||||||||
Balance at beginning of period |
$ |
i 2,919 |
$ |
i 2,934 |
$ |
i 2,931 |
$ |
i 2,962 |
||||||||
Period change |
i - |
i - |
( i 12 |
) |
( i 28 |
) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Balance at end of period |
$ |
i 2,919 |
$ |
i 2,934 |
$ |
i 2,919 |
$ |
i 2,934 |
||||||||
Retained earnings |
|
|||||||||||||||
Balance at beginning of period |
$ |
( i 531 |
) |
$ |
( i 119 |
) |
$ |
( i 458 |
) |
$ |
( i 13 |
) | ||||
Net income (loss) |
( i 36 |
) |
( i 61 |
) |
( i 109 |
) |
( i 167 |
) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Balance at end of period |
$ |
( i 567 |
) |
$ |
( i 180 |
) |
$ |
( i 567 |
) |
$ |
( i 180 |
) | ||||
Accumulated other comprehensive income (loss) |
|
|||||||||||||||
Balance at beginning of period |
$ |
( i 82 |
) |
$ |
i 39 |
$ |
i 100 |
$ |
i 115 |
|||||||
Other comprehensive income (loss) |
( i 149 |
) |
i 64 |
( i 331 |
) |
( i 12 |
) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Balance at end of period |
$ |
( i 231 |
) |
$ |
i 103 |
$ |
( i 231 |
) |
$ |
i 103 |
||||||
Treasury shares |
|
|||||||||||||||
Balance at beginning of period |
( i 228,329,115 |
) |
( i 228,837,465 |
) |
( i 228,630,003 |
) |
( i 229,508,967 |
) | ||||||||
Other |
i 42,716 |
i 56,925 |
i 343,604 |
i 728,427 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Balance at end of period |
( i 228,286,399 |
) |
( i 228,780,540 |
) |
( i 228,286,399 |
) |
( i 228,780,540 |
) | ||||||||
Treasury stock amount |
|
|||||||||||||||
Balance at beginning of period |
$ |
( i 3,154 |
) |
$ |
( i 3,179 |
) |
$ |
( i 3,169 |
) |
$ |
( i 3,211 |
) | ||||
Other |
i 2 |
i 3 |
i 17 |
i 35 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Balance at end of period |
$ |
( i 3,152 |
) |
$ |
( i 3,176 |
) |
$ |
( i 3,152 |
) |
$ |
( i 3,176 |
) | ||||
Total shareholders’ equity of MBIA Inc. |
|
|||||||||||||||
Balance at beginning of period |
$ |
( i 565 |
) |
$ |
( i 42 |
) |
$ |
( i 313 |
) |
$ |
i 136 |
|||||
Period change |
( i 183 |
) |
i 6 |
( i 435 |
) |
( i 172 |
) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Balance at end of period |
$ |
( i 748 |
) |
$ |
( i 36 |
) |
$ |
( i 748 |
) |
$ |
( i 36 |
) | ||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Preferred stock of subsidiary shares |
|
|||||||||||||||
Balance at beginning and end of period |
i 1,315 |
i 1,315 |
i 1,315 |
i 1,315 |
||||||||||||
Preferred stock of subsidiary amount |
|
|||||||||||||||
Balance at beginning and end of period |
$ |
i 13 |
$ |
i 13 |
$ |
i 13 |
$ |
i 13 |
||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total equity |
$ |
( i 735 |
) |
$ |
( i 23 |
) |
$ |
( i 735 |
) |
$ |
( i 23 |
) | ||||
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended June 30, | ||||||||
2021 | ||||||||
Cash flows from operating activities: |
||||||||
Premiums, fees and reimbursements received |
$ |
i 12 |
$ |
i 12 |
||||
Investment income received |
i 41 |
i 41 |
||||||
Financial guarantee losses and loss adjustment expenses paid |
( i 356 |
) |
( i 77 |
) | ||||
Proceeds from recoveries and reinsurance , net of salvage paid to reinsurers |
i 604 |
i 49 |
||||||
Proceeds from loan repurchase commitments |
i - |
i 600 |
||||||
Operating expenses paid and other operating |
( i 44 |
) |
( i 43 |
) | ||||
Interest paid, net of interest converted to principal |
( i 25 |
) |
( i 37 |
) | ||||
|
|
|
|
|
| |||
Net cash provided (used) by operating activities |
i 232 |
i 545 |
||||||
|
|
|
|
|
| |||
Cash flows from investing activities: |
||||||||
Purchases of available-for-sale investments |
( i 662 |
) |
( i 671 |
) | ||||
Sales of available-for-sale investments |
i 520 |
i 396 |
||||||
Paydowns and maturities of available-for-sale investments |
i 221 |
i 330 |
||||||
Purchases of investments at fair value |
( i 82 |
) |
( i 103 |
) | ||||
Sales, paydowns, maturities and other proceeds of investments at fair value |
i 72 |
i 108 |
||||||
Sales, paydowns and maturities (purchases) of short-term investments, net |
( i 78 |
) |
( i 138 |
) | ||||
Paydowns and maturities of loans receivable |
i 4 |
i 25 |
||||||
(Payments) proceeds for derivative settlements |
( i 7 |
) |
( i 57 |
) | ||||
|
|
|
|
|
| |||
Net cash provided (used) by investing activities |
( i 12 |
) |
( i 110 |
) | ||||
|
|
|
|
|
| |||
Cash flows from financing activities: |
||||||||
Proceeds from investment agreements |
i 3 |
i - |
||||||
Principal paydowns of investment agreements |
( i 2 |
) |
( i 2 |
) | ||||
Principal paydowns of medium-term notes |
( i 74 |
) |
( i 49 |
) | ||||
Principal paydowns of variable interest entity notes |
( i 68 |
) |
( i 203 |
) | ||||
Principal paydowns of long-term debt |
( i 29 |
) |
i - |
|||||
Purchases of treasury stock |
( i 2 |
) |
( i 1 |
) | ||||
|
|
|
|
|
| |||
Net cash provided (used) by financing activities |
( i 172 |
) |
( i 255 |
) | ||||
|
|
|
|
|
| |||
Effect of exchange rate changes on cash and cash equivalents |
( i 1 |
) |
i - |
|||||
Net increase (decrease) in cash and cash equivalents |
i 47 |
i 180 |
||||||
Cash and cash equivalents - beginning of period |
i 160 |
i 167 |
||||||
|
|
|
|
|
| |||
Cash and cash equivalents - end of period |
$ |
i 207 |
$ |
i 347 |
||||
|
|
|
|
|
| |||
Reconciliation of net income (loss) to net cash provided (used) by operating activities: |
||||||||
Net income (loss) |
$ |
( i 109 |
) |
$ |
( i 167 |
) | ||
Adjustments to reconcile net income (loss) to net cash provided (used) by operating activities: |
||||||||
Change in: |
||||||||
Premiums receivable |
i 7 |
i 9 |
||||||
Unearned premium revenue |
( i 25 |
) |
( i 33 |
) | ||||
Loss and loss adjustment expense reserves |
i 65 |
( i 40 |
) | |||||
Insurance loss recoverable |
i 302 |
i 116 |
||||||
Loan repurchase commitments |
i - |
i 604 |
||||||
Accrued interest payable |
i 51 |
i 52 |
||||||
Other liabilities |
( i 54 |
) |
( i 6 |
) | ||||
Net realized investment gains (losses) |
i 24 |
i 1 |
||||||
Net (gains) losses on financial instruments at fair value and foreign exchange |
( i 46 |
) |
( i 22 |
) | ||||
Other net realized (gains) losses |
i 19 |
i 5 |
||||||
Other operating |
( i 2 |
) |
i 26 |
|||||
|
|
|
|
|
| |||
Total adjustments to net income (loss) |
i 341 |
i 712 |
||||||
|
|
|
|
|
| |||
Net cash provided (used) by operating activities |
$ |
i 232 |
$ |
i 545 |
||||
|
|
|
|
|
| |||
Supplementary Disclosure of Consolidated Cash Flow Information: |
||||||||
Fixed-maturity securities held as available-for-sale, |
$ |
i 459 |
$ |
i - |
||||
Investments carried at fair value, received as salvage |
$ |
i 112 |
$ |
i - |
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 1,189 |
$ |
i 127 |
$ |
i 13 |
$ |
i 28 |
$ |
i 10 |
$ |
i 368 |
||||||||||||
Consumer asset-backed |
i 193 |
i - |
i 1 |
i 3 |
i - |
i 5 |
||||||||||||||||||
Corporate asset-backed |
i 476 |
i - |
i 3 |
i 207 |
i 4 |
i - |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total global structured finance |
i 1,858 |
i 127 |
i 17 |
i 238 |
i 14 |
i 373 |
||||||||||||||||||
Global public finance |
i 773 |
i - |
i 5 |
i - |
i 5 |
i - |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total insurance |
$ |
i 2,631 |
$ |
i 127 |
$ |
i 22 |
$ |
i 238 |
$ |
i 19 |
$ |
i 373 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 1,261 |
$ |
i 87 |
$ |
i 14 |
$ |
i 40 |
$ |
i 11 |
$ |
i 430 |
||||||||||||
Consumer asset-backed |
i 226 |
i - |
i 1 |
i 1 |
i 1 |
i 6 |
||||||||||||||||||
Corporate asset-backed |
i 503 |
i - |
i 3 |
i 200 |
i 4 |
i 11 |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total global structured finance |
i 1,990 |
i 87 |
i 18 |
i 241 |
i 16 |
i 447 |
||||||||||||||||||
Global public finance |
i 834 |
i - |
i 6 |
i - |
i 5 |
i - |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total insurance |
$ |
i 2,824 |
$ |
i 87 |
$ |
i 24 |
$ |
i 241 |
$ |
i 21 |
$ |
i 447 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of June 30, 2022 |
As of December 31, 2021 | |||||||||||||||
In millions - |
Balance Sheet Line Item |
Balance Sheet Line Item | ||||||||||||||
Insurance loss recoverable |
Loss and LAE reserves (1) |
Insurance loss recoverable |
Loss and LAE reserves (1) | |||||||||||||
U.S. Public Finance Insurance |
$ |
i 205 |
$ |
i 576 |
$ |
i 1,054 |
$ |
i 425 |
||||||||
International and Structured Finance Insurance: |
||||||||||||||||
Before VIE eliminations |
i 240 |
i 596 |
i 244 |
i 687 |
||||||||||||
VIE eliminations |
( i 2 |
) |
( i 207 |
) |
( i 2 |
) |
( i 218 |
) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total international and structured finance insurance |
i 238 |
i 389 |
i 242 |
i 469 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total |
$ |
i 443 |
$ |
i 965 |
$ |
i 1,296 |
$ |
i 894 |
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
In millions |
Changes in Loss and LAE Reserves for the Six Months Ended June 30, 2022 |
|||||||||||
|
Loss and LAE Payments |
Accretion of Claim Liability Discount |
Changes in Discount Rates |
Changes in Assumptions |
Changes in Unearned Premium Revenue |
Gross Loss and | ||||||
$ i 894 |
$( i 355) |
$ i 10 |
$( i 59) |
$ i 473 |
$ i 2 |
$ i 965 | ||||||
|
|
|
|
|
|
|
Changes in Insurance Loss Recoverable |
||||||||||||||||||||||||
In millions |
Collections for Cases |
Accretion of Recoveries |
Changes in Discount Rates |
Changes in Assumptions |
||||||||||||||||||||
Insurance loss recoverable |
$ |
i 1,296 |
$ |
( i 1,199 |
) |
$ |
i 3 |
$ |
( i 20 |
) |
$ |
i 363 |
$ |
i 443 |
||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Surveillance Categories | ||||||||||||||||||||
$ in millions |
Caution List Low |
Caution List Medium |
Caution List High |
Classified List |
Total | |||||||||||||||
Number of policies |
i 55 |
i 3 |
i - |
i 170 |
i 228 |
|||||||||||||||
Number of issues (1) |
i 16 |
i 2 |
i - |
i 85 |
i 103 |
|||||||||||||||
Remaining weighted average contract period (in years) |
i 5.9 |
i 2.1 |
- |
i 8.3 |
i 7.4 |
|||||||||||||||
Gross insured contractual payments outstanding: (2) |
||||||||||||||||||||
Principal |
$ |
i 1,309 |
$ |
i 6 |
$ |
i - |
$ |
i 2,292 |
$ |
i 3,607 |
||||||||||
Interest |
i 1,812 |
i 1 |
i - |
i 1,036 |
i 2,849 |
|||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total |
$ |
i 3,121 |
$ |
i 7 |
$ |
i - |
$ |
i 3,328 |
$ |
i 6,456 |
||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Gross Claim Liability (3) |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i 1,246 |
$ |
i 1,246 |
||||||||||
Less: |
||||||||||||||||||||
Gross Potential Recoveries (4) |
i - |
i - |
i - |
i 504 |
i 504 |
|||||||||||||||
Discount, net (5) |
i - |
i - |
i - |
i 217 |
i 217 |
|||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Net claim liability (recoverable) |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i 525 |
$ |
i 525 |
||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Unearned premium revenue |
$ |
i 7 |
$ |
i - |
$ |
i - |
$ |
i 24 |
$ |
i 31 |
||||||||||
Reinsurance recoverable on paid and unpaid losses (6) |
$ |
i 17 |
(1) - |
An “issue” represents the aggregate of financial guarantee policies that share the same revenue source for purposes of making debt service payments on the insured debt. |
(2) - |
Represents contractual principal and interest payments due by the issuer of the obligations insured by MBIA. |
(3) - |
The gross claim liability with respect to Puerto Rico exposures are net of expected recoveries for policies in a net payable position. |
(4) - |
Gross potential recoveries with respect to certain Puerto Rico exposures are net of the claim liability for policies in a net recoverable position. |
(5) - |
Represents discount related to Gross Claim Liability and Gross Potential Recoveries. |
(6) - |
Included in “Other assets” on the Company’s consolidated balance sheets. |
Surveillance Categories |
||||||||||||||||||||
$ in millions |
Caution List Low |
Caution List Medium |
Caution List High |
Classified List |
Total |
|||||||||||||||
Number of policies |
i 55 |
i 3 |
i - |
i 202 |
i 260 |
|||||||||||||||
Number of issues (1) |
i 16 |
i 2 |
i - |
i 88 |
i 106 |
|||||||||||||||
Remaining weighted average contract period (in years) |
i 6.1 |
i 2.6 |
- |
i 8.1 |
i 7.4 |
|||||||||||||||
Gross insured contractual payments outstanding: (2) |
||||||||||||||||||||
Principal |
$ |
i 1,366 |
$ |
i 6 |
$ |
i - |
$ |
i 2,719 |
$ |
i 4,091 |
||||||||||
Interest |
i 1,867 |
i 1 |
i - |
i 1,214 |
i 3,082 |
|||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ |
i 3,233 |
$ |
i 7 |
$ |
i - |
$ |
i 3,933 |
$ |
i 7,173 |
||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Gross Claim Liability (3) |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i 1,051 |
$ |
i 1,051 |
||||||||||
Less: |
||||||||||||||||||||
Gross Potential Recoveries (4) |
i - |
i - |
i - |
i 1,498 |
i 1,498 |
|||||||||||||||
Discount, net (5) |
i - |
i - |
i - |
( i 32 |
) |
( i 32 |
) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net claim liability (recoverable) |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
( i 415 |
) |
$ |
( i 415 |
) | ||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Unearned premium revenue |
$ |
i 8 |
$ |
i - |
$ |
i - |
$ |
i 29 |
$ |
i 37 |
||||||||||
Reinsurance recoverable on paid and unpaid losses (6) |
$ |
i 7 |
(1) - |
An “issue” represents the aggregate of financial guarantee policies that share the same revenue source for purposes of making debt service payments on the insured debt. |
(2) - |
Represents contractual principal and interest payments due by the issuer of the obligations insured by MBIA. |
(3) - |
The gross claim liability with respect to Puerto Rico exposures are net of expected recoveries for policies in a net payable position. |
(4) - |
Gross potential recoveries with respect to certain Puerto Rico exposures are net of the claim liability for policies in a net recoverable position. |
(5) - |
Represents discount related to Gross Claim Liability and Gross Potential Recoveries. |
(6) - |
Included in “Other assets” on the Company’s consolidated balance sheets. |
In millions |
Valuation Techniques |
Unobservable Input |
Range (Weighted Average) | |||||||||
Assets of consolidated VIEs: |
||||||||||||
Loans receivable at f a ir value |
$ |
i 68 |
Market prices of similar liabilities or internal cash flow models adjusted for financial guarantees provided to VIE obligations |
Impact of financial guarantee |
i 12% - i 82% ( i 55%) (1) |
|||||||
Liabilities of consolidated VIEs: |
||||||||||||
Variable interest entity notes |
i 217 |
Market prices of VIE assets adjusted for financial guarantees provided or market prices of similar liabilities |
Impact of financial guarantee |
i 39% - i 77% ( i 66%) (1) |
(1) |
- Weighted average represents the total MBIA guarantees as a percentage of total instrument fair value. |
In millions |
Fair Value as of December 31, 2021 |
Valuation Techniques |
Unobservable Input |
Range (Weighted Average) | ||||||||
Assets of consolidated VIEs: |
||||||||||||
Loans receivable at fair value |
$ |
i 77 |
Market prices of similar liabilities adjusted for financial guarantees provided to VIE obligations |
Impact of financial guarantee |
i 23% - i 72% |
( i 55%) (1) | ||||||
Liabilities of consolidated VIEs: |
||||||||||||
Variable interest entity notes |
i 291 |
Market prices of VIE assets adjusted for financial guarantees provided or market prices of similar liabilities |
Impact of financial guarantee |
i 33% - i 73% |
( i 59%) (1) |
(1) |
- Weighted average represents the total MBIA guarantees as a percentage of total instrument fair value. |
Fair Value Measurements at Reporting Date Using |
||||||||||||||||
In millions |
Quoted Prices in Active Markets for Identical Assets (Level 1) |
Significant Other Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
Balance as of June 30, 2022 | ||||||||||||
Assets: |
||||||||||||||||
Fixed-maturity investments: |
||||||||||||||||
U.S. Treasury and government agency |
$ |
i 630 |
$ |
i 81 |
$ |
i - |
$ |
i 711 |
||||||||
State and municipal bonds |
i - |
i 451 |
i - |
i 451 |
||||||||||||
Foreign governments |
i - |
i 18 |
i - |
i 18 |
||||||||||||
Corporate obligations |
i - |
i 878 |
i - |
i 878 |
||||||||||||
Mortgage-backed securities: |
||||||||||||||||
Residential mortgage-backed agency |
i - |
i 198 |
i - |
i 198 |
||||||||||||
Residential mortgage-backed non-agency |
i - |
i 89 |
i 55 |
i 144 |
||||||||||||
Commercial mortgage-backed |
i - |
i 17 |
i - |
i 17 |
||||||||||||
Asset-backed securities: |
||||||||||||||||
Collateralized debt obligations |
i - |
i 167 |
i - |
i 167 |
||||||||||||
Other asset-backed |
i - |
i 154 |
i - |
i 154 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total fixed-maturity investments |
i 630 |
i 2,053 |
i 55 |
i 2,738 |
||||||||||||
Money market securities |
i 181 |
i - |
i - |
i 181 |
||||||||||||
Perpetual debt and equity securities |
i 39 |
i 20 |
i - |
i 59 |
||||||||||||
Cash and cash equivalents |
i 202 |
i - |
i - |
i 202 |
||||||||||||
Derivative assets: |
||||||||||||||||
Non-insured interest rate derivatives |
i - |
i 1 |
i - |
i 1 |
||||||||||||
Assets of consolidated VIEs: |
||||||||||||||||
Corporate obligations |
i - |
i 4 |
i - |
i 4 |
||||||||||||
Mortgage-backed securities: |
||||||||||||||||
Residential mortgage-backed non-agency |
i - |
i 24 |
i - |
i 24 |
||||||||||||
Commercial mortgage-backed |
i - |
i 10 |
i - |
i 10 |
||||||||||||
Asset-backed securities: |
||||||||||||||||
Collateralized debt obligations |
i - |
i 6 |
i - |
i 6 |
||||||||||||
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 68 |
i 68 |
||||||||||||
Other assets: |
||||||||||||||||
Currency derivatives |
i - |
i - |
i 9 |
i 9 |
||||||||||||
Other |
i - |
i - |
i 16 |
i 16 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total assets |
$ |
i 1,057 |
$ |
i 2,125 |
$ |
i 148 |
$ |
i 3,330 |
||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Liabilities: |
||||||||||||||||
Medium-term notes |
$ |
i - |
$ |
i - |
$ |
i 42 |
$ |
i 42 |
||||||||
Derivative liabilities: |
||||||||||||||||
Non-insured interest rate derivatives |
i - |
i 72 |
i - |
i 72 |
||||||||||||
Liabilities of consolidated VIEs: |
||||||||||||||||
Variable interest entity notes |
i - |
i - |
i 217 |
i 217 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total liabilities |
$ |
i - |
$ |
i 72 |
$ |
i 259 |
$ |
i 331 |
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measurements at Reporting Date Using |
||||||||||||||||
In millions |
Quoted Prices in Active Markets for Identical Assets (Level 1) |
Significant Other Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
Balance as of December 31, 2021 | ||||||||||||
Assets: |
||||||||||||||||
Fixed-maturity investments: |
||||||||||||||||
U.S. Treasury and government agency |
$ |
i 750 |
$ |
i 95 |
$ |
i - |
$ |
i 845 |
||||||||
State and municipal bonds |
i - |
i 168 |
i - |
i 168 |
||||||||||||
Foreign governments |
i - |
i 17 |
i - |
i 17 |
||||||||||||
Corporate obligations |
i - |
i 1,050 |
i - |
i 1,050 |
||||||||||||
Mortgage-backed securities: |
||||||||||||||||
Residential mortgage-backed agency |
i - |
i 198 |
i - |
i 198 |
||||||||||||
Residential mortgage-backed non-agency |
i - |
i 98 |
i - |
i 98 |
||||||||||||
Commercial mortgage-backed |
i - |
i 13 |
i - |
i 13 |
||||||||||||
Asset-backed securities: |
||||||||||||||||
Collateralized debt obligations |
i - |
i 150 |
i - |
i 150 |
||||||||||||
Other asset-backed |
i - |
i 106 |
i - |
i 106 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total fixed-maturity investments |
i 750 |
i 1,895 |
i - |
i 2,645 |
||||||||||||
Money market securities |
i 78 |
i - |
i - |
i 78 |
||||||||||||
Perpetual debt and equity securities |
i 47 |
i 23 |
i - |
i 70 |
||||||||||||
Cash and cash equivalents |
i 151 |
i - |
i - |
i 151 |
||||||||||||
Derivative assets: |
||||||||||||||||
Non-insured interest rate derivatives |
i - |
i 1 |
i - |
i 1 |
||||||||||||
Assets of consolidated VIEs: |
||||||||||||||||
Corporate obligations |
i - |
i 5 |
i - |
i 5 |
||||||||||||
Mortgage-backed securities: |
||||||||||||||||
Residential mortgage-backed non-agency |
i - |
i 27 |
i - |
i 27 |
||||||||||||
Commercial mortgage-backed |
i - |
i 10 |
i - |
i 10 |
||||||||||||
Asset-backed securities: |
||||||||||||||||
Collateralized debt obligations |
i - |
i 6 |
i 4 |
i 10 |
||||||||||||
Other asset-backed |
i - |
i 8 |
i - |
i 8 |
||||||||||||
Cash |
i 9 |
i - |
i - |
i 9 |
||||||||||||
Loans receivable at fair value: |
||||||||||||||||
Residential loans receivable |
i - |
i - |
i 77 |
i 77 |
||||||||||||
Other assets: |
||||||||||||||||
Currency derivatives |
i - |
i - |
i 9 |
i 9 |
||||||||||||
Other |
i - |
i - |
i 14 |
i 14 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total assets |
$ |
i 1,035 |
$ |
i 1,975 |
$ |
i 104 |
$ |
i 3,114 |
||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Liabilities: |
||||||||||||||||
Medium-term notes |
$ |
i - |
$ |
i - |
$ |
i 98 |
$ |
i 98 |
||||||||
Derivative liabilities: |
||||||||||||||||
Insured credit derivatives |
i - |
i 1 |
i - |
i 1 |
||||||||||||
Non-insured interest rate derivatives |
i - |
i 130 |
i - |
i 130 |
||||||||||||
Liabilities of consolidated VIEs: |
||||||||||||||||
Variable interest entity notes |
i - |
i - |
i 291 |
i 291 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total liabilities |
$ |
i - |
$ |
i 131 |
$ |
i 389 |
$ |
i 520 |
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measurements at Reporting Date Using |
||||||||||||||||||||
In millions |
Quoted Prices in Active Markets for Identical Assets (Level 1) |
Significant Other Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
|||||||||||||||||
Liabilities: |
||||||||||||||||||||
Long-term debt |
$ |
i - |
$ |
i 449 |
$ |
i - |
$ |
i 449 |
$ |
i 2,359 |
||||||||||
Medium-term notes |
i - |
i - |
i 302 |
i 302 |
i 451 |
|||||||||||||||
Investment agreements |
i - |
i - |
i 321 |
i 321 |
i 277 |
|||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total liabilities |
$ |
i - |
$ |
i 449 |
$ |
i 623 |
$ |
i 1,072 |
$ |
i 3,087 |
||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Financial Guarantees: |
||||||||||||||||||||
Gross liability (recoverable) |
$ |
i - |
$ |
i - |
$ |
i 1,084 |
$ |
i 1,084 |
$ |
i 819 |
||||||||||
Ceded recoverable (liability) |
i - |
i - |
i 29 |
i 29 |
i 17 |
Fair Value Measurements at Reporting Date Using |
||||||||||||||||||||
In millions |
Quoted Prices in Active Markets for Identical Assets (Level 1) |
Significant Other Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
|||||||||||||||||
Liabilities: |
||||||||||||||||||||
Long-term debt |
$ |
i - |
$ |
i 433 |
$ |
i - |
$ |
i 433 |
$ |
i 2,331 |
||||||||||
Medium-term notes |
i - |
i - |
i 322 |
i 322 |
i 490 |
|||||||||||||||
Investment agreements |
i - |
i - |
i 355 |
i 355 |
i 274 |
|||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total liabilities |
$ |
i - |
$ |
i 433 |
$ |
i 677 |
$ |
i 1,110 |
$ |
i 3,095 |
||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Financial Guarantees: |
||||||||||||||||||||
Gross liability (recoverable) |
$ |
i - |
$ |
i - |
$ |
i 848 |
$ |
i 848 |
$ |
( i 80 |
) | |||||||||
Ceded recoverable (liability) |
i - |
i - |
i 30 |
i 30 |
( i 42 |
) |
In millions |
Balance, Beginning of Period |
Total Gains / (Losses) Included in Earnings |
Unrealized Gains / (Losses) Included in OCI (1) |
Purchases |
Issuances |
Settlements |
Sales |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance |
Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets still held as of June 30, 2022 |
Change in Unrealized Gains (Losses) for the Period Included in OCI for Assets still held as of June 30, 2022 (1) | ||||||||||||||||||||||||||||||||||||
Assets: |
||||||||||||||||||||||||||||||||||||||||||||||||
Residential mortgage- backed non-agency |
$ |
i 38 |
$ |
i 1 |
$ |
( i 5 |
) |
$ |
i 21 |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i 55 |
$ |
i - |
$ |
( i 3 |
) | ||||||||||||||||||||||
Assets of consolidated VIEs: |
||||||||||||||||||||||||||||||||||||||||||||||||
Loans receivable -residential |
i 76 |
( i 6 |
) |
i - |
i - |
i - |
( i 2 |
) |
i - |
i - |
i - |
i 68 |
( i 8 |
) |
i - |
|||||||||||||||||||||||||||||||||
Currency derivatives |
i 9 |
i - |
i - |
i - |
i - |
i - |
i - |
i - |
i - |
i 9 |
i - |
i - |
||||||||||||||||||||||||||||||||||||
Other |
i 15 |
i 1 |
i - |
i - |
i - |
i - |
i - |
i - |
i - |
i 16 |
i 1 |
i - |
||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total assets |
$ |
i 138 |
$ |
( i 4 |
) |
$ |
( i 5 |
) |
$ |
i 21 |
$ |
i - |
$ |
( i 2 |
) |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i 148 |
$ |
( i 7 |
) |
$ |
( i 3 |
) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
In millions |
Balance, Beginning of Period |
Total (Gains) / Losses Included in Earnings |
Unrealized (Gains) / Losses Included in in OCI (2) |
Purchases |
Issuances |
Settlements |
Sales |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance |
Change in Unrealized (Gains) Losses for the Period Included in Earnings for Liabilities still held as of June 30, 2022 |
Change in Unrealized (Gains) Losses for the Period Included in OCI for Liabilities still held as of June 30, 2022 (2) | ||||||||||||||||||||||||||||||||||||
Liabilities: |
||||||||||||||||||||||||||||||||||||||||||||||||
Medium-term notes |
$ |
i 99 |
$ |
( i 13 |
) |
$ |
i 3 |
$ |
i - |
$ |
i - |
$ |
( i 47 |
) |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i 42 |
$ |
( i 12 |
) |
$ |
i 5 |
|||||||||||||||||||||
Liabilities of consolidated VIEs: |
||||||||||||||||||||||||||||||||||||||||||||||||
VIE notes |
i 285 |
( i 30 |
) |
i 18 |
i - |
i - |
( i 56 |
) |
i - |
i - |
i - |
i 217 |
( i 6 |
) |
i 3 |
|||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total liabilities |
$ |
i 384 |
$ |
( i 43 |
) |
$ |
i 21 |
$ |
i - |
$ |
i - |
$ |
( i 103 |
) |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i 259 |
$ |
( i 18 |
) |
$ |
i 8 |
|||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) - |
Reported within the “Unrealized gains (losses) on available-for-sale /Loss . |
(2) - |
Reported within the “Instrument-specific credit risk of liabilities measured at fair value” on MBIA’s Consolidated Statement of Comprehensive Income/Loss. |
In millions |
Balance, Beginning of Period |
Total Gains / (Losses) Included in Earnings |
Unrealized Gains / (Losses) Included in OCI (1) |
Purchases |
Issuances |
Settlements |
Sales |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance |
Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets still held as of June 30, 2021 |
Change in Unrealized Gains (Losses) for the Period Included in OCI for Assets still held | ||||||||||||||||||||||||||||||||||||
Assets: |
||||||||||||||||||||||||||||||||||||||||||||||||
Assets of consolidated VIEs: |
||||||||||||||||||||||||||||||||||||||||||||||||
Loans receivable-residential |
$ |
i 124 |
$ |
i 24 |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
( i 5 |
) |
$ |
( i 14 |
) |
$ |
i - |
$ |
i - |
$ |
i 129 |
$ |
i 24 |
$ |
i - |
||||||||||||||||||||||
Currency derivatives |
i 9 |
( i 1 |
) |
i - |
i - |
i - |
i - |
i - |
i - |
i - |
i 8 |
( i 1 |
) |
i - |
||||||||||||||||||||||||||||||||||
Other |
i 14 |
( i 1 |
) |
i - |
i - |
i - |
i - |
i - |
i - |
i - |
i 13 |
( i 1 |
) |
i - |
||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total assets |
$ |
i 147 |
$ |
i 22 |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
( i 5 |
) |
$ |
( i 14 |
) |
$ |
i - |
$ |
i - |
$ |
i 150 |
$ |
i 22 |
$ |
i - |
||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
In millions |
Balance, Beginning of Period |
Total (Gains) / Losses Included in Earnings |
Unrealized (Gains) / Losses Included in OCI (2) |
Purchases |
Issuances |
Settlements |
Sales |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance |
Change in Unrealized (Gains) Losses for the Period Included in Earnings for Liabilities still held as of June 30, 2021 |
Change in Unrealized (Gains) Losses for the Period Included in OCI for Liabilities still held as of June 30, 2021 (2) | ||||||||||||||||||||||||||||||||||||
Liabilities: |
||||||||||||||||||||||||||||||||||||||||||||||||
Medium-term notes |
$ |
i 105 |
$ |
( i 2 |
) |
$ |
i 2 |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i 105 |
$ |
( i 2 |
) |
$ |
i 2 |
||||||||||||||||||||||
Liabilities of consolidated VIEs: |
||||||||||||||||||||||||||||||||||||||||||||||||
VIE notes |
i 280 |
i 26 |
( i 8 |
) |
i - |
i - |
( i 3 |
) |
( i 5 |
) |
i - |
i - |
i 290 |
i 24 |
( i 7 |
) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total liabilities |
$ |
i 385 |
$ |
i 24 |
$ |
( i 6 |
) |
$ |
i - |
$ |
i - |
$ |
( i 3 |
) |
$ |
( i 5 |
) |
$ |
i - |
$ |
i - |
$ |
i 395 |
$ |
i 22 |
$ |
( i 5 |
) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) - |
Reported within the “Unrealized gains (losses) on available-for-sale securities” on MBIA’s Consolidated Statement of Comprehensive Income/Loss. |
(2) - |
Reported within the “Instrument-specific credit risk of liabilities measured at fair value” on MBIA’s Consolidated Statement of Comprehensive Income/Loss. |
In millions |
Balance, Beginning of Year |
Total Gains / (Losses) Included in Earnings |
Unrealized Gains / (Losses) Included in OCI (1) |
Purchases |
Issuances |
Settlements |
Sales |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance |
Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets still held as of |
Change in Unrealized Gains (Losses) for the Period Included in OCI for Assets still held as of | ||||||||||||||||||||||||||||||||||||
Assets: |
||||||||||||||||||||||||||||||||||||||||||||||||
Residential mortgage- backed non-agency |
$ |
i - |
$ |
i 1 |
$ |
( i 5 |
) |
$ |
i 59 |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i 55 |
$ |
i - |
$ |
i - |
|||||||||||||||||||||||
Assets of consolidated VIEs: |
||||||||||||||||||||||||||||||||||||||||||||||||
Collateralized debt obligations |
i 4 |
i - |
i - |
i - |
i - |
( i 4 |
) |
i - |
i - |
i - |
i - |
i - |
i - |
|||||||||||||||||||||||||||||||||||
Loans receivable - residential |
i 77 |
( i 5 |
) |
i - |
i - |
i - |
( i 4 |
) |
i - |
i - |
i - |
i 68 |
( i 9 |
) |
i - |
|||||||||||||||||||||||||||||||||
Currency derivatives |
i 9 |
i - |
i - |
i - |
i - |
i - |
i - |
i - |
i - |
i 9 |
i - |
i - |
||||||||||||||||||||||||||||||||||||
Other |
i 14 |
i 2 |
i - |
i - |
i - |
i - |
i - |
i - |
i - |
i 16 |
i 2 |
i - |
||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total assets |
$ |
i 104 |
$ |
( i 2 |
) |
$ |
( i 5 |
) |
$ |
i 59 |
$ |
i - |
$ |
( i 8 |
) |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i 148 |
$ |
( i 7 |
) |
$ |
i - |
||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
In millions |
Balance, Beginning of Year |
Total (Gains) / Losses Included in Earnings |
Unrealized (Gains) / Losses Included in Credit Risk in OCI (2) |
Purchases |
Issuances |
Settlements |
Sales |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance |
Change in Unrealized (Gains) Losses for the Period Included in Earnings for Liabilities still held as of |
Change in Unrealized (Gains) Losses for the Period Included in OCI for Liabilities still held as of June 30, 2022 (2) | ||||||||||||||||||||||||||||||||||||
Liabilities: |
||||||||||||||||||||||||||||||||||||||||||||||||
Medium-term notes |
$ |
i 98 |
$ |
( i 22 |
) |
$ |
i 13 |
$ |
i - |
$ |
i - |
$ |
( i 47 |
) |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i 42 |
$ |
( i 20 |
) |
$ |
i 14 |
|||||||||||||||||||||
Liabilities of consolidated VIEs: |
||||||||||||||||||||||||||||||||||||||||||||||||
VIE notes |
i 291 |
( i 26 |
) |
i 20 |
i - |
i - |
( i 68 |
) |
i - |
i - |
i - |
i 217 |
( i 8 |
) |
i 6 |
|||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total liabilities |
$ |
i 389 |
$ |
( i 48 |
) |
$ |
i 33 |
$ |
i - |
$ |
i - |
$ |
( i 115 |
) |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i 259 |
$ |
( i 28 |
) |
$ |
i 20 |
|||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) - |
Reported within the “Unrealized gains (losses) on available-for-sale securities” on MBIA’s Consolidated Statement of Comprehensive Income/Loss. |
(2) - |
Reported within the “Instrument-specific credit risk of liabilities measured at fair value” on MBIA’s Consolidated Statement of Comprehensive Income/Loss. |
In millions |
Balance, Beginning of Year |
Total Gains / (Losses) Included in Earnings |
Unrealized Gains / (Losses) Included in OCI (1) |
Purchases |
Issuances |
Settlements |
Sales |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance |
Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets still held as of |
Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets still held as of June 30, 2021 (1) | ||||||||||||||||||||||||||||||||||||
Assets: |
||||||||||||||||||||||||||||||||||||||||||||||||
Assets of consolidated VIEs: |
||||||||||||||||||||||||||||||||||||||||||||||||
Loans receivable - residential |
$ |
i 120 |
$ |
i 34 |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
( i 11 |
) |
$ |
( i 14 |
) |
$ |
i - |
$ |
i - |
$ |
i 129 |
$ |
i 31 |
$ |
i - |
||||||||||||||||||||||
Loan repurchase commitments |
i 604 |
( i 4 |
) |
i - |
i - |
i - |
( i 600 |
) |
i - |
i - |
i - |
i - |
i - |
i - |
||||||||||||||||||||||||||||||||||
Currency derivatives |
i 6 |
i 2 |
i - |
i - |
i - |
i - |
i - |
i - |
i - |
i 8 |
i 2 |
i - |
||||||||||||||||||||||||||||||||||||
Other |
i 14 |
( i 1 |
) |
i - |
i - |
i - |
i - |
i - |
i - |
i - |
i 13 |
( i 1 |
) |
i - |
||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total assets |
$ |
i 744 |
$ |
i 31 |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
( i 611 |
) |
$ |
( i 14 |
) |
$ |
i - |
$ |
i - |
$ |
i 150 |
$ |
i 32 |
$ |
i - |
||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
In millions |
Balance, Beginning of Year |
Total (Gains) / Losses Included in Earnings |
Unrealized (Gains) / Losses Included in OCI (2) |
Purchases |
Issuances |
Settlements |
Sales |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance |
Change in Unrealized (Gains) Losses for the Period Included in Earnings for Liabilities still held as of June 30, 2021 |
Change in Unrealized (Gains) Losses for the Period Included | ||||||||||||||||||||||||||||||||||||
Liabilities: |
||||||||||||||||||||||||||||||||||||||||||||||||
Medium-term n otes |
$ |
i 110 |
$ |
( i 9 |
) |
$ |
i 4 |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i 105 |
$ |
( i 9 |
) |
$ |
i 4 |
||||||||||||||||||||||
Other derivatives |
i 49 |
i - |
i - |
i - |
i - |
( i 49 |
) |
i - |
i - |
i - |
i - |
i - |
i - |
|||||||||||||||||||||||||||||||||||
Liabilities of consolidated |
||||||||||||||||||||||||||||||||||||||||||||||||
VIE notes |
i 303 |
i 48 |
( i 24 |
) |
i - |
i - |
( i 32 |
) |
( i 5 |
) |
i - |
i - |
i 290 |
i 28 |
( i 5 |
) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total liabilities |
$ |
i 462 |
$ |
i 39 |
$ |
( i 20 |
) |
$ |
i - |
$ |
i - |
$ |
( i 81 |
) |
$ |
( i 5 |
) |
$ |
i - |
$ |
i - |
$ |
i 395 |
$ |
i 19 |
$ |
( i 1 |
) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) | - Reported within the “Unrealized gains (losses) on available-for-sale securities” on MBIA’s Consolidated Statement of Comprehensive Income/Loss. |
(2) |
- Reported within the “Instrument-specific credit risk of liabilities measured at fair value” on MBIA’s Consolidated Statement of Comprehensive Income/Loss. |
Three Months Ended June 30, 2022 |
Three Months Ended June 30, 2021 | |||||||||||||||
In millions |
Total Gains (Losses) Included in Earnings |
Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets and Liabilities still held as of June 30, 2022 |
Total Gains (Losses) Included in Earnings |
Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets and Liabilities still held as of June 30, 2021 | ||||||||||||
Revenues: |
||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
$ |
i 14 |
$ |
i 12 |
$ |
i 2 |
$ |
i 2 |
||||||||
Revenues of consolidated VIEs: |
||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
i 25 |
( i 1 |
) |
( i 4 |
) |
( i 2 |
) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total |
$ |
i 39 |
$ |
i 11 |
$ |
( i 2 |
) |
$ |
i - |
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended June 30, 2022 |
Six Months Ended June 30, 2021 | |||||||||||||||
In millions |
Total Gains (Losses) Included in Earnings |
Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets and Liabilities still held as of June 30, 2022 |
Total Gains (Losses) Included in Earnings |
Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets and Liabilities still held as of June 30, 2021 | ||||||||||||
Revenues: |
||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
$ |
i 23 |
$ |
i 20 |
$ |
i 9 |
$ |
i 9 |
||||||||
Revenues of consolidated VIEs: |
||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
i 23 |
i 1 |
( i 17 |
) |
i 4 |
|||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total |
$ |
i 46 |
$ |
i 21 |
$ |
( i 8 |
) |
$ |
i 13 |
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended June 30, |
Six Months Ended June 30, | |||||||||||||||||
In millions |
2022 |
2021 |
2022 |
2021 | ||||||||||||||
Investments carried at fair value (1) |
$ |
( i 26 |
) |
$ |
i 3 |
$ |
( i 34 |
) |
$ |
i 6 |
||||||||
Fixed-maturity securities held at fair value-VIE (2) |
( i 2 |
) |
i 1 |
( i 3 |
) |
i 2 |
||||||||||||
Loans receivable at fair value: |
||||||||||||||||||
Residential mortgage loans (2) |
( i 6 |
) |
i 24 |
( i 5 |
) |
i 34 |
||||||||||||
Loan repurchase commitments (2) |
i - |
i - |
i - |
( i 4 |
) | |||||||||||||
Other assets-VIE (2) |
i 1 |
( i 1 |
) |
i 2 |
( i 1 |
) | ||||||||||||
Medium-term notes (1) |
i 13 |
i 2 |
i 22 |
i 9 |
||||||||||||||
Variable interest entity notes (2) |
i 28 |
( i 26 |
) |
i 23 |
( i 50 |
) |
As of June 30, 2022 |
As of December 31, 2021 | |||||||||||||||||||||||
In millions |
Contractual Outstanding Principal |
Fair Value |
Difference |
Contractual Outstanding Principal |
Fair Value |
Difference | ||||||||||||||||||
Loans receivable at fair value: |
||||||||||||||||||||||||
Residential mortgage loans - current |
$ |
i 40 |
$ |
i 40 |
$ |
i - |
$ |
i 40 |
$ |
i 40 |
$ |
i - |
||||||||||||
Residential mortgage loans (90 days or more past due) |
i 144 |
i 28 |
i 116 |
i 141 |
i 37 |
i 104 |
||||||||||||||||||
Total loans receivable and other instruments at fair value |
$ |
i 184 |
$ |
i 68 |
$ |
i 116 |
$ |
i 181 |
$ |
i 77 |
$ |
i 104 |
||||||||||||
Variable interest entity notes |
$ |
i 832 |
$ |
i 217 |
$ |
i 615 |
$ |
i 922 |
$ |
i 291 |
$ |
i 631 |
||||||||||||
Medium-term notes |
$ |
i 52 |
$ |
i 42 |
$ |
i 10 |
$ |
i 108 |
$ |
i 98 |
$ |
i 10 |
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 716 |
$ |
i - |
$ |
i 15 |
$ |
( i 30 |
) |
$ |
i 701 |
|||||||||
State and municipal bonds |
i 353 |
i - |
i 7 |
( i 7 |
) |
i 353 |
||||||||||||||
Foreign governments |
i 21 |
i - |
i - |
( i 4 |
) |
i 17 |
||||||||||||||
Corporate obligations |
i 909 |
( i 3 |
) |
i 2 |
( i 112 |
) |
i 796 |
|||||||||||||
Mortgage-backed securities: |
||||||||||||||||||||
Residential mortgage-backed agency |
i 205 |
i - |
i - |
( i 14 |
) |
i 191 |
||||||||||||||
Residential mortgage-backed non-agency |
i 144 |
i - |
i 4 |
( i 11 |
) |
i 137 |
||||||||||||||
Commercial mortgage-backed |
i 17 |
i - |
i - |
( i 1 |
) |
i 16 |
||||||||||||||
Asset-backed securities: |
||||||||||||||||||||
Collateralized debt obligations |
i 122 |
i - |
i - |
( i 5 |
) |
i 117 |
||||||||||||||
Other asset-backed |
i 140 |
i - |
i - |
( i 3 |
) |
i 137 |
||||||||||||||
Total AFS investments |
$ |
i 2,627 |
$ |
( i 3 |
) |
$ |
i 28 |
$ |
( i 187 |
) |
$ |
i 2,465 |
||||||||
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 782 |
$ |
i - |
$ |
i 54 |
$ |
( i 2 |
) |
$ |
i 834 |
|||||||||
State and municipal bonds |
i 140 |
i - |
i 27 |
i - |
i 167 |
|||||||||||||||
Foreign governments |
i 13 |
i - |
i 1 |
i - |
i 14 |
|||||||||||||||
Corporate obligations |
i 905 |
i - |
i 53 |
( i 5 |
) |
i 953 |
||||||||||||||
Mortgage-backed securities: |
||||||||||||||||||||
Residential mortgage-backed agency |
i 190 |
i - |
i 3 |
( i 1 |
) |
i 192 |
||||||||||||||
Residential mortgage-backed non-agency |
i 80 |
i - |
i 12 |
i - |
i 92 |
|||||||||||||||
Commercial mortgage-backed |
i 10 |
i - |
i - |
i - |
i 10 |
|||||||||||||||
Asset-backed securities: |
||||||||||||||||||||
Collateralized debt obligations |
i 101 |
i - |
i - |
i - |
i 101 |
|||||||||||||||
Other asset-backed |
i 95 |
i - |
i - |
( i 1 |
) |
i 94 |
||||||||||||||
Total AFS investments |
$ |
i 2,316 |
$ |
i - |
$ |
i 150 |
$ |
( i 9 |
) |
$ |
i 2,457 |
|||||||||
AFS Securities | ||||||||
In millions |
Net Amortized Cost |
Fair Value | ||||||
Due in one year or less |
$ |
i 349 |
$ |
i 349 |
||||
Due after one year through five years |
i 354 |
i 345 |
||||||
Due after five years through ten years |
i 392 |
i 358 |
||||||
Due after ten years |
i 901 |
i 815 |
||||||
Mortgage-backed and asset-backed |
i 628 |
i 598 |
||||||
Total fixed-maturity investments |
$ |
i 2,624 |
$ |
i 2,465 |
||||
Less than 12 Months |
12 Months or Longer |
Total | ||||||||||||||||||||||
In millions |
Fair Value |
Unrealized Losses |
Fair Value |
Unrealized Losses |
Fair Value |
Unrealized Losses | ||||||||||||||||||
AFS Investments |
||||||||||||||||||||||||
Fixed-maturity investments: |
||||||||||||||||||||||||
U.S. Treasury and government agency |
$ |
i 318 |
$ |
( i 27 |
) |
$ |
i 19 |
$ |
( i 3 |
) |
$ |
i 337 |
$ |
( i 30 |
) | |||||||||
State and municipal bonds |
i 53 |
( i 7 |
) |
i - |
i - |
i 53 |
( i 7 |
) | ||||||||||||||||
Foreign governments |
i 15 |
( i 4 |
) |
i 1 |
i - |
i 16 |
( i 4 |
) | ||||||||||||||||
Corporate obligations |
i 732 |
( i 105 |
) |
i 25 |
( i 7 |
) |
i 757 |
( i 112 |
) | |||||||||||||||
Mortgage-backed securities: |
||||||||||||||||||||||||
Residential mortgage-backed agency |
i 146 |
( i 7 |
) |
i 41 |
( i 7 |
) |
i 187 |
( i 14 |
) | |||||||||||||||
Residential mortgage-backed non-agency |
i 118 |
( i 11 |
) |
i 1 |
i - |
i 119 |
( i 11 |
) | ||||||||||||||||
Commercial mortgage-backed |
i 16 |
( i 1 |
) |
i - |
i - |
i 16 |
( i 1 |
) | ||||||||||||||||
Asset-backed securities: |
||||||||||||||||||||||||
Collateralized debt obligations |
i 81 |
( i 3 |
) |
i 36 |
( i 2 |
) |
i 117 |
( i 5 |
) | |||||||||||||||
Other asset-backed |
i 132 |
( i 3 |
) |
i 1 |
i - |
i 133 |
( i 3 |
) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total AFS investments |
$ |
i 1,611 |
$ |
( i 168 |
) |
$ |
i 124 |
$ |
( i 19 |
) |
$ |
i 1,735 |
$ |
( i 187 |
) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Less than 12 Months |
12 Months or Longer |
Total | ||||||||||||||||||||||
In millions |
Fair Value |
Unrealized Losses |
Fair Value |
Unrealized Losses |
Fair Value |
Unrealized Losses | ||||||||||||||||||
AFS Investments |
||||||||||||||||||||||||
Fixed-maturity investments: |
||||||||||||||||||||||||
U.S. Treasury and government agency |
$ |
i 161 |
$ |
( i 1 |
) |
$ |
i 16 |
$ |
( i 1 |
) |
$ |
i 177 |
$ |
( i 2 |
) | |||||||||
State and municipal bonds |
i 11 |
i - |
i - |
i - |
i 11 |
i - |
||||||||||||||||||
Foreign governments |
i 3 |
i - |
i - |
i - |
i 3 |
i - |
||||||||||||||||||
Corporate obligations |
i 270 |
( i 5 |
) |
i 8 |
i - |
i 278 |
( i 5 |
) | ||||||||||||||||
Mortgage-backed securities: |
||||||||||||||||||||||||
Residential mortgage-backed agency |
i 94 |
( i 1 |
) |
i 1 |
i - |
i 95 |
( i 1 |
) | ||||||||||||||||
Residential mortgage-backed non-agency |
i 3 |
i - |
i 1 |
i - |
i 4 |
i - |
||||||||||||||||||
Commercial mortgage-backed |
i 2 |
i - |
i - |
i - |
i 2 |
i - |
||||||||||||||||||
Asset-backed securities: |
||||||||||||||||||||||||
Collateralized debt obligations |
i 60 |
i - |
i 29 |
i - |
i 89 |
i - |
||||||||||||||||||
Other asset-backed |
i 72 |
( i 1 |
) |
i - |
i - |
i 72 |
( i 1 |
) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total AFS investments |
$ |
i 676 |
$ |
( i 8 |
) |
$ |
i 55 |
$ |
( i 1 |
) |
$ |
i 731 |
$ |
( i 9 |
) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 36 |
$ |
i 53 |
$ |
i 49 |
|||||||
> i 15% to i 25% |
i 18 |
i 51 |
i 42 |
|||||||||
> i 25% to i 50% |
i 24 |
i 15 |
i 10 |
|||||||||
> i 50% |
i 3 |
i - |
i - |
|||||||||
|
|
|
|
|
|
|
|
| ||||
Total |
i 81 |
$ |
i 119 |
$ |
i 101 |
|||||||
|
|
|
|
|
|
|
|
|
Three Months Ended June 30, 2022 | ||||||||||||||||||||||||||||||||||||
In millions |
Additions not previously recorded |
Additions arising from PCD Assets |
Reductions from Securities Sold |
Reductions- Intent to sell or MLTN |
Change in Allowance Previously Recorded |
Write Offs |
Recoveries |
|||||||||||||||||||||||||||||
AFS Investments |
||||||||||||||||||||||||||||||||||||
Fixed-maturity investments: |
||||||||||||||||||||||||||||||||||||
Corporate obligations |
$ |
i 3 |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i 3 |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Total Allowance on AFS investments |
$ |
i 3 |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i 3 |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Six Months Ended June 30, 2022 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||
In millions |
Additions not previously recorded |
Additions arising from PCD Assets |
Reductions from Securities Sold |
Reductions- Intent to sell or MLTN |
Change in Previously Allowance Recorded |
Write Offs |
Recoveries |
|||||||||||||||||||||||||||||
AFS Investments |
||||||||||||||||||||||||||||||||||||
Fixed-maturity investments: |
||||||||||||||||||||||||||||||||||||
Corporate obligations |
$ |
i - |
$ |
i 3 |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i 3 |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Total Allowance on AFS investments |
$ |
i - |
$ |
i 3 |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i 3 |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
In millions |
Fair Value |
Unrealized Loss |
Insurance Loss Reserve (1) |
|||||||||
Mortgage-backed |
$ |
i 110 |
$ |
( i 10) |
$ |
i 125 |
||||||
Corporate oblig ations |
i 86 |
( i 16) |
i - |
|||||||||
|
|
|
|
|
|
|||||||
Total |
$ |
i 196 |
$ |
( i 26) |
$ |
i 125 |
||||||
|
|
|
|
|
|
(1) - | Insurance loss reserve estimates are based on the proportion of par value owned to the total amount of par value insured and are discounted using a discount rate equal to the risk-free rate applicable to the currency and weighted average remaining life of the insurance contract and may differ from the fair value. |
Three Months Ended June 30, |
Six Months Ended June 30, | |||||||||||||||
In millions |
2022 |
2021 |
2022 |
2021 | ||||||||||||
Proceeds from sales |
$ |
i 414 |
$ |
i 218 |
$ |
i 520 |
$ |
i 396 |
||||||||
Gross realized gains |
$ |
i 1 |
$ |
i 2 |
$ |
i 1 |
$ |
i 6 |
||||||||
Gross realized losses |
$ |
( i 22 |
) |
$ |
( i 3 |
) |
$ |
( i 25 |
) |
$ |
( i 8 |
) |
In millions |
Three Months Ended June 30, |
Six Months Ended June 30, | ||||||||||||||
2021 |
2022 |
2021 | ||||||||||||||
Net gains (losses) recognized during the period on equity and trading securities |
$ |
( i 18 |
) |
$ |
i 3 |
$ |
( i 28 |
) |
$ |
i 5 |
||||||
Less: |
||||||||||||||||
Net gains (losses) recognized during the period on equity and trading securities sold during the period |
( i 1 |
) |
i - |
i - |
i - |
|||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Unrealized gains (losses) recognized during the period on equity and trading securities still held at the reporting date |
$ |
( i 17 |
) |
$ |
i 3 |
$ |
( i 28 |
) |
$ |
i 5 |
||||||
|
|
|
|
|
|
|
|
|
|
|
|
$ in millions |
As of June 30, 2022 | |||||||||||||||||||||||||||||||
Credit Derivatives Sold |
Weighted Average Remaining Expected Maturity |
AAA |
AA |
A |
BBB |
Below Investment Grade |
Total Notional |
Fair Value Asset (Liability) | ||||||||||||||||||||||||
Insured swaps |
i 14.1 Years |
$ |
i - |
$ |
i 53 |
$ |
i 1,026 |
$ |
i 292 |
$ |
i - |
$ |
i 1,371 |
$ |
i - |
|||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total fair value |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
- |
$ |
i - |
||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ in millions |
As of December 31, 2021 | |||||||||||||||||||||||||||||||
Credit Derivatives Sold |
Weighted Average Remaining Expected Maturity |
AAA |
AA |
A |
BBB |
Below Investment Grade |
Total Notional |
Fair Value Asset (Liability) | ||||||||||||||||||||||||
Insured swaps |
i 14.1 Years |
$ |
i - |
$ |
i 61 |
$ |
i 1,136 |
$ |
i 292 |
$ |
i - |
$ |
i 1,489 |
$ |
( i 1 |
) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total fair value |
$ |
i - |
$ |
i - |
$ |
( i 1 |
) |
$ |
i - |
$ |
i - |
$ |
( i 1 |
) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
In millions |
Derivative Assets (1) |
Derivative Liabilities (1) | ||||||||||||||||||
Derivative Instruments |
Notional Amount Outstanding |
Balance Sheet Location |
Fair Value |
Balance Sheet Location |
Fair Value | |||||||||||||||
Not designated as hedging instruments: |
||||||||||||||||||||
Insured swaps |
$ |
i 1,371 |
Other assets |
$ |
i - |
Derivative liabilities |
$ |
i - |
||||||||||||
Interest rate swaps |
i 379 |
Other assets |
i 1 |
Derivative liabilities |
( i 72 |
) | ||||||||||||||
Interest rate swaps-embedded |
i 190 |
Medium-term notes |
i - |
Medium-term notes |
( i 4 |
) | ||||||||||||||
Currency swaps-VIE |
i 47 |
Other assets-VIE |
i 9 |
Derivative liabilities-VIE |
i - |
|||||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||||
Total non-designated derivatives |
$ |
i 1,987 |
$ |
i 10 |
$ |
( i 76 |
) | |||||||||||||
|
|
|
|
|
|
|
|
|
(1) - |
In accordance with the accounting guidance for derivative instruments and hedging activities, the balance sheet location of the Company’s embedded derivative instruments is determined by the location of the related host contract. |
In millions |
Derivative Assets (1) |
Derivative Liabilities (1) | ||||||||||||||||||
Derivative Instruments |
Notional Amount Outstanding |
Balance Sheet Location |
Fair Value |
Balance Sheet Location |
Fair Value | |||||||||||||||
Not designated as hedging instruments: |
||||||||||||||||||||
Insured swaps |
$ |
i 1,489 |
Other assets |
$ |
i - |
Derivative liabilities |
$ |
( i 1 |
) | |||||||||||
Interest rate swaps |
i 399 |
Other assets |
i 1 |
Derivative liabilities |
( i 130 |
) | ||||||||||||||
Interest rate swaps-embedded |
i 206 |
Medium-term notes |
i - |
Medium-term notes |
( i 9 |
) | ||||||||||||||
Currency swaps-VIE |
i 50 |
Other assets-VIE |
i 9 |
Derivative liabilities-VIE |
i - |
|||||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||||
Total non-designated derivatives |
$ |
i 2,144 |
$ |
i 10 |
$ |
( i 140 |
) | |||||||||||||
|
|
|
|
|
|
|
|
|
(1) - |
In accordance with the accounting guidance for derivative instruments and hedging activities, the balance sheet location of the Company’s embedded derivative instruments is determined by the location of the related host contract. |
In millions |
||||||||||
Derivatives Not Designated as |
Three Months Ended June 30, |
|||||||||
Hedging Instruments |
Location of Gain (Loss) Recognized in Income on Derivative |
2022 |
2021 |
|||||||
Insured swaps |
Net gains (losses) on financial instruments at fair value and foreign exchange |
$ |
i 1 | $ |
i - | |||||
Interest rate swaps |
Net gains (losses) on financial instruments at fair value and foreign exchange |
i 26 | ( i 18 | ) | ||||||
Currency swaps-VIE |
Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |
i - | ( i 1 | ) | ||||||
|
|
|
|
|||||||
Total |
$ | i 27 | $ | ( i 19 | ) | |||||
|
|
|
|
In millions |
||||||||||
Derivatives Not Designated as Hedging Instruments |
Six Months Ended June 30, |
|||||||||
Location of Gain (Loss) Recognized in Income on Derivative |
2022 |
2021 | ||||||||
Insured swaps |
Net gains (losses) on financial instruments at fair value and foreign exchange |
$ |
i 1 | $ |
i - | |||||
Interest rate swaps |
Net gains (losses) on financial instruments at fair value and foreign exchange | i 56 | i 17 | |||||||
Currency swaps-VIE |
Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |
i - | i 1 | |||||||
|
|
|
|
|||||||
Total |
$ | i 57 | $ | i 18 | ||||||
|
|
|
|
Three Months Ended June 30, |
Six Months Ended June 30, | |||||||||||||||
In millions |
2022 |
2021 |
2022 |
2021 | ||||||||||||
Income (loss) before income taxes |
$ |
( i 36 |
) |
$ |
( i 61 |
) |
$ |
( i 109 |
) |
$ |
( i 167 |
) | ||||
Provision (benefit) for income taxes |
$ |
i - |
$ |
i - |
$ |
i - |
$ |
i - |
||||||||
Effective tax rate |
i 0.0% |
i 0.0% |
i 0.0% |
i 0.0% |
Three Months Ended June 30, 2022 | ||||||||||||||||||||
U.S. Public |
International |
|||||||||||||||||||
and Structured |
||||||||||||||||||||
Finance |
Finance |
|||||||||||||||||||
In millions |
Insurance |
Corporate |
Insurance |
Eliminations |
Consolidated | |||||||||||||||
Revenues (1) |
$ |
( i 13 |
) |
$ |
i 4 |
$ |
i 12 |
$ |
i - |
$ |
i 3 |
|||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
( i 21 |
) |
i 37 |
( i 7 |
) |
i - |
i 9 |
|||||||||||||
Net gains (losses) on extinguishment of debt |
i - |
i 4 |
i - |
i - |
i 4 |
|||||||||||||||
Revenues of consolidated VIEs |
i - |
i - |
i 24 |
i - |
i 24 |
|||||||||||||||
Inter-segment revenues (2) |
i 6 |
i 14 |
i 2 |
( i 22 |
) |
i - |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total revenues |
( i 28 |
) |
i 59 |
i 31 |
( i 22 |
) |
i 40 |
|||||||||||||
Losses and loss adjustment |
i 49 |
i - |
( i 29 |
) |
i - |
i 20 |
||||||||||||||
Amortization of deferred acquisition costs and operating |
i 1 |
i 8 |
i 3 |
i - |
i 12 |
|||||||||||||||
Interest |
i - |
i 14 |
i 29 |
i - |
i 43 |
|||||||||||||||
Expenses of consolidated VIEs |
i - |
i - |
i 1 |
i - |
i 1 |
|||||||||||||||
Inter-segment expenses (2) |
i 10 |
i 6 |
i 5 |
( i 21 |
) |
i - |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total expenses |
i 60 |
i 28 |
i 9 |
( i 21 |
) |
i 76 |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Income (loss) before income taxes |
$ |
( i 88 |
) |
$ |
i 31 |
$ |
i 22 |
$ |
( i 1 |
) |
$ |
( i 36 |
) | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Identifiable assets |
$ |
i 3,079 |
$ |
i 665 |
$ |
i 1,729 |
$ |
( i 1,406 |
) (3) |
$ |
i 4,067 |
|||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) - |
Consists of net premiums earned, net investment income, net realized investment gains (losses), fees and reimbursements and other net realized gains (losses). |
(2) - |
Primarily represents intercompany service charges and intercompany net investment income and expenses. |
(3) - |
Consists principally of intercompany reinsurance balances. |
Three Months Ended June 30, 2021 | ||||||||||||||||||||
U.S. Public |
International |
|||||||||||||||||||
and Structured |
||||||||||||||||||||
Finance |
Finance |
|||||||||||||||||||
In millions |
Insurance |
Corporate |
Insurance |
Eliminations |
Consolidated | |||||||||||||||
Revenues (1) |
$ |
i 21 |
$ |
i 2 |
$ |
i 6 |
$ |
i - |
$ |
i 29 |
||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
i 3 |
( i 18 |
) |
( i 5 |
) |
i - |
( i 20 |
) | ||||||||||||
Net gains (losses) on extinguishment of debt |
i - |
i 14 |
i - |
i - |
i 14 |
|||||||||||||||
Revenues of consolidated VIEs |
i - |
i - |
( i 5 |
) |
i - |
( i 5 |
) | |||||||||||||
Inter-segment revenues (2) |
i 6 |
i 18 |
i 4 |
( i 28 |
) |
i - |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total revenues |
i 30 |
i 16 |
i - |
( i 28 |
) |
i 18 |
||||||||||||||
Losses and loss adjustment |
( i 42 |
) |
i - |
i 51 |
i - |
i 9 |
||||||||||||||
Amortization of deferred acquisition costs and operating |
i 4 |
i 17 |
i 3 |
i - |
i 24 |
|||||||||||||||
Interest |
i - |
i 14 |
i 27 |
i - |
i 41 |
|||||||||||||||
Expenses of consolidated VIEs |
i - |
i - |
i 5 |
i - |
i 5 |
|||||||||||||||
Inter-segment expenses (2) |
i 11 |
i 4 |
i 11 |
( i 26 |
) |
i - |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total expenses |
( i 27 |
) |
i 35 |
i 97 |
( i 26 |
) |
i 79 |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Income (loss) before income taxes |
$ |
i 57 |
$ |
( i 19 |
) |
$ |
( i 97 |
) |
$ |
( i 2 |
) |
$ |
( i 61 |
) | ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) - |
Consists of net premiums earned, net investment income, net realized investment gains (losses), fees and reimbursements and other net realized gains (losses). |
(2) - |
Primarily represents intercompany service charges and intercompany net investment income and expenses. |
Six Months Ended June 30, 2022 | ||||||||||||||||||||
U.S. Public |
International |
|||||||||||||||||||
and Structured |
||||||||||||||||||||
Finance |
Finance |
|||||||||||||||||||
In millions |
Insurance |
Corporate |
Insurance |
Eliminations |
Consolidated | |||||||||||||||
Revenues (1) |
$ |
i 7 |
$ |
i 6 |
$ |
i 17 |
$ |
i - |
$ |
i 30 |
||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
( i 37 |
) |
i 76 |
( i 13 |
) |
i - |
i 26 |
|||||||||||||
Net gains (losses) on extinguishment of debt |
i - |
i 4 |
i - |
i - |
i 4 |
|||||||||||||||
Revenues of consolidated VIEs |
i - |
i - |
i 20 |
i - |
i 20 |
|||||||||||||||
Inter-segment revenues (2) |
i 14 |
i 31 |
i 5 |
( i 50 |
) |
i - |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total revenues |
( i 16 |
) |
i 117 |
i 29 |
( i 50 |
) |
i 80 |
|||||||||||||
Losses and loss adjustment |
i 136 |
i - |
( i 67 |
) |
i - |
i 69 |
||||||||||||||
Amortization of deferred acquisition costs and operating |
i 4 |
i 23 |
i 6 |
i - |
i 33 |
|||||||||||||||
Interest |
i - |
i 28 |
i 56 |
i - |
i 84 |
|||||||||||||||
Expenses of consolidated VIEs |
i - |
i - |
i 3 |
i - |
i 3 |
|||||||||||||||
Inter-segment expenses (2) |
i 23 |
i 12 |
i 14 |
( i 49 |
) |
i - |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total expenses |
i 163 |
i 63 |
i 12 |
( i 49 |
) |
i 189 |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Income (loss) before income taxes |
$ |
( i 179 |
) |
$ |
i 54 |
$ |
i 17 |
$ |
( i 1 |
) |
$ |
( i 109 |
) | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Identifiable assets |
$ |
i 3,079 |
$ |
i 665 |
$ |
i 1,729 |
$ |
( i 1,406 |
) (3) |
$ |
i 4,067 |
|||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) - |
Consists of net premiums earned, net investment income, net realized investment gains (losses), fees and reimbursements and other net realized gains (losses). |
(2) - |
Primarily represents intercompany service charges and intercompany net investment income and expenses. |
(3) - |
Consists principally of intercompany reinsurance balances. |
Six Months Ended June 30, 2021 | ||||||||||||||||||||
U.S. Public |
International |
|||||||||||||||||||
and Structured |
||||||||||||||||||||
Finance |
Finance |
|||||||||||||||||||
In millions |
Insurance |
Corporate |
Insurance |
Eliminations |
Consolidated | |||||||||||||||
Revenues (1) |
$ |
i 44 |
$ |
i 6 |
$ |
i 13 |
$ |
i - |
$ |
i 63 |
||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
i - |
i 38 |
( i 6 |
) |
i - |
i 32 |
||||||||||||||
Net gains (losses) on extinguishment of de bt |
i - |
i 14 |
i - |
i - |
i 14 |
|||||||||||||||
Revenues of consolidated VIEs |
i - |
i - |
( i 19 |
) |
i - |
( i 19 |
) | |||||||||||||
Inter-segment revenues (2) |
i 14 |
i 36 |
i 8 |
( i 58 |
) |
i - |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total revenues |
i 58 |
i 94 |
( i 4 |
) |
( i 58 |
) |
i 90 |
|||||||||||||
Losses and loss adjustment |
i 67 |
i - |
i 40 |
i - |
i 107 |
|||||||||||||||
Amortization of deferred acquisition costs and operating |
i 8 |
i 38 |
i 6 |
i - |
i 52 |
|||||||||||||||
Interest |
i - |
i 28 |
i 54 |
i - |
i 82 |
|||||||||||||||
Expenses of consolidated VIEs |
i - |
i - |
i 16 |
i - |
i 16 |
|||||||||||||||
Inter-segment expenses (2) |
i 25 |
i 10 |
i 21 |
( i 56 |
) |
i - |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total expenses |
i 100 |
i 76 |
i 137 |
( i 56 |
) |
i 257 |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Income (loss) before income taxes |
$ |
( i 42 |
) |
$ |
i 18 |
$ |
( i 141 |
) |
$ |
( i 2 |
) |
$ |
( i 167 |
) | ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) - |
Consists of net premiums earned, net investment income, net realized investment gains (losses), fees and reimbursements and other net realized gains (losses). |
(2) - |
Primarily represents intercompany service charges and intercompany net investment income and expenses. |
Three Months Ended June 30, |
Six Months Ended June 30, | |||||||||||||||
In millions except per share amounts |
2022 |
2021 |
2022 |
2021 | ||||||||||||
Basic earnings per share: |
||||||||||||||||
Net income (loss) |
$ |
( i 36 |
) |
$ |
( i 61 |
) |
$ |
( i 109 |
) |
$ |
( i 167 |
) | ||||
Less: undistributed earnings allocated to participating securities |
i - |
i - |
i - |
i - |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Net income (loss) available to common shareholders |
$ |
( i 36 |
) |
$ |
( i 61 |
) |
$ |
( i 109 |
) |
$ |
( i 167 |
) | ||||
Basic weighted average shares (1) |
i 49.8 |
i 49.5 |
i 49.7 |
i 49.4 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
Net income (loss) per basic common share |
$ |
( i 0.72 |
) |
$ |
( i 1.23 |
) |
$ |
( i 2.20 |
) |
$ |
( i 3.38 |
) | ||||
Diluted earnings per share: |
||||||||||||||||
Net income (loss) |
$ |
( i 36 |
) |
$ |
( i 61 |
) |
$ |
( i 109 |
) |
$ |
( i 167 |
) | ||||
Less: undistributed earnings allocated to participating securities |
i - |
i - |
i - |
i - |
||||||||||||
Net income (loss) available to common shareholders |
$ |
( i 36 |
) | $ |
( i 61 |
) | $ |
( i 109 |
) | $ |
( i 167 |
) | ||||
Diluted weighted average shares |
i 49.8 |
i 49.5 |
i 49.7 |
i 49.4 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Net income (loss) per diluted common share |
$ |
( i 0.72 |
) |
$ |
( i 1.23 |
) |
$ |
( i 2.20 |
) |
$ |
( i 3.38 |
) | ||||
Potentially dilutive securities excluded from the calculation of diluted EPS because of antidilutive affect |
i 5.0 |
i 4.9 |
i 5.0 |
i 4.9 |
(1) - |
Includes i i 0.8 / million
and 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 and six months ended June 30 , 2022 and 2021 , respectively. |
Unrealized Gains (Losses) on AFS Securities, Net |
Instrument- Specific |
|||||||||||||||
Credit Risk of |
||||||||||||||||
Foreign Currency |
Liabilities Measured |
|||||||||||||||
In millions |
Translation, Net |
at Fair Value, Net |
Total | |||||||||||||
Balance, December 31, 2021 |
$ |
i 138 |
$ |
( i 6 |
) |
$ |
( i 32 |
) |
$ |
i 100 |
||||||
Other comprehensive income (loss) before reclassifications |
( i 298 |
) |
i 1 |
( i 20 |
) |
( i 317 |
) | |||||||||
Amounts reclassified from AOCI |
( i 2 |
) |
i - |
( i 12 |
) | ( i 14 |
) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Net period other comprehensive income (loss) |
( i 300 |
) |
i 1 |
( i 32 |
) |
( i 331 |
) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Balance, June 30, 2022 |
$ |
( i 162 |
) |
$ |
( i 5 |
) |
$ |
( i 64 |
) |
$ |
( i 231 |
) | ||||
|
|
|
|
|
|
|
|
|
|
|
|
In millions |
Amounts Reclassified from AOCI |
|||||||||||||||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||||
Details about AOCI Components |
2022 |
2021 |
2022 |
2021 |
Affected Line Item on the Consolidated Statements of Operations | |||||||||||||
Unrealized gains (losses) on AFS securities: |
||||||||||||||||||
Realized gains (losses) on sale of securities |
$ |
i 2 |
$ |
i 3 |
$ |
i 2 |
$ |
i 8 |
Net realized investment gains (losses) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Total unrealized gains (losses) on AFS securities |
i 2 |
i 3 |
i 2 |
i 8 |
||||||||||||||
Instrument-specific credit risk of liabilities: |
||||||||||||||||||
Settlement of liabilities |
i 15 |
( i 4 |
) |
i 12 |
( i 24 |
) |
Net gains (losses) on financial instruments at fair value and foreign exchange - VIE | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Total reclassifications for the period |
$ |
i 17 |
$ |
( i 1 |
) |
$ |
i 14 |
$ |
( i 16 |
) |
Net income (loss) | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
$ in millions |
As of June 30, 2022 |
Balance Sheet Location |
||||||
Right-of-use asset |
$ |
i 18 |
Other assets |
|||||
Lease liability |
$ |
i 18 |
Other liabilities |
|||||
Weighted average remaining lease term (years) |
i 7.3 |
|||||||
Discount rate used for operating leases |
i 7.5% |
|||||||
Total future minimum lease payments |
$ |
i 24 |
• | On January 1, 2022, the Commonwealth of Puerto Rico and certain of its instrumentalities (“Puerto Rico”) defaulted on scheduled debt service for National insured bonds and National paid gross claims in the aggregate of $47 million. As of June 30, 2022, National had $2.1 billion of debt service outstanding related to Puerto Rico. |
• | On July 1, 2022, Puerto Rico defaulted on scheduled debt service for National insured bonds and National paid gross claims in the aggregate of $142 million, which decreased the $2.1 billion of debt service outstanding related to Puerto Rico. |
• | On March 8, 2022, the Puerto Rico Fiscal Agency and Financial Advisory Authority (“AAFAF”) and Puerto Rico Electric Power Authority (“PREPA”) terminated the RSA. On April 8, 2022, the Court appointed a new panel of judges to commence mediation among the Oversight Board, the Ad Hoc creditor group as holders of PREPA Senior Bonds, Assured, National and Syncora (the “April 8 Order”). The mediation deadline is currently August 15, 2022. The April 8 Order further provides that nothing therein acts as a stay of any pending adversary proceedings or contested matters in the PREPA case, subject to the Court’s pending request to the Oversight Board for a status report by August 15, 2022. |
• | As of June 30, 2022, National has sold approximately 35% of its PREPA bankruptcy claims related to insurance claims paid on matured National-insured PREPA bonds. These sales monetized a portion of National’s salvage asset and reduced potential volatility and ongoing risk of remediation around the PREPA credit. |
• | On February 22, 2021, National agreed to join a plan support agreement, dated as of February 22, 2021 (the “GO PSA”), among the Financial Oversight and Management Board for Puerto Rico (the “Oversight Board”), certain holders of Puerto Rico Commonwealth GO (“GO”) Bonds and Puerto Rico Public Buildings Authority (“PBA”) bonds, Assured Guaranty Corp. and Assured Guaranty Municipal Corp, and Syncora Guarantee Inc. in connection with the Puerto Rico Commonwealth GO (“GO”) and PBA Title III cases. The GO PSA was effective and implemented on March 15, 2022 and among other things, National received cash, including certain fees, newly issued General Obligation bonds (“GO Bonds”) and a contingent value instrument (“CVI”) totaling approximately
$1.0 billion. The CVI is intended to provide creditors with additional recoveries based on potential outperformance of Puerto Rico 5.5% Sales and Use Tax receipts based on the projections in the 2020 certified fiscal plan, subject to certain caps. Subsequent to the GO PSA implementation, National made $277 million of acceleration and commutation payments pursuant to the GO PSA. Accordingly, National’s GO and PBA gross par outstanding and debt service outstanding have been reduced to zero from approximately $380 million and $495 million, respectively. |
• | On April 12, 2021, National, Assured Guaranty Corp., Assured Guaranty Municipal Corp. and the Oversight Board reached an agreement in principle settling certain clawback claims and providing for a distribution of cash, bonds and a contingent value instrument to Puerto Rico Highway and Transportation Authority (“HTA”) bondholders subject to completing negotiations on a plan support agreement in respect of an HTA plan of adjustment (the “HTA PSA”). On May 5, 2021, National, Assured Guaranty Corp., Assured Guaranty Municipal Corp. and the Oversight Board entered into the HTA PSA. On May 2, 2022, the Oversight Board filed the Title III Plan of Adjustment for the Puerto Rico Highways and Transportation Authority (the “HTA Plan”), together with the Disclosure
Statement and supporting documents. On June 22, 2022, the Disclosure Statement was approved by the Court. Confirmation is scheduled for August 17 and 18, 2022. During July of 2022 and pursuant to the HTA PSA, National received $33 million of cash and $358 million face amount of CVI relating to HTA. In addition, National expects to receive additional cash and newly issued HTA bonds, or cash equal to the face amount of the newly issued HTA bonds, following the effective date of the HTA Plan. |
Three Months Ended June 30, |
Six Months Ended June 30, | |||||||||||||||
In millions except for per share, percentage and share amounts |
2022 |
2021 |
2022 |
2021 | ||||||||||||
Total revenues |
$ |
40 |
$ |
18 |
$ |
80 |
$ |
90 |
||||||||
Total expenses |
76 |
79 |
189 |
257 |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Income (loss) before income taxes |
(36 |
) |
(61 |
) |
(109 |
) |
(167 |
) | ||||||||
Provision (benefit) for income taxes |
- |
- |
- |
- |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Net income (loss) |
$ |
(36 |
) |
$ |
(61 |
) |
$ |
(109 |
) |
$ |
(167 |
) | ||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Net income (loss) per basic and diluted common share |
$ |
(0.72 |
) |
$ |
(1.23 |
) |
$ |
(2.20 |
) |
$ |
(3.38 |
) | ||||
Effective tax rate |
0.0% |
0.0% |
0.0% |
0.0% |
||||||||||||
Adjusted net income (loss) (1) |
$ |
(47 |
) |
$ |
37 |
$ |
(143 |
) |
$ |
(79 |
) | |||||
Adjusted net income (loss) per diluted share (1) |
$ |
(0.93 |
) |
$ |
0.76 |
$ |
(2.87 |
) |
$ |
(1.60 |
) | |||||
Weighted average basic and diluted common shares outstanding |
49,826,695 |
49,488,368 |
49,729,610 |
49,373,883 |
(1) - | Adjusted net income (loss) and adjusted net income (loss) per diluted share are non-GAAP measures. Refer to the following Non-GAAP Adjusted Net Income (Loss) section for a discussion of adjusted net income (loss) and adjusted net income (loss) per diluted share and a reconciliation of GAAP net income (loss) to adjusted net income (loss) and GAAP net income (loss) per diluted share to adjusted net income (loss) per diluted share. |
• | Mark-to-market gains (losses) on financial instruments |
• | Foreign exchange gains (losses) |
• | Net realized investment gains (losses), impaired securities and extinguishment of debt |
• | Income taxes |
Three Months Ended June 30, |
Six Months Ended June 30, | |||||||||||||||
In millions except share and per share amounts |
2022 |
2021 |
2022 |
2021 | ||||||||||||
Net income (loss) |
$ |
(36 |
) |
$ |
(61 |
) |
$ |
(109 |
) |
$ |
(167 |
) | ||||
Less: adjusted net income (loss) adjustments: |
||||||||||||||||
Income (loss) before income taxes of our international and structured finance insurance segment and eliminations |
23 |
(99 |
) |
18 |
(143 |
) | ||||||||||
Adjustments to income before income taxes of our U.S. public finance insurance and corporate segments: |
||||||||||||||||
Mark-to-market gains (losses) on financial instruments (1) |
13 |
(9 |
) |
37 |
29 |
|||||||||||
Foreign exchange gains (losses) (1) |
13 |
(4 |
) |
19 |
13 |
|||||||||||
Net realized investment gains (losses) |
(21 |
) |
- |
(23 |
) |
(1 |
) | |||||||||
Net gains (losses) on extinguishment of debt |
5 |
14 |
5 |
14 |
||||||||||||
Net investment losses related to impairments of securities (2) |
(22 |
) |
- |
(22 |
) |
- |
||||||||||
Adjusted net income adjustment to the (provision) benefit for income tax |
- |
- |
- |
- |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Adjusted net income (loss) |
$ |
(47 |
) |
$ |
37 |
$ |
(143 |
) |
$ |
(79 |
) | |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Adjusted net income (loss) per diluted common share (3) |
$ |
(0.93 |
) |
$ |
0.76 |
$ |
(2.87 |
) |
$ |
(1.60 |
) |
(1) - | Reported within “Net gains (losses) on financial instruments at fair value and foreign exchange” on the Company’s consolidated statements of operations. |
(2) - | Reported within “Other net realized gains (losses)” on the Company’s consolidated statements of operations. |
(3) - | Adjusted net income (loss) per diluted common share is calculated by taking adjusted net income (loss) divided by the GAAP weighted average number of diluted common shares outstanding. |
• | 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 |
As of June 30, |
As of December 31, | |||||||||
In millions except share and per share amounts |
2022 |
2021 | ||||||||
Total shareholders’ equity of MBIA Inc. |
$ |
(748 |
) |
$ |
(313 |
) | ||||
Common shares outstanding |
54,899,716 |
54,556,112 |
||||||||
GAAP book value per share |
$ |
(13.63 |
) |
$ |
(5.73 |
) | ||||
Management’s adjustments described above: |
||||||||||
Remove negative book value per share of MBIA Corp. |
(36.48 |
) |
(35.94 |
) | ||||||
Remove net unrealized gains (losses) on available-for-sale securities included in other comprehensive income (loss) |
(2.72 |
) |
2.02 |
|||||||
Include net unearned premium revenue in excess of expected losses |
3.28 |
3.58 |
Three Months Ended June 30, |
Percent |
Six Months Ended June 30, |
Percent | |||||||||||||||||||||
In millions |
2022 |
2021 |
Change |
2022 |
2021 |
Change | ||||||||||||||||||
Net premiums earned |
$ |
9 |
$ |
11 |
-18% |
$ |
22 |
$ |
28 |
-21% |
||||||||||||||
Net investment income |
21 |
14 |
50% |
38 |
28 |
36% |
||||||||||||||||||
Net realized investment gains (losses) |
(20 |
) |
1 |
n/m |
(21 |
) |
- |
n/m |
||||||||||||||||
Net gains (losses) on financial instruments at fair |
||||||||||||||||||||||||
value and foreign exchange |
(21 |
) |
2 |
n/m |
(37 |
) |
- |
n/m |
||||||||||||||||
Fees and reimbursements |
- |
2 |
-100% |
1 |
2 |
-50% |
||||||||||||||||||
Other net realized gains (losses) |
(17 |
) |
- |
n/m |
(19 |
) |
- |
n/m |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total revenues |
(28 |
) |
30 |
n/m |
(16 |
) |
58 |
-128% |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Losses and loss adjustment |
49 |
(42 |
) |
n/m |
136 |
67 |
103% |
|||||||||||||||||
Amortization of deferred acquisition costs |
2 |
3 |
-33% |
5 |
7 |
-29% |
||||||||||||||||||
Operating |
9 |
12 |
-25% |
22 |
26 |
-15% |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total expenses |
60 |
(27 |
) |
n/m |
163 |
100 |
63% |
|||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Income (loss) before income taxes |
$ |
(88 |
) |
$ |
57 |
n/m |
$ |
(179 |
) |
$ |
(42 |
) |
n/m |
|||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
In millions |
Percent Change | |||||||||||
Assets: |
||||||||||||
Insurance loss recoverable |
$ |
205 |
$ |
1,054 |
-81% |
|||||||
Reinsurance recoverable on paid and unpaid losses (1) |
13 |
3 |
n/m |
|||||||||
Liabilities: |
||||||||||||
Loss and LAE reserves |
576 |
425 |
36% |
|||||||||
Insurance loss recoverable-ceded (2) |
6 |
55 |
-89% |
|||||||||
|
|
|
|
|
|
|
|
| ||||
Net reserve (salvage) |
$ |
364 |
$ |
(577 |
) |
n/m |
||||||
|
|
|
|
|
|
|
|
|
Three Months Ended June 30, |
Percent |
Six Months Ended June 30, |
Percent | |||||||||||||||||||||
In millions |
2022 |
2021 |
Change |
2022 |
2021 |
Change | ||||||||||||||||||
Gross expenses |
$ |
10 |
$ |
12 |
-17% |
$ |
23 |
$ |
26 |
-12% |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Amortization of deferred acquisition costs |
$ |
2 |
$ |
3 |
-33% |
$ |
5 |
$ |
7 |
-29% |
||||||||||||||
Operating |
9 |
12 |
-25% |
22 |
26 |
-15% |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total insurance operating expenses |
$ |
11 |
$ |
15 |
-27% |
$ |
27 |
$ |
33 |
-18% |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross Par Outstanding | ||||||||||||||||
In millions |
||||||||||||||||
Rating |
Amount |
% |
Amount |
% | ||||||||||||
AAA |
$ |
1,579 |
4.6% |
$ |
1,682 |
4.6% |
||||||||||
AA |
14,342 |
41.5% |
14,874 |
40.8% |
||||||||||||
A |
10,790 |
31.2% |
10,439 |
28.6% |
||||||||||||
BBB |
5,024 |
14.5% |
6,187 |
17.0% |
||||||||||||
Below investment grade |
2,853 |
8.2% |
3,269 |
9.0% |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total |
$ |
34,588 |
100.0% |
$ |
36,451 |
100.0% |
||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
In millions |
Gross Par Outstanding |
Debt Service Outstanding |
National Internal Rating | |||||||||
Puerto Rico Electric Power Authority (PREPA) |
$ |
809 |
$ |
1,063 |
d |
|||||||
Puerto Rico Highway and Transportation Authority Transportation Revenue (PRHTA) |
523 |
842 |
d |
|||||||||
Puerto Rico Highway and Transportation Authority—Subordinated Transportation Revenue (PRHTA) |
27 |
33 |
d |
|||||||||
Puerto Rico Highway and Transportation Authority Highway Revenue (PRHTA) |
39 |
(1) |
57 |
d |
||||||||
University of Puerto Rico System Revenue |
70 |
89 |
d |
|||||||||
Inter American University of Puerto Rico Inc. |
17 |
21 |
a3 |
|||||||||
|
|
|
|
|
|
|||||||
Total |
$ |
1,485 |
$ |
2,105 |
||||||||
|
|
|
|
|
|
(1) - Includes | CABs that reflect the gross par amount at the time of issuance of the insurance policy. As of June 30, 2022, gross par outstanding plus CABs accreted interest was $41 million. |
In millions |
2023 |
2024 |
2025 |
2026 |
Thereafter |
Total | ||||||||||||||||||||||
Puerto Rico Electric Power Authority (PREPA) |
$ |
119 |
$ |
137 |
$ |
137 |
$ |
105 |
$ |
57 |
$ |
508 |
$ |
1,063 |
||||||||||||||
Puerto Rico Highway and Transportation Authority Transportation Revenue (PRHTA) |
13 |
36 |
33 |
36 |
35 |
689 |
842 |
|||||||||||||||||||||
Puerto Rico Highway and Transportation Authority—Subordinated Transportation Revenue (PRHTA) |
8 |
1 |
1 |
1 |
1 |
21 |
33 |
|||||||||||||||||||||
Puerto Rico Highway and Transportation Authority Highway Revenue (PRHTA) |
2 |
4 |
2 |
2 |
2 |
45 |
57 |
|||||||||||||||||||||
University of Puerto Rico System Revenue |
5 |
12 |
11 |
16 |
6 |
39 |
89 |
|||||||||||||||||||||
Inter American University of Puerto Rico Inc. |
2 |
3 |
3 |
3 |
3 |
7 |
21 |
|||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
Total |
$ |
149 |
$ |
193 |
$ |
187 |
$ |
163 |
$ |
104 |
$ |
1,309 |
$ |
2,105 |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended June 30, |
Percent |
Six Months Ended June 30, |
Percent | |||||||||||||||||||||
In millions |
2022 |
2021 |
Change |
2022 |
2021 |
Change | ||||||||||||||||||
Net investment income |
$ |
5 |
$ |
7 |
-29% |
$ |
11 |
$ |
14 |
-21% |
||||||||||||||
Net realized investment gains (losses) |
(1 |
) |
(1 |
) |
-% |
(2 |
) |
(1 |
) |
100% |
||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
37 |
(17 |
) |
n/m |
76 |
38 |
100% |
|||||||||||||||||
Net gains (losses) on extinguishment of debt |
5 |
14 |
-64% |
5 |
14 |
-64% |
||||||||||||||||||
Fees |
13 |
13 |
-% |
27 |
29 |
-7% |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total revenues |
59 |
16 |
n/m |
117 |
94 |
24% |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Operating |
9 |
17 |
-47% |
25 |
39 |
-36% |
||||||||||||||||||
Interest |
19 |
18 |
6% |
38 |
37 |
3% |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total expenses |
28 |
35 |
-20% |
63 |
76 |
-17% |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Income (loss) before income taxes |
$ |
31 |
$ |
(19 |
) |
n/m |
$ |
54 |
$ |
18 |
n/m |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended June 30, |
Percent |
Six Months Ended June 30, |
Percent | |||||||||||||||||||||
In millions |
2022 |
2021 |
Change |
2022 |
2021 |
Change | ||||||||||||||||||
Net premiums earned |
$ |
3 |
$ |
5 |
-40% |
$ |
7 |
$ |
11 |
-36% |
||||||||||||||
Net investment income |
5 |
2 |
150% |
7 |
3 |
133% |
||||||||||||||||||
Net realized investment gains (losses) |
- |
- |
-% |
(1 |
) |
- |
n/m |
|||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
(7 |
) |
(5 |
) |
40% |
(13 |
) |
(6 |
) |
117% |
||||||||||||||
Fees and reimbursements |
6 |
3 |
100% |
9 |
7 |
29% |
||||||||||||||||||
Revenues of consolidated VIEs: |
||||||||||||||||||||||||
Net gains (losses) on financial instruments at fair value and foreign exchange |
24 |
- |
n/m |
20 |
(14 |
) |
n/m |
|||||||||||||||||
Other net realized gains (losses) |
- |
(5 |
) |
-100% |
- |
(5 |
) |
-100% |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total revenues |
31 |
- |
n/m |
29 |
(4 |
) |
n/m |
|||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Losses and loss adjustment |
(29 |
) |
51 |
n/m |
(67 |
) |
40 |
n/m |
||||||||||||||||
Amortization of deferred acquisition costs |
2 |
4 |
-50% |
6 |
8 |
-25% |
||||||||||||||||||
Operating |
5 |
6 |
-17% |
11 |
13 |
-15% |
||||||||||||||||||
Interest |
29 |
29 |
-% |
57 |
56 |
2% |
||||||||||||||||||
Expenses of consolidated VIEs: |
||||||||||||||||||||||||
Operating |
1 |
1 |
-% |
3 |
3 |
-% |
||||||||||||||||||
Interest |
1 |
6 |
-83% |
2 |
17 |
-88% |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total expenses |
9 |
97 |
-91% |
12 |
137 |
-91% |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Income (loss) before income taxes |
$ |
22 |
$ |
(97 |
) |
-123% |
$ |
17 |
$ |
(141 |
) |
-112% |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended June 30, |
Percent |
Six Months Ended June 30, |
Percent | |||||||||||||||||||||
In millions |
2022 |
2021 |
Change |
2022 |
2021 |
Change | ||||||||||||||||||
Net premiums earned: |
||||||||||||||||||||||||
U.S. |
$ |
- |
$ |
1 |
-100% |
$ |
1 |
$ |
2 |
-50% |
||||||||||||||
Non-U.S. |
3 |
4 |
-25% |
6 |
9 |
-33% |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total net premiums earned |
$ |
3 |
$ |
5 |
-40% |
$ |
7 |
$ |
11 |
-36% |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
VIEs (eliminated in consolidation) |
$ |
- |
$ |
1 |
-100% |
$ |
- |
$ |
1 |
-100% |
June 30, |
December 31, |
Percent | ||||||||||
In millions |
2022 |
2021 |
Change | |||||||||
Assets: |
||||||||||||
Insurance loss recoverable |
$ |
238 |
$ |
242 |
-2% |
|||||||
Reinsurance recoverable on paid and unpaid losses (1) |
4 |
5 |
-20% |
|||||||||
Liabilities: |
||||||||||||
Loss and LAE reserves |
389 |
469 |
-17% |
|||||||||
|
|
|
|
|
|
|
|
| ||||
Net reserve (salvage) |
$ |
147 |
$ |
222 |
-34% |
|||||||
|
|
|
|
|
|
|
|
|
(1) - | Reported within “Other assets” on our consolidated balance sheets. |
|
Three Months Ended June 30, |
Percent |
Six Months Ended June 30, |
Percent | ||||||||||||||||||||
In millions |
2022 |
2021 |
Change |
2022 |
2021 |
Change | ||||||||||||||||||
Gross expenses |
$ |
5 |
$ |
6 |
-17% |
$ |
11 |
$ |
13 |
-15% |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Amortization of deferred acquisition costs |
$ |
2 |
$ |
4 |
-50% |
$ |
6 |
$ |
8 |
-25% |
||||||||||||||
Operating |
5 |
6 |
-17% |
11 |
13 |
-15% |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total insurance operating expenses |
$ |
7 |
$ |
10 |
-30% |
$ |
17 |
$ |
21 |
-19% |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended June 30, |
||||||||||||
In millions |
2022 |
2021 |
Percent Change | |||||||||
Statement of cash flow data: |
||||||||||||
Net cash provided (used) by: |
||||||||||||
Operating activities |
$ |
232 |
$ |
545 |
-57% |
|||||||
Investing activities |
(12 |
) |
(110 |
) |
-89% |
|||||||
Financing activities |
(172 |
) |
(255 |
) |
-33% |
|||||||
Effect of exchange rate changes on cash and cash equivalents |
(1 |
) |
- |
n/m |
||||||||
Cash and cash equivalents - beginning of period |
160 |
167 |
-4% |
|||||||||
|
|
|
|
|
|
|
|
| ||||
Cash and cash equivalents - end of period |
$ |
207 |
$ |
347 |
-40% |
|||||||
|
|
|
|
|
|
|
|
|
• | 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; 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; and |
• | payments of operating expenses. |
In millions |
As of June 30, 2022 |
As of December 31, 2021 | ||||||
Policyholders’ surplus |
$ |
1,597 |
$ |
1,569 |
||||
Contingency reserves |
399 |
402 |
||||||
|
|
|
|
|
| |||
Statutory capital |
1,996 |
1,971 |
||||||
Unearned premiums |
289 |
311 |
||||||
Present value of installment premiums (1) |
120 |
121 |
||||||
|
|
|
|
|
| |||
Premium resources (2) |
409 |
432 |
||||||
Net loss and LAE reserves (1) |
55 |
(386 |
) | |||||
Salvage reserves on paid claims (1) |
496 |
944 |
||||||
|
|
|
|
|
| |||
Gross loss and LAE reserves |
551 |
558 |
||||||
|
|
|
|
|
| |||
Total claims-paying resources |
$ |
2,956 |
$ |
2,961 |
||||
|
|
|
|
|
|
(1) - | Calculated using a discount rate of 3.65% as of June 30, 2022 and December 31, 2021. |
(2) - | Includes financial guarantee and insured derivative related premiums. |
As of June 30, |
As of December 31, |
|||||||
In millions |
2022 |
2021 |
||||||
Policyholders’ surplus |
$ |
113 |
$ |
97 |
||||
Contingency reserves |
5 |
37 |
||||||
|
|
|
|
|||||
Statutory capital |
118 |
134 |
||||||
Unearned premiums |
40 |
46 |
||||||
Present value of installment premiums (1) |
43 |
48 |
||||||
|
|
|
|
|||||
Premium resources (2) |
83 |
94 |
||||||
Net loss and LAE reserves (1) |
133 |
266 |
||||||
Salvage reserves on paid claims (1) (3) |
377 |
231 |
||||||
|
|
|
|
|||||
Gross loss and LAE reserves |
510 |
497 |
||||||
Total claims-paying resources |
$ |
711 |
$ |
725 |
||||
|
|
|
|
(1) - | Calculated using a discount rate of 4.99% as of June 30, 2022 and December 31, 2021. |
(2) - | Includes financial guarantee and insured derivative related premiums. |
(3) - | This amount primarily consists of expected recoveries related to the payment of claims on insured CDOs and RMBS. In addition, the June 30, 2022 balance includes salvage related to a permitted practice granted by NYSDFS. |
Change in Foreign Exchange Rates | ||||||||||||||||
Dollar Weakens |
Dollar Strengthens | |||||||||||||||
In millions |
20% |
10% |
10% |
20% | ||||||||||||
Estimated change in fair value |
$ |
(5 |
) |
$ |
(2 |
) |
$ |
2 |
$ |
5 |
Total Number |
Maximum | |||||||||||||||
Total |
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) | ||||||||||||
April |
48 |
$ |
13.05 |
- |
$ |
- |
||||||||||
May |
71 |
12.74 |
- |
- |
||||||||||||
June |
7,970 |
13.78 |
- |
- |
||||||||||||
|
|
|
|
|
|
|||||||||||
8,089 |
$ |
13.76 |
- |
$ |
- |
(1) | 48 shares in April, 71 shares in May and 66 shares in June were repurchased in open market transactions as investments in the Company’s non-qualified deferred compensation plan. 7,904 shares in June were repurchased by the Company in open market transactions for settling awards under the Company’s long term incentive plan. |
*3.1. | By-Laws as Amended as of March 27, 2020. | |
*31.1. | Chief Executive Officer - Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | |
*31.2. | Chief Financial Officer - Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | |
**32.1. | Chief Executive Officer - Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | |
**32.2. | Chief Financial Officer - Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | |
*101.INS. | Inline XBRL Instance Document – the instance document does not appear in the Interactive Data File because iXBRL tags are embedded within the Inline XBRL document. | |
*101.SCH. | Inline XBRL Taxonomy Extension Schema Document. | |
*101.CAL. | Inline XBRL Taxonomy Extension Calculation Linkbase Document. | |
*101.DEF. | Inline XBRL Taxonomy Extension Definition Linkbase Document. | |
*101.LAB. | Inline XBRL Taxonomy Extension Label Linkbase Document. | |
*101.PRE. | Inline XBRL Taxonomy Extension Presentation Linkbase Document. | |
*104. | Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101) |
* |
** | Furnished herewith. |
MBIA Inc. Registrant | ||||||
Date: August 3, 2022 | /s/ Anthony McKiernan | |||||
| ||||||
Anthony McKiernan | ||||||
Chief Financial Officer | ||||||
Date: August 3, 2022 | /s/ Joseph R. Schachinger | |||||
| ||||||
Joseph R. Schachinger | ||||||
Controller (Chief Accounting Officer) |
This ‘10-Q’ Filing | Date | Other Filings | ||
---|---|---|---|---|
1/15/33 | ||||
12/31/22 | ||||
11/30/22 | ||||
8/15/22 | ||||
Filed on: | 8/3/22 | 8-K | ||
8/2/22 | ||||
7/27/22 | ||||
7/15/22 | ||||
7/1/22 | ||||
For Period end: | 6/30/22 | |||
6/28/22 | ||||
6/22/22 | ||||
6/8/22 | ||||
5/27/22 | ||||
5/13/22 | 4, 4/A | |||
5/2/22 | SC 13G | |||
4/13/22 | ||||
4/8/22 | ||||
3/31/22 | 10-Q | |||
3/25/22 | ||||
3/23/22 | DEF 14A, DEFA14A | |||
3/15/22 | ||||
3/8/22 | 4 | |||
2/22/22 | ||||
2/17/22 | ||||
2/1/22 | SC 13G/A | |||
1/18/22 | ||||
1/6/22 | ||||
1/4/22 | 4 | |||
1/1/22 | ||||
12/31/21 | 10-K, 11-K, 4 | |||
12/17/21 | ||||
9/29/21 | ||||
7/23/21 | ||||
7/15/21 | ||||
7/6/21 | ||||
6/30/21 | 10-Q | |||
6/2/21 | 4 | |||
6/1/21 | 4 | |||
5/5/21 | 8-K, DEF 14A | |||
4/28/21 | ||||
4/12/21 | ||||
4/6/21 | ||||
2/22/21 | ||||
1/20/21 | ||||
12/22/20 | ||||
11/30/20 | ||||
10/7/20 | ||||
9/23/20 | ||||
9/18/20 | ||||
9/16/20 | ||||
7/30/20 | ||||
7/16/20 | ||||
6/22/20 | ||||
4/28/20 | ||||
2/3/20 | ||||
1/16/20 | ||||
12/17/19 | ||||
12/5/19 | ||||
11/11/19 | ||||
10/1/19 | ||||
9/30/19 | 10-Q | |||
9/27/19 | ||||
9/9/19 | 8-K | |||
8/8/19 | ||||
7/9/19 | ||||
7/1/19 | 4 | |||
5/3/19 | 8-K | |||
2/4/19 | ||||
10/3/18 | 4 | |||
8/8/18 | 10-Q, 8-K | |||
11/27/17 | ||||
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 | |||
6/30/16 | 10-Q | |||
1/15/13 | 8-K | |||
12/31/09 | 10-K, 11-K | |||
List all Filings |
As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 2/28/24 Mbia Inc. 10-K 12/31/23 129:40M Donnelley … Solutions/FA 2/28/23 Mbia Inc. 10-K 12/31/22 130:25M Donnelley … Solutions/FA |