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Expected Loss to be Paid (Recovered) (Tables) | 9 Months Ended
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Sep. 30, 2023
Expected Losses [Abstract] |
Net Expected Loss to be Paid By Accounting Model | Net Expected Loss to be Paid (Recovered) and Net Economic Loss Development (Benefit) by Accounting Model
|  | Net Expected Loss to be Paid (Recovered) |  | Net Economic Loss Development (Benefit)
|  | As of |  | Third Quarter |  | Nine Months
Accounting Model |  | September 30, 2023 |  | December 31, 2022 |  | 2023 |  | 2022 |  | 2023 |  | 2022
|  | (in millions)
Insurance (see Note 5) |  | $ | 252 |  |  | $ | 205 |  |  | $ | 92 |  |  | $ | (67) |  |  | $ | 160 |  |  | $ | (137) |
FG VIEs (see Note 8) (1) |  | 235 |  |  | 314 |  |  | (6) |  |  | (6) |  |  | (15) |  |  | (16) |
Credit derivatives (see Note 6) |  | 3 |  |  | 3 |  |  | 1 |  |  | 1 |  |  | 2 |  |  | 5 |
Total |  | $ | 490 |  |  | $ | 522 |  |  | $ | 87 |  |  | $ | (72) |  |  | $ | 147 |  |  | $ | (148) |
____________________ (1) The net expected loss to be paid for FG VIEs primarily relates to trusts established as part of the 2022 Puerto Rico Resolutions (Puerto Rico Trusts) that were consolidated.
Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward | The following tables present a roll forward of net expected loss to be paid (recovered) for all contracts, which are accounted for under one of the following accounting models: insurance, derivative and FG VIE. The Company used risk-free rates for U.S. dollar denominated obligations that ranged from 4.51% to 5.45% with a weighted average of 4.80% as of September 30, 2023 and 3.82% to 4.69% with a weighted average of 4.08% as of December 31, 2022. Net expected losses to be paid for U.S. dollar denominated transactions represented approximately 98.2% and 98.5% of the total as of September 30, 2023 and December 31, 2022, respectively. Net Expected Loss to be Paid (Recovered) Roll Forward
| Third Quarter |  | Nine Months
| 2023 |  | 2022 |  | 2023 |  | 2022
| (in millions)
Net expected loss to be paid (recovered), beginning of period | $ | 560 |  |  | $ | 442 |  |  | $ | 522 |  |  | $ | 411 |
Economic loss development (benefit) due to: |  |  |  |  |  |  |
Accretion of discount | 6 |  |  | 3 |  |  | 15 |  |  | 8 |
Changes in discount rates | (12) |  |  | (25) |  |  | (8) |  |  | (114) |
Changes in timing and assumptions | 93 |  |  | (50) |  |  | 140 |  |  | (42) |
Total economic loss development (benefit) | 87 |  |  | (72) |  |  | 147 |  |  | (148) |
Net (paid) recovered losses (1) | (157) |  |  | 357 |  |  | (179) |  |  | 464 |
Net expected loss to be paid (recovered), end of period | $ | 490 |  |  | $ | 727 |  |  | $ | 490 |  |  | $ | 727 |
____________________ (1) Net (paid) recovered losses in 2023 include recoveries related to various Puerto Rico securities transferred to the Company's investment portfolio upon the maturity and extinguishment of certain GO, PBA and HTA insured exposure. Net (paid) recovered losses in 2022 include the net amounts received pursuant to the 2022 Puerto Rico Resolutions, as described in Note 3, Outstanding Exposure. Net Expected Loss to be Paid (Recovered) Roll Forward by Sector
|  | Third Quarter 2023
Sector |  | Net Expected Loss to be Paid (Recovered) as of June 30, 2023 |  | Net Economic Loss Development (Benefit) |  | Net (Paid) Recovered Losses (1) |  | Net Expected Loss to be Paid (Recovered) as of September 30, 2023
|  | (in millions)
Public finance: |  |  |  |  |  |  |  |
U.S. public finance |  | $ | 433 |  |  | $ | 135 |  |  | $ | (169) |  |  | $ | 399 |
Non-U.S. public finance |  | 10 |  |  | (1) |  |  | — |  |  | 9 |
Public finance |  | 443 |  |  | 134 |  |  | (169) |  |  | 408 |
Structured finance: |  |  |  |  |  |  |  |
U.S. RMBS |  | 73 |  |  | (48) |  |  | 13 |  |  | 38 |
Other structured finance |  | 44 |  |  | 1 |  |  | (1) |  |  | 44 |
Structured finance |  | 117 |  |  | (47) |  |  | 12 |  |  | 82 |
Total |  | $ | 560 |  |  | $ | 87 |  |  | $ | (157) |  |  | $ | 490 |
|  | Third Quarter 2022
Sector |  | Net Expected Loss to be Paid (Recovered) as of June 30, 2022 |  | Net Economic Loss Development (Benefit) |  | Net (Paid) Recovered Losses (1) |  | Net Expected Loss to be Paid (Recovered) as of September 30, 2022
|  | (in millions)
Public finance: |  |  |  |  |  |  |  |
U.S. public finance |  | $ | 210 |  |  | $ | 24 |  |  | $ | 392 |  |  | $ | 626 |
Non-U.S. public finance |  | 7 |  |  | (2) |  |  | 1 |  |  | 6 |
Public finance |  | 217 |  |  | 22 |  |  | 393 |  |  | 632 |
Structured finance: |  |  |  |  |  |  |  |
U.S. RMBS |  | 179 |  |  | (95) |  |  | (32) |  |  | 52 |
Other structured finance |  | 46 |  |  | 1 |  |  | (4) |  |  | 43 |
Structured finance |  | 225 |  |  | (94) |  |  | (36) |  |  | 95 |
Total |  | $ | 442 |  |  | $ | (72) |  |  | $ | 357 |  |  | $ | 727 |
|  | Nine Months 2023
Sector |  | Net Expected Loss to be Paid (Recovered) as of December 31, 2022 |  | Net Economic Loss Development (Benefit) |  | Net (Paid) Recovered Losses (1) |  | Net Expected Loss to be Paid (Recovered) as of September 30, 2023
|  | (in millions)
Public finance: |  |  |  |  |  |  |  |
U.S. public finance |  | $ | 403 |  |  | $ | 193 |  |  | $ | (197) |  |  | $ | 399 |
Non-U.S. public finance |  | 9 |  |  | — |  |  | — |  |  | 9 |
Public finance |  | 412 |  |  | 193 |  |  | (197) |  |  | 408 |
Structured finance: |  |  |  |  |  |  |  |
U.S. RMBS |  | 66 |  |  | (52) |  |  | 24 |  |  | 38 |
Other structured finance |  | 44 |  |  | 6 |  |  | (6) |  |  | 44 |
Structured finance |  | 110 |  |  | (46) |  |  | 18 |  |  | 82 |
Total |  | $ | 522 |  |  | $ | 147 |  |  | $ | (179) |  |  | $ | 490 |
|  | Nine Months 2022
Sector |  | Net Expected Loss to be Paid (Recovered) as of December 31, 2021 |  | Net Economic Loss Development (Benefit) |  | Net (Paid) Recovered Losses (1) |  | Net Expected Loss to be Paid (Recovered) as of September 30, 2022
|  | (in millions)
Public finance: |  |  |  |  |  |  |  |
U.S. public finance |  | $ | 197 |  |  | $ | (16) |  |  | $ | 445 |  |  | $ | 626 |
Non-U.S. public finance |  | 12 |  |  | (6) |  |  | — |  |  | 6 |
Public finance |  | 209 |  |  | (22) |  |  | 445 |  |  | 632 |
Structured finance: |  |  |  |  |  |  |  |
U.S. RMBS |  | 150 |  |  | (127) |  |  | 29 |  |  | 52 |
Other structured finance |  | 52 |  |  | 1 |  |  | (10) |  |  | 43 |
Structured finance |  | 202 |  |  | (126) |  |  | 19 |  |  | 95 |
Total |  | $ | 411 |  |  | $ | (148) |  |  | $ | 464 |  |  | $ | 727 |
____________________ (1) Net of ceded paid losses, whether or not such amounts have been settled with reinsurers. Ceded paid losses are typically settled 45 days after the end of the reporting period. Such amounts are recorded as reinsurance recoverable on paid losses in “other assets.”
Schedule Of Net Expected Losses To Be Paid (Recovered) And Net Economic Development (Benefit) Loss | The assumptions that the Company uses to project RMBS losses are shown in the sections below. Net Economic Loss Development (Benefit) U.S. RMBS
| Third Quarter |  | Nine Months
| 2023 |  | 2022 |  | 2023 |  | 2022
| (in millions)
First lien U.S. RMBS | $ | (12) |  |  | $ | (38) |  |  | $ | (12) |  |  | $ | (34) |
Second lien U.S. RMBS | (36) |  |  | (57) |  |  | (40) |  |  | (93) |
Liquidation Rates and Key Assumptions in Base Case Expected Loss Estimates First Lien RMBS | The following table shows liquidation assumptions for various non-performing and re-performing categories. First Lien U.S. RMBS Liquidation Rates
| As of
| September 30, 2023 |  | December 31, 2022
Current but recently delinquent |  |  |
Alt-A and Prime | 20% |  | 20%
Option ARM | 20% |  | 20%
Subprime | 20% |  | 20%
30 – 59 Days Delinquent |  |  |
Alt-A and Prime | 35% |  | 35%
Option ARM | 35% |  | 35%
Subprime | 30% |  | 30%
60 – 89 Days Delinquent |  |  |
Alt-A and Prime | 40% |  | 40%
Option ARM | 45% |  | 45%
Subprime | 40% |  | 40%
90+ Days Delinquent |  |  |
Alt-A and Prime | 55% |  | 55%
Option ARM | 60% |  | 60%
Subprime | 45% |  | 45%
Bankruptcy |  |  |
Alt-A and Prime | 45% |  | 45%
Option ARM | 50% |  | 50%
Subprime | 40% |  | 40%
Foreclosure |  |  |
Alt-A and Prime | 60% |  | 60%
Option ARM | 65% |  | 65%
Subprime | 55% |  | 55%
Real Estate Owned |  |  |
All | 100% |  | 100%
The following table shows the range as well as the average, weighted by outstanding net insured par, for key assumptions used in the calculation of expected loss to be paid (recovered) for individual transactions for vintage 2004 - 2008 first lien U.S. RMBS. Key Assumptions in Base Scenario Expected Loss Estimates First Lien U.S. RMBS
| As of September 30, 2023 |  | As of December 31, 2022
| Range |  | Weighted Average |  | Range |  | Weighted Average
Alt-A and Prime: |  |  |  |  |  |  |  |  |  |  |
Plateau CDR | 0.3 | % | - | 9.7% |  | 3.8% |  | 1.6 | % | - | 11.5% |  | 5.1%
Final CDR | 0.0 | % | - | 0.5% |  | 0.2% |  | 0.1 | % | - | 0.6% |  | 0.3%
Initial loss severity: |  |  |
2005 and prior | 50% |  |  |  | 50% |  |
2006 | 50% |  |  |  | 50% |  |
2007+ | 50% |  |  |  | 50% |  |
Option ARM: |  |  |
Plateau CDR | 0.0 | % | - | 9.2% |  | 3.6% |  | 2.0 | % | - | 7.7% |  | 4.3%
Final CDR | 0.0 | % | - | 0.5% |  | 0.2% |  | 0.1 | % | - | 0.4% |  | 0.2%
Initial loss severity: |  |  |
2005 and prior | 50% |  |  |  | 50% |  |
2006 | 50% |  |  |  | 50% |  |
2007+ | 50% |  |  |  | 50% |  |
Subprime: |  |  |
Plateau CDR | 0.2 | % | - | 9.6% |  | 4.7% |  | 2.7 | % | - | 9.7% |  | 5.6%
Final CDR | 0.0 | % | - | 0.5% |  | 0.2% |  | 0.1 | % | - | 0.5% |  | 0.3%
Initial loss severity: |  |  |
2005 and prior | 50% |  |  |  | 50% |  |
2006 | 50% |  |  |  | 50% |  |
2007+ | 50% |  |  |  | 50% |  |
Key Assumptions in Base Case Expected Loss Estimates Second Lien RMBS | The following table shows the range as well as the average, weighted by net par outstanding, for key assumptions used in the calculation of expected loss to be paid (recovered) for individual transactions for vintage 2004 - 2008 HELOCs. Key Assumptions in Base Scenario Expected Loss Estimates HELOCs
| As of September 30, 2023 |  | As of December 31, 2022
| Range |  | Weighted Average |  | Range |  | Weighted Average
Plateau CDR | 0.4 | % | - | 8.7% |  | 2.7% |  | 0.4 | % | - | 8.4% |  | 3.5%
Final CDR trended down to | 0.0 | % | - | 0.4% |  | 0.1% |  | 0.0 | % | - | 0.4% |  | 0.2%
Liquidation rates: |  |  |  |  |  |  |  |  |  |  |
Current but recently delinquent | 20% |  |  |  | 20% |  |
30 – 59 Days Delinquent | 30 |  |  |  | 30 |  |
60 – 89 Days Delinquent | 40 |  |  |  | 40 |  |
90+ Days Delinquent | 60 |  |  |  | 60 |  |
Bankruptcy | 55 |  |  |  | 55 |  |
Foreclosure | 55 |  |  |  | 55 |  |
Real Estate Owned | 100 |  |  |  | 100 |  |
Loss severity on future defaults | 98% |  |  |  | 98% |  |
Projected future recoveries on previously charged-off loans | 40% |  |  |  | 30% |  |

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- Definition Tabular disclosure of a roll forward of the present value of net expected loss and LAE to be paid for financial guaranty contracts accounted for as insurance by sector. Expected loss to be paid is the Company's estimate of the present value of future claim payments, net of reinsurance and net of salvage and subrogation which includes the present value benefit of estimated recoveries for breaches of R&W. + References No definition available. + Details
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