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Expected Loss to be Paid (Recovered) (Tables)
 9 Months Ended
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 ofThird QuarterNine Months
Accounting ModelSeptember 30, 2023December 31, 20222023202220232022
 (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 QuarterNine Months
2023202220232022
 (in millions)
Net expected loss to be paid (recovered), beginning of period$560 $442 $522 $411 
Economic loss development (benefit) due to:
Accretion of discount6 3 15 8 
Changes in discount rates(12)(25)(8)(114)
Changes in timing and assumptions93 (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
SectorNet Expected Loss to be Paid (Recovered) as of June 30, 2023Net 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 finance443 134 (169)408 
Structured finance:   
U.S. RMBS73 (48)13 38 
Other structured finance44 1 (1)44 
Structured finance117 (47)12 82 
Total$560 $87 $(157)$490 


Third Quarter 2022
SectorNet Expected Loss to be Paid (Recovered) as of June 30, 2022Net 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 finance217 22 393 632 
Structured finance:   
U.S. RMBS179 (95)(32)52 
Other structured finance46 1 (4)43 
Structured finance225 (94)(36)95 
Total$442 $(72)$357 $727 


Nine Months 2023
SectorNet Expected Loss to be Paid (Recovered) as of December 31, 2022Net 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 finance412 193 (197)408 
Structured finance:   
U.S. RMBS66 (52)24 38 
Other structured finance44 6 (6)44 
Structured finance110 (46)18 82 
Total$522 $147 $(179)$490 
Nine Months 2022
SectorNet Expected Loss to be Paid (Recovered) as of December 31, 2021Net 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 finance209 (22)445 632 
Structured finance:
U.S. RMBS150 (127)29 52 
Other structured finance52 1 (10)43 
Structured finance202 (126)19 95 
Total$411 $(148)$464 $727 
____________________
(1)    Net of ceded paid losses, whether or not such amounts have been settled with reinsurers. Ceded paid losses are typically settled 45 days after the end of the reporting period. Such amounts are recorded as reinsurance recoverable on paid losses in “other assets.”
Schedule Of Net Expected Losses To Be Paid (Recovered) And Net Economic Development (Benefit) Loss The assumptions that the Company uses to project RMBS losses are shown in the sections below.
Net Economic Loss Development (Benefit)
U.S. RMBS
Third QuarterNine Months
2023202220232022
 (in millions)
First lien U.S. RMBS$(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, 2023December 31, 2022
Current but recently delinquent
Alt-A and Prime20%20%
Option ARM20%20%
Subprime20%20%
30 – 59 Days Delinquent
Alt-A and Prime35%35%
Option ARM35%35%
Subprime30%30%
60 – 89 Days Delinquent
Alt-A and Prime40%40%
Option ARM45%45%
Subprime40%40%
90+ Days Delinquent
Alt-A and Prime55%55%
Option ARM60%60%
Subprime45%45%
Bankruptcy
Alt-A and Prime45%45%
Option ARM50%50%
Subprime40%40%
Foreclosure
Alt-A and Prime60%60%
Option ARM65%65%
Subprime55%55%
Real Estate Owned
All100%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, 2023As of December 31, 2022
RangeWeighted AverageRangeWeighted Average
Alt-A and Prime:
Plateau CDR0.3 %-9.7%3.8%1.6 %-11.5%5.1%
Final CDR0.0 %-0.5%0.2%0.1 %-0.6%0.3%
Initial loss severity:
2005 and prior50%50%
200650%50%
2007+50%50%
Option ARM:
Plateau CDR0.0 %-9.2%3.6%2.0 %-7.7%4.3%
Final CDR0.0 %-0.5%0.2%0.1 %-0.4%0.2%
Initial loss severity:
2005 and prior50%50%
200650%50%
2007+50%50%
Subprime:
Plateau CDR0.2 %-9.6%4.7%2.7 %-9.7%5.6%
Final CDR0.0 %-0.5%0.2%0.1 %-0.5%0.3%
Initial loss severity:
2005 and prior50%50%
200650%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, 2023As of December 31, 2022
RangeWeighted Average RangeWeighted Average
Plateau CDR0.4 %-8.7%2.7%0.4 %-8.4%3.5%
Final CDR trended down to0.0 %-0.4%0.1%0.0 %-0.4%0.2%
Liquidation rates:
Current but recently delinquent 20%20%
30 – 59 Days Delinquent3030
60 – 89 Days Delinquent4040
90+ Days Delinquent6060
Bankruptcy5555
Foreclosure5555
Real Estate Owned 100100
Loss severity on future defaults98%98%
Projected future recoveries on previously charged-off loans40%30%