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Expected Loss to be Paid (Recovered) (Tables)
 9 Months Ended
Sep. 30, 2024
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, 2024December 31, 20232024202320242023
 (in millions)
Insurance (see Note 5)
$70 $263 $(31)$92 $(19)$160 
FG VIEs (see Note 8) (1)
236 240 (1)(6)— (15)
Credit derivatives (see Note 6)
— 2 (2)1 (1)2 
Total
$306 $505 $(34)$87 $(20)$147 
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(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 or FG VIE. The Company used risk-free rates for U.S. dollar denominated obligations that ranged from 3.52% to 4.96% with a weighted average of 3.74% as of September 30, 2024 and 3.79% to 5.40% with a weighted average of 4.10% as of December 31, 2023. Net expected losses to be paid for U.S. dollar denominated transactions represented approximately 71.7% and 96.1% of the total as of September 30, 2024 and December 31, 2023, respectively. The Company used risk-free rates for non-U.S. dollar denominated obligations that ranged from 1.86% to 4.95% with a weighted average of 3.94% as of September 30, 2024 and 1.90% to 5.21% with a weighted average of 3.28% as of December 31, 2023.

Net Expected Loss to be Paid (Recovered)
Roll Forward
 Third QuarterNine Months
2024202320242023
 (in millions)
Net expected loss to be paid (recovered), beginning of period$447 $560 $505 $522 
Economic loss development (benefit) due to:
Accretion of discount5 6 14 15 
Changes in discount rates3 (12)1 (8)
Changes in timing and assumptions(42)93 (35)140 
Total economic loss development (benefit)(34)87 (20)147 
Net (paid) recovered losses(107)(157)(179)(179)
Net expected loss to be paid (recovered), end of period$306 $490 $306 $490 

Net Expected Loss to be Paid (Recovered)
Roll Forward by Sector
Third Quarter 2024
SectorNet Expected Loss to be Paid (Recovered) as of June 30, 2024Net Economic Loss
Development (Benefit)
Net (Paid)
Recovered
Losses (1)
Net Expected Loss to be Paid (Recovered) as of September 30, 2024
 (in millions)
Public finance:
U.S. public finance$374 $(23)$(113)$238 
Non-U.S. public finance 37 46 (2)81 
Public finance411 23 (115)319 
Structured finance:   
U.S. RMBS— (56)10 (46)
Other structured finance36 (1)(2)33 
Structured finance36 (57)8 (13)
Total$447 $(34)$(107)$306 
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 

Nine Months 2024
SectorNet Expected Loss to be Paid (Recovered) as of December 31, 2023Net Economic Loss
Development (Benefit)
Net (Paid)
Recovered
Losses (1)
Net Expected Loss to be Paid (Recovered) as of September 30, 2024
 (in millions)
Public finance:
U.S. public finance$398 $(14)$(146)$238 
Non-U.S. public finance 20 63 (2)81 
Public finance418 49 (148)319 
Structured finance:   
U.S. RMBS43 (69)(20)(46)
Other structured finance44 — (11)33 
Structured finance87 (69)(31)(13)
Total$505 $(20)$(179)$306 

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)$490 
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(1)    Net of ceded paid losses, whether or not such amounts have been settled with reinsurers. Ceded paid losses are typically settled 45 days after the end of the reporting period. Such amounts are recorded as reinsurance recoverable on paid losses in “other assets.”
Schedule Of Net Expected Losses To Be Paid (Recovered) And Net Economic Development (Benefit) Loss The assumptions that the Company uses to project RMBS losses are shown in the sections below.
Net Economic Loss Development (Benefit)
U.S. RMBS
Third QuarterNine Months
2024202320242023
 (in millions)
First lien U.S. RMBS$(21)$(12)$(24)$(12)
Second lien U.S. RMBS(35)(36)(45)(40)
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, 2024As of December 31, 2023
Range (1)Range (1)
Current but recently delinquent20%20%
30 – 59 Days Delinquent30 %–40%30 %–35%
60 – 89 Days Delinquent35 %–40%40 %–45%
90+ Days Delinquent35 %–45%45 %–60%
Bankruptcy40 %–50%40 %–50%
Foreclosure40 %–50%55 %–65%
Real Estate Owned100%100%
____________________
(1)    The ranges represent variation in calculated liquidation rates across RMBS sectors.
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, 2024As of December 31, 2023
RangeWeighted AverageRangeWeighted Average
Plateau CDR0.0 %-13.5%3.4%0.0 %-10.0%4.2%
Final CDR0.0 %-0.7%0.2%0.0 %-0.5%0.2%
Initial loss severity40.0 %-50.0%43.1%50%
Future recovery for deferred principal balances50%30%
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, 2024As of December 31, 2023
RangeWeighted Average RangeWeighted Average
Plateau CDR0.4 %-5.0%2.3%0.0 %-9.3%2.6%
Final CDR0.0 %-0.2%0.1%0.0 %-0.5%0.1%
Liquidation rates:
Current but recently delinquent 20%20%
30 – 59 Days Delinquent3030
60 – 89 Days Delinquent3040
90+ Days Delinquent4060
Bankruptcy5555
Foreclosure4055
Real Estate Owned 100100
Loss severity on future defaults98%98%
Projected future recoveries on previously charged-off loans50%40%