Expected Loss to be Paid (Tables)

12 Months Ended

Dec. 31, 2015

Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward

Net Expected Loss to be Paid

After Net Expected Recoveries for Breaches of R&W

Roll Forward



	Year Ended December 31, 2015
	(in millions)
Net expected loss to be paid, beginning of period	$	1,169
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015	190
Economic loss development due to:
Accretion of discount	32
Changes in discount rates	(23		)
Changes in timing and assumptions	310
Total economic loss development	319
Paid losses	(287		)
Net expected loss to be paid, end of period	$	1,391

Net Expected Loss to be Paid

After Net Expected Recoveries for Breaches of R&W

Roll Forward by Sector

Year Ended December 31, 2015



	Net Expected Loss to be Paid (Recovered) as of December 31, 2014(2)			Net Expected Loss to be Paid (Recovered) on Radian Asset portfolio as of April 1, 2015			Economic Loss Development			(Paid) Recovered Losses(1)			Net Expected Loss to be Paid (Recovered) as of December 31, 2015 (2)
	(in millions)
Public Finance:
U.S. public finance	$	303		$	81		$	416		$	(29	)	$	771
Non-U.S. public finance	45			4			(11		)	—			38
Public Finance	348			85			405			(29		)	809
Structured Finance:
U.S. RMBS:
First lien:
Prime first lien	4			—			(1		)	(5		)	(2		)
Alt-A first lien	304			7			(126		)	(58		)	127
Option ARM	(16		)	0			(16		)	4			(28		)
Subprime	303			(4		)	19			(67		)	251
Total first lien	595			3			(124		)	(126		)	348
Second lien	(11		)	1			42			29			61
Total U.S. RMBS	584			4			(82		)	(97		)	409
Triple-X life insurance transactions	161			—			11			(73		)	99
TruPS	23			—			(18		)	—			5
Student loans	68			—			(9		)	(5		)	54
Other structured finance	(15		)	101			12			(83		)	15
Structured Finance	821			105			(86		)	(258		)	582
Total	$	1,169		$	190		$	319		$	(287	)	$	1,391

Net Expected Loss to be Paid

After Net Expected Recoveries for Breaches of R&W

Roll Forward by Sector

Year Ended December 31, 2014



	Net Expected Loss to be Paid (Recovered) as of December 31, 2013			Economic Loss Development			(Paid) Recovered Losses(1)			Net Expected Loss to be Paid (Recovered) as of December 31, 2014 (2)
	(in millions)
Public Finance:
U.S. public finance	$	264		$	183		$	(144	)	$	303
Non-U.S. public finance	57			(12		)	—			45
Public Finance	321			171			(144		)	348
Structured Finance:
U.S. RMBS:
First lien:
Prime first lien	21			(16		)	(1		)	4
Alt-A first lien	304			(144		)	144			304
Option ARM	(9		)	(59		)	52			(16		)
Subprime	304			(7		)	6			303
Total first lien	620			(226		)	201			595
Second lien	(127		)	(42		)	158			(11		)
Total U.S. RMBS	493			(268		)	359			584
Triple-X life insurance transactions	75			92			(6		)	161
TruPS	51			(28		)	—			23
Student loans	52			16			0			68
Other structured finance	(10		)	(13		)	8			(15		)
Structured Finance	661			(201		)	361			821
Total	$	982		$	(30	)	$	217		$	1,169

____________________


(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 in reinsurance recoverable on paid losses included in other assets. The Company paid $25 million and $37 million in LAE for the years ended December 31, 2015 and 2014, respectively.


(2)	Includes expected LAE to be paid of $12 million as of December 31, 2015 and $16 million as of December 31, 2014.

Schedule of Future R&W Benefits

Future Net R&W Benefit

As of December 31, 2015, 2014 and 2013



	Future Net R&W Benefit as of December 31, 2015 (1)		Future Net R&W Benefit as of December 31, 2014		Future Net R&W Benefit as of December 31, 2013
	(in millions)
U.S. RMBS:
First lien	$	0	$	232	$	569
Second lien	79		85		143
Total	$	79	$	317	$	712

____________________


(1)	See the section "Breaches of Representations and Warranties" below for eligible assets held in trust.

Net Expected Loss to be Paid By Accounting Model

Net Expected Loss to be Paid (Recovered)

By Accounting Model

As of December 31, 2015



	Financial Guaranty Insurance			FG VIEs(1) and Other		Credit Derivatives(2)			Total
	(in millions)
Public Finance:
U.S. public finance	$	771		$	—	$	0		$	771
Non-U.S. public finance	38			—		—			38
Public Finance	809			—		—			809
Structured Finance:
U.S. RMBS:
First lien:
Prime first lien	2			—		(4		)	(2		)
Alt-A first lien	110			17		0			127
Option ARM	(27		)	—		(1		)	(28		)
Subprime	153			59		39			251
Total first lien	238			76		34			348
Second lien	13			44		4			61
Total U.S. RMBS	251			120		38			409
Triple-X life insurance transactions	88			—		11			99
TruPS	0			—		5			5
Student loans	54			—		—			54
Other structured finance	37			16		(38		)	15
Structured Finance	430			136		16			582
Total	$	1,239		$	136	$	16		$	1,391

Net Expected Loss to be Paid (Recovered)

By Accounting Model

As of December 31, 2014



	Financial Guaranty Insurance			FG VIEs(1) and Other			Credit Derivatives(2)			Total
	(in millions)
Public Finance:
U.S. public finance	$	303		$	—		$	—		$	303
Non-U.S. public finance	45			—			—			45
Public Finance	348			—			—			348
Structured Finance:
U.S. RMBS:
First lien:
Prime first lien	2			—			2			4
Alt-A first lien	288			17			(1		)	304
Option ARM	(15		)	—			(1		)	(16		)
Subprime	163			71			69			303
Total first lien	438			88			69			595
Second lien	(53		)	38			4			(11		)
Total U.S. RMBS	385			126			73			584
Triple-X life insurance transactions	153			—			8			161
TruPS	1			—			22			23
Student loans	68			—			—			68
Other structured finance	34			(4		)	(45		)	(15		)
Structured Finance	641			122			58			821
Total	$	989		$	122		$	58		$	1,169

_____________

(1) Refer to Note 9, Consolidated Variable Interest Entities.

(2) Refer to Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives.

Schedule of Net Economic Loss Development

Net Economic Loss Development (Benefit)

By Accounting Model

Year Ended December 31, 2015



	Financial Guaranty Insurance			FG VIEs(1) and Other			Credit Derivatives(2)			Total
	(in millions)
Public Finance:
U.S. public finance	$	421		$	—		$	(5	)	$	416
Non-U.S. public finance	(11		)	—			—			(11		)
Public Finance	410			—			(5		)	405
Structured Finance:
U.S. RMBS:
First lien:
Prime first lien	0			—			(1		)	(1		)
Alt-A first lien	(49		)	0			(77		)	(126		)
Option ARM	(17		)	—			1			(16		)
Subprime	9			11			(1		)	19
Total first lien	(57		)	11			(78		)	(124		)
Second lien	35			7			—			42
Total U.S. RMBS	(22		)	18			(78		)	(82		)
Triple-X life insurance transactions	6			—			5			11
TruPS	(1		)	—			(17		)	(18		)
Student loans	(9		)	—			—			(9		)
Other structured finance	1			(2		)	13			12
Structured Finance	(25		)	16			(77		)	(86		)
Total	$	385		$	16		$	(82	)	$	319

Net Economic Loss Development (Benefit)

By Accounting Model

Year Ended December 31, 2014



	Financial Guaranty Insurance			FG VIEs(1) and Other			Credit Derivatives(2)			Total
	(in millions)
Public Finance:
U.S. public finance	$	183		$	—		$	—		$	183
Non-U.S. public finance	(10		)	—			(2		)	(12		)
Public Finance	173			—			(2		)	171
Structured Finance:
U.S. RMBS:
First lien:
Prime first lien	—			—			(16		)	(16		)
Alt-A first lien	(87		)	(13		)	(44		)	(144		)
Option ARM	(48		)	1			(12		)	(59		)
Subprime	(15		)	6			2			(7		)
Total first lien	(150		)	(6		)	(70		)	(226		)
Second lien	(130		)	91			(3		)	(42		)
Total U.S. RMBS	(280		)	85			(73		)	(268		)
Triple-X life insurance transactions	86			—			6			92
TruPS	(2		)	—			(26		)	(28		)
Student loans	16			—			—			16
Other structured finance	(5		)	(1		)	(7		)	(13		)
Structured Finance	(185		)	84			(100		)	(201		)
Total	$	(12	)	$	84		$	(102	)	$	(30	)

____________

(1) Refer to Note 9, Consolidated Variable Interest Entities.

(2) Refer to Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives.

Liquidation Rates and Key Assumptions in Base Case Expected Loss Estimates First Lien RMBS

First Lien Liquidation Rates



	December 31, 2015	December 31, 2014	December 31, 2013
Current Loans Modified in the Previous 12 Months
Alt A and Prime	25%	25%	35%
Option ARM	25	25	35
Subprime	25	25	35
Current Loans Delinquent in the Previous 12 Months
Alt A and Prime	25	25	N/A
Option ARM	25	25	N/A
Subprime	25	25	N/A
30 – 59 Days Delinquent
Alt A and Prime	35	35	50
Option ARM	40	40	50
Subprime	45	35	45
60 – 89 Days Delinquent
Alt A and Prime	45	50	60
Option ARM	50	55	65
Subprime	55	40	50
90+ Days Delinquent
Alt A and Prime	55	60	75
Option ARM	60	65	70
Subprime	60	55	60
Bankruptcy
Alt A and Prime	45	45	60
Option ARM	50	50	60
Subprime	40	40	55
Foreclosure
Alt A and Prime	65	75	85
Option ARM	70	80	80
Subprime	70	70	70
Real Estate Owned
All	100	100	100

Key Assumptions in Base Case Expected Loss Estimates

First Lien RMBS(1)



	As of December 31, 2015					As of December 31, 2014					As of December 31, 2013
	Range				Weighted Average	Range				Weighted Average	Range				Weighted Average
Alt-A First Lien
Plateau CDR	1.7	%	–	26.4%	6.4%	2.0	%	–	13.4%	7.3%	2.8	%	–	18.4%	9.7%
Intermediate CDR	0.3	%	–	5.3%	1.3%	0.4	%	–	2.7%	1.5%	0.6	%	–	3.7%	1.9%
Period until intermediate CDR	48 months					48 months					48 months
Final CDR	0.1	%	–	1.3%	0.3%	0.1	%	–	0.7%	0.3%	0.1	%	–	0.9%	0.5%
Initial loss severity:
2005 and prior	60.0%					60.0%					65.0%
2006	70.0%					70.0%					65.0%
2007	65.0%					65.0%					65.0%
Initial CPR	2.7	%	–	32.5%	11.5%	1.7	%	–	21.0%	7.7%	0.0	%	–	34.2%	9.7%
Final CPR(2)	15%					15%					15%
Option ARM
Plateau CDR	3.5	%	–	10.3%	7.8%	4.3	%	–	14.2%	10.6%	4.9	%	–	16.8%	11.9%
Intermediate CDR	0.7	%	–	2.1%	1.6%	0.9	%	–	2.8%	2.1%	1.0	%	–	3.4%	2.4%
Period until intermediate CDR	48 months					48 months					48 months
Final CDR	0.2	%	–	0.5%	0.4%	0.2	%	–	0.7%	0.5%	0.2	%	–	0.8%	0.5%
Initial loss severity:
2005 and prior	60.0%					60.0%					65.0%
2006	70.0%					70.0%					65.0%
2007	65.0%					65.0%					65.0%
Initial CPR	1.5	%	–	10.9%	5.1%	1.1	%	–	11.8%	4.9%	0.4	%	–	13.1%	4.7%
Final CPR(2)	15%					15%					15%
Subprime
Plateau CDR	4.7	%	–	13.2%	9.5%	4.9	%	–	15%	10.6%	5.6	%	–	16.2%	11.8%
Intermediate CDR	0.9	%	–	2.6%	1.9%	1.0	%	–	3.0%	2.1%	1.1	%	–	3.2%	2.4%
Period until intermediate CDR	48 months					48 months					48 months
Final CDR	0.2	%	–	0.7%	0.4%	0.2	%	–	0.7%	0.4%	0.3	%	–	0.8%	0.4%
Initial loss severity:
2005 and prior	75.0%					75.0%					90.0%
2006	90.0%					90.0%					90.0%
2007	90.0%					90.0%					90.0%
Initial CPR	0.0	%	–	10.1%	3.6%	0.0	%	–	10.5%	6.1%	0.0	%	–	15.7%	4.1%
Final CPR(2)	15%					15%					15%

____________________

(1) Represents variables for most heavily weighted scenario (the “base case”).


(2)	For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used.

Key Assumptions in Base Case Expected Loss Estimates Second Lien RMBS

Key Assumptions in Base Case Expected Loss Estimates

HELOCs(1)



	As of December 31, 2015					As of December 31, 2014					As of December 31, 2013
	Range				Weighted Average	Range				Weighted Average	Range				Weighted Average
Plateau CDR	4.9	%	–	23.5%	10.3%	2.8	%	–	6.8%	4.1%	2.3	%	–	7.7%	4.9%
Final CDR trended down to	0.5	%	–	3.2%	1.2%	0.5	%	–	3.2%	1.2%	0.4	%	–	3.2%	1.1%
Period until final CDR	34 months					34 months					34 months
Initial CPR	10.9%					6.9	%	–	21.8%	11.0%	2.7	%	–	21.5%	9.9%
Final CPR(2)	10.0	%	–	15.0%	13.3%	15.0	%	–	21.8%	15.5%	10%
Loss severity	98.0%					90.0	%	–	98.0%	90.4%	98%

____________________


(1)	Represents variables for most heavily weighted scenario (the “base case”).


(2)	For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used.