Expected Loss to be Paid (Tables)

3 Months Ended

Mar. 31, 2017

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 the present value of net expected loss to be paid for all contracts, whether accounted for as insurance, credit derivatives or financial guaranty (FG) VIEs, by sector, after the expected recoveries/ (payables) for breaches of representations and warranties (R&W) and other expected recoveries. The Company used risk-free rates for U.S. dollar denominated obligations that ranged from 0.0% to 3.14% with a weighted average of 2.65% as of March 31, 2017 and 0.0% to 3.23% with a weighted average of 2.73% as of December 31, 2016.

Net Expected Loss to be Paid

Roll Forward



	First Quarter
	2017			2016
	(in millions)
Net expected loss to be paid, beginning of period	$	1,198		$	1,391
Net expected loss to be paid on the MBIA UK portfolio as of January 10, 2017	21			—
Economic loss development due to:
Accretion of discount	8			9
Changes in discount rates	11			63
Changes in timing and assumptions	28			(13		)
Total economic loss development	47			59
Net paid losses	(22		)	(113		)
Net expected loss to be paid, end of period	$	1,244		$	1,337

Net Expected Loss to be Paid

Roll Forward by Sector

First Quarter 2017



	Net Expected Loss to be Paid (Recovered) as of December 31, 2016		Net Expected Loss to be Paid on MBIA UK as of January 10, 2017		Economic Loss Development			(Paid) Recovered Losses (1)			Net Expected Loss to be Paid (Recovered) as of March 31, 2017 (2)
	(in millions)
Public finance:
U.S. public finance	$	871	$	—	$	124		$	(25	)	$	970
Non-U.S. public finance	33		13		(5		)	—			41
Public finance	904		13		119			(25		)	1,011
Structured finance:
U.S. RMBS	206		—		(22		)	13			197
Triple-X life insurance transactions	54		—		(53		)	0			1
Other structured finance	34		8		3			(10		)	35
Structured finance	294		8		(72		)	3			233
Total	$	1,198	$	21	$	47		$	(22	)	$	1,244

Net Expected Loss to be Paid

Roll Forward by Sector

First Quarter 2016



	Net Expected Loss to be Paid (Recovered) as of December 31, 2015		Economic Loss Development			(Paid) Recovered Losses (1)			Net Expected Loss to be Paid (Recovered) as of March 31, 2016
	(in millions)
Public finance:
U.S. public finance	$	771	$	98		$	(5	)	$	864
Non-U.S. public finance	38		1			—			39
Public finance	809		99			(5		)	903
Structured finance:
U.S. RMBS	409		(31		)	(85		)	293
Triple-X life insurance transactions	99		4			(1		)	102
Other structured finance	74		(13		)	(22		)	39
Structured finance	582		(40		)	(108		)	434
Total	$	1,391	$	59		$	(113	)	$	1,337

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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 in reinsurance recoverable on paid losses included in other assets. The Company paid $2 million and $2 million in LAE for First Quarter 2017 and 2016, respectively.


(2)	Includes expected LAE to be paid of $19 million as of March 31, 2017 and $12 million as of December 31, 2016.

Schedule Of Net Expected Losses To Be Paid (Recovered) And Net Economic Development (Benefit) Loss

The following table presents the present value of net expected loss to be paid and the net economic loss development for all contracts 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 March 31, 2017		As of December 31, 2016		First Quarter 2017			First Quarter 2016
	(in millions)
Financial guaranty insurance	$	1,141	$	1,083	$	66		$	61
FG VIEs (1) and other	99		105		(4		)	4
Credit derivatives (2)	4		10		(15		)	(6		)
Total	$	1,244	$	1,198	$	47		$	59

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

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

Net Expected Loss to be Paid By Accounting Model

The following table presents the present value of net expected loss to be paid and the net economic loss development for all contracts 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 March 31, 2017		As of December 31, 2016		First Quarter 2017			First Quarter 2016
	(in millions)
Financial guaranty insurance	$	1,141	$	1,083	$	66		$	61
FG VIEs (1) and other	99		105		(4		)	4
Credit derivatives (2)	4		10		(15		)	(6		)
Total	$	1,244	$	1,198	$	47		$	59

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

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

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

First Lien Liquidation Rates



	March 31, 2017	December 31, 2016
Current Loans Modified in the Previous 12 Months
Alt A and Prime	25%	25%
Option ARM	25	25
Subprime	25	25
Current Loans Delinquent in the Previous 12 Months
Alt A and Prime	25	25
Option ARM	25	25
Subprime	25	25
30 – 59 Days Delinquent
Alt A and Prime	30	35
Option ARM	35	35
Subprime	40	40
60 – 89 Days Delinquent
Alt A and Prime	45	45
Option ARM	45	50
Subprime	50	50
90+ Days Delinquent
Alt A and Prime	55	55
Option ARM	55	55
Subprime	55	55
Bankruptcy
Alt A and Prime	45	45
Option ARM	50	50
Subprime	40	40
Foreclosure
Alt A and Prime	65	65
Option ARM	65	65
Subprime	65	65
Real Estate Owned
All	100	100

Key Assumptions in Base Case Expected Loss Estimates

First Lien RMBS(1)



	As of March 31, 2017					As of December 31, 2016
	Range				Weighted Average	Range				Weighted Average
Alt A and Prime
Plateau CDR	1.0	%	-	12.8%	5.6%	1.0	%	–	13.5%	5.7%
Final CDR	0.0	%	-	0.6%	0.3%	0.0	%	–	0.7%	0.3%
Initial loss severity:
2005 and prior	60%					60%
2006	80%					80%
2007+	70%					70%
Option ARM
Plateau CDR	3.2	%	-	7.1%	5.6%	3.2	%	–	7.0%	5.6%
Final CDR	0.2	%	-	0.4%	0.3%	0.2	%	–	0.3%	0.3%
Initial loss severity:
2005 and prior	60%					60%
2006	70%					70%
2007+	75%					75%
Subprime
Plateau CDR	3.8	%	-	14.5%	8.3%	2.8	%	–	14.1%	8.1%
Final CDR	0.2	%	-	0.7%	0.4%	0.1	%	–	0.7%	0.4%
Initial loss severity:
2005 and prior	80%					80%
2006	90%					90%
2007+	95%					90%

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

Key Assumptions in Base Case Expected Loss Estimates Second Lien RMBS

Key Assumptions in Base Case Expected Loss Estimates

HELOCs (1)



	As of March 31, 2017					As of December 31, 2016
	Range				Weighted Average	Range				Weighted Average
Plateau CDR	3.8	%	–	23.9%	14.1%	3.5	%	–	24.8%	13.6%
Final CDR trended down to	0.5	%	–	3.2%	1.3%	0.5	%	–	3.2%	1.3%
Liquidation rates:
Current Loans Modified in the Previous 12 Months	25%					25%
Current Loans Delinquent in the Previous 12 Months	25					25
30 – 59 Days Delinquent	50					50
60 – 89 Days Delinquent	65					65
90+ Days Delinquent	80					80
Bankruptcy	55					55
Foreclosure	75					75
Real Estate Owned	100					100
Loss severity	98%					98%

____________________


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