Expected Loss to be Paid (Tables)

12 Months Ended

Dec. 31, 2017

Net Expected Loss to be Paid

Roll Forward



	Year Ended December 31,
	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			—
Net expected loss to be paid on the CIFG portfolio as of July 1, 2016	—			22
Economic loss development (benefit) due to:
Accretion of discount	33			26
Changes in discount rates	25			(15		)
Changes in timing and assumptions	255			128
Total economic loss development (benefit)	313			139
Net (paid) recovered losses	(229		)	(354		)
Net expected loss to be paid, end of period	$	1,303		$	1,198

Net Expected Loss to be Paid

Roll Forward by Sector

Year Ended December 31, 2017



	Net Expected Loss to be Paid (Recovered) as of December 31, 2016 (2)		Net Expected Loss to be Paid on MBIA UK as of January 10, 2017		Economic Loss Development / (Benefit)			(Paid) Recovered Losses (1)			Net Expected Loss to be Paid (Recovered) as of December 31, 2017 (2)
	(in millions)
Public finance:
U.S. public finance	$	871	$	—	$	554		$	(268	)	$	1,157
Non-U.S. public finance	33		13		(5		)	5			46
Public finance	904		13		549			(263		)	1,203
Structured finance:
U.S. RMBS	206		—		(181		)	48			73
Other structured finance	88		8		(55		)	(14		)	27
Structured finance	294		8		(236		)	34			100
Total	$	1,198	$	21	$	313		$	(229	)	$	1,303

Net Expected Loss to be Paid

Roll Forward by Sector

Year Ended December 31, 2016



	Net Expected Loss to be Paid (Recovered) as of December 31, 2015		Net Expected Loss to be Paid (Recovered) on CIFG as of July 1, 2016			Economic Loss Development / (Benefit)			(Paid) Recovered Losses (1)			Net Expected Loss to be Paid (Recovered) as of December 31, 2016 (2)
	(in millions)
Public finance:
U.S. public finance	$	771	$	40		$	276		$	(216	)	$	871
Non-U.S. public finance	38		2			(7		)	—			33
Public finance	809		42			269			(216		)	904
Structured finance:
U.S. RMBS	409		(22		)	(91		)	(90		)	206
Other structured finance	173		2			(39		)	(48		)	88
Structured finance	582		(20		)	(130		)	(138		)	294
Total	$	1,391	$	22		$	139		$	(354	)	$	1,198

____________________


(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 $24 million and $16 million in LAE for the years ended December 31, 2017 and 2016, respectively.


(2)	Includes expected LAE to be paid of $23 million as of December 31, 2017 and $12 million as of December 31, 2016.

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 December 31, 2017			As of December 31, 2016		Year Ended December 31, 2017			Year Ended December 31, 2016
	(in millions)
Financial guaranty insurance	$	1,226		$	1,083	$	353		$	164
FG VIEs (1) and other	91			105		(6		)	(8		)
Credit derivatives (2)	(14		)	10		(34		)	(17		)
Total	$	1,303		$	1,198	$	313		$	139

____________________

(1) See Note 9, Consolidated Variable Interest Entities.

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

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 December 31, 2017			As of December 31, 2016		Year Ended December 31, 2017			Year Ended December 31, 2016
	(in millions)
Financial guaranty insurance	$	1,226		$	1,083	$	353		$	164
FG VIEs (1) and other	91			105		(6		)	(8		)
Credit derivatives (2)	(14		)	10		(34		)	(17		)
Total	$	1,303		$	1,198	$	313		$	139

____________________

(1) See Note 9, Consolidated Variable Interest Entities.

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

First Lien Liquidation Rates



	December 31, 2017	December 31, 2016	December 31, 2015
Delinquent/Modified in the Previous 12 Months
Alt A and Prime	20%	25%	25%
Option ARM	20	25	25
Subprime	20	25	25
30 – 59 Days Delinquent
Alt A and Prime	30	35	35
Option ARM	35	35	40
Subprime	40	40	45
60 – 89 Days Delinquent
Alt A and Prime	40	45	45
Option ARM	50	50	50
Subprime	50	50	55
90+ Days Delinquent
Alt A and Prime	55	55	55
Option ARM	60	55	60
Subprime	55	55	60
Bankruptcy
Alt A and Prime	45	45	45
Option ARM	50	50	50
Subprime	40	40	40
Foreclosure
Alt A and Prime	65	65	65
Option ARM	70	65	70
Subprime	65	65	70
Real Estate Owned
All	100	100	100

Key Assumptions in Base Case Expected Loss Estimates

First Lien RMBS

Key Assumptions in Base Case Expected Loss Estimates

HELOCs



	As of December 31, 2017					As of December 31, 2016					As of December 31, 2015
	Range				Weighted Average	Range				Weighted Average	Range				Weighted Average
Plateau CDR	2.7	%	–	19.9%	11.4%	3.5	%	–	24.8%	13.6%	4.9	%	–	23.5%	10.3%
Final CDR trended down to	2.5	%	–	3.2%	2.5%	0.5	%	–	3.2%	1.3%	0.5	%	–	3.2%	1.2%
Liquidation rates:
Delinquent/Modified in the Previous 12 Months	20%					25%					25%
30 – 59 Days Delinquent	45					50					50
60 – 89 Days Delinquent	60					65					65
90+ Days Delinquent	75					80					75
Bankruptcy	55					55					55
Foreclosure	70					75					75
Real Estate Owned	100					100					100
Loss severity	98%					98%					98%