Expected Loss to be Paid (Tables)

3 Months Ended

Mar. 31, 2018

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 for all contracts. The Company used risk-free rates for U.S. dollar denominated obligations that ranged from 0.0% to 3.11% with a weighted average of 2.82% as of March 31, 2018 and 0.00% to 2.78% with a weighted average of 2.38% as of December 31, 2017. Expected losses to be paid for transactions denominated in currencies other than the U.S. dollar represented approximately 3.5% and 3.7% of the total as of March 31, 2018 and December 31, 2017, respectively.

Net Expected Loss to be Paid

Roll Forward



	First Quarter
	2018			2017
	(in millions)
Net expected loss to be paid, beginning of period	$	1,303		$	1,198
Net expected loss to be paid on the MBIA UK portfolio as of January 10, 2017	—			21
Economic loss development (benefit) due to:
Accretion of discount	8			8
Changes in discount rates	(6		)	11
Changes in timing and assumptions	(26		)	28
Total economic loss development (benefit)	(24		)	47
Net (paid) recovered losses	19			(22		)
Net expected loss to be paid, end of period	$	1,298		$	1,244

Net Expected Loss to be Paid

Roll Forward by Sector

First Quarter 2018



	Net Expected Loss to be Paid (Recovered) as of December 31, 2017 (2)		Economic Loss Development / (Benefit)			(Paid) Recovered Losses (1)			Net Expected Loss to be Paid (Recovered) as of March 31, 2018 (2)
	(in millions)
Public finance:
U.S. public finance	$	1,157	$	(39	)	$	(111	)	$	1,007
Non-U.S. public finance	46		(3		)	—			43
Public finance	1,203		(42		)	(111		)	1,050
Structured finance:
U.S. RMBS	73		16			130			219
Other structured finance	27		2			0			29
Structured finance	100		18			130			248
Total	$	1,303	$	(24	)	$	19		$	1,298

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 / (Benefit)			(Paid) Recovered Losses (1)			Net Expected Loss to be Paid (Recovered) as of March 31, 2017
	(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
Other structured finance	88		8		(50		)	(10		)	36
Structured finance	294		8		(72		)	3			233
Total	$	1,198	$	21	$	47		$	(22	)	$	1,244

____________________


(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 $5 million and $2 million in loss adjustment expenses (LAE) for First Quarter 2018 and 2017, respectively.


(2)	Includes expected LAE to be paid of $19 million as of March 31, 2018 and $23 million as of December 31, 2017.

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, 2018			As of December 31, 2017			First Quarter 2018			First Quarter 2017
	(in millions)
Financial guaranty insurance	$	1,211		$	1,226		$	(33	)	$	66
FG VIEs (1) and other	93			91			2			(4		)
Credit derivatives (2)	(6		)	(14		)	7			(15		)
Total	$	1,298		$	1,303		$	(24	)	$	47

___________________

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

(2) See 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, 2018			As of December 31, 2017			First Quarter 2018			First Quarter 2017
	(in millions)
Financial guaranty insurance	$	1,211		$	1,226		$	(33	)	$	66
FG VIEs (1) and other	93			91			2			(4		)
Credit derivatives (2)	(6		)	(14		)	7			(15		)
Total	$	1,298		$	1,303		$	(24	)	$	47

___________________

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

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

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

Key Assumptions in Base Case Expected Loss Estimates

First Lien RMBS



	As of March 31, 2018					As of December 31, 2017
	Range				Weighted Average	Range				Weighted Average
Alt-A First Lien
Plateau CDR	1.4	%	-	9.2%	4.7%	1.3	%	–	9.8%	5.2%
Final CDR	0.1	%	-	0.5%	0.2%	0.1	%	–	0.5%	0.3%
Initial loss severity:
2005 and prior	60%					60%
2006	80%					80%
2007+	70%					70%
Option ARM
Plateau CDR	1.4	%	-	7.8%	5.8%	2.5	%	–	7.0%	5.9%
Final CDR	0.1	%	-	0.4%	0.3%	0.1	%	–	0.3%	0.3%
Initial loss severity:
2005 and prior	60%					60%
2006	70%					70%
2007+	75%					75%
Subprime
Plateau CDR	4.2	%	-	11.8%	7.7%	3.5	%	–	13.1%	7.8%
Final CDR	0.2	%	-	0.6%	0.4%	0.2	%	–	0.7%	0.4%
Initial loss severity:
2005 and prior	80%					80%
2006	85%					90%
2007+	95%					95%

First Lien Liquidation Rates



	March 31, 2018	December 31, 2017
Delinquent/Modified in the Previous 12 Months
Alt A and Prime	20%	20%
Option ARM	20	20
Subprime	20	20
30 – 59 Days Delinquent
Alt A and Prime	30	30
Option ARM	35	35
Subprime	45	40
60 – 89 Days Delinquent
Alt A and Prime	40	40
Option ARM	45	50
Subprime	50	50
90+ Days Delinquent
Alt A and Prime	45	55
Option ARM	55	60
Subprime	55	55
Bankruptcy
Alt A and Prime	45	45
Option ARM	50	50
Subprime	40	40
Foreclosure
Alt A and Prime	55	65
Option ARM	65	70
Subprime	65	65
Real Estate Owned
All	100	100

Key Assumptions in Base Case Expected Loss Estimates Second Lien RMBS

Key Assumptions in Base Case Expected Loss Estimates

HELOCs



	As of March 31, 2018					As of December 31, 2017
	Range				Weighted Average	Range				Weighted Average
Plateau CDR	2.5	%	-	18.4%	10.6%	2.7	%	-	19.9%	11.4%
Final CDR trended down to	2.5	%	-	3.2%	2.5%	2.5	%	-	3.2%	2.5%
Liquidation rates:
Delinquent/Modified in the Previous 12 Months	20%					20%
30 – 59 Days Delinquent	40					45
60 – 89 Days Delinquent	60					60
90+ Days Delinquent	75					75
Bankruptcy	55					55
Foreclosure	65					70
Real Estate Owned	100					100
Loss severity	98%					98%