Expected Loss to be Paid (Tables)

12 Months Ended

Dec. 31, 2018

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

Net Economic Loss Development (Benefit)

U.S. RMBS



	Year Ended December 31,
	2018			2017
	(in millions)
First lien U.S. RMBS	$	16		$	1
Second lien U.S. RMBS	(85		)	(182		)

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

Net Expected Loss to be Paid

Roll Forward



	Year Ended December 31,
	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 SGI portfolio as of June 1, 2018 (see Note 2)	131			—
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	36			33
Changes in discount rates	(17		)	25
Changes in timing and assumptions	(24		)	255
Total economic loss development (benefit)	(5		)	313
Net (paid) recovered losses	(246		)	(229		)
Net expected loss to be paid, end of period	$	1,183		$	1,303

Net Expected Loss to be Paid

Roll Forward by Sector

Year Ended December 31, 2018



	Net Expected Loss to be Paid (Recovered) as of December 31, 2017 (2)		Net Expected Loss to be Paid on SGI portfolio as of June 1, 2018		Economic Loss Development / (Benefit)			(Paid) Recovered Losses (1)			Net Expected Loss to be Paid (Recovered) as of December 31, 2018 (2)
	(in millions)
Public finance:
U.S. public finance	$	1,157	$	—	$	70		$	(395	)	$	832
Non-U.S. public finance	46		1		(14		)	(1		)	32
Public finance	1,203		1		56			(396		)	864
Structured finance:
U.S. RMBS	73		130		(69		)	159			293
Other structured finance	27		—		8			(9		)	26
Structured finance	100		130		(61		)	150			319
Total	$	1,303	$	131	$	(5	)	$	(246	)	$	1,183

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		Net Expected Loss to be Paid (Recovered) 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

____________________


(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 $28 million and $24 million in LAE for the years ended December 31, 2018 and 2017, respectively.


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

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 December 31, 2018			As of December 31, 2017			Year Ended December 31, 2018			Year Ended December 31, 2017
	(in millions)
Financial guaranty insurance	$	1,109		$	1,226		$	(9	)	$	353
FG VIEs (1) and other	76			91			(13		)	(6		)
Credit derivatives (2)	(2		)	(14		)	17			(34		)
Total	$	1,183		$	1,303		$	(5	)	$	313

____________________

(1) See Note 9, Variable Interest Entities.

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

Schedule of Net Economic Loss Development

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 December 31, 2018			As of December 31, 2017			Year Ended December 31, 2018			Year Ended December 31, 2017
	(in millions)
Financial guaranty insurance	$	1,109		$	1,226		$	(9	)	$	353
FG VIEs (1) and other	76			91			(13		)	(6		)
Credit derivatives (2)	(2		)	(14		)	17			(34		)
Total	$	1,183		$	1,303		$	(5	)	$	313

____________________

(1) See Note 9, 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

First Lien Liquidation Rates



	As of December 31,
	2018	2017	2016
Delinquent/Modified in the Previous 12 Months
Alt-A and Prime	20%	20%	25%
Option ARM	20	20	25
Subprime	20	20	25
30 – 59 Days Delinquent
Alt-A and Prime	30	30	35
Option ARM	35	35	35
Subprime	40	40	40
60 – 89 Days Delinquent
Alt-A and Prime	40	40	45
Option ARM	45	50	50
Subprime	45	50	50
90+ Days Delinquent
Alt-A and Prime	50	55	55
Option ARM	55	60	55
Subprime	50	55	55
Bankruptcy
Alt-A and Prime	45	45	45
Option ARM	50	50	50
Subprime	40	40	40
Foreclosure
Alt-A and Prime	60	65	65
Option ARM	65	70	65
Subprime	60	65	65
Real Estate Owned
All	100	100	100

Key Assumptions in Base Case Expected Loss Estimates

First Lien RMBS



	As of December 31, 2018					As of December 31, 2017					As of December 31, 2016
	Range				Weighted Average	Range				Weighted Average	Range				Weighted Average
Alt-A First Lien
Plateau CDR	1.2	%	–	11.4%	4.6%	1.3	%	–	9.8%	5.2%	1.0	%	–	13.5%	5.7%
Final CDR	0.1	%	–	0.6%	0.2%	0.1	%	–	0.5%	0.3%	0.0	%	–	0.7%	0.3%
Initial loss severity:
2005 and prior	60%					60%					60%
2006	70%					80%					80%
2007+	70%					70%					70%
Option ARM
Plateau CDR	1.8	%	–	8.3%	5.6%	2.5	%	–	7.0%	5.9%	3.2	%	–	7.0%	5.6%
Final CDR	0.1	%	–	0.4%	0.3%	0.1	%	–	0.3%	0.3%	0.2	%	–	0.3%	0.3%
Initial loss severity:
2005 and prior	60%					60%					60%
2006	60%					70%					70%
2007+	70%					75%					75%
Subprime
Plateau CDR	1.8	%	–	23.2%	6.2%	3.5	%	–	13.1%	7.8%	2.8	%	–	14.1%	8.1%
Final CDR	0.1	%	–	1.2%	0.3%	0.2	%	–	0.7%	0.4%	0.1	%	–	0.7%	0.4%
Initial loss severity:
2005 and prior	80%					80%					80%
2006	75%					90%					90%
2007+	95%					95%					90%

Key Assumptions in Base Case Expected Loss Estimates Second Lien RMBS

Key Assumptions in Base Case Expected Loss Estimates

HELOCs



	As of December 31, 2018					As of December 31, 2017					As of December 31, 2016
	Range				Weighted Average	Range				Weighted Average	Range				Weighted Average
Plateau CDR	4.6	%	–	26.8%	10.1%	2.7	%	–	19.9%	11.4%	3.5	%	–	24.8%	13.6%
Final CDR trended down to	2.5	%	–	3.2%	2.5%	2.5	%	–	3.2%	2.5%	0.5	%	–	3.2%	1.3%
Liquidation rates:
Delinquent/Modified in the Previous 12 Months	20%					20%					25%
30 – 59 Days Delinquent	35					45					50
60 – 89 Days Delinquent	50					60					65
90+ Days Delinquent	70					75					80
Bankruptcy	55					55					55
Foreclosure	65					70					75
Real Estate Owned	100					100					100
Loss severity	98%					98%					98%