Expected Loss to be Paid (Recovered) (Tables)

12 Months Ended

Dec. 31, 2023

Expected Losses [Abstract]

Net Expected Loss to be Paid 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,				Year Ended December 31,
Accounting Model	2023		2022		2023		2022		2021
	(in millions)
Insurance (see Note 5)	$	263	$	205	$	174	$	(112)	$	(281)
FG VIEs (see Note 8) (1)	240		314		(11)		(17)		(20)
Credit derivatives (see Note 6)	2		3		1		4		14
Total	$	505	$	522	$	164	$	(125)	$	(287)

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(1)    The net expected loss to be paid for FG VIEs primarily relates to trusts established as part of the 2022 Puerto Rico Resolutions (Puerto Rico Trusts) that were consolidated.

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 (recovered) for all contracts, which are accounted for under one of the following accounting models: insurance, derivative and FG VIE. The Company used risk-free rates for U.S. dollar denominated obligations that ranged from 3.79% to 5.40% with a weighted average of 4.10% as of December 31, 2023 and 3.82% to 4.69% with a weighted average of 4.08% as of December 31, 2022. Net expected losses to be paid for U.S. dollar denominated transactions represented approximately 96.1% and 98.5% of the total as of December 31, 2023 and December 31, 2022, respectively.

Net Expected Loss to be Paid (Recovered)

Roll Forward

	Year Ended December 31,
	2023		2022		2021
	(in millions)
Net expected loss to be paid (recovered), beginning of period	$	522	$	411	$	529
Economic loss development (benefit) due to:
Accretion of discount	20		16		7
Changes in discount rates	3		(115)		(33)
Changes in timing and assumptions	141		(26)		(261)
Total economic loss development (benefit)	164		(125)		(287)
Net (paid) recovered losses (1)	(181)		236		169
Net expected loss to be paid (recovered), end of period	$	505	$	522	$	411

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(1)     Net (paid) recovered losses in 2023 include recoveries related to various Puerto Rico securities transferred to the Company's investment portfolio upon the maturity and extinguishment of certain GO, PBA and HTA insured exposure. Net (paid) recovered losses in 2022 include the net amounts received pursuant to the 2022 Puerto Rico Resolutions, as described in Note 3, Outstanding Exposure.

Net Expected Loss to be Paid (Recovered)

Roll Forward by Sector

	Year Ended December 31, 2023
Sector	Net Expected Loss to be Paid (Recovered) as of December 31, 2022		Net Economic Loss Development (Benefit)		Net (Paid) Recovered Losses (1)		Net Expected Loss to be Paid (Recovered) as of December 31, 2023
	(in millions)
Public finance:
U.S. public finance	$	403	$	201	$	(206)	$	398
Non-U.S. public finance	9		11		—		20
Public finance	412		212		(206)		418
Structured finance:
U.S. RMBS	66		(56)		33		43
Other structured finance	44		8		(8)		44
Structured finance	110		(48)		25		87
Total	$	522	$	164	$	(181)	$	505

	Year Ended December 31, 2022
Sector	Net Expected Loss to be Paid (Recovered) as of December 31, 2021		Net Economic Loss Development (Benefit)		Net (Paid) Recovered Losses (1)		Net Expected Loss to be Paid (Recovered) as of December 31, 2022
	(in millions)
Public finance:
U.S. public finance	$	197	$	19	$	187	$	403
Non-U.S. public finance	12		(2)		(1)		9
Public finance	209		17		186		412
Structured finance:
U.S. RMBS	150		(143)		59		66
Other structured finance	52		1		(9)		44
Structured finance	202		(142)		50		110
Total	$	411	$	(125)	$	236	$	522

	Year Ended December 31, 2021
Sector	Net Expected Loss to be Paid (Recovered) as of December 31, 2020		Net Economic Loss Development (Benefit)		Net (Paid) Recovered Losses (1)		Net Expected Loss to be Paid (Recovered) as of December 31, 2021
	(in millions)
Public finance:
U.S. public finance	$	305	$	(182)	$	74	$	197
Non-U.S. public finance	36		(22)		(2)		12
Public finance	341		(204)		72		209
Structured finance:
U.S. RMBS	148		(100)		102		150
Other structured finance	40		17		(5)		52
Structured finance	188		(83)		97		202
Total	$	529	$	(287)	$	169	$	411

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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 as reinsurance recoverable on paid losses in “other assets.”

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,
	2023		2022		2021
	(in millions)
First lien U.S. RMBS	$	(7)	$	(36)	$	—
Second lien U.S. RMBS	(49)		(107)		(100)

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

First Lien U.S. RMBS Liquidation Rates

	As of December 31, 2023			As of December 31, 2022
	Range			Range
Current but recently delinquent	20%			20%
30 – 59 Days Delinquent	30%	–	35%	30%	–	35%
60 – 89 Days Delinquent	40%	–	45%	40%	–	45%
90+ Days Delinquent	45%	–	60%	45%	–	60%
Bankruptcy	40%	–	50%	40%	–	50%
Foreclosure	55%	–	65%	55%	–	65%
Real Estate Owned	100%			100%

Key Assumptions in Base Scenario Expected Loss Estimates

First Lien U.S. RMBS

	As of December 31, 2023					As of December 31, 2022
	Range				Weighted Average	Range				Weighted Average
Alt-A and Prime:
CDR plateau	1.4	%	–	9.0%	3.6%	1.6	%	–	11.5%	5.1%
Final CDR	0.1	%	–	0.4%	0.2%	0.1	%	–	0.6%	0.3%
Initial loss severity	50%					50%
Option ARM:
CDR plateau	0.0	%	–	8.9%	3.3%	2.0	%	–	7.7%	4.3%
Final CDR	0.0	%	–	0.4%	0.2%	0.1	%	–	0.4%	0.2%
Initial loss severity	50%					50%
Subprime:
CDR plateau	0.3	%	–	10.0%	4.4%	2.7	%	–	9.7%	5.6%
Final CDR	0.0	%	–	0.5%	0.2%	0.1	%	–	0.5%	0.3%
Initial loss severity	50%					50%

Key Assumptions in Base Case Expected Loss Estimates Second Lien RMBS

Key Assumptions in Base Scenario Expected Loss Estimates

HELOCs

	As of December 31, 2023					As of December 31, 2022
	Range				Weighted Average	Range				Weighted Average
CDR plateau	0.0	%	–	9.3%	2.6%	0.4	%	–	8.4%	3.5%
Final CDR trended down to	0.0	%	–	0.5%	0.1%	0.0	%	–	0.4%	0.2%
Liquidation rates:
Current but recently delinquent	20%					20%
30 – 59 Days Delinquent	30					30
60 – 89 Days Delinquent	40					40
90+ Days Delinquent	60					60
Bankruptcy	55					55
Foreclosure	55					55
Real Estate Owned	100					100
Loss severity on future defaults	98%					98%
Projected future recoveries on previously charged-off loans	10.0%		-	80.0%	40.0%	30%