Expected Losses to be Paid (Tables)

3 Months Ended

Mar. 31, 2013

Net Expected Loss to be Paid Before Recoveries for Breaches of R&WRoll Forward by Sector [Table Text Block]

Net Expected Loss to be Paid

Before Recoveries for Breaches of R&W

Roll Forward by Sector

First Quarter 2013



	Net Expected Loss to be Paid as of December 31, 2012(2)			Economic Loss Development			(Paid) Recovered Losses(1)			Net Expected Loss to be Paid as of March 31, 2013(2)
	(in millions)
U.S. RMBS:
First lien:
Prime first lien	$	10		$	6		$	(1	)	$	15
Alt-A first lien	693			1			(19		)	675
Option ARM	460			15			(112		)	363
Subprime	351			29			(4		)	376
Total first lien	1,514			51			(136		)	1,429
Second lien:
Closed-end second lien	99			(8		)	(4		)	87
HELOCs	39			14			(14		)	39
Total second lien	138			6			(18		)	126
Total U.S. RMBS	1,652			57			(154		)	1,555
TruPS	27			(3		)	(1		)	23
Other structured finance	312			(2		)	(3		)	307
U.S. public finance	7			7			(23		)	(9		)
Non-U.S public finance	52			10			—			62
Other	(3		)	(10		)	—			(13		)
Total	$	2,047		$	59		$	(181	)	$	1,925

Net Expected Loss to be Paid

Before Recoveries for Breaches of R&W

Roll Forward by Sector

First Quarter 2012



	Net Expected Loss to be Paid as of December 31, 2011		Economic Loss Development			(Paid) Recovered Losses(1)			Expected Loss to be Paid as of March 31, 2012
	(in millions)
U.S. RMBS:
First lien:
Prime first lien	$	5	$	1		$	—		$	6
Alt-A first lien	702		25			(26		)	701
Option ARM	935		26			(107		)	854
Subprime	342		11			(9		)	344
Total first lien	1,984		63			(142		)	1,905
Second lien:
Closed-end second lien	138		(5		)	(12		)	121
HELOCs	159		10			(71		)	98
Total second lien	297		5			(83		)	219
Total U.S. RMBS	2,281		68			(225		)	2,124
TruPS	64		(4		)	(2		)	58
Other structured finance	342		(22		)	(24		)	296
U.S. public finance	16		23			(6		)	33
Non-U.S public finance	51		198			54			303
Other	2		—			—			2
Total	$	2,756	$	263		$	(203	)	$	2,816

____________________


(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.


(2)	Includes expected LAE to be paid for mitigating claim liabilities of $31 million as of March 31, 2013 and $39 million as of December 31, 2012. The Company paid $13 million and $9 million in LAE for First Quarter 2013 and 2012, respectively.

Roll Forward of Estimated Benefit from Recoveries from Representation and Warranty Breaches, Net of Reinsurance

Net Expected Recoveries from

Breaches of R&W Rollforward

First Quarter 2013



	Future Net R&W Benefit as of December 31, 2012		R&W Development and Accretion of Discount During First Quarter 2013			R&W Recovered During First Quarter 2013(1)			Future Net R&W Benefit as of March 31, 2013(2)
	(in millions)
U.S. RMBS:
First lien:
Prime first lien	$	4	$	—		$	—		$	4
Alt-A first lien	378		(8		)	(8		)	362
Option ARM	591		153			(54		)	690
Subprime	109		4			—			113
Total first lien	1,082		149			(62		)	1,169
Second lien:
Closed end second lien	138		(9		)	(21		)	108
HELOC	150		17			(6		)	161
Total second lien	288		8			(27		)	269
Total	$	1,370	$	157		$	(89	)	$	1,438

Net Expected Recoveries from

Breaches of R&W Rollforward

First Quarter 2012



	Future Net R&W Benefit as of December 31, 2011		R&W Development and Accretion of Discount During First Quarter 2012			R&W Recovered During First Quarter 2012(1)			Future Net R&W Benefit as of March 31, 2012 (2)
	(in millions)
U.S. RMBS:
First lien:
Prime first lien	$	3	$	1		$	—		$	4
Alt-A first lien	407		27			(1		)	433
Option ARM	725		28			(18		)	735
Subprime	101		(5		)	—			96
Total first lien	1,236		51			(19		)	1,268
Second lien:
Closed end second lien	224		(2		)	—			222
HELOC	190		2			(51		)	141
Total second lien	414		—			(51		)	363
Total	$	1,650	$	51		$	(70	)	$	1,631

____________________


(1)	Gross amounts recovered were $92 million and $77 million for First Quarter 2013 and 2012, respectively.


(2)	Includes excess spread that the Company will receive as salvage as a result of a settlement agreement with an R&W provider.

Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid Roll Forward

Net Expected Loss to be Paid

After Net Expected Recoveries for Breaches of R&W

Roll Forward

First Quarter 2013



	Net Expected Loss to be Paid as of December 31, 2012			Economic Loss Development			(Paid) Recovered Losses(1)			Net Expected Loss to be Paid as of March 31, 2013
	(in millions)
U.S. RMBS:
First lien:
Prime first lien	$	6		$	6		$	(1	)	$	11
Alt-A first lien	315			9			(11		)	313
Option ARM	(131		)	(138		)	(58		)	(327		)
Subprime	242			25			(4		)	263
Total first lien	432			(98		)	(74		)	260
Second lien:
Closed-end second lien	(39		)	1			17			(21		)
HELOCs	(111		)	(3		)	(8		)	(122		)
Total second lien	(150		)	(2		)	9			(143		)
Total U.S. RMBS	282			(100		)	(65		)	117
TruPS	27			(3		)	(1		)	23
Other structured finance	312			(2		)	(3		)	307
U.S. public finance	7			7			(23		)	(9		)
Non-U.S public finance	52			10			—			62
Other	(3		)	(10		)	—			(13		)
Total	$	677		$	(98	)	$	(92	)	$	487

Net Expected Loss to be Paid

After Net Expected Recoveries for Breaches of R&W

Roll Forward

First Quarter 2012



	Net Expected Loss to be Paid as of December 31, 2011			Economic Loss Development			(Paid) Recovered Losses(1)			Expected Loss to be Paid as of March 31, 2012
	(in millions)
U.S. RMBS:
First lien:
Prime first lien	$	2		$	0		$	—		$	2
Alt-A first lien	295			(2		)	(25		)	268
Option ARM	210			(2		)	(89		)	119
Subprime	241			16			(9		)	248
Total first lien	748			12			(123		)	637
Second lien:
Closed-end second lien	(86		)	(3		)	(12		)	(101		)
HELOCs	(31		)	8			(20		)	(43		)
Total second lien	(117		)	5			(32		)	(144		)
Total U.S. RMBS	631			17			(155		)	493
TruPS	64			(4		)	(2		)	58
Other structured finance	342			(22		)	(24		)	296
U.S. public finance	16			23			(6		)	33
Non-U.S public finance	51			198			54			303
Other	2			—			—			2
Total	$	1,106		$	212		$	(133	)	$	1,185

____________________


(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.

Schedule of Net Exected Losses to be Paid

Net Expected Loss to be Paid

By Accounting Model

As of March 31, 2013



	Financial Guaranty Insurance			FG VIEs(1)			Credit Derivatives			Total
	(in millions)
US RMBS:
First lien:
Prime first lien	$	4		$	—		$	7		$	11
Alt-A first lien	163			26			124			313
Option ARM	(252		)	(82		)	7			(327		)
Subprime	128			54			81			263
Total first lien	43			(2		)	219			260
Second Lien:
Closed-end second lien	(38		)	27			(10		)	(21		)
HELOCs	41			(163		)	—			(122		)
Total second lien	3			(136		)	(10		)	(143		)
Total U.S. RMBS	46			(138		)	209			117
TruPS	1			—			22			23
Other structured finance	211			—			96			307
U.S. public finance	(9		)	—			—			(9		)
Non-U.S. public finance	61			—			1			62
Subtotal	$	310		$	(138	)	$	328		500
Other										(13		)
Total										$	487

Net Expected Loss to be Paid

By Accounting Model

As of December 31, 2012



	Financial Guaranty Insurance			FG VIEs(1)			Credit Derivatives			Total
	(in millions)
US RMBS:
First lien:
Prime first lien	$	4		$	—		$	2		$	6
Alt-A first lien	164			27			124			315
Option ARM	(114		)	(37		)	20			(131		)
Subprime	118			50			74			242
Total first lien	172			40			220			432
Second Lien:
Closed-end second lien	(60		)	31			(10		)	(39		)
HELOCs	56			(167		)	—			(111		)
Total second lien	(4		)	(136		)	(10		)	(150		)
Total U.S. RMBS	168			(96		)	210			282
TruPS	1			—			26			27
Other structured finance	224			—			88			312
U.S. public finance	7			—			—			7
Non-U.S. public finance	51			—			1			52
Subtotal	$	451		$	(96	)	$	325		680
Other										(3		)
Total										$	677

___________________

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

Schedule of Net Economic Loss Development

Net Economic Loss Development

By Accounting Model

First Quarter 2013



	Financial Guaranty Insurance			FG VIEs(1)			Credit Derivatives(2)			Total
	(in millions)
US RMBS:
First lien:
Prime first lien	$	—		$	—		$	6		$	6
Alt-A first lien	5			(1		)	5			9
Option ARM	(93		)	(37		)	(8		)	(138		)
Subprime	12			4			9			25
Total first lien	(76		)	(34		)	12			(98		)
Second Lien:
Closed-end second lien	5			(3		)	(1		)	1
HELOCs	(7		)	4			—			(3		)
Total second lien	(2		)	1			(1		)	(2		)
Total U.S. RMBS	(78		)	(33		)	11			(100		)
TruPS	0			—			(3		)	(3		)
Other structured finance	(10		)	—			8			(2		)
U.S. public finance	7			—			—			7
Non-U.S. public finance	9			—			1			10
Subtotal	$	(72	)	$	(33	)	$	17		(88		)
Other										(10		)
Total										$	(98	)

Net Economic Loss Development

By Accounting Model

First Quarter 2012



	Financial Guaranty Insurance			FG VIEs(1)			Credit Derivatives(2)			Total
	(in millions)
US RMBS:
First lien:
Prime first lien	$	1		$	—		$	(1	)	$	—
Alt-A first lien	(4		)	(5		)	7			(2		)
Option ARM	4			(6		)	—			(2		)
Subprime	3			8			5			16
Total first lien	4			(3		)	11			12
Second Lien:
Closed-end second lien	3			(4		)	(2		)	(3		)
HELOCs	12			(4		)	—			8
Total second lien	15			(8		)	(2		)	5
Total U.S. RMBS	19			(11		)	9			17
TruPS	(5		)	—			1			(4		)
Other structured finance	(19		)	—			(3		)	(22		)
U.S. public finance	23			—			—			23
Non-U.S. public finance	198			—			—			198
Subtotal	$	216		$	(11	)	$	7		212
Other										—
Total										$	212

___________________

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

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

Schedule of Insured Financial Obligations with Credit Deterioration Estimated Benefit from Recoveries of Representation and Warranty Breaches Risks

U.S. RMBS Risks with R&W Benefit



	Number of Risks (1) as of		Debt Service as of
	March 31, 2013	December 31, 2012	March 31, 2013		December 31, 2012
			(dollars in millions)
Prime first lien	1	1	$	33	$	35
Alt-A first lien	28	26	3,929		4,030
Option ARM	10	10	926		1,101
Subprime	5	5	810		820
Closed-end second lien	4	4	119		196
HELOC	7	7	518		549
Total	55	53	$	6,335	$	6,731

____________________

(1) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments.

Schedule of Estimated Expected Losses Assumptions First Lien RMBS

First Lien Liquidation Rates



	March 31, 2013	December 31, 2012
30 – 59 Days Delinquent
Alt A and Prime	35%	35%
Option ARM	50	50
Subprime	30	30
60 – 89 Days Delinquent
Alt A and Prime	55	55
Option ARM	65	65
Subprime	45	45
90+ Days Delinquent
Alt A and Prime	65	65
Option ARM	75	75
Subprime	60	60
Bankruptcy
Alt A and Prime	55	55
Option ARM	70	70
Subprime	50	50
Foreclosure
Alt A and Prime	85	85
Option ARM	85	85
Subprime	80	80
Real Estate Owned ("REO")
All	100	100

Assumptions in Base Case Expected Loss Estimates

First Lien RMBS(1)



	As of March 31, 2013				As of December 31, 2012
Alt-A First Lien
Plateau CDR	3.7	%	–	22.6%	3.8	%	–	23.2%
Intermediate CDR	0.7	%	–	4.5%	0.8	%	–	4.6%
Final CDR	0.2	%	–	1.1%	0.2	%	–	1.2%
Initial loss severity	65%				65%
Initial CPR	0.1	%	–	39.6%	0.0	%	–	39.4%
Final CPR	15%				15%
Option ARM
Plateau CDR	6.4	%	–	25.2%	7.0	%	–	26.1%
Intermediate CDR	1.3	%	–	5.0%	1.4	%	–	5.2%
Final CDR	0.3	%	–	1.3%	0.4	%	–	1.3%
Initial loss severity	65%				65%
Initial CPR	0.3	%	–	10.6%	0.0	%	–	10.7%
Final CPR	15%				15%
Subprime
Plateau CDR	7.8	%	–	25.6%	7.3	%	–	26.2%
Intermediate CDR	1.6	%	–	5.1%	1.5	%	–	5.2%
Final CDR	0.4	%	–	1.3%	0.4	%	–	1.3%
Initial loss severity	90%				90%
Initial CPR	0.0	%	–	14.7%	0.0	%	–	17.6%
Final CPR	15%				15%

____________________

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

Schedule of Estimated Expected Losses Assumptions Second Lien RMBS

Key Assumptions in Base Case Expected Loss Estimates

Second Lien RMBS(1)



HELOC key assumptions	As of March 31, 2013				As of December 31, 2012
Plateau CDR	5.0	%	–	17.2%	3.8	%	–	15.9%
Final CDR trended down to	0.4	%	–	3.2%	0.4	%	–	3.2%
Expected period until final CDR	36 months				36 months
Initial CPR	2.4	%	–	18.9%	2.9	%	–	15.4%
Final CPR	10%				10%
Loss severity	98%				98%
Initial draw rate	0.0	%	–	3.3%	0.0	%	–	4.8%



Closed-end second lien key assumptions	As of March 31, 2013				As of December 31, 2012
Plateau CDR	6.7	%	–	18.6%	7.3	%	–	20.7%
Final CDR trended down to	3.5	%	–	9.1%	3.5	%	–	9.1%
Expected period until final CDR	36 months				36 months
Initial CPR	2.7	%	–	13.4%	1.9	%	–	12.5%
Final CPR	10%				10%
Loss severity	98%				98%

____________________


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

Schedule of Insured Financial Obligations with Credit Deterioration, Estimated Benefit from Recoveries of Representation and Warranty Breaches Development and Accretion

The following table provides a breakdown of the development and accretion amount in the roll forward of estimated recoveries associated with alleged breaches of R&W.



	First Quarter
	2013		2012
	(in millions)
Inclusion or removal of deals with breaches of R&W during period	$	0	$	—
Change in recovery assumptions as the result of additional file review and recovery success	11		80
Estimated increase (decrease) in defaults that will result in additional (lower) breaches	1		(82		)
Results of settlements/judgments	142		48
Accretion of discount on balance	3		5
Total	$	157	$	51