Expected Loss to be Paid (Tables)

12 Months Ended

Dec. 31, 2016

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,
	2016			2015
	(in millions)
Net expected loss to be paid, beginning of period	$	1,391		$	1,169
Net expected loss to be paid on the CIFGH portfolio as of July 1, 2016	22			—
Net expected loss to be paid on Radian Asset portfolio as of April 1, 2015	—			190
Economic loss development due to:
Accretion of discount	26			32
Changes in discount rates	(15		)	(23		)
Changes in timing and assumptions	128			310
Total economic loss development	139			319
Paid losses	(354		)	(287		)
Net expected loss to be paid, end of period	$	1,198		$	1,391

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(2)		Net Expected Loss to be Paid (Recovered) on CIFG as of July 1, 2016			Economic Loss Development			(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
Triple-X life insurance transactions	99		—			(22		)	(23		)	54
Other structured finance	74		2			(17		)	(25		)	34
Structured finance	582		(20		)	(130		)	(138		)	294
Total	$	1,391	$	22		$	139		$	(354	)	$	1,198

Net Expected Loss to be Paid

Roll Forward by Sector

Year Ended December 31, 2015



	Net Expected Loss to be Paid (Recovered) as of December 31, 2014		Net Expected Loss to be Paid (Recovered) on Radian Asset portfolio as of April 1, 2015		Economic Loss Development			(Paid) Recovered Losses (1)			Net Expected Loss to be Paid (Recovered) as of December 31, 2015 (2)
	(in millions)
Public finance:
U.S. public finance	$	303	$	81	$	416		$	(29	)	$	771
Non-U.S. public finance	45		4		(11		)	—			38
Public finance	348		85		405			(29		)	809
Structured finance:
U.S. RMBS	584		4		(82		)	(97		)	409
Triple-X life insurance transactions	161		—		11			(73		)	99
Other structured finance	76		101		(15		)	(88		)	74
Structured finance	821		105		(86		)	(258		)	582
Total	$	1,169	$	190	$	319		$	(287	)	$	1,391

____________________


(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 $16 million and $25 million in LAE for the years ended December 31, 2016 and 2015, respectively.


(2)	Includes expected LAE to be paid of $12 million as of December 31, 2016 and $12 million as of December 31, 2015.

Schedule of Future R&W Benefits

Future Net R&W Recoverable (Payable)(1)



	Future Net R&W Benefit as of December 31, 2016			Future Net R&W Benefit as of December 31, 2015		Future Net R&W Benefit as of December 31, 2014
	(in millions)
U.S. RMBS:
First lien	$	(53	)	$	0	$	232
Second lien	47			79		85
Total	$	(6	)	$	79	$	317

____________________

(1)

The Company’s agreements with R&W providers generally provide that, as the Company makes claim payments, the R&W providers reimburse it for those claims; if the Company later receives reimbursement through the transaction (for example, from excess spread), the Company repays the R&W providers. See the section “Breaches of Representations and Warranties” for information about the R&W agreements. When the Company projects receiving more reimbursements in the future than it projects paying in claims on transactions covered by R&W settlement agreements, the Company will have a net R&W payable.

Net Expected Loss to be Paid By Accounting Model

Net Expected Loss to be Paid (Recovered)

By Accounting Model



	As of December 31, 2016						As of December 31, 2015
	Public Finance		Structured Finance		Total		Public Finance		Structured Finance		Total
	(in millions)
Financial guaranty insurance	$	904	$	179	$	1,083	$	809	$	430	$	1,239
FG VIEs (1) and other	—		105		105		—		136		136
Credit derivatives (2)	0		10		10		—		16		16
Total	$	904	$	294	$	1,198	$	809	$	582	$	1,391

___________

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

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

Schedule of Net Economic Loss Development

Net Economic Loss Development (Benefit)

By Accounting Model



	Year Ended December 31, 2016								Year Ended December 31, 2015
	Public Finance		Structured Finance			Total			Public Finance			Structured Finance			Total
	(in millions)
Financial guaranty insurance	$	269	$	(105	)	$	164		$	410		$	(25	)	$	385
FG VIEs (1) and other	—		(8		)	(8		)	—			16			16
Credit derivatives (2)	—		(17		)	(17		)	(5		)	(77		)	(82		)
Total	$	269	$	(130	)	$	139		$	405		$	(86	)	$	319

__________

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

(2) Refer to 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



	December 31, 2016	December 31, 2015	December 31, 2014
Current Loans Modified in the Previous 12 Months
Alt-A and Prime	25%	25%	25%
Option ARM	25	25	25
Subprime	25	25	25
Current Loans Delinquent in the Previous 12 Months
Alt-A and Prime	25	25	25
Option ARM	25	25	25
Subprime	25	25	25
30 – 59 Days Delinquent
Alt-A and Prime	35	35	35
Option ARM	35	40	40
Subprime	40	45	35
60 – 89 Days Delinquent
Alt-A and Prime	45	45	50
Option ARM	50	50	55
Subprime	50	55	40
90+ Days Delinquent
Alt-A and Prime	55	55	60
Option ARM	55	60	65
Subprime	55	60	55
Bankruptcy
Alt-A and Prime	45	45	45
Option ARM	50	50	50
Subprime	40	40	40
Foreclosure
Alt-A and Prime	65	65	75
Option ARM	65	70	80
Subprime	65	70	70
Real Estate Owned
All	100	100	100

Key Assumptions in Base Case Expected Loss Estimates

First Lien RMBS(1)



	As of December 31, 2016					As of December 31, 2015					As of December 31, 2014
	Range				Weighted Average	Range				Weighted Average	Range				Weighted Average
Alt-A First Lien
Plateau CDR	1.0	%	–	13.5%	5.7%	1.7	%	–	26.4%	6.4%	2.0	%	–	13.4%	7.3%
Final CDR	0.0	%	–	0.7%	0.3%	0.1	%	–	1.3%	0.3%	0.1	%	–	0.7%	0.3%
Initial loss severity:
2005 and prior	60.0%					60.0%					60.0%
2006	80.0%					70.0%					70.0%
2007	70.0%					65.0%					65.0%
Option ARM
Plateau CDR	3.2	%	–	7.0%	5.6%	3.5	%	–	10.3%	7.8%	4.3	%	–	14.2%	10.6%
Final CDR	0.2	%	–	0.3%	0.3%	0.2	%	–	0.5%	0.4%	0.2	%	–	0.7%	0.5%
Initial loss severity:
2005 and prior	60.0%					60.0%					60.0%
2006	70.0%					70.0%					70.0%
2007	75.0%					65.0%					65.0%
Subprime
Plateau CDR	2.8	%	–	14.1%	8.1%	4.7	%	–	13.2%	9.5%	4.9	%	–	15.0%	10.6%
Final CDR	0.1	%	–	0.7%	0.4%	0.2	%	–	0.7%	0.4%	0.2	%	–	0.7%	0.4%
Initial loss severity:
2005 and prior	80.0%					75.0%					75.0%
2006	90.0%					90.0%					90.0%
2007	90.0%					90.0%					90.0%

____________________

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

Key Assumptions in Base Case Expected Loss Estimates Second Lien RMBS

Key Assumptions in Base Case Expected Loss Estimates

HELOCs(1)



	As of December 31, 2016					As of December 31, 2015					As of December 31, 2014
	Range				Weighted Average	Range				Weighted Average	Range				Weighted Average
Plateau CDR	3.5	%	–	24.8%	13.6%	4.9	%	–	23.5%	10.3%	2.8	%	–	6.8%	4.1%
Final CDR trended down to	0.5	%	–	3.2%	1.3%	0.5	%	–	3.2%	1.2%	0.5	%	–	3.2%	1.2%
Liquidation rates:
Current Loans Modified in the Previous 12 Months	25%					25%					25%
Current Loans Delinquent in the Previous 12 Months	25					25					25
30 – 59 Days Delinquent	50					50					55
60 – 89 Days Delinquent	65					65					70
90+ Days Delinquent	80					75					80
Bankruptcy	55					55					55
Foreclosure	75					75					75
Real Estate Owned	100					100					100
Loss severity	98%					98%					90	%	–	98%	90.4%

____________________


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