v3.25.2
Expected Loss to be Paid (Recovered) (Tables)
 6 Months Ended
Jun. 30, 2025
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 ofSecond QuarterSix Months
Accounting ModelJune 30, 2025December 31, 20242025202420252024
 (in millions)
Insurance (see Note 5)
$171 $90 $38 $19 $86 $12 
FG VIEs (see Note 8)
16 16 (1)1 (1)1 
Credit derivatives (see Note 6)
(1)— (1)1 (64)1 
Total
$186 $106 $36 $21 $21 $14 
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 or FG VIE. The Company used risk-free rates for U.S. and non-U.S. currencies that ranged from 1.84% to 5.48% with a weighted average of 4.15% as of June 30, 2025 and 1.98% to 5.22% with a weighted average of 4.38% as of December 31, 2024.

Net Expected Loss to be Paid (Recovered)
Roll Forward
 Second QuarterSix Months
2025202420252024
 (in millions)
Net expected loss to be paid (recovered), beginning of period$150 $433 $106 $505 
Economic loss development (benefit) due to:
Accretion of discount2 4 3 9 
Changes in discount rates1 1 6 (2)
Changes in timing and assumptions33 16 12 7 
Total economic loss development (benefit) (1)36 21 21 14 
Net (paid) recovered losses (1)— (7)59 (72)
Net expected loss to be paid (recovered), end of period$186 $447 $186 $447 
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(1)    Six months 2025 amounts include recoveries recognized in connection with the resolution of the LBIE litigation. See Note 6, Contracts Accounted for as Credit Derivatives, for additional information.

Net Expected Loss to be Paid (Recovered)
Roll Forward by Sector
Second Quarter 2025
SectorNet Expected Loss to be Paid (Recovered) as of March 31, 2025Net Economic Loss
Development (Benefit)
Net (Paid)
Recovered
Losses (1)
Net Expected Loss to be Paid (Recovered) as of June 30, 2025
 (in millions)
Public finance:
U.S. public finance$35 $24 $(6)$53 
Non-U.S. public finance 122 18 (1)139 
Public finance157 42 (7)192 
Structured finance:   
U.S. RMBS(37)(6)8 (35)
Other structured finance30 — (1)29 
Structured finance(7)(6)7 (6)
Total$150 $36 $— $186 
Second Quarter 2024
SectorNet Expected Loss to be Paid (Recovered) as of March 31, 2024Net Economic Loss
Development (Benefit)
Net (Paid)
Recovered
Losses (1)
Net Expected Loss to be Paid (Recovered) as of June 30, 2024
 (in millions)
Public finance:
U.S. public finance$378 $12 $(16)$374 
Non-U.S. public finance 20 17 — 37 
Public finance398 29 (16)411 
Structured finance:   
U.S. RMBS(2)(10)12 — 
Other structured finance37 2 (3)36 
Structured finance35 (8)9 36 
Total$433 $21 $(7)$447 

Six Months 2025
SectorNet Expected Loss to be Paid (Recovered) as of December 31, 2024Net Economic Loss
Development (Benefit)
Net (Paid)
Recovered
Losses (1)
Net Expected Loss to be Paid (Recovered) as of June 30, 2025
 (in millions)
Public finance:
U.S. public finance$18 $53 $(18)$53 
Non-U.S. public finance 98 42 (1)139 
Public finance116 95 (19)192 
Structured finance:   
U.S. RMBS(43)(9)17 (35)
Other structured finance (2)33 (65)61 29 
Structured finance(10)(74)78 (6)
Total$106 $21 $59 $186 

Six Months 2024
SectorNet Expected Loss to be Paid (Recovered) as of December 31, 2023Net Economic Loss
Development (Benefit)
Net (Paid)
Recovered
Losses (1)
Net Expected Loss to be Paid (Recovered) as of June 30, 2024
 (in millions)
Public finance:
U.S. public finance$398 $9 $(33)$374 
Non-U.S. public finance 20 17 — 37 
Public finance418 26 (33)411 
Structured finance:   
U.S. RMBS43 (13)(30)— 
Other structured finance44 1 (9)36 
Structured finance87 (12)(39)36 
Total$505 $14 $(72)$447 
____________________
(1)    Amounts are net of ceded paid losses, whether or not such amounts have been settled with reinsurers. Ceded paid losses are typically settled 45 days after the end of the reporting period. Such amounts are recorded as reinsurance recoverable on paid losses in “other assets.”
(2)    Six months 2025 amounts include recoveries recognized in connection with the resolution of the LBIE litigation. See Note 6, Contracts Accounted for as Credit Derivatives, for additional information.
Schedule Of Net Expected Losses To Be Paid (Recovered) And Net Economic Development (Benefit) Loss
Expected losses are also a function of the structure of the transaction, the interest rate environment and other factors.
Net Economic Loss Development (Benefit)
U.S. RMBS
Second QuarterSix Months
2025202420252024
 (in millions)
First lien U.S. RMBS$(4)$(2)$(2)$(3)
Second lien U.S. RMBS(2)(8)(7)(10)
Total U.S. RMBS economic loss development (benefit)$(6)$(10)$(9)$(13)
Liquidation Rates and Key Assumptions in Base Case Expected Loss Estimates First Lien RMBS
The following table shows the range as well as the average, weighted by outstanding net insured par, for key assumptions used in the calculation of expected loss to be paid (recovered) for individual transactions for vintage 2004 - 2008 first lien U.S. RMBS.

Key Assumptions in Base Scenario Expected Loss Estimates
First Lien U.S. RMBS
 As of June 30, 2025As of December 31, 2024
RangeWeighted AverageRangeWeighted Average
Plateau CDR0.0 %-8.4%3.2%0.0 %-8.8%3.4%
Final CDR0.0 %-0.4%0.2%0.0 %-0.4%0.2%
Initial loss severity40.0 %-50.0%43.0%40.0 %-50.0%43.1%
Future recovery for deferred principal balances50%50%
Liquidation rates (1)20 %-50%20 %-50%
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(1)    The liquidation rates range from current but recently delinquent loans to foreclosed loans.
Key Assumptions in Base Case Expected Loss Estimates Second Lien RMBS
The following table shows the range as well as the average, weighted by net par outstanding, for key assumptions used in the calculation of expected loss to be paid (recovered) for individual transactions for vintage 2004 - 2008 HELOCs.

Key Assumptions in Base Scenario Expected Loss Estimates
HELOCs
As of June 30, 2025As of December 31, 2024
RangeWeighted AverageRangeWeighted Average
Plateau CDR0.2 %–6.7%2.6%0.0 %–5.6%2.2%
Final CDR0.0 %–0.3%0.1%0.0 %–0.3%0.1%
Liquidation rates (1)20 %–55%20 %–55%
Loss severity on future defaults98%98%
Projected future recoveries on previously charged-off loans50%50%
____________________
(1)    The liquidation rates range from current but recently delinquent loans to foreclosed loans.