v3.26.3
Expected Loss to be Paid (Recovered) (Tables)
 9 Months Ended
Sep. 30, 2026
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 ofThird QuarterNine Months
Accounting ModelSeptember 30, 2026December 31, 20252026202520262025
(in millions)
Financial guaranty insurance (see Note 6)
$101 $88 $(25)$(35)$67 $51 
FG VIEs (see Note 10)
12 13 (2)(4)(2)(5)
Credit derivatives (see Note 8)
— — — 1 — (63)
Total
$113 $101 $(27)$(38)$65 $(17)
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: financial guaranty insurance, credit derivative or FG VIE. The Company used risk-free rates for U.S. and non-U.S. currencies that ranged from 2.44% to 6.07% with a weighted average of 5.00% as of September 30, 2026 and 1.93% to 5.35% with a weighted average of 3.92% as of December 31, 2025.

Net Expected Loss to be Paid (Recovered)
Roll Forward
Third QuarterNine Months
2026202520262025
(in millions)
Net expected loss to be paid (recovered), beginning of period$192 $186 $101 $106 
Economic loss development (benefit) due to:
Accretion of discount2 2 6 5 
Changes in discount rates16 — 10 6 
Changes in timing and assumptions(45)(40)49 (28)
Total economic loss development (benefit) (1)(27)(38)65 (17)
Net (paid) recovered losses (1)(52)(44)(53)15 
Net expected loss to be paid (recovered), end of period$113 $104 $113 $104 
____________________
(1)    Nine months 2025 amounts include recoveries recognized in connection with the resolution of the LBIE litigation.
Net Expected Loss to be Paid (Recovered)
Roll Forward by Sector
Third Quarter 2026
SectorNet Expected Loss to be Paid (Recovered) as of June 30, 2026Net Economic Loss
Development (Benefit)
Net (Paid)
Recovered
Losses (1)
Net Expected Loss to be Paid (Recovered) as of September 30, 2026
(in millions)
Public finance:
U.S. public finance$42 $(20)$(63)$(41)
Non-U.S. public finance 132 (3)3 132 
Public finance174 (23)(60)91 
Structured finance:
U.S. RMBS(40)(4)8 (36)
Other structured finance58 — — 58 
Structured finance18 (4)8 22 
Total$192 $(27)$(52)$113 

Third Quarter 2025
SectorNet Expected Loss to be Paid (Recovered) as of June 30, 2025Net Economic Loss
Development (Benefit)
Net (Paid)
Recovered
Losses (1)
Net Expected Loss to be Paid (Recovered) as of September 30, 2025
(in millions)
Public finance:
U.S. public finance$53 $(2)$(81)$(30)
Non-U.S. public finance 139 (6)— 133 
Public finance192 (8)(81)103 
Structured finance:
U.S. RMBS(35)(31)7 (59)
Other structured finance29 1 30 60 
Structured finance(6)(30)37 1 
Total$186 $(38)$(44)$104 

Nine Months 2026
SectorNet Expected Loss to be Paid (Recovered) as of December 31, 2025Net Economic Loss
Development (Benefit)
Net (Paid)
Recovered
Losses (1)
Net Expected Loss to be Paid (Recovered) as of September 30, 2026
(in millions)
Public finance:
U.S. public finance$(31)$69 $(79)$(41)
Non-U.S. public finance 126 3 3 132 
Public finance95 72 (76)91 
Structured finance:
U.S. RMBS(54)(7)25 (36)
Other structured finance60 — (2)58 
Structured finance6 (7)23 22 
Total$101 $65 $(53)$113 
Nine 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 September 30, 2025
(in millions)
Public finance:
U.S. public finance$18 $51 $(99)$(30)
Non-U.S. public finance 98 36 (1)133 
Public finance116 87 (100)103 
Structured finance:
U.S. RMBS(43)(40)24 (59)
Other structured finance (2)33 (64)91 60 
Structured finance(10)(104)115 1 
Total$106 $(17)$15 $104 
____________________
(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)    Nine months 2025 amounts include recoveries recognized in connection with the resolution of the LBIE litigation. Includes cash proceeds for recoveries related to amounts previously paid.
Schedule Of Net Expected Losses To Be Paid (Recovered) And Net Economic Development (Benefit) Loss
Expected Loss to be Paid (Recovered) and Net Economic Loss Development (Benefit)
U.S. RMBS
Net Expected Loss to be Paid (Recovered)Economic Loss Development (Benefit)
September 30,December 31,Third QuarterNine Months
202620252026202520262025
(dollars in millions)
First lien U.S. RMBS$89 $90 $(3)$(2)$(3)$(4)
Second lien U.S. RMBS(125)(144)(1)(29)(4)(36)
Total U.S. RMBS$(36)$(54)$(4)$(31)$(7)$(40)
Impact of changes in discount rates$(3)$1 $(3)$— 
Range of discount rates3.90 %-5.74 %3.45 %-4.97 %
Weighted average discount rate4.94%3.84%
First lien U.S. RMBS weighted average future recovery for deferred principal balances50.0%50.0%
Second lien U.S. RMBS weighted average future recoveries on charged-off loans60.0%60.0%