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Outstanding Exposure (Tables)
 3 Months Ended
Mar. 31, 2016
Schedule of Insured Financial Obligations [Line Items]  
Debt Service Outstanding
The following table presents the gross and net debt service for all financial guaranty contracts.

Financial Guaranty
Debt Service Outstanding

 
Gross Debt Service
Outstanding
 
Net Debt Service
Outstanding
 
March 31,
2016
 
December 31,
2015
 
March 31,
2016
 
December 31,
2015
 
(in millions)
Public finance
$
496,630

 
$
515,494

 
$
476,362

 
$
494,426

Structured finance
42,012

 
43,976

 
40,037

 
41,915

Total financial guaranty
$
538,642

 
$
559,470

 
$
516,399

 
$
536,341
Financial Guaranty Portfolio by Internal Rating
Financial Guaranty Portfolio by Internal Rating
As of March 31, 2016

 
 
Public Finance
U.S.
 
Public Finance
Non-U.S.
 
Structured Finance
U.S
 
Structured Finance
Non-U.S
 
Total
Rating
Category
 
Net Par
Outstanding
 
%
 
Net Par
Outstanding
 
%
 
Net Par
Outstanding
 
%
 
Net Par
Outstanding
 
%
 
Net Par
Outstanding
 
%
 
 
(dollars in millions)
AAA
 
$
2,541

 
0.9
%
 
$
688

 
2.3
%
 
$
13,953

 
45.8
%
 
$
2,529

 
49.4
%
 
$
19,711

 
5.7
%
AA
 
65,310

 
23.2

 
1,969

 
6.7

 
7,505

 
24.7

 
154

 
3.0

 
74,938

 
21.6

A
 
145,515

 
51.6

 
6,695

 
22.8

 
2,584

 
8.5

 
551

 
10.8

 
155,345

 
44.7

BBB
 
60,736

 
21.5

 
18,622

 
63.4

 
1,279

 
4.2

 
1,267

 
24.7

 
81,904

 
23.6

BIG
 
7,953

 
2.8

 
1,411

 
4.8

 
5,131

 
16.8

 
622

 
12.1

 
15,117

 
4.4

Total net par outstanding (1)
 
$
282,055

 
100.0
%
 
$
29,385

 
100.0
%
 
$
30,452

 
100.0
%
 
$
5,123

 
100.0
%
 
$
347,015

 
100.0
%
_____________________
(1)
Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of March 31, 2016, which are primarily BIG.


Financial Guaranty Portfolio by Internal Rating
As of December 31, 2015 

 
 
Public Finance
U.S.
 
Public Finance
Non-U.S.
 
Structured Finance
U.S
 
Structured Finance
Non-U.S
 
Total
Rating
Category
 
Net Par
Outstanding
 
%
 
Net Par
Outstanding
 
%
 
Net Par
Outstanding
 
%
 
Net Par
Outstanding
 
%
 
Net Par
Outstanding
 
%
 
 
(dollars in millions)
AAA
 
$
3,053

 
1.1
%
 
$
709

 
2.4
%
 
$
14,366

 
45.2
%
 
$
2,709

 
50.6
%
 
$
20,837

 
5.8
%
AA
 
69,274

 
23.7

 
2,017

 
6.8

 
7,934

 
25.0

 
177

 
3.3

 
79,402

 
22.1

A
 
157,440

 
53.9

 
6,765

 
22.9

 
2,486

 
7.8

 
555

 
10.3

 
167,246

 
46.7

BBB
 
54,315

 
18.6

 
18,708

 
63.2

 
1,515

 
4.8

 
1,365

 
25.5

 
75,903

 
21.2

BIG
 
7,784

 
2.7

 
1,378

 
4.7

 
5,469

 
17.2

 
552

 
10.3

 
15,183

 
4.2

Total net par outstanding (1)
 
$
291,866

 
100.0
%
 
$
29,577

 
100.0
%
 
$
31,770

 
100.0
%
 
$
5,358

 
100.0
%
 
$
358,571

 
100.0
%
_____________________
(1)
Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of December 31, 2015, which are primarily BIG.
Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form)
Components of BIG Net Par Outstanding
(Insurance and Credit Derivative Form)
As of March 31, 2016

 
BIG Net Par Outstanding
 
Net Par
 
BIG 1
 
BIG 2
 
BIG 3
 
Total BIG
 
Outstanding
 
 
 
 
 
(in millions)
 
 
 
 
U.S. public finance
$
4,608

 
$
3,191

 
$
154

 
$
7,953

 
$
282,055

Non-U.S. public finance
882

 
529

 
—

 
1,411

 
29,385

Structured finance:
 
 
 
 
 
 
 
 
 
First lien U.S. residential mortgage-backed securities ("RMBS"):
 

 
 

 
 

 
 

 
 

Prime first lien
192

 
32

 
24

 
248

 
425

Alt-A first lien
125

 
66

 
507

 
698

 
1,238

Option ARM
50

 
7

 
78

 
135

 
235

Subprime
82

 
281

 
866

 
1,229

 
3,305

Second lien U.S. RMBS
225

 
47

 
1,100

 
1,372

 
1,474

Total U.S. RMBS
674

 
433

 
2,575

 
3,682

 
6,677

Triple-X life insurance transactions
—

 
—

 
216

 
216

 
2,650

Trust preferred securities (“TruPS”)
650

 
127

 
—

 
777

 
4,296

Student loans
—

 
68

 
81

 
149

 
1,815

Other structured finance
743

 
147

 
39

 
929

 
20,137

Total
$
7,557

 
$
4,495

 
$
3,065

 
$
15,117

 
$
347,015

Components of BIG Net Par Outstanding
(Insurance and Credit Derivative Form)
As of December 31, 2015

 
BIG Net Par Outstanding
 
Net Par
 
BIG 1
 
BIG 2
 
BIG 3
 
Total BIG
 
Outstanding
 
 
 
 
 
(in millions)
 
 
 
 
U.S. public finance
$
4,765

 
$
2,883

 
$
136

 
$
7,784

 
$
291,866

Non-U.S. public finance
875

 
503

 
—

 
1,378

 
29,577

Structured finance:
 
 
 
 
 
 
 
 
 
First lien U.S. RMBS:
 

 
 

 
 

 
 

 
 

Prime first lien
225

 
34

 
25

 
284

 
445

Alt-A first lien
119

 
73

 
601

 
793

 
1,353

Option ARM
39

 
12

 
90

 
141

 
252

Subprime
146

 
228

 
930

 
1,304

 
3,457

Second lien U.S. RMBS
491

 
50

 
910

 
1,451

 
1,560

Total U.S. RMBS
1,020

 
397

 
2,556

 
3,973

 
7,067

Triple-X life insurance transactions
—

 
—

 
216

 
216

 
2,750

TruPS
679

 
127

 
—

 
806

 
4,379

Student loans
12

 
68

 
83

 
163

 
1,818

Other structured finance
672

 
151

 
40

 
863

 
21,114

Total
$
8,023

 
$
4,129

 
$
3,031

 
$
15,183

 
$
358,571
BIG Net Par Outstanding and Number of Risks
The following table provides information on financial guaranty insurance contracts categorized as BIG.
 
Financial Guaranty Insurance
BIG Transaction Loss Summary
As of March 31, 2016
 
 
BIG  Categories
 
BIG 1
 
BIG 2
 
BIG 3
 
Total
BIG, Net
 
Effect of
Consolidating
FG VIEs
 
Total
 
Gross
 
Ceded
 
Gross
 
Ceded
 
Gross
 
Ceded
 
 
 
 
(dollars in millions)
Number of risks(1)
202

 
(43
)
 
86

 
(14
)
 
129

 
(45
)
 
417

 
—

 
417

Remaining weighted-average contract period (in years)
10.1

 
7.4

 
13.1

 
10.4

 
7.2

 
5.4

 
10.6

 
—

 
10.6

Outstanding exposure:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Principal
$
7,084

 
$
(499
)
 
$
4,461

 
$
(446
)
 
$
3,145

 
$
(207
)
 
$
13,538

 
$
—

 
$
13,538

Interest
3,764

 
(214
)
 
3,058

 
(233
)
 
962

 
(44
)
 
7,293

 
—

 
7,293

Total(2)
$
10,848

 
$
(713
)
 
$
7,519

 
$
(679
)
 
$
4,107

 
$
(251
)
 
$
20,831

 
$
—

 
$
20,831

Expected cash outflows (inflows)
$
337

 
$
(28
)
 
$
1,418

 
$
(77
)
 
$
1,372

 
$
(58
)
 
$
2,964

 
$
(345
)
 
$
2,619

Potential recoveries
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Undiscounted R&W
97

 
(2
)
 
(42
)
 
1

 
(88
)
 
5

 
(29
)
 
6

 
(23
)
Other(3)
(590
)
 
16

 
(250
)
 
10

 
(631
)
 
25

 
(1,420
)
 
190

 
(1,230
)
Total potential recoveries
(493
)
 
14

 
(292
)
 
11

 
(719
)
 
30

 
(1,449
)
 
196

 
(1,253
)
Subtotal
(156
)
 
(14
)
 
1,126

 
(66
)
 
653

 
(28
)
 
1,515

 
(149
)
 
1,366

Discount
153

 
(3
)
 
(288
)
 
14

 
29

 
(94
)
 
(189
)
 
33

 
(156
)
Present value of expected cash flows
$
(3
)
 
$
(17
)
 
$
838

 
$
(52
)
 
$
682

 
$
(122
)
 
$
1,326

 
$
(116
)
 
$
1,210

Deferred premium revenue
$
280

 
$
(10
)
 
$
156

 
$
(7
)
 
$
380

 
$
(33
)
 
$
766

 
$
(96
)
 
$
670

Reserves (salvage)
$
(96
)
 
$
(12
)
 
$
717

 
$
(47
)
 
$
352

 
$
(8
)
 
$
906

 
$
(71
)
 
$
835

 
Financial Guaranty Insurance
BIG Transaction Loss Summary
As of December 31, 2015
 
 
BIG Categories
 
BIG 1
 
BIG 2
 
BIG 3
 
Total
BIG, Net
 
Effect of
Consolidating
FG VIEs
 
Total
 
Gross
 
Ceded
 
Gross
 
Ceded
 
Gross
 
Ceded
 
 
(dollars in millions)
Number of risks(1)
202

 
(46
)
 
85

 
(13
)
 
132

 
(44
)
 
419

 
—

 
419

Remaining weighted-average contract period (in years)
10.0

 
8.7

 
13.8

 
9.5

 
7.7

 
5.9

 
10.7

 
—

 
10.7

Outstanding exposure:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Principal
$
7,751

 
$
(732
)
 
$
3,895

 
$
(240
)
 
$
3,087

 
$
(187
)
 
$
13,574

 
$
—

 
$
13,574

Interest
4,109

 
(354
)
 
2,805

 
(110
)
 
1,011

 
(42
)
 
7,419

 
—

 
7,419

Total(2)
$
11,860

 
$
(1,086
)
 
$
6,700

 
$
(350
)
 
$
4,098

 
$
(229
)
 
$
20,993

 
$
—

 
$
20,993

Expected cash outflows (inflows)
$
386

 
$
(42
)
 
$
1,158

 
$
(60
)
 
$
1,464

 
$
(53
)
 
$
2,853

 
$
(343
)
 
$
2,510

Potential recoveries
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Undiscounted R&W
69

 
(2
)
 
(49
)
 
1

 
(85
)
 
5

 
(61
)
 
7

 
(54
)
Other(3)
(441
)
 
14

 
(118
)
 
7

 
(587
)
 
19

 
(1,106
)
 
175

 
(931
)
Total potential recoveries
(372
)
 
12

 
(167
)
 
8

 
(672
)
 
24

 
(1,167
)
 
182

 
(985
)
Subtotal
14

 
(30
)
 
991

 
(52
)
 
792

 
(29
)
 
1,686

 
(161
)
 
1,525

Discount
91

 
3

 
(286
)
 
12

 
(58
)
 
(89
)
 
(327
)
 
41

 
(286
)
Present value of expected cash flows
$
105

 
$
(27
)
 
$
705

 
$
(40
)
 
$
734

 
$
(118
)
 
$
1,359

 
$
(120
)
 
$
1,239

Deferred premium revenue
$
371

 
$
(37
)
 
$
150

 
$
(4
)
 
$
386

 
$
(32
)
 
$
834

 
$
(100
)
 
$
734

Reserves (salvage)
$
2

 
$
(19
)
 
$
591

 
$
(38
)
 
$
404

 
$
(9
)
 
$
931

 
$
(74
)
 
$
857

____________________
(1)
A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments. The ceded number of risks represents the number of risks for which the Company ceded a portion of its exposure.

(2)
Includes BIG amounts related to FG VIEs.

(3)
Includes excess spread.
Net Direct Economic Exposure to Selected European Countries
Net Direct Economic Exposure to Selected European Countries(1)
As of March 31, 2016

 
Hungary
 
Italy
 
Portugal
 
Spain
 
Total
 
(in millions)
Sub-sovereign exposure(2)
$
271

 
$
827

 
$
84

 
$
375

 
$
1,557

Non-sovereign exposure(3)
179

 
458

 
—

 
—

 
637

Total
$
450

 
$
1,285

 
$
84

 
$
375

 
$
2,194

Total BIG (See Note 5)
$
379

 
$
—

 
$
84

 
$
375

 
$
838

____________________
(1)
While the Company’s exposures are shown in U.S. dollars, the obligations the Company insures are in various currencies, primarily Euros.
(2)
Sub-sovereign exposure in Selected European Countries includes transactions backed by receivables from or supported by sub-sovereigns, which are governmental or government-backed entities other than the ultimate governing body of the country.

Schedule Of Insured Financial Obligations With Outstanding Principal Amount With Below Investment Grade [Table Text Block]
BIG Net Par Outstanding
and Number of Risks
As of March 31, 2016

 
 
Net Par Outstanding
 
Number of Risks(2)
Description
 
Financial
Guaranty
Insurance(1)
 
Credit
Derivative
 
Total
 
Financial
Guaranty
Insurance(1)
 
Credit
Derivative
 
Total
 
 
(dollars in millions)
BIG:
 
 

 
 

 
 

 
 

 
 

 
 

Category 1
 
$
6,585

 
$
972

 
$
7,557

 
202

 
12

 
214

Category 2
 
4,015

 
480

 
4,495

 
86

 
7

 
93

Category 3
 
2,938

 
127

 
3,065

 
129

 
12

 
141

Total BIG
 
$
13,538

 
$
1,579

 
$
15,117

 
417

 
31

 
448



 BIG Net Par Outstanding
and Number of Risks
As of December 31, 2015

 
 
Net Par Outstanding
 
Number of Risks(2)
Description
 
Financial
Guaranty
Insurance(1)
 
Credit
Derivative
 
Total
 
Financial
Guaranty
Insurance(1)
 
Credit
Derivative
 
Total
 
 
(dollars in millions)
BIG:
 
 

 
 

 
 

 
 

 
 

 
 

Category 1
 
$
7,019

 
$
1,004

 
$
8,023

 
202

 
12

 
214

Category 2
 
3,655

 
474

 
4,129

 
85

 
8

 
93

Category 3
 
2,900

 
131

 
3,031

 
132

 
12

 
144

Total BIG
 
$
13,574

 
$
1,609

 
$
15,183

 
419

 
32

 
451

_____________________
(1)    Includes net par outstanding for VIEs.
 
(2)
A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments.
Puerto Rico [Member]  
Schedule of Insured Financial Obligations [Line Items]  
BIG Net Par Outstanding and Number of Risks
Amortization Schedule of Puerto Rico Net Par Outstanding
and Net Debt Service Outstanding
As of March 31, 2016

 
Scheduled Net Par Amortization
 
Scheduled Net Debt Service Amortization
 
Previously Subject to the Voided Recovery Act
 
Not Previously Subject to the Voided Recovery Act
 
Total
 
Previously Subject to the Voided Recovery Act
 
Not Previously Subject to the Voided Recovery Act
 
Total
 
(in millions)
2016 (April 1 – June 30)
$
0

 
$
0

 
$
0

 
$
2

 
$
0

 
$
2

2016 (July 1 – September 30)
98

 
204

 
302

 
161

 
267

 
428

2016 (October 1 – December 31)
0

 
0

 
0

 
2

 
0

 
2

2017
51

 
171

 
222

 
175

 
288

 
463

2018
56

 
123

 
179

 
178

 
232

 
410

2019
74

 
130

 
204

 
192

 
232

 
424

2020
87

 
183

 
270

 
202

 
280

 
482

2021
66

 
59

 
125

 
177

 
146

 
323

2022
47

 
68

 
115

 
153

 
152

 
305

2023
110

 
40

 
150

 
214

 
123

 
337

2024
89

 
85

 
174

 
188

 
164

 
352

2025
111

 
85

 
196

 
206

 
159

 
365

2026-2030
590

 
353

 
943

 
974

 
660

 
1,634

2031-2035
583

 
548

 
1,131

 
838

 
761

 
1,599

2036-2040
308

 
271

 
579

 
427

 
355

 
782

2041-2045
137

 
159

 
296

 
206

 
174

 
380

2046-2047
168

 
—

 
168

 
181

 
—

 
181

Total
$
2,575

 
$
2,479

 
$
5,054

 
$
4,476

 
$
3,993

 
$
8,469
Gross Par and Gross Debt Service Outstanding
The following tables show the Company’s insured exposure to general obligation bonds of Puerto Rico and various obligations of its related authorities and public corporations.
Puerto Rico
Gross Par and Gross Debt Service Outstanding

 
Gross Par Outstanding
 
Gross Debt Service Outstanding
 
March 31,
2016
 
December 31,
2015
 
March 31,
2016
 
December 31,
2015
 
(in millions)
Previously Subject to the Voided Recovery Act (1)
$
2,965

 
$
2,965

 
$
5,090

 
$
5,162

Not Previously Subject to the Voided Recovery Act
2,791

 
2,790

 
4,398

 
4,470

   Total
$
5,756

 
$
5,755

 
$
9,488

 
$
9,632

____________________
(1)
On February 6, 2015, the U.S. District Court for the District of Puerto Rico ruled that the Recovery Act is preempted by the U.S. Bankruptcy Code and is therefore void. On July 6, 2015, the U.S. Court of Appeals for the First Circuit upheld that ruling, and on December 4, 2015, the U.S. Supreme Court granted petitions for writs of certiorari relating to that ruling.
Schedule of Geographic Exposure of Net Par Outstanding
Puerto Rico
Net Par Outstanding

 
 
As of
March 31, 2016
 
As of
December 31, 2015
 
 
Total
 
Internal Rating
 
Total
 
Internal Rating
 
 
(in millions)
Exposures Previously Subject to the Voided Recovery Act:
 
 
 
 
 
 
 
 
PRHTA (Transportation revenue) (1)
 
$
910

 
CCC-
 
$
909

 
CCC-
PREPA
 
744

 
CC
 
744

 
CC
PRASA
 
388

 
CCC
 
388

 
CCC
PRHTA (Highway revenue)(1)
 
369

 
CCC
 
370

 
CCC
PRCCDA (1)
 
164

 
CCC-
 
164

 
CCC-
Total
 
2,575

 
 
 
2,575

 
 
 
 
 
 
 
 
 
 
 
Exposures Not Previously Subject to the Voided Recovery Act:
 
 
 
 
 
 
 
 
Commonwealth of Puerto Rico - General Obligation Bonds
 
1,615

 
CCC
 
1,615

 
CCC
MFA
 
387

 
CCC-
 
387

 
CCC-
COFINA
 
270

 
CCC+
 
269

 
CCC+
Puerto Rico Public Buildings Authority
 
188

 
CCC
 
188

 
CCC
PRIFA (1) (2)
 
18

 
C
 
18

 
CCC-
University of Puerto Rico
 
1

 
CCC-
 
1

 
CCC-
Total
 
2,479

 
 
 
2,478

 
 
Total net exposure to Puerto Rico
 
$
5,054

 
 
 
$
5,053

 
 

____________________
(1)
The Governor issued executive orders on November 30, 2015, and December 8, 2015, directing the Puerto Rico Department of Treasury and the Puerto Rico Tourism Company to retain or transfer certain taxes and revenues pledged to secure the payment of bonds issued by PRHTA, PRIFA and PRCCDA. On January 7, 2016 the Company sued various Puerto Rico governmental officials in the United States District Court, District of Puerto Rico asserting that this attempt to “claw back” pledged taxes and revenues is unconstitutional, and demanding declaratory and injunctive relief.  

(2)
On January 1, 2016 PRIFA defaulted on full payment of a portion of the interest due on its bonds on that date. For those PRIFA bonds the Company had insured, the Company paid approximately $451 thousand of claims for the interest payments on which PRIFA had defaulted.