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Outstanding Exposure (Tables)
 6 Months Ended
Jun. 30, 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
 
June 30,
2016
 
December 31,
2015
 
June 30,
2016
 
December 31,
2015
 
(in millions)
Public finance
$
473,991

 
$
515,494

 
$
455,056

 
$
494,426

Structured finance
34,814

 
43,976

 
33,306

 
41,915

Total financial guaranty
$
508,805

 
$
559,470

 
$
488,362

 
$
536,341
Financial Guaranty Portfolio by Internal Rating
Financial Guaranty Portfolio by Internal Rating
As of June 30, 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
 
$
2,376

 
0.9
%
 
$
695

 
2.5
%
 
$
11,362

 
44.4
%
 
$
1,628

 
40.1
%
 
$
16,061

 
4.9
%
AA
 
59,310

 
21.8

 
1,775

 
6.3

 
6,719

 
26.3

 
149

 
3.7

 
67,953

 
20.6

A
 
142,028

 
52.2

 
6,440

 
22.9

 
2,008

 
7.9

 
457

 
11.2

 
150,933

 
45.7

BBB
 
60,132

 
22.1

 
17,840

 
63.4

 
920

 
3.6

 
1,235

 
30.4

 
80,127

 
24.3

BIG
 
8,268

 
3.0

 
1,378

 
4.9

 
4,553

 
17.8

 
591

 
14.6

 
14,790

 
4.5

Total net par outstanding (1)
 
$
272,114

 
100.0
%
 
$
28,128

 
100.0
%
 
$
25,562

 
100.0
%
 
$
4,060

 
100.0
%
 
$
329,864

 
100.0
%
_____________________
(1)
Excludes $1.4 billion of loss mitigation securities insured and held by the Company as of June 30, 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 June 30, 2016

 
BIG Net Par Outstanding
 
Net Par
 
BIG 1
 
BIG 2
 
BIG 3
 
Total BIG
 
Outstanding
 
 
 
 
 
(in millions)
 
 
 
 
U.S. public finance (1)
$
4,902

 
$
3,191

 
$
175

 
$
8,268

 
$
272,114

Non-U.S. public finance
863

 
515

 
—

 
1,378

 
28,128

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

 
 

 
 

 
 

 
 

Prime first lien
21

 
83

 
20

 
124

 
237

Alt-A first lien
120

 
42

 
459

 
621

 
1,090

Option ARM
27

 
6

 
63

 
96

 
186

Subprime
128

 
210

 
882

 
1,220

 
3,193

Second lien U.S. RMBS
22

 
73

 
1,271

 
1,366

 
1,376

Total U.S. RMBS
318

 
414

 
2,695

 
3,427

 
6,082

Triple-X life insurance transactions
—

 
—

 
216

 
216

 
2,189

Trust preferred securities (“TruPS”)
436

 
127

 
—

 
563

 
3,255

Student loans
—

 
68

 
42

 
110

 
1,645

Other structured finance
537

 
254

 
37

 
828

 
16,451

Total
$
7,056

 
$
4,569

 
$
3,165

 
$
14,790

 
$
329,864

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


_____________________
(1)
Subsequent to June 30, 2016, and as a result of its July 1, 2016 Puerto Rico claim payments, the Company downgraded from BIG 1 to BIG 3 $1,803 million net par outstanding of financial guaranty insurance across two risks.
.
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 June 30, 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)
198

 
(42
)
 
76

 
(12
)
 
131

 
(46
)
 
405

 
—

 
405

Remaining weighted-average contract period (in years)
9.8

 
7.4

 
12.7

 
10.0

 
6.6

 
5.1

 
10.1

 
—

 
10.1

Outstanding exposure:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Principal
$
7,012

 
$
(466
)
 
$
4,571

 
$
(452
)
 
$
3,276

 
$
(237
)
 
$
13,704

 
$
—

 
$
13,704

Interest
3,618

 
(200
)
 
2,991

 
(228
)
 
937

 
(50
)
 
7,068

 
—

 
7,068

Total(2)
$
10,630

 
$
(666
)
 
$
7,562

 
$
(680
)
 
$
4,213

 
$
(287
)
 
$
20,772

 
$
—

 
$
20,772

Expected cash outflows (inflows)
$
331

 
$
(27
)
 
$
1,466

 
$
(82
)
 
$
1,228

 
$
(57
)
 
$
2,859

 
$
(330
)
 
$
2,529

Potential recoveries
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Undiscounted R&W
122

 
(3
)
 
(2
)
 
—

 
(33
)
 
1

 
85

 
—

 
85

Other(3)
(667
)
 
16

 
(298
)
 
11

 
(499
)
 
30

 
(1,407
)
 
200

 
(1,207
)
Total potential recoveries
(545
)
 
13

 
(300
)
 
11

 
(532
)
 
31

 
(1,322
)
 
200

 
(1,122
)
Subtotal
(214
)
 
(14
)
 
1,166

 
(71
)
 
696

 
(26
)
 
1,537

 
(130
)
 
1,407

Discount
133

 
(3
)
 
(232
)
 
12

 
(29
)
 
(97
)
 
(216
)
 
17

 
(199
)
Present value of expected cash flows
$
(81
)
 
$
(17
)
 
$
934

 
$
(59
)
 
$
667

 
$
(123
)
 
$
1,321

 
$
(113
)
 
$
1,208

Deferred premium revenue
$
256

 
$
(8
)
 
$
152

 
$
(7
)
 
$
347

 
$
(32
)
 
$
708

 
$
(94
)
 
$
614

Reserves (salvage)
$
(177
)
 
$
(11
)
 
$
811

 
$
(53
)
 
$
378

 
$
(11
)
 
$
937

 
$
(71
)
 
$
866


 
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 June 30, 2016

 
Hungary
 
Italy
 
Portugal
 
Spain
 
Turkey
 
Total
 
(in millions)
Sub-sovereign exposure(2)
$
265

 
$
793

 
$
80

 
$
366

 
$
—

 
$
1,504

Non-sovereign exposure(3)
174

 
432

 
—

 
—

 
204

 
810

Total
$
439

 
$
1,225

 
$
80

 
$
366

 
$
204

 
$
2,314

Total BIG (See Note 5)
$
369

 
$
—

 
$
80

 
$
366

 
$
—

 
$
815

____________________
(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.

(3)
Non-sovereign exposure in Selected European Countries includes debt of regulated utilities, RMBS and diversified payment rights ("DPR") securitizations.
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 June 30, 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 (3)
 
$
6,546

 
$
510

 
$
7,056

 
198

 
10

 
208

Category 2
 
4,119

 
450

 
4,569

 
76

 
5

 
81

Category 3 (3)
 
3,039

 
126

 
3,165

 
131

 
12

 
143

Total BIG
 
$
13,704

 
$
1,086

 
$
14,790

 
405

 
27

 
432



 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.

(3)
Subsequent to June 30, 2016, and as a result of its July 1, 2016 Puerto Rico claim payments, the Company downgraded from BIG 1 to BIG 3 $1,803 million net par outstanding of financial guaranty insurance across two risks.
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 June 30, 2016

 
Scheduled Net Par Amortization
 
Scheduled Net Debt Service Amortization
 
(in millions)
2016 (July 1 – September 30)
$
302

 
$
428

2016 (October 1 – December 31)
0

 
2

2017
222

 
463

2018
179

 
410

2019
204

 
424

2020
270

 
482

2021
125

 
323

2022
115

 
305

2023
150

 
338

2024
174

 
352

2025
196

 
366

2026-2030
943

 
1,633

2031-2035
1,131

 
1,599

2036-2040
579

 
780

2041-2045
296

 
380

2046-2047
168

 
181

Total
$
5,054

 
$
8,466
Gross Par and Gross Debt Service Outstanding
Puerto Rico
Gross Par and Gross Debt Service Outstanding

 
Gross Par Outstanding
 
Gross Debt Service Outstanding
 
June 30,
2016
 
December 31,
2015
 
June 30,
2016
 
December 31,
2015
 
(in millions)
Exposure to Puerto Rico
$
5,756

 
$
5,755

 
$
9,483

 
$
9,632
Schedule of Geographic Exposure of Net Par Outstanding
Puerto Rico
Net Par Outstanding

 
As of
June 30, 2016
 
As of
December 31, 2015
 
(in millions)
Commonwealth Constitutionally Guaranteed
 
 
 
Commonwealth of Puerto Rico - General Obligation Bonds (1)
$
1,615

 
$
1,615

Puerto Rico Public Buildings Authority (1)
188

 
188

Public Corporations - Certain Revenues Potentially Subject to Clawback
 
 
 
PRHTA (Transportation revenue)
910

 
909

PRHTA (Highways revenue)
369

 
370

PRCCDA
164

 
164

PRIFA (1)
18

 
18

Other Public Corporations
 
 
 
PREPA
744

 
744

PRASA
388

 
388

MFA
387

 
387

COFINA
270

 
269

U of PR
1

 
1

Total net exposure to Puerto Rico
$
5,054

 
$
5,053


____________________
(1)
As of the date of this filing, the Company has paid claims on these credits.