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Outstanding Exposure (Tables)
 9 Months Ended
Sep. 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
 
September 30,
2016
 
December 31,
2015
 
September 30,
2016
 
December 31,
2015
 
(in millions)
Public finance
$
451,287

 
$
515,494

 
$
433,621

 
$
494,426

Structured finance
33,284

 
43,976

 
31,938

 
41,915

Total financial guaranty
$
484,571

 
$
559,470

 
$
465,559

 
$
536,341
Financial Guaranty Portfolio by Internal Rating
Financial Guaranty Portfolio by Internal Rating (1)
As of September 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
 
$
2,182

 
0.9
%
 
$
703

 
2.5
%
 
$
11,187

 
45.9
%
 
$
1,526

 
37.7
%
 
$
15,598

 
5.0
%
AA
 
53,330

 
20.6

 
1,768

 
6.2

 
6,246

 
25.6

 
134

 
3.4

 
61,478

 
19.5

A
 
137,270

 
53.1

 
6,466

 
22.9

 
1,744

 
7.1

 
669

 
16.5

 
146,149

 
46.3

BBB
 
58,274

 
22.5

 
17,872

 
63.3

 
869

 
3.6

 
1,172

 
28.9

 
78,187

 
24.8

BIG
 
7,594

 
2.9

 
1,430

 
5.1

 
4,341

 
17.8

 
548

 
13.5

 
13,913

 
4.4

Total net par outstanding (2)
 
$
258,650

 
100.0
%
 
$
28,239

 
100.0
%
 
$
24,387

 
100.0
%
 
$
4,049

 
100.0
%
 
$
315,325

 
100.0
%
_____________________
(1)
The September 30, 2016 amounts include $3.7 billion of net par acquired from CIFG.

(2)
As of September 30, 2016, excludes $2.1 billion of net par as a result of loss mitigation strategies, including loss mitigation securities held in the investment portfolio, 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)
As of December 31, 2015, excludes $1.5 billion of net par as a result of loss mitigation strategies, including loss mitigation securities held in the investment portfolio, 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 September 30, 2016

 
BIG Net Par Outstanding
 
Net Par
 
BIG 1
 
BIG 2
 
BIG 3
 
Total BIG
 
Outstanding
 
 
 
 
 
(in millions)
 
 
 
 
U.S. public finance
$
2,632

 
$
3,107

 
$
1,855

 
$
7,594

 
$
258,650

Non-U.S. public finance
1,370

 
60

 
—

 
1,430

 
28,239

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

 
 

 
 

 
 

 
 

Prime first lien
16

 
103

 
22

 
141

 
217

Alt-A first lien
85

 
41

 
472

 
598

 
1,047

Option ARM
22

 
6

 
59

 
87

 
172

Subprime
80

 
260

 
826

 
1,166

 
3,136

Second lien U.S. RMBS
29

 
71

 
1,204

 
1,304

 
1,307

Total U.S. RMBS
232

 
481

 
2,583

 
3,296

 
5,879

Triple-X life insurance transactions
—

 
—

 
126

 
126

 
2,060

Trust preferred securities (“TruPS”)
428

 
127

 
—

 
555

 
2,557

Student loans
—

 
68

 
41

 
109

 
1,423

Other structured finance
548

 
217

 
38

 
803

 
16,517

Total
$
5,210

 
$
4,060

 
$
4,643

 
$
13,913

 
$
315,325

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
Schedule of BIG Net Par Outstanding and Number of Risks
BIG Net Par Outstanding
and Number of Risks
As of September 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
 
$
4,470

 
$
740

 
$
5,210

 
182

 
11

 
193

Category 2
 
3,861

 
199

 
4,060

 
76

 
5

 
81

Category 3
 
4,503

 
140

 
4,643

 
144

 
11

 
155

Total BIG
 
$
12,834

 
$
1,079

 
$
13,913

 
402

 
27

 
429



 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.
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 September 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)
182

 
(39
)
 
76

 
(10
)
 
144

 
(48
)
 
402

 
—

 
402

Remaining weighted-average contract period (in years)
9.1

 
7.4

 
13.5

 
10.8

 
8.1

 
6.0

 
10.2

 
—

 
10.2

Outstanding exposure:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Principal
$
4,813

 
$
(343
)
 
$
4,277

 
$
(416
)
 
$
4,834

 
$
(331
)
 
$
12,834

 
$
—

 
$
12,834

Interest
2,326

 
(154
)
 
2,973

 
(224
)
 
1,929

 
(91
)
 
6,759

 
—

 
6,759

Total(2)
$
7,139

 
$
(497
)
 
$
7,250

 
$
(640
)
 
$
6,763

 
$
(422
)
 
$
19,593

 
$
—

 
$
19,593

Expected cash outflows (inflows)
$
210

 
$
(21
)
 
$
1,302

 
$
(86
)
 
$
1,286

 
$
(60
)
 
$
2,631

 
$
(326
)
 
$
2,305

Potential recoveries
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Undiscounted R&W
138

 
(3
)
 
(2
)
 
—

 
(52
)
 
1

 
82

 
—

 
82

Other(3)
(668
)
 
29

 
(125
)
 
3

 
(648
)
 
41

 
(1,368
)
 
200

 
(1,168
)
Total potential recoveries
(530
)
 
26

 
(127
)
 
3

 
(700
)
 
42

 
(1,286
)
 
200

 
(1,086
)
Subtotal
(320
)
 
5

 
1,175

 
(83
)
 
586

 
(18
)
 
1,345

 
(126
)
 
1,219

Discount
54

 
(3
)
 
(249
)
 
14

 
19

 
(96
)
 
(261
)
 
19

 
(242
)
Present value of expected cash flows
$
(266
)
 
$
2

 
$
926

 
$
(69
)
 
$
605

 
$
(114
)
 
$
1,084

 
$
(107
)
 
$
977

Deferred premium revenue
$
172

 
$
(5
)
 
$
256

 
$
(6
)
 
$
496

 
$
(32
)
 
$
881

 
$
(90
)
 
$
791

Reserves (salvage)
$
(325
)
 
$
5

 
$
749

 
$
(64
)
 
$
272

 
$
(5
)
 
$
632

 
$
(66
)
 
$
566


 
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)
(372
)
 
12

 
(167
)
 
8

 
(672
)
 
24

 
(1,167
)
 
182

 
(985
)
Total potential recoveries
(303
)
 
10

 
(216
)
 
9

 
(757
)
 
29

 
(1,228
)
 
189

 
(1,039
)
Subtotal
83

 
(32
)
 
942

 
(51
)
 
707

 
(24
)
 
1,625

 
(154
)
 
1,471

Discount
22

 
5

 
(237
)
 
11

 
27

 
(94
)
 
(266
)
 
34

 
(232
)
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 September 30, 2016

 
Hungary
 
Italy
 
Portugal
 
Spain
 
Turkey
 
Total
 
(in millions)
Sub-sovereign exposure(2)
$
252

 
$
955

 
$
80

 
$
366

 
$
—

 
$
1,653

Non-sovereign exposure(3)
180

 
427

 
—

 
—

 
203

 
810

Total
$
432

 
$
1,382

 
$
80

 
$
366

 
$
203

 
$
2,463

Total BIG (See Note 5)
$
360

 
$
—

 
$
80

 
$
366

 
$
—

 
$
806

____________________
(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.
Puerto Rico [Member]  
Schedule of Insured Financial Obligations [Line Items]  
Gross Par and Gross Debt Service Outstanding
Puerto Rico
Gross Par and Gross Debt Service Outstanding

 
Gross Par Outstanding
 
Gross Debt Service Outstanding
 
September 30,
2016
 
December 31,
2015
 
September 30,
2016
 
December 31,
2015
 
(in millions)
Exposure to Puerto Rico
$
5,437

 
$
5,755

 
$
9,041

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

 
As of
September 30, 2016
 
As of
December 31, 2015
 
(in millions)
Commonwealth Constitutionally Guaranteed
 
 
 
Commonwealth of Puerto Rico - General Obligation Bonds (1)
$
1,476

 
$
1,615

Puerto Rico Public Buildings Authority (1)
169

 
188

Public Corporations - Certain Revenues Potentially Subject to Clawback
 
 
 
PRHTA (Transportation revenue) (2)
918

 
909

PRHTA (Highways revenue)
350

 
370

PRCCDA
152

 
164

PRIFA (1)
18

 
18

Other Public Corporations
 
 
 
PREPA
724

 
744

PRASA
373

 
388

MFA
334

 
387

COFINA
271

 
269

U of PR
1

 
1

Total net exposure to Puerto Rico
$
4,786

 
$
5,053


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

(2)
The September 30, 2016 amount includes $46 million of net par acquired from CIFG.
BIG Net Par Outstanding and Number of Risks
Amortization Schedule of Puerto Rico Net Par Outstanding
and Net Debt Service Outstanding
As of September 30, 2016

 
Scheduled Net Par Amortization
 
Scheduled Net Debt Service Amortization
 
(in millions)
2016 (October 1 – December 31)
$
0

 
$
2

2017 (January 1 - March 31)
0

 
118

2017 (April 1 - June 30)
0

 
2

2017 (July 1 - September 30)
220

 
339

2017 (October 1 - December 31)
0

 
2

Subtotal 2017
220

 
461

2018
175

 
407

2019
206

 
430

2020
266

 
480

2021-2025
787

 
1,718

2026-2030
955

 
1,647

2031-2035
1,134

 
1,605

2036-2040
579

 
781

2041-2045
296

 
381

2046-2047
168

 
181

Total
$
4,786

 
$
8,093