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Outstanding Exposure (Tables)
 12 Months Ended
Dec. 31, 2016
Schedule of Insured Financial Obligations [Line Items]  
Debt Service Outstanding
Financial Guaranty
Debt Service Outstanding

 
Gross Debt Service
Outstanding
 
Net Debt Service
Outstanding
 
December 31,
2016
 
December 31,
2015
 
December 31,
2016
 
December 31,
2015
 
(in millions)
Public finance
$
425,849

 
$
515,494

 
$
409,447

 
$
494,426

Structured finance
29,151

 
43,976

 
28,088

 
41,915

Total financial guaranty
$
455,000

 
$
559,470

 
$
437,535

 
$
536,341
Financial Guaranty Portfolio by Internal Rating
Financial Guaranty Portfolio by Internal Rating(1)
As of December 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
 
$
2,066

 
0.8
%
 
$
2,221

 
8.4
%
 
$
9,757

 
44.2
%
 
$
1,447

 
47.0
%
 
$
15,491

 
5.2
%
AA
 
46,420

 
19.0

 
170

 
0.6

 
5,773

 
26.2

 
127

 
4.1

 
52,490

 
17.7

A
 
133,829

 
54.7

 
6,270

 
23.8

 
1,589

 
7.2

 
456

 
14.8

 
142,144

 
48.0

BBB
 
55,103

 
22.5

 
16,378

 
62.1

 
879

 
4.0

 
759

 
24.6

 
73,119

 
24.7

BIG
 
7,380

 
3.0

 
1,342

 
5.1

 
4,059

 
18.4

 
293

 
9.5

 
13,074

 
4.4

Total net par outstanding
 
$
244,798

 
100.0
%
 
$
26,381

 
100.0
%
 
$
22,057

 
100.0
%
 
$
3,082

 
100.0
%
 
$
296,318

 
100.0
%
_____________________
(1)    The December 31, 2016 amounts include $2.9 billion of net par from the CIFG Acquisition.


Financial Guaranty Portfolio by Internal Rating(1)
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
 
$
291,866

 
100.0
%
 
$
29,577

 
100.0
%
 
$
31,770

 
100.0
%
 
$
5,358

 
100.0
%
 
$
358,571

 
100.0
%
_____________________
(1)
The December 31, 2015 amounts include $10.9 billion of net par from the Radian Asset Acquisition.
Financial Guaranty Portfolio by Asset Class
Financial Guaranty Portfolio
by Sector

 
Gross Par Outstanding
 
Ceded Par Outstanding
 
Net Par Outstanding
Sector
As of December 31, 2016
 
As of December 31, 2015
 
As of December 31, 2016
 
As of December 31, 2015
 
As of December 31, 2016
 
As of December 31, 2015
 
(in millions)
Public finance:
 
 
 
 
 
 
 
 
 

 
 

U.S.:
 
 
 
 
 
 
 
 
 

 
 

General obligation
$
110,167

 
$
129,386

 
$
2,450

 
$
3,131

 
$
107,717

 
$
126,255

Tax backed
51,325

 
59,649

 
1,394

 
1,587

 
49,931

 
58,062

Municipal utilities
38,442

 
46,951

 
839

 
1,015

 
37,603

 
45,936

Transportation
19,915

 
24,351

 
512

 
897

 
19,403

 
23,454

Healthcare
11,940

 
15,967

 
702

 
961

 
11,238

 
15,006

Higher education
10,114

 
11,984

 
29

 
48

 
10,085

 
11,936

Infrastructure finance
3,902

 
5,241

 
133

 
248

 
3,769

 
4,993

Housing
1,593

 
2,075

 
34

 
38

 
1,559

 
2,037

Investor-owned utilities
697

 
916

 
0

 
0

 
697

 
916

Other public finance
2,810

 
3,288

 
14

 
17

 
2,796

 
3,271

Total public finance—U.S.
250,905

 
299,808

 
6,107

 
7,942

 
244,798

 
291,866

Non-U.S.:
 
 
 
 
 
 
 
 
 

 
 

Infrastructure finance
11,818

 
14,040

 
1,087

 
1,312

 
10,731

 
12,728

Regulated utilities
11,395

 
12,616

 
2,132

 
2,568

 
9,263

 
10,048

Pooled infrastructure
1,621

 
2,013

 
108

 
134

 
1,513

 
1,879

Other public finance
5,653

 
5,714

 
779

 
792

 
4,874

 
4,922

Total public finance—non-U.S.
30,487

 
34,383

 
4,106

 
4,806

 
26,381

 
29,577

Total public finance
281,392

 
334,191

 
10,213

 
12,748

 
271,179

 
321,443

Structured finance:
 
 
 
 
 
 
 
 
 

 
 

U.S.:
 
 
 
 
 
 
 
 
 

 
 

Pooled corporate obligations
10,273

 
16,757

 
223

 
749

 
10,050

 
16,008

Residential Mortgage-Backed Securities (RMBS)
5,933

 
7,441

 
296

 
374

 
5,637

 
7,067

Insurance securitizations
2,355

 
3,047

 
47

 
47

 
2,308

 
3,000

Consumer receivables
1,707

 
2,153

 
55

 
54

 
1,652

 
2,099

Financial products
1,540

 
1,906

 
—

 
—

 
1,540

 
1,906

Commercial receivables
234

 
432

 
4

 
5

 
230

 
427

Commercial mortgage-backed securities (CMBS) and other commercial real estate related exposures
43

 
549

 
—

 
16

 
43

 
533

Other structured finance
646

 
823

 
49

 
93

 
597

 
730

Total structured finance—U.S.
22,731

 
33,108

 
674

 
1,338

 
22,057

 
31,770

Non-U.S.:
 
 
 
 
 
 
 
 
 

 
 

Pooled corporate obligations
1,716

 
4,087

 
181

 
442

 
1,535

 
3,645

RMBS
661

 
552

 
57

 
60

 
604

 
492

Commercial receivables
373

 
619

 
17

 
19

 
356

 
600

Other structured finance
601

 
635

 
14

 
14

 
587

 
621

Total structured finance—non-U.S.
3,351

 
5,893

 
269

 
535

 
3,082

 
5,358

Total structured finance
26,082

 
39,001

 
943

 
1,873

 
25,139

 
37,128

Total net par outstanding
$
307,474

 
$
373,192

 
$
11,156

 
$
14,621

 
$
296,318

 
$
358,571
Expected Amortization of Net Par Outstanding
Expected Amortization of
Net Par Outstanding
As of December 31, 2016

 
Public Finance
 
Structured Finance
 
Total
 
(in millions)
0 to 5 years
$
90,563

 
$
16,394

 
$
106,957

5 to 10 years
56,351

 
3,692

 
60,043

10 to 15 years
45,712

 
2,548

 
48,260

15 to 20 years
37,057

 
1,859

 
38,916

20 years and above
41,496

 
646

 
42,142

Total net par outstanding
$
271,179

 
$
25,139

 
$
296,318
Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form)
Components of BIG Net Par Outstanding
(Insurance and Credit Derivative Form)
As of December 31, 2016

 
BIG Net Par Outstanding
 
Net Par
 
BIG 1
 
BIG 2
 
BIG 3
 
Total BIG
 
Outstanding
 
 
 
 
 
(in millions)
 
 
 
 
Public finance:
 
 
 
 
 
 
 
 
 
U.S. public finance
$
2,402

 
$
3,123

 
$
1,855

 
$
7,380

 
$
244,798

Non-U.S. public finance
1,288

 
54

 
—

 
1,342

 
26,381

Public finance
3,690

 
3,177

 
1,855

 
8,722

 
271,179

Structured finance:
 
 
 
 
 
 
 
 
 
U.S. RMBS
197

 
493

 
2,461

 
3,151

 
5,637

Triple-X life insurance transactions
—

 
—

 
126

 
126

 
2,057

Trust preferred securities (TruPS)
304

 
126

 
—

 
430

 
1,892

Other structured finance
304

 
263

 
78

 
645

 
15,553

Structured finance
805

 
882

 
2,665

 
4,352

 
25,139

Total
$
4,495

 
$
4,059

 
$
4,520

 
$
13,074

 
$
296,318




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)
 
 
 
 
Public finance:
 
 
 
 
 
 
 
 
 
U.S. public finance
$
4,765

 
$
2,883

 
$
136

 
$
7,784

 
$
291,866

Non-U.S. public finance
875

 
503

 
—

 
1,378

 
29,577

Public finance
5,640

 
3,386

 
136

 
9,162

 
321,443

Structured finance:
 
 
 
 
 
 
 
 
 
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

Other structured finance
684

 
219

 
123

 
1,026

 
22,932

Structured finance
2,383

 
743

 
2,895

 
6,021

 
37,128

Total
$
8,023

 
$
4,129

 
$
3,031

 
$
15,183

 
$
358,571
BIG Net Par Outstanding and Number of Risks
BIG Net Par Outstanding
and Number of Risks
As of December 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
 
$
3,861

 
$
634

 
$
4,495

 
165

 
10

 
175

Category 2
 
3,857

 
202

 
4,059

 
79

 
6

 
85

Category 3
 
4,383

 
137

 
4,520

 
148

 
9

 
157

Total BIG
 
$
12,101

 
$
973

 
$
13,074

 
392

 
25

 
417



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.
Financial Guaranty Insurance
BIG Transaction Loss Summary
As of December 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)
165

 
(35
)
 
79

 
(11
)
 
148

 
(49
)
 
392

 
—

 
392

Remaining weighted-average contract period (in years)
8.6

 
7.0

 
13.2

 
10.5

 
8.1

 
6.0

 
10.1

 
—

 
10.1

Outstanding exposure:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Principal
$
4,187

 
$
(326
)
 
$
4,273

 
$
(416
)
 
$
4,703

 
$
(320
)
 
$
12,101

 
$
—

 
$
12,101

Interest
1,932

 
(140
)
 
2,926

 
(219
)
 
1,867

 
(87
)
 
6,279

 
—

 
6,279

Total(2)
$
6,119

 
$
(466
)
 
$
7,199

 
$
(635
)
 
$
6,570

 
$
(407
)
 
$
18,380

 
$
—

 
$
18,380

Expected cash outflows (inflows)
$
172

 
$
(19
)
 
$
1,404

 
$
(86
)
 
$
1,435

 
$
(65
)
 
$
2,841

 
$
(326
)
 
$
2,515

Potential recoveries
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Undiscounted R&W
120

 
(3
)
 
(2
)
 
—

 
(62
)
 
1

 
54

 
—

 
54

Other(3)
(560
)
 
26

 
(144
)
 
4

 
(681
)
 
44

 
(1,311
)
 
198

 
(1,113
)
Total potential recoveries
(440
)
 
23

 
(146
)
 
4

 
(743
)
 
45

 
(1,257
)
 
198

 
(1,059
)
Subtotal
(268
)
 
4

 
1,258

 
(82
)
 
692

 
(20
)
 
1,584

 
(128
)
 
1,456

Discount
61

 
(4
)
 
(355
)
 
19

 
(114
)
 
(4
)
 
(397
)
 
24

 
(373
)
Present value of expected cash flows
$
(207
)
 
$
0

 
$
903

 
$
(63
)
 
$
578

 
$
(24
)
 
$
1,187

 
$
(104
)
 
$
1,083

Deferred premium revenue
$
131

 
$
(5
)
 
$
246

 
$
(6
)
 
$
476

 
$
(30
)
 
$
812

 
$
(86
)
 
$
726

Reserves (salvage)
$
(255
)
 
$
5

 
$
738

 
$
(58
)
 
$
343

 
$
(10
)
 
$
763

 
$
(64
)
 
$
699

 

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 December 31, 2016

 
Hungary
 
Italy
 
Portugal
 
Spain
 
Turkey
 
Total
 
(in millions)
Sub-sovereign exposure(2)
$
236

 
$
880

 
$
76

 
$
342

 
$
—

 
$
1,534

Non-sovereign exposure(3)
114

 
399

 
—

 
—

 
202

 
715

Total
$
350

 
$
1,279

 
$
76

 
$
342

 
$
202

 
$
2,249

Total BIG (See Note 5)
$
283

 
$
—

 
$
76

 
$
342

 
$
—

 
$
701

____________________
(1)
While exposures are shown in U.S. dollars, the obligations 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 Geographic Exposure of Net Par Outstanding
Geographic Distribution of
Net Par Outstanding
As of December 31, 2016

 
Number of Risks
 
Net Par Outstanding
 
Percent of Total Net Par Outstanding
 
(dollars in millions)
U.S.:
 
 
 
 
 
U.S. Public finance:
 
 
 
 
 
 California
1,459

 
$
42,404

 
14.3
%
 Texas
1,271

 
20,599

 
7.0

 Pennsylvania
852

 
20,232

 
6.8

 New York
935

 
19,637

 
6.6

 Illinois
776

 
17,967

 
6.1

 Florida
324

 
12,643

 
4.3

 New Jersey
495

 
12,560

 
4.2

 Michigan
506

 
7,985

 
2.7

 Georgia
172

 
6,372

 
2.2

 Ohio
409

 
5,554

 
1.9

 Other states and U.S. territories
3,475

 
78,845

 
26.6

Total U.S. public finance
10,674

 
244,798

 
82.7

U.S. Structured finance (multiple states)
610

 
22,057

 
7.4

Total U.S.
11,284

 
266,855

 
90.1

Non-U.S.:
 
 
 
 
 
United Kingdom
112

 
15,940

 
5.4

Australia
18

 
3,036

 
1.0

Canada
9

 
2,730

 
0.9

France
14

 
1,809

 
0.6

Italy
9

 
1,311

 
0.4

Other
53

 
4,637

 
1.6

Total non-U.S.
215

 
29,463

 
9.9

Total
11,499

 
$
296,318

 
100.0
%
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 December 31, 2016

 
Scheduled Net Par Amortization
 
Scheduled Net Debt Service Amortization
 
(in millions)
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

 
408

2019
206

 
429

2020
266

 
480

2021
125

 
326

2022-2026
869

 
1,759

2027-2031
889

 
1,534

2032-2036
1,201

 
1,612

2037-2041
417

 
588

2042-2047
418

 
492

Total
$
4,786

 
$
8,089

 [1]
Gross Par and Gross Debt Service Outstanding
Puerto Rico
Gross Par and Gross Debt Service Outstanding

 
Gross Par Outstanding
 
Gross Debt Service Outstanding
 
December 31,
2016
 
December 31,
2015
 
December 31,
2016
 
December 31,
2015
 
(in millions)
Exposure to Puerto Rico
$
5,435

 
$
5,755

 
$
9,038

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

 
As of
December 31, 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) (1) (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 December 31, 2016 amount includes $46 million of net par from the CIFG Acquisition.    

 [1]
[1] As of the date of this filing, the Company has paid claims on these credits.