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Outstanding Exposure (Tables)
 3 Months Ended
Mar. 31, 2017
Schedule of Insured Financial Obligations [Line Items]  
Debt Service Outstanding
The following table presents the gross and net debt service for financial guaranty contracts.

Financial Guaranty
Debt Service Outstanding

 
Gross Debt Service
Outstanding
 
Net Debt Service
Outstanding
 
March 31,
2017
 
December 31,
2016
 
March 31,
2017
 
December 31,
2016
 
(in millions)
Public finance
$
436,426

 
$
425,849

 
$
422,496

 
$
409,447

Structured finance
24,506

 
29,151

 
23,690

 
28,088

Total financial guaranty
$
460,932

 
$
455,000

 
$
446,186

 
$
437,535
Financial Guaranty Portfolio by Internal Rating
Financial Guaranty Portfolio by Internal Rating
As of March 31, 2017

 
 
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
 
$
1,816

 
0.8
%
 
$
2,156

 
5.5
%
 
$
6,765

 
36.7
%
 
$
1,032

 
42.9
%
 
$
11,769

 
3.9
%
AA
 
42,529

 
17.9

 
204

 
0.5

 
5,408

 
29.3

 
99

 
4.1

 
48,240

 
16.2

A
 
132,212

 
55.5

 
12,711

 
32.3

 
1,698

 
9.2

 
264

 
11.0

 
146,885

 
49.3

BBB
 
54,294

 
22.8

 
22,199

 
56.4

 
868

 
4.7

 
760

 
31.6

 
78,121

 
26.2

BIG
 
7,199

 
3.0

 
2,073

 
5.3

 
3,707

 
20.1

 
249

 
10.4

 
13,228

 
4.4

Total net par outstanding (1)
 
$
238,050

 
100.0
%

$
39,343


100.0
%

$
18,446


100.0
%

$
2,404


100.0
%

$
298,243


100.0
%
_____________________
(1)
The March 31, 2017 amounts include $12.2 billion of net par from the MBIA UK Acquisition.


Financial Guaranty Portfolio by Internal Rating
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
%
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, 2017

 
BIG Net Par Outstanding
 
Net Par
 
BIG 1
 
BIG 2
 
BIG 3
 
Total BIG
 
Outstanding
 
 
 
 
 
(in millions)
 
 
 
 
Public finance:
 
 
 
 
 
 
 
 
 
U.S. public finance
$
2,424

 
$
2,901

 
$
1,874

 
$
7,199

 
$
238,050

Non-U.S. public finance
1,810

 
263

 
—

 
2,073

 
39,343

Public finance
4,234

 
3,164

 
1,874

 
9,272

 
277,393

Structured finance:
 
 
 
 
 
 
 
 
 
U.S. Residential mortgage-backed securities (RMBS)
190

 
412

 
2,407

 
3,009

 
5,357

Triple-X life insurance transactions
—

 
—

 
126

 
126

 
2,057

Trust preferred securities (TruPS)
192

 
62

 
—

 
254

 
1,616

Other structured finance
298

 
193

 
76

 
567

 
11,820

Structured finance
680

 
667

 
2,609

 
3,956

 
20,850

Total
$
4,914

 
$
3,831

 
$
4,483

 
$
13,228

 
$
298,243



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

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
Schedule of BIG Net Par Outstanding and Number of Risks
BIG Net Par Outstanding
and Number of Risks
As of March 31, 2017

 
 
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
 
$
4,427

 
$
487

 
$
4,914

 
159

 
8

 
167

Category 2
 
3,698

 
133

 
3,831

 
71

 
5

 
76

Category 3
 
4,351

 
132

 
4,483

 
149

 
9

 
158

Total BIG
 
$
12,476

 
$
752

 
$
13,228

 
379

 
22

 
401



 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

_____________________
(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 March 31, 2017
 
 
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)
159

 
(33
)
 
71

 
(8
)
 
149

 
(51
)
 
379

 
—

 
379

Remaining weighted-average contract period (in years)
9.4

 
7.0

 
12.7

 
9.2

 
8.1

 
5.4

 
10.1

 
—

 
10.1

Outstanding exposure:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Principal
$
4,732

 
$
(305
)
 
$
3,990

 
$
(292
)
 
$
4,634

 
$
(283
)
 
$
12,476

 
$
—

 
$
12,476

Interest
2,457

 
(132
)
 
2,625

 
(132
)
 
1,859

 
(69
)
 
6,608

 
—

 
6,608

Total(2)
$
7,189

 
$
(437
)
 
$
6,615

 
$
(424
)
 
$
6,493

 
$
(352
)
 
$
19,084

 
$
—

 
$
19,084

Expected cash outflows (inflows)
$
169

 
$
(18
)
 
$
1,525

 
$
(75
)
 
$
1,446

 
$
(60
)
 
$
2,987

 
$
(320
)
 
$
2,667

Potential recoveries(3)
(459
)
 
23

 
(172
)
 
3

 
(758
)
 
40

 
(1,323
)
 
197

 
(1,126
)
Subtotal
(290
)
 
5

 
1,353

 
(72
)
 
688

 
(20
)
 
1,664

 
(123
)
 
1,541

Discount
64

 
(4
)
 
(363
)
 
15

 
(136
)
 
(1
)
 
(425
)
 
25

 
(400
)
Present value of expected cash flows
$
(226
)
 
$
1

 
$
990

 
$
(57
)
 
$
552

 
$
(21
)
 
$
1,239

 
$
(98
)
 
$
1,141

Deferred premium revenue
$
120

 
$
(5
)
 
$
310

 
$
(4
)
 
$
459

 
$
(26
)
 
$
854

 
$
(83
)
 
$
771

Reserves (salvage)
$
(277
)
 
$
6

 
$
802

 
$
(52
)
 
$
318

 
$
(8
)
 
$
789

 
$
(58
)
 
$
731


 
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(3)
(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

____________________
(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.
Net Direct Economic Exposure to Selected European Countries
Net Direct Economic Exposure to Selected European Countries(1)
As of March 31, 2017

 
Hungary
 
Italy
 
Portugal
 
Spain
 
Turkey
 
Total
 
(in millions)
Sub-sovereign exposure(2)
$
204

 
$
912

 
$
75

 
$
345

 
$
—

 
$
1,536

Non-sovereign exposure(3)
114

 
400

 
—

 
—

 
202

 
716

Total
$
318

 
$
1,312

 
$
75

 
$
345

 
$
202

 
$
2,252

Total BIG (See Note 5)
$
248

 
$
—

 
$
75

 
$
345

 
$
—

 
$
668

____________________
(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.
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
 
March 31,
2017
 
December 31,
2016
 
March 31,
2017
 
December 31,
2016
 
(in millions)
Exposure to Puerto Rico
$
5,435

 
$
5,435

 
$
8,903

 
$
9,038
Schedule of Geographic Exposure of Net Par Outstanding
Puerto Rico
Net Par Outstanding (1)

 
As of
March 31, 2017
 
As of
December 31, 2016
 
(in millions)
Commonwealth Constitutionally Guaranteed
 
 
 
Commonwealth of Puerto Rico - General Obligation Bonds (2)
$
1,495

 
$
1,476

PBA (2)
169

 
169

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

 
918

PRHTA (Highways revenue)
409

 
350

PRCCDA
152

 
152

PRIFA (2)
18

 
18

Other Public Corporations
 
 
 
PREPA
777

 
724

PRASA
373

 
373

MFA
354

 
334

COFINA
271

 
271

U of PR
1

 
1

Total net exposure to Puerto Rico
$
4,937

 
$
4,786

____________________
(1)
The March 31, 2017 amounts include $150 million related to the commutation of previously ceded business. See Note 13, Reinsurance and Other Monoline Exposures, for more information.

(2)    As of the date of this filing, the Company has paid claims on these credits.
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, 2017

 
Scheduled Net Par Amortization
 
Scheduled Net Debt Service Amortization
 
(in millions)
2017 (April 1 - June 30)
$
0

 
$
2

2017 (July 1 - September 30)
224

 
346

2017 (October 1 - December 31)
0

 
2

Subtotal 2017
224

 
350

2018
178

 
419

2019
210

 
440

2020
270

 
490

2021
129

 
336

2022-2026
900

 
1,819

2027-2031
942

 
1,609

2032-2036
1,249

 
1,669

2037-2041
417

 
588

2042-2047
418

 
492

Total
$
4,937

 
$
8,212