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Contracts Accounted for as Insurance (Tables)
 3 Months Ended
Mar. 31, 2017
Insurance [Abstract]  
Net Earned Premiums
Net Earned Premiums
 
 
First Quarter
 
2017
 
2016
 
(in millions)
Scheduled net earned premiums
$
103

 
$
91

Accelerations:
 
 
 
Refundings
56

 
79

Terminations
2

 
10

Total Accelerations
58

 
89

Accretion of discount on net premiums receivable
3

 
3

  Financial guaranty insurance net earned premiums
164

 
183

Other
0

 
0

  Net earned premiums (1)
$
164

 
$
183

 ___________________
(1)
Excludes $4 million and $5 million for First Quarter 2017 and 2016, respectively, related to consolidated FG VIEs.
Components of Unearned Premium Reserve
Components of Unearned Premium Reserve
 
 
As of March 31, 2017
 
As of December 31, 2016
 
Gross
 
Ceded
 
Net(1)
 
Gross
 
Ceded
 
Net(1)
 
(in millions)
Deferred premium revenue(2)
3,874

 
180

 
3,694

 
3,548

 
206

 
3,342

Contra-paid (3)
(47
)
 
0

 
(47
)
 
(37
)
 
0

 
(37
)
Unearned premium reserve
$
3,827

 
$
180

 
$
3,647

 
$
3,511

 
$
206

 
$
3,305

 ____________________
(1)
Excludes $86 million and $90 million of deferred premium revenue, and $20 million and $25 million of contra-paid related to FG VIEs as of March 31, 2017 and December 31, 2016, respectively.

(2)
Includes $1 million of other as of March 31, 2017. As of December 31, 2016, other deferred premium revenue was de minimis.

(3)
See "Financial Guaranty Insurance Losses– Insurance Contracts' Loss Information" below for an explanation of "contra-paid".
Gross Premium Receivable, Net of Commissions on Assumed Business Roll Forward
Expected Collections of
Financial Guaranty Insurance Gross Premiums Receivable,
Net of Commissions on Assumed Business
(Undiscounted)
 
 
As of March 31, 2017
 
(in millions)
2017 (April 1 – June 30)
$
29

2017 (July 1 – September 30)
26

2017 (October 1 – December 31)
19

2018
85

2019
78

2020
75

2021
73

2022-2026
283

2027-2031
195

2032-2036
109

After 2036
102

Total(1)
$
1,074

 ____________________
(1)
Excludes expected cash collections on FG VIEs of $13 million.
Gross Premium Receivable,
Net of Commissions on Assumed Business
Roll Forward
 
 
First Quarter
 
2017
 
2016
 
(in millions)
Beginning of period, December 31
$
576

 
$
693

Premiums receivable from acquisitions (see Note 2)
270

 
—

Gross written premiums on new business, net of commissions on assumed business
110

 
41

Gross premiums received, net of commissions on assumed business
(92
)
 
(49
)
Adjustments:
 
 
 
Changes in the expected term
(1
)
 
(22
)
Accretion of discount, net of commissions on assumed business
4

 
0

Foreign exchange translation
9

 
(1
)
End of period, March 31 (1)
$
876

 
$
662

____________________
(1)
Excludes $11 million and $16 million as of March 31, 2017 and March 31, 2016, respectively, related to consolidated FG VIEs.

Schedule of Net Earned Premiums
Scheduled Financial Guaranty Insurance Net Earned Premiums

 
As of March 31, 2017
 
(in millions)
2017 (April 1 – June 30)
$
98

2017 (July 1 – September 30)
93

2017 (October 1 – December 31)
90

2018
342

2019
299

2020
271

2021
250

2022-2026
967

2027-2031
621

2032-2036
367

After 2036
295

Net deferred premium revenue(1)
3,693

Future accretion
189

Total future net earned premiums
$
3,882

 ____________________
(1)
Excludes scheduled net earned premiums on consolidated FG VIEs of $86 million.
Selected Information for Policies Paid in Installments
Selected Information for Financial Guaranty Insurance
Policies Paid in Installments

 
As of
March 31, 2017
 
As of
December 31, 2016
 
(dollars in millions)
Premiums receivable, net of commission payable
$
876

 
$
576

Gross deferred premium revenue
1,290

 
1,041

Weighted-average risk-free rate used to discount premiums
3.0
%
 
3.0
%
Weighted-average period of premiums receivable (in years)
9.2

 
9.1
Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance Insurance Contracts
Loss and LAE Reserve and Salvage and Subrogation Recoverable
Net of Reinsurance
Insurance Contracts 

 
As of March 31, 2017
 
As of December 31, 2016
 
Loss and
LAE
Reserve, net
 
Salvage and
Subrogation
Recoverable, net 
 
Net Reserve (Recoverable)
 
Loss and
LAE
Reserve, net
 
Salvage and
Subrogation
Recoverable, net 
 
Net Reserve (Recoverable)
 
(in millions)
Public finance:
 
 
 
 
 
 
 
 
 
 
 
U.S. public finance
$
809

 
$
96

 
$
713

 
$
711

 
$
86

 
$
625

Non-U.S. public finance
16

 
—

 
16

 
21

 
—

 
21

Public finance
825

 
96

 
729

 
732

 
86

 
646

Structured finance:
 
 
 
 
 
 
 
 
 
 
 
U.S. RMBS
273

 
260

 
13

 
283

 
262

 
21

Triple-X life insurance transactions
20

 
29

 
(9
)
 
36

 
—

 
36

Other structured finance
59

 
—

 
59

 
60

 
—

 
60

Structured finance
352

 
289

 
63

 
379

 
262

 
117

Subtotal
1,177

 
385

 
792

 
1,111

 
348

 
763

Other recoverable (payable)
—

 
2

 
(2
)
 
—

 
(1
)
 
1

Subtotal
1,177

 
387

 
790

 
1,111

 
347

 
764

Elimination of losses attributable to FG VIEs
(58
)
 
—

 
(58
)
 
(64
)
 
—

 
(64
)
Total (1)
$
1,119

 
$
387

 
$
732

 
$
1,047

 
$
347

 
$
700

____________________
(1)
See “Components of Net Reserves (Salvage)” table for loss and LAE reserve and salvage and subrogation recoverable components.
Components of Net Reserves (Salvage) Insurance Contracts
Components of Net Reserves (Salvage)
 
 
As of
March 31, 2017
 
As of
December 31, 2016
 
(in millions)
Loss and LAE reserve
$
1,193

 
$
1,127

Reinsurance recoverable on unpaid losses
(74
)
 
(80
)
Loss and LAE reserve, net
1,119

 
1,047

Salvage and subrogation recoverable
(405
)
 
(365
)
Salvage and subrogation payable(1)
20

 
17

Other payable (recoverable)
(2
)
 
1

Salvage and subrogation recoverable, net, and other recoverable
(387
)
 
(347
)
Net reserves (salvage)
$
732

 
$
700

____________________
(1)
Recorded as a component of reinsurance balances payable.
Reconciliation of Net Expected Loss to be Paid and Net Expected Loss to be Expensed Financial Guaranty Insurance Contracts
Reconciliation of Net Expected Loss to be Paid and
Net Expected Loss to be Expensed
Financial Guaranty Insurance Contracts
 
 
As of
March 31, 2017
 
(in millions)
Net expected loss to be paid - financial guaranty insurance (1)
$
1,141

Contra-paid, net
47

Salvage and subrogation recoverable, net of reinsurance
385

Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance
(1,118
)
Other recoverable (payable)
2

Net expected loss to be expensed (present value) (2)
$
457

____________________
(1)
See "Net Expected Loss to be Paid (Recovered) by Accounting Model" table in Note 5, Expected Loss to be Paid.

(2)
Excludes $60 million as of March 31, 2017, related to consolidated FG VIEs.
Net Expected Loss to be Expensed Insurance Contracts
Net Expected Loss to be Expensed
Financial Guaranty Insurance Contracts 

 
As of
March 31, 2017
 
(in millions)
2017 (April 1 – June 30)
$
10

2017 (July 1 – September 30)
9

2017 (October 1 – December 31)
9

Subtotal 2017
28

2018
39

2019
36

2020
33

2021
33

2022-2026
144

2027-2031
83

2032-2036
44

After 2036
17

Net expected loss to be expensed
457

Future accretion
400

Total expected future loss and LAE
$
857

 
Loss and LAE Reported on the Consolidated Statements of Operations
Loss and LAE
Reported on the
Consolidated Statements of Operations
  
 
First Quarter
 
2017
 
2016
 
(in millions)
Public finance:
 
 
 
U.S. public finance
$
112

 
$
97

Non-U.S. public finance
(3
)
 
0

Public finance
109

 
97

Structured finance:
 
 
 
U.S. RMBS
(9
)
 
11

Triple-X life insurance transactions
(45
)
 
3

Other structured finance
6

 
(14
)
Structured finance
(48
)
 
0

Loss and LAE on insurance contracts before FG VIE consolidation
61

 
97

Gain (loss) related to FG VIE consolidation
(2
)
 
(7
)
Loss and LAE
$
59

 
$
90
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.