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Outstanding Exposure (Tables)
 6 Months Ended
Jun. 30, 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
 
June 30,
2017
 
December 31,
2016
 
June 30,
2017
 
December 31,
2016
 
(in millions)
Public finance
$
429,419

 
$
425,849

 
$
415,689

 
$
409,447

Structured finance
21,000

 
29,151

 
20,356

 
28,088

Total financial guaranty
$
450,419

 
$
455,000

 
$
436,045

 
$
437,535
Financial Guaranty Portfolio by Internal Rating
Financial Guaranty Portfolio by Internal Rating
As of June 30, 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
 
$
1,709

 
0.7
%
 
$
2,212

 
5.5
%
 
$
4,364

 
27.9
%
 
$
768

 
38.1
%
 
$
9,053

 
3.1
%
AA
 
38,894

 
16.7

 
206

 
0.5

 
5,294

 
33.8

 
76

 
3.8

 
44,470

 
15.3

A
 
129,869

 
55.9

 
13,065

 
32.2

 
1,732

 
11.1

 
275

 
13.7

 
144,941

 
49.9

BBB
 
54,804

 
23.6

 
22,905

 
56.5

 
712

 
4.5

 
734

 
36.4

 
79,155

 
27.2

BIG
 
7,142

 
3.1

 
2,145

 
5.3

 
3,553

 
22.7

 
161

 
8.0

 
13,001

 
4.5

Total net par outstanding (1)
 
$
232,418

 
100.0
%

$
40,533


100.0
%

$
15,655


100.0
%

$
2,014


100.0
%

$
290,620


100.0
%
_____________________
(1)
The June 30, 2017 amounts include $12.7 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 June 30, 2017

 
BIG Net Par Outstanding
 
Net Par
 
BIG 1
 
BIG 2
 
BIG 3
 
Total BIG
 
Outstanding
 
 
 
 
 
(in millions)
 
 
 
 
Public finance:
 
 
 
 
 
 
 
 
 
U.S. public finance
$
2,392

 
$
662

 
$
4,088

 
$
7,142

 
$
232,418

Non-U.S. public finance
1,872

 
273

 
—

 
2,145

 
40,533

Public finance
4,264

 
935

 
4,088

 
9,287

 
272,951

Structured finance:
 
 
 
 
 
 
 
 
 
U.S. Residential mortgage-backed securities (RMBS)
211

 
349

 
2,315

 
2,875

 
5,089

Triple-X life insurance transactions
—

 
—

 
126

 
126

 
2,053

Trust preferred securities (TruPS)
242

 
—

 
—

 
242

 
1,508

Other structured finance
208

 
189

 
74

 
471

 
9,019

Structured finance
661

 
538

 
2,515

 
3,714

 
17,669

Total
$
4,925

 
$
1,473

 
$
6,603

 
$
13,001

 
$
290,620



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 June 30, 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
 
$
4,377

 
$
548

 
$
4,925

 
157

 
11

 
168

Category 2
 
1,412

 
61

 
1,473

 
60

 
3

 
63

Category 3
 
6,473

 
130

 
6,603

 
153

 
8

 
161

Total BIG
 
$
12,262

 
$
739

 
$
13,001

 
370

 
22

 
392



 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 June 30, 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)
157

 
(33
)
 
60

 
(4
)
 
153

 
(54
)
 
370

 
—

 
370

Remaining weighted-average contract period (in years)
9.0

 
6.4

 
14.2

 
4.0

 
9.4

 
7.3

 
9.9

 
—

 
9.9

Outstanding exposure:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Principal
$
4,676

 
$
(299
)
 
$
1,426

 
$
(14
)
 
$
7,024

 
$
(551
)
 
$
12,262

 
$
—

 
$
12,262

Interest
2,281

 
(115
)
 
1,086

 
(3
)
 
3,288

 
(192
)
 
6,345

 
—

 
6,345

Total(2)
$
6,957

 
$
(414
)
 
$
2,512

 
$
(17
)
 
$
10,312

 
$
(743
)
 
$
18,607

 
$
—

 
$
18,607

Expected cash outflows (inflows)
$
168

 
$
(18
)
 
$
418

 
$
(1
)
 
$
3,026

 
$
(181
)
 
$
3,412

 
$
(317
)
 
$
3,095

Potential recoveries(3)
(452
)
 
23

 
(78
)
 
1

 
(1,392
)
 
94

 
(1,804
)
 
197

 
(1,607
)
Subtotal
(284
)
 
5

 
340

 
0

 
1,634

 
(87
)
 
1,608

 
(120
)
 
1,488

Discount
48

 
(3
)
 
(96
)
 
0

 
(263
)
 
6

 
(308
)
 
23

 
(285
)
Present value of expected cash flows
$
(236
)
 
$
2

 
$
244

 
$
0

 
$
1,371

 
$
(81
)
 
$
1,300

 
$
(97
)
 
$
1,203

Deferred premium revenue
$
128

 
$
(9
)
 
$
139

 
$
0

 
$
594

 
$
(28
)
 
$
824

 
$
(80
)
 
$
744

Reserves (salvage)
$
(282
)
 
$
5

 
$
191

 
$
0

 
$
1,008

 
$
(64
)
 
$
858

 
$
(56
)
 
$
802

 
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.

(3)
Includes excess spread and R&W receivables and payables.
Net Direct Economic Exposure to Selected European Countries
Net Direct Economic Exposure to Selected European Countries(1)
As of June 30, 2017

 
Hungary
 
Italy
 
Portugal
 
Spain
 
Turkey
 
Total
 
(in millions)
Sub-sovereign exposure(2)
$
218

 
$
965

 
$
74

 
$
370

 
$
—

 
$
1,627

Non-sovereign exposure(3)
122

 
415

 
—

 
—

 
201

 
738

Total
$
340

 
$
1,380

 
$
74

 
$
370

 
$
201

 
$
2,365

Total BIG (See Note 5)
$
265

 
$
—

 
$
74

 
$
370

 
$
—

 
$
709

____________________
(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
 
June 30,
2017
 
December 31,
2016
 
June 30,
2017
 
December 31,
2016
 
(in millions)
Exposure to Puerto Rico
$
5,435

 
$
5,435

 
$
8,901

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

 
As of
June 30, 2017
 
As of
December 31, 2016
 
(in millions)
Commonwealth Constitutionally Guaranteed
 
 
 
Commonwealth of Puerto Rico - General Obligation Bonds (2) (3)
$
1,495

 
$
1,476

PBA (2)
169

 
169

Public Corporations - Certain Revenues Potentially Subject to Clawback
 
 
 
PRHTA (Transportation revenue) (2) (3)
918

 
918

PRHTA (Highways revenue) (2) (3)
409

 
350

PRCCDA (2)
152

 
152

PRIFA (2)
18

 
18

Other Public Corporations
 
 
 
PREPA (2) (3)
777

 
724

PRASA
373

 
373

MFA
354

 
334

COFINA (2) (3)
271

 
271

U of PR
1

 
1

Total net exposure to Puerto Rico
$
4,937

 
$
4,786

____________________
(1)
The June 30, 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.

(3)    As of the date of this filing, the Oversight Board has certified a filing under Title III of PROMESA for 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 June 30, 2017

 
Scheduled Net Par Amortization
 
Scheduled Net Debt Service Amortization
 
(in millions)
2017 (July 1 - September 30)
$
214

 
$
336

2017 (October 1 - December 31)
0

 
2

Subtotal 2017
214

 
338

2018
188

 
429

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

 
$
8,210