XML 44 R33.htm IDEA: XBRL DOCUMENT v3.8.0.1
Contracts Accounted for as Insurance (Tables)
 9 Months Ended
Sep. 30, 2017
Insurance [Abstract]  
Net Earned Premiums
Net Earned Premiums
 
 
Third Quarter
 
Nine Months
 
2017
 
2016
 
2017
 
2016
 
(in millions)
Scheduled net earned premiums
$
96

 
$
101

 
$
296

 
$
285

Accelerations:
 
 
 
 
 
 
 
Refundings
84

 
105

 
189

 
267

Terminations
3

 
21

 
15

 
65

Total Accelerations
87

 
126

 
204

 
332

Accretion of discount on net premiums receivable
3

 
4

 
11

 
11

  Financial guaranty insurance net earned premiums
186

 
231

 
511

 
628

Other
0

 
—

 
1

 
0

  Net earned premiums (1)
$
186

 
$
231

 
$
512

 
$
628

 ___________________
(1)
Excludes $3 million and $4 million for Third Quarter 2017 and 2016, respectively, and $11 million and $12 million for Nine Months 2017 and 2016, respectively, related to consolidated FG VIEs.
Components of Unearned Premium Reserve
Components of Unearned Premium Reserve
 
 
As of September 30, 2017
 
As of December 31, 2016
 
Gross
 
Ceded
 
Net(1)
 
Gross
 
Ceded
 
Net(1)
 
(in millions)
Deferred premium revenue(2)
$
3,647

 
$
107

 
$
3,540

 
$
3,548

 
$
206

 
$
3,342

Contra-paid (3)
(50
)
 
1

 
(51
)
 
(37
)
 
0

 
(37
)
Unearned premium reserve
$
3,597

 
$
108

 
$
3,489

 
$
3,511

 
$
206

 
$
3,305

 ____________________
(1)
Excludes $79 million and $90 million of deferred premium revenue, and $18 million and $25 million of contra-paid related to FG VIEs as of September 30, 2017 and December 31, 2016, respectively.

(2)
Includes $7 million of non- financial guaranty as of September 30, 2017. As of December 31, 2016, non-financial guaranty 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
Gross Premium Receivable,
Net of Commissions on Assumed Business
Roll Forward 
 
Nine Months
 
2017
 
2016
 
(in millions)
December 31,
$
576

 
$
693

FG activity
 
 
 
Premiums receivable from acquisitions (see Note 2)
270

 
18

Gross written premiums on new business, net of commissions on assumed business
225

 
111

Gross premiums received, net of commissions on assumed business
(216
)
 
(155
)
Adjustments:
 
 
 
Changes in the expected term
0

 
(39
)
Accretion of discount, net of commissions on assumed business
13

 
5

Foreign exchange translation
54

 
(25
)
Subtotal (1)
922

 
608

Other
0

 
0

September 30,
$
922


$
608

____________________
(1)
Excludes $10 million and $11 million as of September 30, 2017 and September 30, 2016, respectively, related to consolidated FG VIEs.

Expected Collections of
Financial Guaranty Insurance Gross Premiums Receivable,
Net of Commissions on Assumed Business
(Undiscounted)

 
As of
September 30, 2017
 
(in millions)
2017 (October 1 – December 31)
$
32

2018
95

2019
82

2020
80

2021
78

2022-2026
306

2027-2031
212

2032-2036
120

After 2036
120

Total(1)
$
1,125

 ____________________
(1)
Excludes expected cash collections on FG VIEs of $13 million.
Schedule of Net Earned Premiums
Scheduled Financial Guaranty Insurance Net Earned Premiums

 
As of
September 30, 2017
 
(in millions)
2017 (October 1 – December 31)
$
92

2018
348

2019
300

2020
271

2021
249

2022-2026
963

2027-2031
620

2032-2036
373

After 2036
317

Net deferred premium revenue(1)
3,533

Future accretion
197

Total future net earned premiums
$
3,730

 ____________________
(1)
Excludes scheduled net earned premiums on consolidated FG VIEs of $79 million.
Selected Information for Policies Paid in Installments
Selected Information for Financial Guaranty Insurance
Policies Paid in Installments

 
As of
September 30, 2017
 
As of
December 31, 2016
 
(dollars in millions)
Premiums receivable, net of commission payable
$
922

 
$
576

Gross deferred premium revenue
1,241

 
1,041

Weighted-average risk-free rate used to discount premiums
2.4
%
 
3.0
%
Weighted-average period of premiums receivable (in years)
9.3

 
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 September 30, 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
$
984

 
$
196

 
$
788

 
$
711

 
$
86

 
$
625

Non-U.S. public finance
21

 
—

 
21

 
21

 
—

 
21

Public finance
1,005

 
196

 
809

 
732

 
86

 
646

Structured finance:
 
 
 
 
 
 
 
 
 
 
 
U.S. RMBS
269

 
252

 
17

 
283

 
262

 
21

Triple-X life insurance transactions
15

 
28

 
(13
)
 
36

 
—

 
36

Other structured finance
52

 
—

 
52

 
60

 
—

 
60

Structured finance
336

 
280

 
56

 
379

 
262

 
117

Subtotal
1,341

 
476

 
865

 
1,111

 
348

 
763

Other recoverable (payable)
—

 
3

 
(3
)
 
—

 
(1
)
 
1

Subtotal
1,341

 
479

 
862

 
1,111

 
347

 
764

Elimination of losses attributable to FG VIEs
(54
)
 
—

 
(54
)
 
(64
)
 
—

 
(64
)
Total (1)
$
1,287

 
$
479

 
$
808

 
$
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
September 30, 2017
 
As of
December 31, 2016
 
(in millions)
Loss and LAE reserve
$
1,326

 
$
1,127

Reinsurance recoverable on unpaid losses
(39
)
 
(80
)
Loss and LAE reserve, net
1,287

 
1,047

Salvage and subrogation recoverable
(497
)
 
(365
)
Salvage and subrogation payable(1)
21

 
17

Other payable (recoverable)
(3
)
 
1

Salvage and subrogation recoverable, net, and other recoverable
(479
)
 
(347
)
Net reserves (salvage)
$
808

 
$
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
September 30, 2017
 
(in millions)
Net expected loss to be paid - financial guaranty insurance (1)
$
1,205

Contra-paid, net
51

Salvage and subrogation recoverable, net of reinsurance
476

Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance
(1,286
)
Other recoverable (payable)
3

Net expected loss to be expensed (present value) (2)
$
449

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

(2)
Excludes $55 million as of September 30, 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
September 30, 2017
 
(in millions)
2017 (October 1 – December 31)
$
9

Subtotal 2017
9

2018
40

2019
37

2020
38

2021
34

2022-2026
143

2027-2031
86

2032-2036
46

After 2036
16

Net expected loss to be expensed
449

Future accretion
205

Total expected future loss and LAE
$
654

 
Loss and LAE Reported on the Consolidated Statements of Operations
Loss and LAE
Reported on the
Consolidated Statements of Operations
  
 
Third Quarter
 
Nine Months
 
2017
 
2016
 
2017
 
2016
 
(in millions)
Public finance:
 
 
 
 
 
 
 
U.S. public finance
$
233

 
$
20

 
$
424

 
$
233

Non-U.S. public finance
0

 
—

 
(3
)
 
(1
)
Public finance
233

 
20

 
421

 
232

Structured finance:
 
 
 
 
 
 
 
U.S. RMBS
(4
)
 
(2
)
 
(14
)
 
(3
)
Triple-X life insurance transactions
(2
)
 
(24
)
 
(48
)
 
(22
)
Other structured finance
(3
)
 
(3
)
 
0

 
(20
)
Structured finance
(9
)
 
(29
)
 
(62
)
 
(45
)
Loss and LAE on insurance contracts before FG VIE consolidation
224

 
(9
)
 
359

 
187

Gain (loss) related to FG VIE consolidation
(1
)
 
0

 
(5
)
 
(4
)
Loss and LAE
$
223

 
$
(9
)
 
$
354

 
$
183
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, 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)
150

 
(22
)
 
48

 
(3
)
 
151

 
(44
)
 
349

 
—

 
349

Remaining weighted-average contract period (in years)
8.7

 
7.1

 
14.1

 
2.9

 
9.6

 
9.3

 
9.8

 
—

 
9.8

Outstanding exposure:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Principal
$
4,727

 
$
(99
)
 
$
1,390

 
$
(8
)
 
$
6,715

 
$
(195
)
 
$
12,530

 
$
—

 
$
12,530

Interest
2,239

 
(42
)
 
1,051

 
(1
)
 
3,218

 
(89
)
 
6,376

 
—

 
6,376

Total(2)
$
6,966

 
$
(141
)
 
$
2,441

 
$
(9
)
 
$
9,933

 
$
(284
)
 
$
18,906

 
$
—

 
$
18,906

Expected cash outflows (inflows)
$
192

 
$
(5
)
 
$
418

 
$
(1
)
 
$
3,174

 
$
(83
)
 
$
3,695

 
$
(309
)
 
$
3,386

Potential recoveries(3)
(494
)
 
20

 
(80
)
 
0

 
(1,662
)
 
46

 
(2,170
)
 
194

 
(1,976
)
Subtotal
(302
)
 
15

 
338

 
(1
)
 
1,512

 
(37
)
 
1,525

 
(115
)
 
1,410

Discount
62

 
(4
)
 
(96
)
 
0

 
(192
)
 
2

 
(228
)
 
23

 
(205
)
Present value of expected cash flows
$
(240
)
 
$
11

 
$
242

 
$
(1
)
 
$
1,320

 
$
(35
)
 
$
1,297

 
$
(92
)
 
$
1,205

Deferred premium revenue
$
116

 
$
(5
)
 
$
135

 
$
0

 
$
573

 
$
(6
)
 
$
813

 
$
(77
)
 
$
736

Reserves (salvage)
$
(284
)
 
$
12

 
$
188

 
$
0

 
$
975

 
$
(30
)
 
$
861

 
$
(54
)
 
$
807

 
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.