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Outstanding Exposure (Tables)
 9 Months Ended
Sep. 30, 2018
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
 
September 30,
2018
 
December 31,
2017
 
September 30,
2018
 
December 31,
2017
 
(in millions)
Public finance
$
367,910

 
$
393,010

 
$
364,731

 
$
386,092

Structured finance
14,391

 
15,482

 
13,962

 
15,026

Total financial guaranty
$
382,301

 
$
408,492

 
$
378,693

 
$
401,118
Financial Guaranty Portfolio by Internal Rating
Financial Guaranty Portfolio by Internal Rating
As of September 30, 2018

 
 
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
 
$
428

 
0.2
%
 
$
2,422

 
5.4
%
 
$
1,691

 
15.9
%
 
$
278

 
23.6
%
 
$
4,819

 
1.9
%
AA
 
22,715

 
12.0

 
200

 
0.4

 
3,412

 
32.2

 
65

 
5.5

 
26,392

 
10.7

A
 
108,914

 
57.2

 
14,047

 
31.4

 
1,532

 
14.4

 
213

 
18.1

 
124,706

 
50.5

BBB
 
52,190

 
27.4

 
26,995

 
60.4

 
1,027

 
9.7

 
518

 
44.1

 
80,730

 
32.7

BIG
 
6,171

 
3.2

 
1,071

 
2.4

 
2,949

 
27.8

 
102

 
8.7

 
10,293

 
4.2

Total net par outstanding
 
$
190,418

 
100.0
%

$
44,735


100.0
%

$
10,611


100.0
%

$
1,176


100.0
%

$
246,940


100.0
%



Financial Guaranty Portfolio by Internal Rating
As of December 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
 
$
877

 
0.4
%
 
$
2,541

 
5.9
%
 
$
1,655

 
14.7
%
 
$
319

 
22.5
%
 
$
5,392

 
2.1
%
AA
 
30,016

 
14.3

 
205

 
0.5

 
3,915

 
34.9

 
76

 
5.4

 
34,212

 
12.9

A
 
118,620

 
56.7

 
13,936

 
32.5

 
1,630

 
14.5

 
210

 
14.9

 
134,396

 
50.7

BBB
 
52,739

 
25.2

 
24,509

 
57.1

 
763

 
6.8

 
703

 
49.7

 
78,714

 
29.7

BIG
 
7,140

 
3.4

 
1,731

 
4.0

 
3,261

 
29.1

 
106

 
7.5

 
12,238

 
4.6

Total net par outstanding
 
$
209,392

 
100.0
%
 
$
42,922

 
100.0
%
 
$
11,224

 
100.0
%
 
$
1,414

 
100.0
%
 
$
264,952

 
100.0
%
Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form)
Financial Guaranty Portfolio
Components of BIG Net Par Outstanding
As of September 30, 2018

 
BIG Net Par Outstanding
 
Net Par
 
BIG 1
 
BIG 2
 
BIG 3
 
Total BIG
 
Outstanding
 
 
 
 
 
(in millions)
 
 
 
 
Public finance:
 
 
 
 
 
 
 
 
 
U.S. public finance
$
1,559

 
$
390

 
$
4,222

 
$
6,171

 
$
190,418

Non-U.S. public finance
821

 
250

 
—

 
1,071

 
44,735

Public finance
2,380

 
640

 
4,222

 
7,242

 
235,153

Structured finance:
 
 
 
 
 
 
 
 
 
U.S. Residential mortgage-backed securities (RMBS)
268

 
254

 
2,038

 
2,560

 
4,566

Triple-X life insurance transactions
—

 
—

 
85

 
85

 
1,185

Trust preferred securities (TruPS)
81

 
—

 
—

 
81

 
1,034

Other structured finance
173

 
82

 
70

 
325

 
5,002

Structured finance
522

 
336

 
2,193

 
3,051

 
11,787

Total
$
2,902

 
$
976

 
$
6,415

 
$
10,293

 
$
246,940




Financial Guaranty Portfolio
Components of BIG Net Par Outstanding
As of December 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
$
2,368

 
$
663

 
$
4,109

 
$
7,140

 
$
209,392

Non-U.S. public finance
1,455

 
276

 
—

 
1,731

 
42,922

Public finance
3,823

 
939

 
4,109

 
8,871

 
252,314

Structured finance:
 
 
 
 
 
 
 
 
 
U.S. RMBS
374

 
304

 
2,083

 
2,761

 
4,818

Triple-X life insurance transactions
—

 
—

 
85

 
85

 
1,199

TruPS
161

 
—

 
—

 
161

 
1,349

Other structured finance
170

 
118

 
72

 
360

 
5,272

Structured finance
705

 
422

 
2,240

 
3,367

 
12,638

Total
$
4,528

 
$
1,361

 
$
6,349

 
$
12,238

 
$
264,952
Schedule of BIG Net Par Outstanding and Number of Risks
Financial Guaranty Portfolio
BIG Net Par Outstanding
and Number of Risks
As of September 30, 2018

 
 
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
 
$
2,746

 
$
156

 
$
2,902

 
130

 
6

 
136

Category 2
 
968

 
8

 
976

 
41

 
2

 
43

Category 3
 
6,337

 
78

 
6,415

 
146

 
8

 
154

Total BIG
 
$
10,051

 
$
242

 
$
10,293

 
317

 
16

 
333



 Financial Guaranty Portfolio
BIG Net Par Outstanding
and Number of Risks
As of December 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
 
$
4,301

 
$
227

 
$
4,528

 
139

 
7

 
146

Category 2
 
1,344

 
17

 
1,361

 
46

 
3

 
49

Category 3
 
6,255

 
94

 
6,349

 
150

 
9

 
159

Total BIG
 
$
11,900

 
$
338

 
$
12,238

 
335

 
19

 
354

_____________________
(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 September 30, 2018
 
 
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)
130

 
(10
)
 
41

 
(1
)
 
146

 
(7
)
 
317

 
—

 
317

Remaining weighted-average contract period (in years)
8.2

 
6.7

 
13.2

 
2.2

 
10.1

 
9.3

 
9.9

 
—

 
9.9

Outstanding exposure:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Principal
$
2,819

 
$
(73
)
 
$
974

 
$
(6
)
 
$
6,495

 
$
(158
)
 
$
10,051

 
$
—

 
$
10,051

Interest
1,261

 
(31
)
 
622

 
(1
)
 
3,256

 
(74
)
 
5,033

 
—

 
5,033

Total (2)
$
4,080

 
$
(104
)
 
$
1,596

 
$
(7
)
 
$
9,751

 
$
(232
)
 
$
15,084

 
$
—

 
$
15,084

Expected cash outflows (inflows)
$
99

 
$
(5
)
 
$
284

 
$
(1
)
 
$
4,028

 
$
(79
)
 
$
4,326

 
$
(295
)
 
$
4,031

Potential recoveries (3)
(464
)
 
23

 
(107
)
 
0

 
(2,434
)
 
55

 
(2,927
)
 
189

 
(2,738
)
Subtotal
(365
)
 
18

 
177

 
(1
)
 
1,594

 
(24
)
 
1,399

 
(106
)
 
1,293

Discount
91

 
(5
)
 
(53
)
 
0

 
(236
)
 
(2
)
 
(205
)
 
24

 
(181
)
Present value of expected cash flows
$
(274
)
 
$
13

 
$
124

 
$
(1
)
 
$
1,358

 
$
(26
)
 
$
1,194

 
$
(82
)
 
$
1,112

Deferred premium revenue
$
110

 
$
(4
)
 
$
157

 
$
0

 
$
561

 
$
(2
)
 
$
822

 
$
(66
)
 
$
756

Reserves (salvage)
$
(302
)
 
$
13

 
$
42

 
$
(1
)
 
$
982

 
$
(24
)
 
$
710

 
$
(50
)
 
$
660

 
Financial Guaranty Insurance
BIG Transaction Loss Summary
As of December 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)
139

 
(22
)
 
46

 
(3
)
 
150

 
(41
)
 
335

 
—

 
335

Remaining weighted-average contract period (in years)
8.9

 
7.3

 
14.0

 
2.9

 
9.6

 
9.3

 
9.9

 
—

 
9.9

Outstanding exposure:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Principal
$
4,397

 
$
(96
)
 
$
1,352

 
$
(8
)
 
$
6,445

 
$
(190
)
 
$
11,900

 
$
—

 
$
11,900

Interest
2,110

 
(42
)
 
1,002

 
(1
)
 
3,098

 
(86
)
 
6,081

 
—

 
6,081

Total (2)
$
6,507

 
$
(138
)
 
$
2,354

 
$
(9
)
 
$
9,543

 
$
(276
)
 
$
17,981

 
$
—

 
$
17,981

Expected cash outflows (inflows)
$
186

 
$
(5
)
 
$
492

 
$
(1
)
 
$
3,785

 
$
(104
)
 
$
4,353

 
$
(307
)
 
$
4,046

Potential recoveries (3)
(595
)
 
20

 
(145
)
 
0

 
(2,273
)
 
67

 
(2,926
)
 
194

 
(2,732
)
Subtotal
(409
)
 
15

 
347

 
(1
)
 
1,512

 
(37
)
 
1,427

 
(113
)
 
1,314

Discount
66

 
(4
)
 
(93
)
 
0

 
(78
)
 
(2
)
 
(111
)
 
23

 
(88
)
Present value of expected cash flows
$
(343
)
 
$
11

 
$
254

 
$
(1
)
 
$
1,434

 
$
(39
)
 
$
1,316

 
$
(90
)
 
$
1,226

Deferred premium revenue
$
112

 
$
(5
)
 
$
129

 
$
0

 
$
540

 
$
(6
)
 
$
770

 
$
(74
)
 
$
696

Reserves (salvage)
$
(380
)
 
$
11

 
$
202

 
$
(1
)
 
$
1,100

 
$
(34
)
 
$
898

 
$
(55
)
 
$
843

____________________
(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.
Schedule of Non-Financial Guaranty Exposure
The Company also provides non-financial guaranty insurance and reinsurance on transactions with similar risk profiles to its structured finance exposures written in financial guaranty form. All non-financial guaranty exposures shown in the table below are rated investment grade internally.

Non-Financial Guaranty Exposure

 
 
Gross Exposure
 
Net Exposure
 
 
As of September 30, 2018
 
As of December 31, 2017
 
As of September 30, 2018
 
As of December 31, 2017
 
 
(in millions)
Capital relief triple-X life reinsurance (1)
 
$
883

 
$
773

 
$
766

 
$
675

Aircraft residual value insurance policies
 
340

 
201

 
218

 
140

____________________
(1)
The capital relief triple-X life reinsurance net exposure is expected to increase to approximately $1.0 billion prior to September 30, 2036.
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
 
September 30, 2018
 
December 31, 2017
 
September 30, 2018
 
December 31, 2017
 
(in millions)
Exposure to Puerto Rico
$
4,971

 
$
5,186

 
$
8,037

 
$
8,514
Schedule of Geographic Exposure of Net Par Outstanding
Puerto Rico
Net Par Outstanding

 
As of
September 30, 2018
 
As of
December 31, 2017
 
(in millions)
Commonwealth Constitutionally Guaranteed
 
 
 
Commonwealth of Puerto Rico - General Obligation Bonds (1)
$
1,341

 
$
1,419

PBA
141

 
141

Public Corporations - Certain Revenues Potentially Subject to Clawback
 
 
 
PRHTA (Transportation revenue) (1)
844

 
882

PRHTA (Highways revenue) (1)
475

 
495

PRCCDA
152

 
152

PRIFA
16

 
18

Other Public Corporations
 
 
 
PREPA (1)
848

 
853

PRASA
373

 
373

MFA
303

 
360

COFINA (1)
273

 
272

U of PR
1

 
1

Total net exposure to Puerto Rico
$
4,767

 
$
4,966

____________________
(1)
As of the date of this filing, the Oversight Board has certified a filing under Title III of PROMESA for these exposures.
BIG Net Par Outstanding and Number of Risks
Amortization Schedule of Puerto Rico Net Par Outstanding
and Net Debt Service Outstanding
As of September 30, 2018

 
Scheduled Net Par Amortization
 
Scheduled Net Debt Service Amortization
 
(in millions)
2018 (October 1 - December 31)
$
0

 
$
3

 
 
 
 
2019 (January 1 - March 31)
0

 
117

2019 (April 1 - June 30)
0

 
3

2019 (July 1 - September 30)
224

 
341

2019 (October 1 - December 31)
0

 
3

Subtotal 2019
224

 
464

2020
285

 
516

2021
147

 
364

2022
137

 
345

2023-2027
1,229

 
2,128

2028-2032
812

 
1,436

2033-2037
1,217

 
1,572

2038-2042
453

 
602

2043-2047
263

 
316

Total
$
4,767

 
$
7,746