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Contracts Accounted for as Insurance (Tables)
 9 Months Ended
Sep. 30, 2018
Insurance [Abstract]  
Net Earned Premiums
Net Earned Premiums
 
 
Third Quarter
 
Nine Months
 
2018
 
2017
 
2018
 
2017
 
(in millions)
Scheduled net earned premiums
$
95

 
$
96

 
$
275

 
$
296

Accelerations from refundings and terminations
40

 
87

 
131

 
204

Accretion of discount on net premiums receivable
6

 
3

 
14

 
11

  Financial guaranty insurance net earned premiums
141

 
186

 
420

 
511

Non-financial guaranty net earned premiums
1

 
0

 
3

 
1

  Net earned premiums (1)
$
142

 
$
186

 
$
423

 
$
512

 ___________________
(1)
Excludes $3 million and $3 million for Third Quarter 2018 and 2017, respectively, and $9 million and $11 million for Nine Months 2018 and 2017, respectively, related to consolidated FG VIEs.
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
September 30, 2018
 
(in millions)
2018 (October 1 - December 31)
$
32

2019
93

2020
98

2021
80

2022
80

2023-2027
296

2028-2032
196

2033-2037
109

After 2037
111

Total (1)
$
1,095

 ____________________
(1)
Excludes expected cash collections on consolidated FG VIEs of $11 million.
Gross Premium Receivable,
Net of Commissions on Assumed Business
Roll Forward 

 
Nine Months
 
2018
 
2017
 
(in millions)
Beginning of year
$
915

 
$
576

Less: Non-financial guaranty insurance premium receivable
1

 
0

FG insurance premiums receivable
914

 
576

Premiums receivable from acquisitions (see Note 2)
—

 
270

Gross written premiums on new business, net of commissions (1)
508

 
225

Gross premiums received, net of commissions (2)
(477
)
 
(216
)
Adjustments:
 
 
 
Changes in the expected term
(2
)
 
0

Accretion of discount, net of commissions on assumed business
5

 
13

Foreign exchange translation and remeasurement (3)
(23
)
 
54

Cancellation of assumed reinsurance
(10
)
 
—

FG insurance premium receivable (4)
915

 
922

Non-financial guaranty insurance premium receivable
1

 
0

September 30,
$
916


$
922

____________________
(1)
For transactions where the Company replaces a previous Assured Guaranty financial guaranty contract, gross written premiums in this table represents only the incremental amount in excess of the original gross written premiums. Nine Months 2018 includes $330 million of gross written premiums assumed from SGI on June 1, 2018. See Note 2, Assumption of Insured Portfolio and Business Combinations.

(2)
Nine Months 2018 includes $275 million of cash received from SGI on June 1, 2018.

(3)
Includes foreign exchange gain (loss) on remeasurement recorded in the condensed consolidated statements of operations of $(8) million in Third Quarter 2018, $19 million in Third Quarter 2017, $(21) million in Nine Months 2018 and $52 million in Nine Months 2017. The remaining foreign exchange translation is recorded in other comprehensive income.

(4)
Excludes $9 million and $10 million as of September 30, 2018 and September 30, 2017, respectively, related to consolidated FG VIEs.

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

 
As of
September 30, 2018
 
(in millions)
2018 (October 1 - December 31)
$
91

2019
329

2020
299

2021
272

2022
247

2023-2027
963

2028-2032
639

2033-2037
378

After 2037
320

Net deferred premium revenue (1)
3,538

Future accretion
179

Total future net earned premiums
$
3,717

 ____________________
(1)
Excludes scheduled net earned premiums on consolidated FG VIEs of $68 million and non-financial guaranty business net earned premium of $12 million.
Selected Information for Policies Paid in Installments
Selected Information for Financial Guaranty Insurance
Policies Paid in Installments

 
As of
September 30, 2018
 
As of
December 31, 2017
 
(dollars in millions)
Premiums receivable, net of commission payable
$
915

 
$
914

Gross deferred premium revenue
1,324

 
1,205

Weighted-average risk-free rate used to discount premiums
2.2
%
 
2.3
%
Weighted-average period of premiums receivable (in years)
9.1

 
9.2
Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance Insurance Contracts
Net Reserve (Salvage) 

 
As of
September 30, 2018
 
As of
December 31, 2017
 
(in millions)
Public finance:
 
 
 
U.S. public finance
$
611

 
$
901

Non-U.S. public finance
16

 
21

Public finance
627

 
922

Structured finance:
 
 
 
U.S. RMBS (1)
15

 
(114
)
Other structured finance
22

 
40

Structured finance
37

 
(74
)
Subtotal
664

 
848

Other payable (recoverable)
(3
)
 
(4
)
Total
$
661

 
$
844

____________________
(1)
Excludes net reserves of $50 million and $55 million as of September 30, 2018 and December 31, 2017, respectively, related to consolidated FG VIEs.
 
Components of Net Reserves (Salvage) Insurance Contracts
Components of Net Reserves (Salvage)
 
 
As of
September 30, 2018
 
As of
December 31, 2017
 
(in millions)
Loss and LAE reserve
$
1,147

 
$
1,444

Reinsurance recoverable on unpaid losses (1)
(34
)
 
(44
)
Loss and LAE reserve, net
1,113

 
1,400

Salvage and subrogation recoverable
(471
)
 
(572
)
Salvage and subrogation payable (2)
22

 
20

Other payable (recoverable) (1)
(3
)
 
(4
)
Salvage and subrogation recoverable, net, and other recoverable
(452
)
 
(556
)
Net reserves (salvage)
$
661

 
$
844

____________________
(1)
Recorded as a component of other assets in condensed consolidated balance sheets.

(2)
Recorded as a component of other liabilities in condensed consolidated balance sheets.
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, 2018
 
(in millions)
Net expected loss to be paid - financial guaranty insurance (1)
$
1,112

Contra-paid, net
73

Salvage and subrogation recoverable, net of reinsurance
449

Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance
(1,112
)
Other recoverable (payable)
3

Net expected loss to be expensed (present value) (2)
$
525

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

(2)
Excludes $45 million as of September 30, 2018, 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, 2018
 
(in millions)
2018 (October 1 – December 31)
$
9

2019
37

2020
38

2021
42

2022
42

2023-2027
171

2028-2032
112

2033-2037
61

After 2037
13

Net expected loss to be expensed
525

Future accretion
181

Total expected future loss and LAE
$
706

 
Loss and LAE Reported on the Consolidated Statements of Operations
Loss and LAE
Reported on the
Condensed Consolidated Statements of Operations
  
 
Loss (Benefit)
 
Third Quarter
 
Nine Months
 
2018
 
2017
 
2018
 
2017
 
(in millions)
Public finance:
 
 
 
 
 
 
 
U.S. public finance
$
42

 
$
233

 
$
76

 
$
424

Non-U.S. public finance
(3
)
 
0

 
(5
)
 
(3
)
Public finance
39

 
233

 
71

 
421

Structured finance:
 
 
 
 
 
 
 
U.S. RMBS (1)
(21
)
 
(5
)
 
(17
)
 
(19
)
Other structured finance
(1
)
 
(5
)
 
(11
)
 
(48
)
Structured finance
(22
)
 
(10
)
 
(28
)
 
(67
)
Loss and LAE
$
17

 
$
223

 
$
43

 
$
354


____________________
(1)
Excludes a benefit of $3 million and a loss of $1 million for Third Quarter 2018 and 2017, respectively, an losses of $0 million and $5 million for Nine Months 2018 and 2017, respectively, related to consolidated FG VIEs.
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.