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Outstanding Exposure (Tables)
 9 Months Ended
Sep. 30, 2019
Schedule of Insured Financial Obligations [Line Items]  
Debt Service Outstanding
Financial Guaranty Portfolio
Debt Service Outstanding
 
 
Gross Debt Service
Outstanding
 
Net Debt Service
Outstanding
 
As of September 30, 2019
 
As of December 31, 2018
 
As of September 30, 2019
 
As of December 31, 2018
 
(in millions)
Public finance
$
343,956

 
$
361,511

 
$
342,801

 
$
358,438

Structured finance
12,324

 
13,569

 
11,811

 
13,148

Total financial guaranty
$
356,280

 
$
375,080

 
$
354,612

 
$
371,586
Financial Guaranty Portfolio by Internal Rating
Financial Guaranty Portfolio
by Internal Rating
As of September 30, 2019

 
 
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
 
$
384

 
0.2
%
 
$
2,429

 
5.6
%
 
$
1,345

 
14.6
%
 
$
179

 
23.8
%
 
$
4,337

 
1.9
%
AA
 
20,646

 
11.7

 
1,707

 
4.0

 
3,740

 
40.5

 
37

 
4.9

 
26,130

 
11.4

A
 
97,366

 
55.2

 
12,764

 
29.8

 
912

 
9.9

 
174

 
23.1

 
111,216

 
48.5

BBB
 
52,359

 
29.6

 
25,119

 
58.6

 
1,378

 
14.9

 
321

 
42.7

 
79,177

 
34.5

BIG
 
5,760

 
3.3

 
863

 
2.0

 
1,851

 
20.1

 
41

 
5.5

 
8,515

 
3.7

Total net par outstanding
 
$
176,515

 
100.0
%

$
42,882


100.0
%

$
9,226


100.0
%

$
752


100.0
%

$
229,375


100.0
%



Financial Guaranty Portfolio
by Internal Rating
As of December 31, 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
 
$
413

 
0.2
%
 
$
2,399

 
5.4
%
 
$
1,533

 
15.4
%
 
$
273

 
22.9
%
 
$
4,618

 
1.9
%
AA
 
21,646

 
11.6

 
1,711

 
3.9

 
3,599

 
36.2

 
65

 
5.4

 
27,021

 
11.2

A
 
105,180

 
56.4

 
13,013

 
29.5

 
1,016

 
10.2

 
206

 
17.3

 
119,415

 
49.4

BBB
 
52,935

 
28.4

 
25,939

 
58.8

 
1,164

 
11.7

 
550

 
46.1

 
80,588

 
33.3

BIG
 
6,388

 
3.4

 
1,041

 
2.4

 
2,632

 
26.5

 
99

 
8.3

 
10,160

 
4.2

Total net par outstanding
 
$
186,562

 
100.0
%
 
$
44,103

 
100.0
%
 
$
9,944

 
100.0
%
 
$
1,193

 
100.0
%
 
$
241,802

 
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, 2019

 
BIG Net Par Outstanding
 
Net Par
 
BIG 1
 
BIG 2
 
BIG 3
 
Total BIG
 
Outstanding
 
 
 
 
 
(in millions)
 
 
 
 
Public finance:
 
 
 
 
 
 
 
 
 
U.S. public finance
$
1,604

 
$
398

 
$
3,758

 
$
5,760

 
$
176,515

Non-U.S. public finance
819

 
—

 
44

 
863

 
42,882

Public finance
2,423

 
398

 
3,802

 
6,623

 
219,397

Structured finance:
 
 
 
 
 
 
 
 
 
U.S. residential mortgage-backed securities (RMBS)
118

 
88

 
1,460

 
1,666

 
3,687

Life insurance transactions
—

 
—

 
40

 
40

 
1,223

Other structured finance
71

 
65

 
50

 
186

 
5,068

Structured finance
189

 
153

 
1,550

 
1,892

 
9,978

Total
$
2,612

 
$
551

 
$
5,352

 
$
8,515

 
$
229,375




Financial Guaranty Portfolio
Components of BIG Net Par Outstanding
As of December 31, 2018

 
BIG Net Par Outstanding
 
Net Par
 
BIG 1
 
BIG 2
 
BIG 3
 
Total BIG
 
Outstanding
 
 
 
 
 
(in millions)
 
 
 
 
Public finance:
 
 
 
 
 
 
 
 
 
U.S. public finance
$
1,767

 
$
399

 
$
4,222

 
$
6,388

 
$
186,562

Non-U.S. public finance
796

 
245

 
—

 
1,041

 
44,103

Public finance
2,563

 
644

 
4,222

 
7,429

 
230,665

Structured finance:
 
 
 
 
 
 
 
 
 
U.S. RMBS
368

 
214

 
1,805

 
2,387

 
4,270

Life insurance transactions
—

 
—

 
85

 
85

 
1,184

Other structured finance
127

 
79

 
53

 
259

 
5,683

Structured finance
495

 
293

 
1,943

 
2,731

 
11,137

Total
$
3,058

 
$
937

 
$
6,165

 
$
10,160

 
$
241,802
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, 2019

 
 
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
 
$
2,543

 
$
69

 
$
2,612

 
119

 
6

 
125

Category 2
 
547

 
4

 
551

 
26

 
1

 
27

Category 3
 
5,293

 
59

 
5,352

 
134

 
7

 
141

Total BIG
 
$
8,383

 
$
132

 
$
8,515

 
279

 
14

 
293



 Financial Guaranty Portfolio
BIG Net Par Outstanding
and Number of Risks
As of December 31, 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
 
$
2,981

 
$
77

 
$
3,058

 
128

 
6

 
134

Category 2
 
932

 
5

 
937

 
39

 
1

 
40

Category 3
 
6,090

 
75

 
6,165

 
145

 
8

 
153

Total BIG
 
$
10,003

 
$
157

 
$
10,160

 
312

 
15

 
327

_____________________
(1)    Includes 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 tables provide information on financial guaranty insurance contracts categorized as BIG.
 
Financial Guaranty Insurance
BIG Transaction Loss Summary
As of September 30, 2019
 
 
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)
119

 
(6
)
 
26

 
—

 
134

 
(7
)
 
279

 
—

 
279

Remaining weighted-average contract period (in years)
8.2

 
5.4

 
17.1

 
—

 
9.9

 
8.5

 
9.9

 
—

 
9.9

Outstanding exposure:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Principal
$
2,596

 
$
(53
)
 
$
547

 
$
—

 
$
5,463

 
$
(170
)
 
$
8,383

 
$
—

 
$
8,383

Interest
1,192

 
(16
)
 
478

 
—

 
2,638

 
(72
)
 
4,220

 
—

 
4,220

Total (2)
$
3,788

 
$
(69
)
 
$
1,025

 
$
—

 
$
8,101

 
$
(242
)
 
$
12,603

 
$
—

 
$
12,603

Expected cash outflows (inflows)
$
110

 
$
(3
)
 
$
124

 
$
—

 
$
3,550

 
$
(118
)
 
$
3,663

 
$
(267
)
 
$
3,396

Potential recoveries (3)
(567
)
 
21

 
(51
)
 
—

 
(2,393
)
 
95

 
(2,895
)
 
190

 
(2,705
)
Subtotal
(457
)
 
18

 
73

 
—

 
1,157

 
(23
)
 
768

 
(77
)
 
691

Discount
69

 
(4
)
 
(13
)
 
—

 
(92
)
 
(6
)
 
(46
)
 
16

 
(30
)
Present value of expected cash flows
$
(388
)
 
$
14

 
$
60

 
$
—

 
$
1,065

 
$
(29
)
 
$
722

 
$
(61
)
 
$
661

Deferred premium revenue
$
147

 
$
(1
)
 
$
25

 
$
—

 
$
505

 
$
(5
)
 
$
671

 
$
(49
)
 
$
622

Reserves (salvage)
$
(418
)
 
$
15

 
$
41

 
$
—

 
$
694

 
$
(25
)
 
$
307

 
$
(36
)
 
$
271

 
Financial Guaranty Insurance
BIG Transaction Loss Summary
As of December 31, 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)
128

 
(8
)
 
39

 
(1
)
 
145

 
(7
)
 
312

 
—

 
312

Remaining weighted-average contract period (in years)
7.9

 
6.5

 
13.2

 
2.1

 
10.1

 
9.1

 
9.8

 
—

 
9.8

Outstanding exposure:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Principal
$
3,052

 
$
(71
)
 
$
938

 
$
(6
)
 
$
6,249

 
$
(159
)
 
$
10,003

 
$
—

 
$
10,003

Interest
1,319

 
(29
)
 
592

 
(1
)
 
3,140

 
(72
)
 
4,949

 
—

 
4,949

Total (2)
$
4,371

 
$
(100
)
 
$
1,530

 
$
(7
)
 
$
9,389

 
$
(231
)
 
$
14,952

 
$
—

 
$
14,952

Expected cash outflows (inflows)
$
98

 
$
(5
)
 
$
264

 
$
(1
)
 
$
4,029

 
$
(80
)
 
$
4,305

 
$
(290
)
 
$
4,015

Potential recoveries (3)
(465
)
 
23

 
(81
)
 
—

 
(2,542
)
 
55

 
(3,010
)
 
192

 
(2,818
)
Subtotal
(367
)
 
18

 
183

 
(1
)
 
1,487

 
(25
)
 
1,295

 
(98
)
 
1,197

Discount
83

 
(5
)
 
(53
)
 
—

 
(134
)
 
(2
)
 
(111
)
 
23

 
(88
)
Present value of expected cash flows
$
(284
)
 
$
13

 
$
130

 
$
(1
)
 
$
1,353

 
$
(27
)
 
$
1,184

 
$
(75
)
 
$
1,109

Deferred premium revenue
$
125

 
$
(4
)
 
$
151

 
$
—

 
$
518

 
$
(2
)
 
$
788

 
$
(64
)
 
$
724

Reserves (salvage)
$
(311
)
 
$
15

 
$
48

 
$
(1
)
 
$
993

 
$
(24
)
 
$
720

 
$
(47
)
 
$
673

____________________
(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 amounts related to FG VIEs.

(3)
Represents expected inflows for future payments by obligors pursuant to restructuring agreements, settlement or litigation judgments, excess spread on any underlying collateral and other estimated recoveries. Potential recoveries also include recoveries on certain investment grade credits, related mainly to exposures that were previously BIG and for which claims have been paid in the past.
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, 2019
 
As of December 31, 2018
 
As of September 30, 2019
 
As of December 31, 2018
 
 
(in millions)
Life insurance transactions (1)
 
$
1,014

 
$
880

 
$
872

 
$
763

Aircraft residual value insurance policies
 
376

 
340

 
243

 
218

____________________
(1)
The life insurance transactions 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
 
As of September 30, 2019
 
As of December 31, 2018
 
As of September 30, 2019
 
As of December 31, 2018
 
(in millions)
Exposure to Puerto Rico
$
4,458

 
$
4,971

 
$
6,958

 
$
8,035
Schedule of Geographic Exposure of Net Par Outstanding
Puerto Rico
Net Par Outstanding

 
As of
September 30, 2019
 
As of
December 31, 2018
 
(in millions)
Commonwealth Constitutionally Guaranteed
 
 
 
Commonwealth of Puerto Rico - General Obligation Bonds (1)
$
1,253

 
$
1,340

PBA (1)
140

 
142

Public Corporations - Certain Revenues Potentially Subject to Clawback
 
 
 
PRHTA (Transportation revenue) (1)
811

 
844

PRHTA (Highways revenue) (1)
454

 
475

PRCCDA
152

 
152

PRIFA
16

 
16

Other Public Corporations
 
 
 
PREPA (1)
822

 
848

PRASA
373

 
373

MFA
248

 
303

COFINA
—

 
273

U of PR
1

 
1

Total net exposure to Puerto Rico
$
4,270

 
$
4,767

____________________
(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, 2019

 
Scheduled Net Par Amortization
 
Scheduled Net Debt Service Amortization
 
(in millions)
2019 (October 1 - December 31)
$
—

 
$
3

 
 
 
 
2020 (January 1 - March 31)
—

 
106

2020 (April 1 - June 30)
—

 
3

2020 (July 1 - September 30)
286

 
392

2020 (October 1 - December 31)
—

 
3

Subtotal 2020
286

 
504

2021
149

 
351

2022
139

 
332

2023
205

 
392

2024-2028
1,213

 
1,977

2029-2033
884

 
1,392

2034-2038
957

 
1,184

2039-2043
176

 
259

2044-2047
261

 
300

Total
$
4,270

 
$
6,694