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Outstanding Insurance Exposure (Tables)
 3 Months Ended
Mar. 31, 2020
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 March 31, 2020
 
As of December 31, 2019
 
As of March 31, 2020
 
As of December 31, 2019
 
(in millions)
Public finance
$
353,984

 
$
363,497

 
$
353,031

 
$
362,361

Structured finance
11,372

 
12,279

 
10,862

 
11,769

Total financial guaranty
$
365,356

 
$
375,776

 
$
363,893

 
$
374,130
Financial Guaranty Portfolio by Internal Rating
Financial Guaranty Portfolio
by Internal Rating
As of March 31, 2020

 
 
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
 
$
375

 
0.2
%
 
$
2,453

 
5.1
%
 
$
1,182

 
13.4
%
 
$
176

 
24.4
%
 
$
4,186

 
1.8
%
AA
 
19,037

 
11.0

 
4,921

 
10.1

 
3,753

 
42.7

 
35

 
4.8

 
27,746

 
12.0

A
 
92,788

 
53.7

 
14,621

 
30.1

 
1,031

 
11.7

 
172

 
23.8

 
108,612

 
47.0

BBB
 
54,965

 
31.8

 
25,743

 
53.0

 
1,110

 
12.6

 
298

 
41.3

 
82,116

 
35.6

BIG
 
5,630

 
3.3

 
837

 
1.7

 
1,730

 
19.6

 
41

 
5.7

 
8,238

 
3.6

Total net par outstanding
 
$
172,795

 
100.0
%

$
48,575


100.0
%

$
8,806


100.0
%

$
722


100.0
%

$
230,898


100.0
%



Financial Guaranty Portfolio
by Internal Rating
As of December 31, 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
 
$
381

 
0.2
%
 
$
2,541

 
5.0
%
 
$
1,258

 
13.5
%
 
$
181

 
23.8
%
 
$
4,361

 
1.8
%
AA
 
19,847

 
11.3

 
5,142

 
10.0

 
4,010

 
43.1

 
38

 
5.0

 
29,037

 
12.3

A
 
94,488

 
53.9

 
15,627

 
30.4

 
1,030

 
11.1

 
184

 
24.2

 
111,329

 
47.0

BBB
 
55,000

 
31.3

 
27,051

 
52.8

 
1,206

 
13.0

 
317

 
41.6

 
83,574

 
35.3

BIG
 
5,771

 
3.3

 
898

 
1.8

 
1,796

 
19.3

 
41

 
5.4

 
8,506

 
3.6

Total net par outstanding
 
$
175,487

 
100.0
%
 
$
51,259

 
100.0
%
 
$
9,300

 
100.0
%
 
$
761

 
100.0
%
 
$
236,807

 
100.0
%
Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form)
Financial Guaranty Portfolio
Components of BIG Net Par Outstanding
As of March 31, 2020

 
BIG Net Par Outstanding
 
Net Par
 
BIG 1
 
BIG 2
 
BIG 3
 
Total BIG
 
Outstanding
 
 
 
 
 
(in millions)
 
 
 
 
Public finance:
 
 
 
 
 
 
 
 
 
U.S. public finance
$
1,441

 
$
430

 
$
3,759

 
$
5,630

 
$
172,795

Non-U.S. public finance
793

 
—

 
44

 
837

 
48,575

Public finance
2,234

 
430

 
3,803

 
6,467

 
221,370

Structured finance:
 
 
 
 
 
 
 
 
 
U.S. RMBS
190

 
64

 
1,326

 
1,580

 
3,393

Life insurance transactions
—

 
—

 
40

 
40

 
1,788

Other structured finance
45

 
59

 
47

 
151

 
4,347

Structured finance
235

 
123

 
1,413

 
1,771

 
9,528

Total
$
2,469

 
$
553

 
$
5,216

 
$
8,238

 
$
230,898




Financial Guaranty Portfolio
Components of BIG Net Par Outstanding
As of December 31, 2019

 
BIG Net Par Outstanding
 
Net Par
 
BIG 1
 
BIG 2
 
BIG 3
 
Total BIG
 
Outstanding
 
 
 
 
 
(in millions)
 
 
 
 
Public finance:
 
 
 
 
 
 
 
 
 
U.S. public finance
$
1,582

 
$
430

 
$
3,759

 
$
5,771

 
$
175,487

Non-U.S. public finance
854

 
—

 
44

 
898

 
51,259

Public finance
2,436

 
430

 
3,803

 
6,669

 
226,746

Structured finance:
 
 
 
 
 
 
 
 
 
U.S. RMBS
162

 
74

 
1,382

 
1,618

 
3,546

Life insurance transactions
—

 
—

 
40

 
40

 
1,771

Other structured finance
69

 
62

 
48

 
179

 
4,744

Structured finance
231

 
136

 
1,470

 
1,837

 
10,061

Total
$
2,667

 
$
566

 
$
5,273

 
$
8,506

 
$
236,807
Schedule of BIG Net Par Outstanding and Number of Risks
Financial Guaranty Portfolio
BIG Net Par Outstanding
and Number of Risks
As of March 31, 2020

 
 
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
 
$
2,380

 
$
89

 
$
2,469

 
109

 
7

 
116

Category 2
 
549

 
4

 
553

 
22

 
1

 
23

Category 3
 
5,183

 
33

 
5,216

 
128

 
6

 
134

Total BIG
 
$
8,112

 
$
126

 
$
8,238

 
259

 
14

 
273



 Financial Guaranty Portfolio
BIG Net Par Outstanding
and Number of Risks
As of December 31, 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
 
$
2,600

 
$
67

 
$
2,667

 
121

 
6

 
127

Category 2
 
561

 
5

 
566

 
24

 
1

 
25

Category 3
 
5,216

 
57

 
5,273

 
131

 
7

 
138

Total BIG
 
$
8,377

 
$
129

 
$
8,506

 
276

 
14

 
290

_____________________
(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 March 31, 2020
 
 
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)
109

 
(6
)
 
22

 
—

 
128

 
(7
)
 
259

 
—

 
259

Remaining weighted-average period (in years)
7.7

 
5.0

 
16.9

 
—

 
9.5

 
8.0

 
9.5

 
—

 
9.5

Outstanding exposure:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Par
$
2,433

 
$
(53
)
 
$
549

 
$
—

 
$
5,353

 
$
(170
)
 
$
8,112

 
$
—

 
$
8,112

Interest
980

 
(15
)
 
459

 
—

 
2,351

 
(64
)
 
3,711

 
—

 
3,711

Total (2)
$
3,413

 
$
(68
)
 
$
1,008

 
$
—

 
$
7,704

 
$
(234
)
 
$
11,823

 
$
—

 
$
11,823

Expected cash outflows (inflows)
$
163

 
$
(3
)
 
$
77

 
$
—

 
$
3,984

 
$
(128
)
 
$
4,093

 
$
(260
)
 
$
3,833

Potential recoveries (3)
(629
)
 
21

 
(5
)
 
—

 
(2,846
)
 
105

 
(3,354
)
 
187

 
(3,167
)
Subtotal
(466
)
 
18

 
72

 
—

 
1,138

 
(23
)
 
739

 
(73
)
 
666

Discount
21

 
—

 
(12
)
 
—

 
(76
)
 
(1
)
 
(68
)
 
9

 
(59
)
Present value of expected cash flows
$
(445
)
 
$
18

 
$
60

 
$
—

 
$
1,062

 
$
(24
)
 
$
671

 
$
(64
)
 
$
607

Deferred premium revenue
$
144

 
$
(1
)
 
$
25

 
$
—

 
$
466

 
$
(4
)
 
$
630

 
$
(46
)
 
$
584

Reserves (salvage)
$
(480
)
 
$
18

 
$
42

 
$
—

 
$
701

 
$
(22
)
 
$
259

 
$
(35
)
 
$
224

 
Financial Guaranty Insurance
BIG Transaction Loss Summary
As of December 31, 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)
121

 
(6
)
 
24

 
—

 
131

 
(7
)
 
276

 
—

 
276

Remaining weighted-average period (in years)
8.0

 
5.2

 
17.0

 
—

 
9.7

 
8.3

 
9.7

 
—

 
9.7

Outstanding exposure:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Par
$
2,654

 
$
(54
)
 
$
561

 
$
—

 
$
5,386

 
$
(170
)
 
$
8,377

 
$
—

 
$
8,377

Interest
1,149

 
(15
)
 
481

 
—

 
2,507

 
(73
)
 
4,049

 
—

 
4,049

Total (2)
$
3,803

 
$
(69
)
 
$
1,042

 
$
—

 
$
7,893

 
$
(243
)
 
$
12,426

 
$
—

 
$
12,426

Expected cash outflows (inflows)
$
135

 
$
(3
)
 
$
84

 
$
—

 
$
4,185

 
$
(132
)
 
$
4,269

 
$
(264
)
 
$
4,005

Potential recoveries (3)
(598
)
 
21

 
(10
)
 
—

 
(2,926
)
 
107

 
(3,406
)
 
189

 
(3,217
)
Subtotal
(463
)
 
18

 
74

 
—

 
1,259

 
(25
)
 
863

 
(75
)
 
788

Discount
54

 
(1
)
 
(21
)
 
—

 
(151
)
 
(3
)
 
(122
)
 
17

 
(105
)
Present value of expected cash flows
$
(409
)
 
$
17

 
$
53

 
$
—

 
$
1,108

 
$
(28
)
 
$
741

 
$
(58
)
 
$
683

Deferred premium revenue
$
142

 
$
(1
)
 
$
34

 
$
—

 
$
480

 
$
(4
)
 
$
651

 
$
(48
)
 
$
603

Reserves (salvage)
$
(441
)
 
$
17

 
$
35

 
$
—

 
$
742

 
$
(25
)
 
$
328

 
$
(33
)
 
$
295

____________________
(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, settlements 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 specialty insurance and reinsurance on transactions with risk profiles similar to those of its structured finance exposures written in financial guaranty form. All specialty insurance and reinsurance exposures shown in the table below were rated investment grade internally as of December 31, 2019. As of March 31, 2020, $30 million of aircraft residual value insurance exposure was rated BIG.

Specialty Insurance and Reinsurance
Exposure

 
 
Gross Exposure
 
Net Exposure
 
 
As of
March 31, 2020
 
As of December 31, 2019
 
As of
March 31, 2020
 
As of December 31, 2019
 
 
(in millions)
Life insurance transactions (1)
 
$
1,091

 
$
1,046

 
$
940

 
$
898

Aircraft residual value insurance policies
 
393

 
398

 
238

 
243

Total
 
$
1,484

 
$
1,444

 
$
1,178

 
$
1,141

____________________
(1)
The life insurance transactions net exposure is projected to increase to approximately $1.0 billion by September 30, 2026.
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 March 31, 2020
 
As of December 31, 2019
 
As of March 31, 2020
 
As of December 31, 2019
 
(in millions)
Exposure to Puerto Rico
$
4,458

 
$
4,458

 
$
6,845

 
$
6,956
Schedule of Geographic Exposure of Net Par Outstanding
Puerto Rico
Net Par Outstanding

 
As of
March 31, 2020
 
As of
December 31, 2019
 
(in millions)
Commonwealth Constitutionally Guaranteed
 
 
 
Commonwealth of Puerto Rico - General Obligation Bonds (1)
$
1,253

 
$
1,253

PBA (1)
140

 
140

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

 
811

PRHTA (Highways revenue) (1)
454

 
454

PRCCDA
152

 
152

PRIFA
16

 
16

Other Public Corporations
 
 
 
PREPA (1)
822

 
822

PRASA
373

 
373

MFA
248

 
248

U of PR
1

 
1

Total net exposure to Puerto Rico
$
4,270

 
$
4,270

____________________
(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 March 31, 2020

 
Scheduled Net Par Amortization
 
Scheduled Net Debt Service Amortization
 
(in millions)
2020 (April 1 - June 30)
$
—

 
$
3

2020 (July 1 - September 30)
286

 
392

2020 (October 1 - December 31)
—

 
3

Subtotal 2020
286

 
398

2021
149

 
351

2022
139

 
332

2023
205

 
392

2024
222

 
398

2025-2029
1,158

 
1,862

2030-2034
1,021

 
1,484

2035-2039
740

 
917

2040-2044
104

 
179

2045-2047
246

 
272

Total
$
4,270

 
$
6,585