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Contracts Accounted for as Insurance (Tables)
 3 Months Ended
Mar. 31, 2020
Insurance [Abstract]  
Net Earned Premiums
Net Earned Premiums
 
 
First Quarter
 
2020
 
2019
 
(in millions)
Financial guaranty:
 
 
 
Scheduled net earned premiums
$
82

 
$
87

Accelerations from refundings and terminations
15

 
26

Accretion of discount on net premiums receivable
5

 
4

Financial guaranty insurance net earned premiums
102

 
117

Specialty net earned premiums
1

 
1

  Net earned premiums (1)
$
103

 
$
118

 ___________________
(1)
Excludes $1 million and $3 million for First Quarter 2020 and 2019, 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
March 31, 2020
 
(in millions)
2020 (April 1 - June 30)
$
50

2020 (July 1 - September 30)
36

2020 (October 1 - December 31)
18

2021
90

2022
92

2023
80

2024
78

2025-2029
337

2030-2034
235

2035-2039
149

After 2039
338

Total (1)
$
1,503

 ____________________
(1)
Excludes expected cash collections on consolidated FG VIEs of $8 million.
Gross Premium Receivable,
Net of Commissions on Assumed Business
Roll Forward 

 
First Quarter
 
2020
 
2019
 
(in millions)
Beginning of year
$
1,286

 
$
904

Less: Specialty insurance premium receivable
2

 
1

Financial guaranty insurance premiums receivable
1,284

 
903

Gross written premiums on new business, net of commissions
67

 
41

Gross premiums received, net of commissions
(60
)
 
(54
)
Adjustments:
 
 
 
Changes in the expected term
(4
)
 
(4
)
Accretion of discount, net of commissions on assumed business
3

 
1

Foreign exchange gain (loss) on remeasurement
(58
)
 
9

Financial guaranty insurance premium receivable (1)
1,232

 
896

Specialty insurance premium receivable
1

 
1

March 31,
$
1,233


$
897

____________________
(1)
Excludes $7 million and $8 million as of March 31, 2020 and March 31, 2019, respectively, related to consolidated FG VIEs.

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

 
As of
March 31, 2020
 
(in millions)
2020 (April 1 - June 30)
$
80

2020 (July 1 - September 30)
78

2020 (October 1 - December 31)
76

Subtotal 2020
234

2021
287

2022
265

2023
246

2024
229

2025-2029
914

2030-2034
641

2035-2039
376

After 2039
507

Net deferred premium revenue (1)
3,699

Future accretion
262

Total future net earned premiums
$
3,961

 ____________________
(1)
Excludes net earned premiums on consolidated FG VIEs of $46 million.
Selected Information for Policies Paid in Installments
Selected Information for Financial Guaranty Insurance
Policies with Premiums Paid in Installments
 
As of
March 31, 2020
 
As of
December 31, 2019
 
(dollars in millions)
Premiums receivable, net of commission payable
$
1,232

 
$
1,284

Gross deferred premium revenue
1,635

 
1,637

Weighted-average risk-free rate used to discount premiums
1.7
%
 
1.7
%
Weighted-average period of premiums receivable (in years)
13.2

 
13.3
Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance Insurance Contracts
Net Reserve (Salvage) 

 
As of
March 31, 2020
 
As of
December 31, 2019
 
(in millions)
Public finance:
 
 
 
U.S. public finance
$
291

 
$
328

Non-U.S. public finance
5

 
5

Public finance
296

 
333

Structured finance:
 
 
 
U.S. RMBS (1)
(110
)
 
(78
)
Other structured finance
40

 
40

Structured finance
(70
)
 
(38
)
Total
$
226

 
$
295

____________________
(1)
Excludes net reserves of $35 million and $33 million as of March 31, 2020 and December 31, 2019, respectively, related to consolidated FG VIEs.
Components of Net Reserves (Salvage) Insurance Contracts
Components of Net Reserves (Salvage)
 
 
As of
March 31, 2020
 
As of
December 31, 2019
 
(in millions)
Loss and LAE reserve
$
1,050

 
$
1,050

Reinsurance recoverable on unpaid losses (1)
(35
)
 
(38
)
Loss and LAE reserve, net
1,015

 
1,012

Salvage and subrogation recoverable
(820
)
 
(747
)
Salvage and subrogation reinsurance payable (2)
31

 
30

Salvage and subrogation recoverable, net, and other recoverable
(789
)
 
(717
)
Net reserves (salvage)
$
226

 
$
295

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

(2)
Recorded as a component of other liabilities in the 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
March 31, 2020
 
(in millions)
Net expected loss to be paid - financial guaranty insurance
$
607

Contra-paid, net
44

Salvage and subrogation recoverable, net, and other recoverable
789

Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance
(1,013
)
Net expected loss to be expensed (present value) (1)
$
427

____________________
(1)    Excludes $33 million as of March 31, 2020, 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
March 31, 2020
 
(in millions)
2020 (April 1 - June 30)
$
9

2020 (July 1 - September 30)
9

2020 (October 1 - December 31)
9

Subtotal 2020
27

2021
35

2022
35

2023
33

2024
32

2025-2029
134

2030-2034
90

2035-2039
32

After 2039
9

Net expected loss to be expensed
427

Future accretion
59

Total expected future loss and LAE
$
486

 
Loss and LAE Reported on the Consolidated Statements of Operations
Loss and LAE
Reported on the
Condensed Consolidated Statements of Operations
  
 
Loss (Benefit)
 
First Quarter
 
2020
 
2019
 
(in millions)
Public finance:
 
 
 
U.S. public finance
$
59

 
$
70

Non-U.S. public finance
—

 
—

Public finance
59

 
70

Structured finance:
 
 
 
U.S. RMBS (1)
(42
)
 
(27
)
Other structured finance
3

 
3

Structured finance
(39
)
 
(24
)
Loss and LAE
$
20

 
$
46


____________________
(1)
Excludes a loss of $6 million and a benefit of $1 million for First Quarter 2020 and 2019 respectively, related to consolidated FG VIEs.
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.