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Outstanding Insurance Exposure (Tables)
 6 Months Ended
Jun. 30, 2020
Schedule of Insured Financial Obligations [Line Items]  
Debt Service Outstanding
Actual debt service may differ from estimated debt service due to refundings, terminations, negotiated restructurings, prepayments, changes in interest rates on variable rate insured obligations, consumer price index behavior differing from that projected, changes in foreign exchange rates on non-U.S. dollar denominated insured obligations and other factors.

Financial Guaranty Portfolio
Debt Service Outstanding
 
 
Gross Debt Service
Outstanding
 
Net Debt Service
Outstanding
 
As of June 30, 2020
 
As of December 31, 2019
 
As of June 30, 2020
 
As of December 31, 2019
 
(in millions)
Public finance
$
352,266

 
$
363,497

 
$
351,835

 
$
362,361

Structured finance
11,196

 
12,279

 
10,694

 
11,769

Total financial guaranty
$
363,462

 
$
375,776

 
$
362,529

 
$
374,130
Financial Guaranty Portfolio by Internal Rating
Financial Guaranty Portfolio
by Internal Rating
As of June 30, 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
 
$
368

 
0.2
%
 
$
2,459

 
5.0
%
 
$
1,118

 
12.7
%
 
$
166

 
23.7
%
 
$
4,111

 
1.8
%
AA
 
17,800

 
10.3

 
4,916

 
10.0

 
3,885

 
44.0

 
34

 
4.9

 
26,635

 
11.4

A
 
92,807

 
53.6

 
10,314

 
20.9

 
1,002

 
11.3

 
172

 
24.5

 
104,295

 
45.0

BBB
 
56,448

 
32.6

 
30,741

 
62.3

 
1,065

 
12.1

 
288

 
41.1

 
88,542

 
38.2

BIG
 
5,720

 
3.3

 
863

 
1.8

 
1,752

 
19.9

 
41

 
5.8

 
8,376

 
3.6

Total net par outstanding
 
$
173,143

 
100.0
%

$
49,293


100.0
%

$
8,822


100.0
%

$
701


100.0
%

$
231,959


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
%
Schedule of BIG Net Par Outstanding and Number of Risks
Financial Guaranty Portfolio
Components of BIG Net Par Outstanding
As of June 30, 2020

 
BIG Net Par Outstanding
 
Net Par
 
BIG 1
 
BIG 2
 
BIG 3
 
Total BIG
 
Outstanding
 
 
 
 
 
(in millions)
 
 
 
 
Public finance:
 
 
 
 
 
 
 
 
 
U.S. public finance
$
1,440

 
$
430

 
$
3,850

 
$
5,720

 
$
173,143

Non-U.S. public finance
817

 
—

 
46

 
863

 
49,293

Public finance
2,257

 
430

 
3,896

 
6,583

 
222,436

Structured finance:
 
 
 
 
 
 
 
 
 
U.S. RMBS
202

 
29

 
1,323

 
1,554

 
3,281

Other structured finance
97

 
56

 
86

 
239

 
6,242

Structured finance
299

 
85

 
1,409

 
1,793

 
9,523

Total
$
2,556

 
$
515

 
$
5,305

 
$
8,376

 
$
231,959




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

Other structured finance
69

 
62

 
88

 
219

 
6,515

Structured finance
231

 
136

 
1,470

 
1,837

 
10,061

Total
$
2,667

 
$
566

 
$
5,273

 
$
8,506

 
$
236,807



Financial Guaranty Portfolio
BIG Net Par Outstanding
and Number of Risks
As of June 30, 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
 
$
2,482

 
$
74

 
$
2,556

 
112

 
7

 
119

Category 2
 
511

 
4

 
515

 
19

 
1

 
20

Category 3
 
5,258

 
47

 
5,305

 
128

 
6

 
134

Total BIG
 
$
8,251

 
$
125

 
$
8,376

 
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.   
Schedule of Insured Financial Obligations, Bonds Outstanding
General Obligation Bonds
 
Assured Guaranty Net Par Outstanding as of June 30, 2020
 
Assured Guaranty Total Net Principal Claims Paid as of June 30, 2020
 
Assured Guaranty Total Net Interest Claims Paid as of June 30, 2020
 
Base Recovery as a % of Pre-Petition Claims
 
 
(in millions)
 
(percent)
Vintage GO
 
$
669

 
$
383

 
$
165

 
74.9
%
2011 GO (Series D, E and PIB)
 
5

 
6

 
1

 
73.8

2011 GO (Series C)
 
210

 
—

 
48

 
70.4

2012 GO
 
369

 
—

 
72

 
69.9

2014 GO
 
—

 
—

 
—

 
65.4


PBA Bonds
 
Assured Guaranty Net Par Outstanding as of June 30, 2020
 
Assured Guaranty Total Net Principal Claims Paid as of June 30, 2020
 
Assured Guaranty Total Net Interest Claims Paid as of June 30, 2020
 
Base Recovery as a % of Pre-Petition Claims
 
 
(in millions)
 
(percent)
Vintage PBA
 
$
140

 
$
32

 
$
27

 
77.6
%
2011 PBA
 
—

 
—

 
—

 
76.8

2012 PBA
 
—

 
—

 
—

 
72.2
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 June 30, 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)
112

 
(1
)
 
19

 
—

 
128

 
(4
)
 
259

 
—

 
259

Remaining weighted-average period (in years)
7.3

 
4.7

 
17.3

 
—

 
9.3

 
6.1

 
9.2

 
—

 
9.2

Outstanding exposure:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Par
$
2,493

 
$
(11
)
 
$
511

 
$
—

 
$
5,326

 
$
(68
)
 
$
8,251

 
$
—

 
$
8,251

Interest
944

 
(3
)
 
436

 
—

 
2,291

 
(18
)
 
3,650

 
—

 
3,650

Total (2)
$
3,437

 
$
(14
)
 
$
947

 
$
—

 
$
7,617

 
$
(86
)
 
$
11,901

 
$
—

 
$
11,901

Expected cash outflows (inflows)
$
155

 
$
(1
)
 
$
73

 
$
—

 
$
4,057

 
$
(54
)
 
$
4,230

 
$
(262
)
 
$
3,968

Potential recoveries (3)
(604
)
 
21

 
(3
)
 
—

 
(2,887
)
 
55

 
(3,418
)
 
188

 
(3,230
)
Subtotal
(449
)
 
20

 
70

 
—

 
1,170

 
1

 
812

 
(74
)
 
738

Discount
18

 
—

 
(10
)
 
—

 
(72
)
 
(1
)
 
(65
)
 
9

 
(56
)
Present value of expected cash flows
$
(431
)
 
$
20

 
$
60

 
$
—

 
$
1,098

 
$
—

 
$
747

 
$
(65
)
 
$
682

Deferred premium revenue
$
134

 
$
—

 
$
23

 
$
—

 
$
453

 
$
(3
)
 
$
607

 
$
(45
)
 
$
562

Reserves (salvage)
$
(465
)
 
$
20

 
$
41

 
$
—

 
$
740

 
$
2

 
$
338

 
$
(37
)
 
$
301

 
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 June 30, 2020, $30 million of aircraft residual value insurance exposure was rated BIG.

Specialty Insurance and Reinsurance
Exposure

 
 
Gross Exposure
 
Net Exposure
 
 
As of
June 30, 2020
 
As of December 31, 2019
 
As of
June 30, 2020
 
As of December 31, 2019
 
 
(in millions)
Life insurance transactions (1)
 
$
1,063

 
$
1,046

 
$
915

 
$
898

Aircraft residual value insurance policies
 
391

 
398

 
236

 
243

Total
 
$
1,454

 
$
1,444

 
$
1,151

 
$
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 June 30, 2020
 
As of December 31, 2019
 
As of June 30, 2020
 
As of December 31, 2019
 
(in millions)
Exposure to Puerto Rico
$
4,458

 
$
4,458

 
$
6,843

 
$
6,956
Schedule of Geographic Exposure of Net Par Outstanding
All Puerto Rico exposures are internally rated BIG. The following tables show the Company’s insured exposure to general obligation bonds of Puerto Rico and various obligations of its related authorities and public corporations.

Puerto Rico
Gross Par and Gross Debt Service Outstanding

 
Gross Par Outstanding
 
Gross Debt Service Outstanding
 
As of June 30, 2020
 
As of December 31, 2019
 
As of June 30, 2020
 
As of December 31, 2019
 
(in millions)
Exposure to Puerto Rico
$
4,458

 
$
4,458

 
$
6,843

 
$
6,956



Puerto Rico
Net Par Outstanding

 
As of
June 30, 2020 (1)
 
As of
December 31, 2019
 
(in millions)
Commonwealth Constitutionally Guaranteed
 
 
 
Commonwealth of Puerto Rico - General Obligation Bonds (2)
$
1,253

 
$
1,253

PBA (2)
140

 
140

Public Corporations - Certain Revenues Potentially Subject to Clawback
 
 
 
PRHTA (Transportation revenue) (2)
842

 
811

PRHTA (Highway revenue) (2)
515

 
454

PRCCDA
152

 
152

PRIFA
16

 
16

Other Public Corporations
 
 
 
PREPA (2)
825

 
822

PRASA
373

 
373

MFA
271

 
248

U of PR
1

 
1

Total net exposure to Puerto Rico
$
4,388

 
$
4,270

____________________
(1)
In Second Quarter 2020, the Company reassumed $118 million in net par of Puerto Rico exposures from its largest remaining legacy financial guaranty reinsurer.

(2)
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
The following table shows the scheduled amortization of the insured general obligation bonds of Puerto Rico and various obligations of its related authorities and public corporations. The Company guarantees payments of interest and principal when those amounts are scheduled to be paid and cannot be required to pay on an accelerated basis. In the event that obligors default on their obligations, the Company would only be required to pay the shortfall between the principal and interest due in any given period and the amount paid by the obligors.

Amortization Schedule of Puerto Rico Net Par Outstanding
and Net Debt Service Outstanding
As of June 30, 2020

 
Scheduled Net Par Amortization
 
Scheduled Net Debt Service Amortization
 
(in millions)
2020 (July 1 - September 30)
$
291

 
$
399

2020 (October 1 - December 31)
—

 
3

Subtotal 2020
291

 
402

2021
153

 
360

2022
176

 
375

2023
206

 
397

2024
222

 
403

2025-2029
1,173

 
1,895

2030-2034
1,053

 
1,527

2035-2039
764

 
942

2040-2044
104

 
179

2045-2047
246

 
272

Total
$
4,388

 
$
6,752