XML 40 R29.htm IDEA: XBRL DOCUMENT

Contracts Accounted for as Insurance (Tables)

9 Months Ended

Sep. 30, 2020


	Third Quarter				Nine Months
	2020		2019		2020		2019
	(in millions)
Financial guaranty:
Scheduled net earned premiums	$	85	$	81	$	250	$	253
Accelerations from refundings and terminations	17		37		64		83
Accretion of discount on net premiums receivable	5		4		15		13
Financial guaranty insurance net earned premiums	107		122		329		349
Specialty net earned premiums	—		1		2		4
Net earned premiums (1)	$	107	$	123	$	331	$	353

___________________

(1) Excludes $2 million and $2 million for Third Quarter 2020 and 2019, respectively, and $4 million and $16 million for Nine Months 2020 and 2019, respectively, related to consolidated FG VIEs.

Gross Premium Receivable, Net of Commissions on Assumed Business Roll Forward

Gross Premium Receivable,

Net of Commissions on Assumed Business

Roll Forward


	Nine Months
	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	342		164
Gross premiums received, net of commissions	(297)		(198)
Adjustments:
Changes in the expected term	(9)		(10)
Accretion of discount, net of commissions on assumed business	14		8
Foreign exchange gain (loss) on remeasurement	(14)		(24)
Financial guaranty insurance premium receivable (1)	1,320		843
Specialty insurance premium receivable	1		1
September 30,	$	1,321	$	844

____________________

(1) Excludes $6 million and $7 million as of September 30, 2020 and September 30, 2019, respectively, related to consolidated FG VIEs.

Expected Collections of

Financial Guaranty Insurance Gross Premiums Receivable,

Net of Commissions on Assumed Business

(Undiscounted)


	As of September 30, 2020
	(in millions)
2020 (October 1 - December 31)	$	40
2021	119
2022	110
2023	99
2024	90
2025-2029	358
2030-2034	249
2035-2039	158
After 2039	357
Total (1)	$	1,580

____________________

(1) Excludes expected cash collections on consolidated FG VIEs of $8 million.

Schedule of Net Earned Premiums

Scheduled Financial Guaranty Insurance Net Earned Premiums


	As of September 30, 2020
	(in millions)
2020 (October 1 - December 31)	$	83
2021	313
2022	287
2023	265
2024	244
2025-2029	956
2030-2034	669
2035-2039	400
After 2039	540
Net deferred premium revenue (1)	3,757
Future accretion	260
Total future net earned premiums	$	4,017

____________________

(1) Excludes net earned premiums on consolidated FG VIEs of $44 million.

Selected Information for Policies Paid in Installments

Selected Information for Financial Guaranty Insurance

Policies with Premiums Paid in Installments


	As of
	September 30, 2020		December 31, 2019
	(dollars in millions)
Premiums receivable, net of commission payable	$	1,320	$	1,284
Gross deferred premium revenue	1,668		1,637
Weighted-average risk-free rate used to discount premiums	1.6%		1.7%
Weighted-average period of premiums receivable (in years)	12.7		13.3

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

Net Reserve (Salvage)


	As of
	September 30, 2020		December 31, 2019
	(in millions)
Public finance:
U.S. public finance	$	66	$	328
Non-U.S. public finance	8		5
Public finance	74		333
Structured finance:
U.S. RMBS (1)	(69)		(78)
Other structured finance	42		40
Structured finance	(27)		(38)
Total	$	47	$	295

____________________

(1) Excludes net reserves of $35 million and $33 million as of September 30, 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
	September 30, 2020		December 31, 2019
	(in millions)
Loss and LAE reserve	$	982	$	1,050
Reinsurance recoverable on unpaid losses (1)	(8)		(38)
Loss and LAE reserve, net	974		1,012
Salvage and subrogation recoverable	(961)		(747)
Salvage and subrogation reinsurance payable (2)	34		30
Salvage and subrogation recoverable, net	(927)		(717)
Net reserves (salvage)	$	47	$	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 September 30, 2020
	(in millions)
Net expected loss to be paid - financial guaranty insurance	$	418
Contra-paid, net	37
Salvage and subrogation recoverable, net, and other recoverable	927
Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance	(971)
Net expected loss to be expensed (present value) (1)	$	411

____________________

(1) Excludes $32 million as of September 30, 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 September 30, 2020
	(in millions)
2020 (October 1 - December 31)	$	9
2021	38
2022	37
2023	33
2024	32
2025-2029	135
2030-2034	87
2035-2039	31
After 2039	9
Net expected loss to be expensed	411
Future accretion	61
Total expected future loss and LAE	$	472

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
	2020		2019		2020		2019
	(in millions)
Public finance:
U.S. public finance	$	61	$	64	$	153	$	228
Non-U.S. public finance	3		1		3		(7)
Public finance	64		65		156		221
Structured finance:
U.S. RMBS (1)	6		(35)		(32)		(150)
Other structured finance	3		—		6		4
Structured finance	9		(35)		(26)		(146)
Loss and LAE	$	73	$	30	$	130	$	75

____________________

(1) Excludes a benefit of $1 million and $3 million for Third Quarter 2020 and 2019, respectively, and a loss of $7 million and a benefit of $18 million for Nine Months 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 September 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		—		126		(4)		257		—		257
Remaining weighted-average period (in years)	7.3		5.2		16.7		—		9.6		6.3		9.4		—		9.4
Outstanding exposure:
Par	$	2,356	$	(9)	$	524	$	—	$	5,039	$	(65)	$	7,845	$	—	$	7,845
Interest	896		(3)		424		—		2,185		(16)		3,486		—		3,486
Total (2)	$	3,252	$	(12)	$	948	$	—	$	7,224	$	(81)	$	11,331	$	—	$	11,331
Expected cash outflows (inflows)	$	180	$	(1)	$	73	$	—	$	3,769	$	(50)	$	3,971	$	(262)	$	3,709
Potential recoveries (3)	(733)		20		(4)		—		(2,758)		55		(3,420)		190		(3,230)
Subtotal	(553)		19		69		—		1,011		5		551		(72)		479
Discount	19		—		(10)		—		(78)		(1)		(70)		9		(61)
Present value of expected cash flows	$	(534)	$	19	$	59	$	—	$	933	$	4	$	481	$	(63)	$	418
Deferred premium revenue	$	125	$	—	$	24	$	—	$	440	$	(3)	$	586	$	(44)	$	542
Reserves (salvage)	$	(567)	$	20	$	40	$	—	$	580	$	6	$	79	$	(35)	$	44

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.