Outstanding Exposure (Tables)

9 Months Ended

Sep. 30, 2021

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				As of
	September 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
	(in millions)
Public finance	$	356,459	$	356,078	$	356,075	$	355,649
Structured finance	10,329		10,614		10,298		10,584
Total financial guaranty	$	366,788	$	366,692	$	366,373	$	366,233

Financial Guaranty Portfolio by Internal Rating

Financial Guaranty Portfolio by Internal Rating

As of September 30, 2021

	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	$	308	0.2	%	$	2,342	4.7	%	$	942	10.9	%	$	291	39.6	%	$	3,883	1.7	%
AA	16,613		9.4		4,208		8.4		4,647		53.6		10		1.4		25,478		10.8
A	93,810		53.3		10,638		21.1		992		11.4		135		18.4		105,575		44.8
BBB	59,778		34.0		32,640		64.9		670		7.7		298		40.6		93,386		39.6
BIG	5,443		3.1		477		0.9		1,426		16.4		—		—		7,346		3.1
Total net par outstanding	$	175,952	100.0	%	$	50,305	100.0	%	$	8,677	100.0	%	$	734	100.0	%	$	235,668	100.0	%

Financial Guaranty Portfolio by Internal Rating

As of December 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	$	340	0.2	%	$	2,617	4.9	%	$	1,146	12.8	%	$	152	26.4	%	$	4,255	1.8	%
AA	16,742		9.7		4,690		8.8		4,324		48.3		35		6.0		25,791		11.0
A	90,914		53.0		11,646		22.0		1,006		11.3		137		23.8		103,703		44.3
BBB	58,162		33.9		33,180		62.6		835		9.3		252		43.8		92,429		39.5
BIG	5,439		3.2		895		1.7		1,641		18.3		—		—		7,975		3.4
Total net par outstanding	$	171,597	100.0	%	$	53,028	100.0	%	$	8,952	100.0	%	$	576	100.0	%	$	234,153	100.0	%

Schedule of BIG Net Par Outstanding and Number of Risks

Financial Guaranty Portfolio

Components of BIG Net Par Outstanding

As of September 30, 2021

	BIG Net Par Outstanding								Net Par
	BIG 1		BIG 2		BIG 3		Total BIG		Outstanding
					(in millions)
Public finance:
U.S. public finance	$	1,837	$	115	$	3,491	$	5,443	$	175,952
Non-U.S. public finance	431		—		46		477		50,305
Public finance	2,268		115		3,537		5,920		226,257
Structured finance:
U.S. RMBS	127		25		1,150		1,302		2,510
Other structured finance	2		44		78		124		6,901
Structured finance	129		69		1,228		1,426		9,411
Total	$	2,397	$	184	$	4,765	$	7,346	$	235,668

Financial Guaranty Portfolio

Components of BIG Net Par Outstanding

As of December 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	$	1,777	$	57	$	3,605	$	5,439	$	171,597
Non-U.S. public finance	846		—		49		895		53,028
Public finance	2,623		57		3,654		6,334		224,625
Structured finance:
U.S. RMBS	200		26		1,254		1,480		2,990
Other structured finance	28		51		82		161		6,538
Structured finance	228		77		1,336		1,641		9,528
Total	$	2,851	$	134	$	4,990	$	7,975	$	234,153

Financial Guaranty Portfolio

BIG Net Par Outstanding and Number of Risks

As of September 30, 2021

	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	$	2,381	$	16	$	2,397	112	3	115
Category 2	180		4		184		17	1	18
Category 3	4,723		42		4,765		128	7	135
Total BIG	$	7,284	$	62	$	7,346	257	11	268

 Financial Guaranty Portfolio

BIG Net Par Outstanding and Number of Risks

As of December 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	$	2,781	$	70	$	2,851	125	6	131
Category 2	130		4		134		19	1	20
Category 3	4,944		46		4,990		126	7	133
Total BIG	$	7,855	$	120	$	7,975	270	14	284

_____________________

(1)    Includes FG 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, 2021

	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)		17		—		128		(3)		257		—		257
Remaining weighted-average period (in years)	7.8		5.2		9.1		—		9.1		5.9		8.7		—		8.7
Outstanding exposure:
Par	$	2,389	$	(8)	$	180	$	—	$	4,781	$	(58)	$	7,284	$	—	$	7,284
Interest	1,017		(2)		36		—		1,953		(14)		2,990		—		2,990
Total (2)	$	3,406	$	(10)	$	216	$	—	$	6,734	$	(72)	$	10,274	$	—	$	10,274
Expected cash outflows (inflows)	$	135	$	(1)	$	41	$	—	$	3,965	$	(44)	$	4,096	$	(243)	$	3,853
Potential recoveries (3)	(841)		6		(11)		—		(2,994)		54		(3,786)		188		(3,598)
Subtotal	(706)		5		30		—		971		10		310		(55)		255
Discount	21		—		(3)		—		(134)		—		(116)		12		(104)
Present value of expected cash flows	$	(685)	$	5	$	27	$	—	$	837	$	10	$	194	$	(43)	$	151
Deferred premium revenue	$	96	$	—	$	2	$	—	$	400	$	(2)	$	496	$	(40)	$	456
Reserves (salvage)	$	(713)	$	5	$	26	$	—	$	538	$	11	$	(133)	$	(19)	$	(152)

Financial Guaranty Insurance

BIG Transaction Loss Summary

As of December 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)	125		(1)		19		—		126		(4)		270		—		270
Remaining weighted-average period (in years)	7.5		5.0		9.2		—		9.4		6.1		8.7		—		8.7
Outstanding exposure:
Par	$	2,791	$	(10)	$	130	$	—	$	5,009	$	(65)	$	7,855	$	—	$	7,855
Interest	1,092		(2)		36		—		2,175		(16)		3,285		—		3,285
Total (2)	$	3,883	$	(12)	$	166	$	—	$	7,184	$	(81)	$	11,140	$	—	$	11,140
Expected cash outflows (inflows)	$	173	$	(1)	$	29	$	—	$	4,699	$	(50)	$	4,850	$	(259)	$	4,591
Potential recoveries (3)	(707)		20		(3)		—		(3,565)		54		(4,201)		190		(4,011)
Subtotal	(534)		19		26		—		1,134		4		649		(69)		580
Discount	22		—		(3)		—		(132)		(1)		(114)		10		(104)
Present value of expected cash flows	$	(512)	$	19	$	23	$	—	$	1,002	$	3	$	535	$	(59)	$	476
Deferred premium revenue	$	116	$	—	$	2	$	—	$	436	$	(3)	$	551	$	(43)	$	508
Reserves (salvage)	$	(547)	$	19	$	21	$	—	$	660	$	6	$	159	$	(32)	$	127

____________________

(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. As of September 30, 2021 and December 31, 2020, $84 million and $13 million, respectively, of aircraft residual value insurance exposure was rated BIG.

Specialty Insurance and Reinsurance Exposure

	Gross Exposure				Net Exposure
	As of				As of
	September 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
	(in millions)
Life insurance transactions (1)	$	1,222	$	1,121	$	838	$	720
Aircraft residual value insurance policies	355		363		200		208
Total	$	1,577	$	1,484	$	1,038	$	928

____________________

(1)    The life insurance transactions net exposure is projected to increase to approximately $1.1 billion by June 30, 2027.

Puerto Rico

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				As of
	September 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
	(in millions)
Exposure to Puerto Rico	$	3,629	$	3,789	$	5,325	$	5,674

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				As of
	September 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
	(in millions)
Exposure to Puerto Rico	$	3,629	$	3,789	$	5,325	$	5,674

Puerto Rico

Net Par Outstanding

	As of
	September 30, 2021		December 31, 2020
	(in millions)
Puerto Rico Exposures Subject to a Support Agreement
Commonwealth of Puerto Rico - GO (1)	$	1,097	$	1,112
PBA (1)	122		134
Subtotal - GO/PBA PSA	1,219		1,246
PRHTA (Transportation revenue) (1)	799		817
PRHTA (Highway revenue) (1)	457		493
PRCCDA	152		152
Subtotal - HTA/CCDA PSA	1,408		1,462
PREPA (1)	748		776
PRIFA	16		16
Subtotal Subject to a Support Agreement	3,391		3,500
Other Puerto Rico Exposures
MFA	179		223
PRASA and U of PR	2		2
Subtotal Other Puerto Rico Exposures	181		225
Total net exposure to Puerto Rico	$	3,572	$	3,725

____________________

(1)    As of the date of this filing, the FOMB 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, although in certain circumstances it may elect to do so. In the event that obligors default on their obligations, the Company would only be required to pay the shortfall between the debt service 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 September 30, 2021

	Scheduled Net Par Amortization		Scheduled Net Debt Service Amortization
	(in millions)
2021 (October 1 - December 31)	$	—	$	3
2022 (January 1 - March 31)	—		88
2022 (April 1 - June 30)	—		2
2022 (July 1 - September 30)	176		263
2022 (October 1 - December 31)	—		3
Subtotal 2022	176		356
2023	206		378
2024	222		383
2025	223		373
2026-2030	987		1,575
2031-2035	1,205		1,557
2036-2040	504		576
2041-2042	49		51
Total	$	3,572	$	5,252