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Contracts Accounted for as Insurance (Tables)

3 Months Ended

Mar. 31, 2024


	First Quarter
	2024		2023
	(in millions)
Financial guaranty insurance:
Scheduled net earned premiums	$	71	$	69
Accelerations from refundings and terminations	39		4
Accretion of discount on net premiums receivable	7		7
Financial guaranty insurance net earned premiums	117		80
Specialty net earned premiums	2		1
Net earned premiums	$	119	$	81

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

Gross Premium Receivable,

Net of Commissions Payable on Assumed Business

Roll Forward


	First Quarter
	2024		2023
	(in millions)
Beginning of year	$	1,468	$	1,298
Less: Specialty insurance premium receivable	1		1
Financial guaranty insurance premiums receivable	1,467		1,297
Gross written premiums on new business, net of commissions	63		79
Gross premiums received, net of commissions	(75)		(64)
Adjustments:
Changes in the expected term and debt service assumptions	(3)		6
Accretion of discount, net of commissions on assumed business	7		7
Foreign exchange gain (loss) on remeasurement	(10)		20
Financial guaranty insurance premium receivable	1,449		1,345
Specialty insurance premium receivable	1		1
March 31,	$	1,450	$	1,346

Financial Guaranty Insurance

Expected Future Premium Collections and Earnings


	As of March 31, 2024
	Future Premiums to be Collected (1)		Future Net Premiums to be Earned (2)
	(in millions)
2024 (April 1 - June 30)	$	49	$	71
2024 (July 1 - September 30)	45		71
2024 (October 1 - December 31)	23		70
Subtotal 2024	117		212
2025	124		266
2026	107		249
2027	103		234
2028	96		222
2029-2033	406		913
2034-2038	276		603
2039-2043	200		378
After 2043	391		520
Total	$	1,820	3,597
Future accretion			369
Total future net earned premiums			$	3,966

____________________

(1) Net of assumed commissions payable.

(2) Net of reinsurance.

Selected Information for Policies Paid in Installments

Selected Information for Financial Guaranty Insurance Policies with Premiums Paid in Installments


	As of
	March 31, 2024		December 31, 2023
	(dollars in millions)
Premiums receivable, net of commissions payable	$	1,449	$	1,467
Deferred premium revenue	1,757		1,768
Weighted-average risk-free rate used to discount premiums	2.1%		2.1%
Weighted-average period of premiums receivable (in years)	12.4		12.5

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

The following tables provide information on net reserve (salvage), which includes loss and LAE reserves and salvage and subrogation recoverable, both net of reinsurance.

Net Reserve (Salvage) by Sector


	As of
Sector	March 31, 2024		December 31, 2023
	(in millions)
Public finance:
U.S. public finance	$	100	$	119
Non-U.S. public finance	1		1
Public finance	101		120
Structured finance:
U.S. RMBS	(127)		(87)
Other structured finance	36		42
Structured finance	(91)		(45)
Total	$	10	$	75

Reconciliation of Net Expected Loss to be Paid and Net Expected Loss to be Expensed Financial Guaranty Insurance Contracts

The table below provides a reconciliation of net expected loss to be paid (recovered) for financial guaranty insurance contracts to net expected loss to be expensed. Expected loss to be paid (recovered) for financial guaranty insurance contracts differs from expected loss to be expensed due to: (i) the contra-paid, which represents the claim payments made and recoveries received that have not yet been recognized in the statements of operations; (ii) salvage and subrogation recoverable for transactions that are in a net recovery position where the Company has not yet received recoveries on claims previously paid (and therefore recognized in income but not yet received); and (iii) loss reserves that have already been established (and therefore expensed but not yet paid).

Reconciliation of Net Expected Loss to be Paid (Recovered)

to Net Expected Loss to be Expensed

Financial Guaranty Insurance Contracts


	As of March 31, 2024
	(in millions)
Net expected loss to be paid (recovered) - financial guaranty insurance	$	188
Contra-paid, net	22
Salvage and subrogation recoverable, net	294
Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance	(301)
Net expected loss to be expensed (present value)	$	203

Net Expected Loss to be Expensed Insurance Contracts

The following table provides a schedule of the expected timing of net expected losses to be expensed. The amount and timing of actual loss and LAE may differ from the estimates shown below due to factors such as accelerations, commutations, changes in expected lives and updates to loss estimates. This table excludes amounts related to FG VIEs, which are eliminated in consolidation.

Net Expected Loss to be Expensed

Financial Guaranty Insurance Contracts


	As of March 31, 2024
	(in millions)
2024 (April 1 - June 30)	$	4
2024 (July 1 - September 30)	3
2024 (October 1 - December 31)	3
Subtotal 2024	10
2025	12
2026	15
2027	16
2028	14
2029-2033	67
2034-2038	47
2039-2043	11
After 2043	11
Net expected loss to be expensed (present value)	203
Future accretion	(18)
Total expected future loss and LAE	$	185

Loss and LAE Reported on the Consolidated Statements of Operations

The following table presents the loss and LAE (benefit) reported in the condensed consolidated statements of operations by sector for insurance contracts.

Loss and LAE (Benefit) by Sector


	First Quarter
Sector	2024		2023
	(in millions)
Public finance:
U.S. public finance	$	(2)	$	(4)
Non-U.S. public finance	—		—
Public finance	(2)		(4)
Structured finance:
U.S. RMBS	$	2	$	6
Other structured finance	(1)		2
Structured finance	1		8
Loss and LAE (benefit)	$	(1)	$	4

BIG Net Par Outstanding and Number of Risks

Financial Guaranty Portfolio

BIG Net Par Outstanding and Number of Risks

As of March 31, 2024


	Net Par Outstanding						Number of Risks (2)
Description	Financial Guaranty Insurance (1)		Credit Derivatives		Total		Financial Guaranty Insurance (1)	Credit Derivatives	Total
	(dollars in millions)
BIG 1	$	2,356	$	15	$	2,371	91	2	93
BIG 2	977		10		987		12	2	14
BIG 3	1,808		27		1,835		109	7	116
Total BIG	$	5,141	$	52	$	5,193	212	11	223

Financial Guaranty Portfolio

BIG Net Par Outstanding and Number of Risks

As of December 31, 2023


	Net Par Outstanding						Number of Risks (2)
Description	Financial Guaranty Insurance (1)		Credit Derivatives		Total		Financial Guaranty Insurance (1)	Credit Derivatives	Total
	(dollars in millions)
BIG 1	$	2,394	$	16	$	2,410	95	2	97
BIG 2	979		10		989		13	2	15
BIG 3	2,010		28		2,038		109	7	116
Total BIG	$	5,383	$	54	$	5,437	217	11	228

_____________________

(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.

The following table shows the scheduled amortization of the obligations of the Puerto Rico authorities and public corporations that the Company insures. The Company guarantees payment 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 March 31, 2024


	Scheduled Net Par Amortization		Scheduled Net Debt Service Amortization
	(in millions)
2024 (April 1 - June 30)	$	—	$	3
2024 (July 1 - September 30)	110		131
2024 (October 1 - December 31)	—		3
Subtotal 2024	110		137
2025	84		124
2026	140		177
2027	120		151
2028	81		106
2029-2033	197		281
2034-2038	132		170
2039-2041	97		106
Total	$	961	$	1,252

The following tables provide information on financial guaranty insurance contracts categorized as BIG.

Financial Guaranty Insurance

BIG Transaction Loss Summary

As of March 31, 2024


	Gross								Net Total BIG
	BIG 1		BIG 2		BIG 3		Total BIG
	(dollars in millions)
Number of risks (1)	91		12		109		212		212
Remaining weighted-average period (in years)	9.4		15.7		6.9		9.7		9.7

Outstanding exposure:
Par	$	2,362	$	977	$	1,817	$	5,156	$	5,141
Interest	1,098		893		657		2,648		2,644
Total (2)	$	3,460	$	1,870	$	2,474	$	7,804	$	7,785

Expected cash outflows (inflows)	$	171	$	187	$	1,472	$	1,830	$	1,820
Potential recoveries (3)	(363)		(77)		(1,219)		(1,659)		(1,650)
Subtotal	(192)		110		253		171		170
Discount	53		(23)		(12)		18		18
Expected losses to be paid (recovered)	$	(139)	$	87	$	241	$	189	$	188

Deferred premium revenue	$	96	$	62	$	136	$	294	$	294
Reserves (salvage)	$	(175)	$	45	$	137	$	7	$	7

Financial Guaranty Insurance

BIG Transaction Loss Summary

As of December 31, 2023


	Gross								Net Total BIG
	BIG 1		BIG 2		BIG 3		Total BIG
	(dollars in millions)
Number of risks (1)	95		13		109		217		217
Remaining weighted-average period (in years)	9.6		15.9		7.5		9.9		10.0

Outstanding exposure:
Par	$	2,400	$	979	$	2,019	$	5,398	$	5,383
Interest	1,126		896		818		2,840		2,836
Total (2)	$	3,526	$	1,875	$	2,837	$	8,238	$	8,219

Expected cash outflows (inflows)	$	176	$	187	$	1,585	$	1,948	$	1,938
Potential recoveries (3)	(376)		(78)		(1,214)		(1,668)		(1,659)
Subtotal	(200)		109		371		280		279
Discount	56		(22)		(53)		(19)		(19)
Expected losses to be paid (recovered)	$	(144)	$	87	$	318	$	261	$	260

Deferred premium revenue	$	100	$	63	$	142	$	305	$	305
Reserves (salvage)	$	(181)	$	45	$	209	$	73	$	72

____________________

(1) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making debt service payments.

(2)Includes amounts related to FG VIEs.

(3)Represents expected inflows from future payments by obligors pursuant to restructuring agreements, settlements, 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.