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v3.22.1

Outstanding Exposure (Tables) | 3 Months Ended
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Mar. 31, 2022
Schedule of Insured Financial Obligations [Line Items] |
Debt Service Outstanding | Financial Guaranty Portfolio Debt Service and Par Outstanding
| As of March 31, 2022 |  | As of December 31, 2021
| Gross |  | Net |  | Gross |  | Net
| (in millions)
Debt Service |  |  |  |  |  |  |
Public finance | $ | 352,611 |  |  | $ | 352,285 |  |  | $ | 357,694 |  |  | $ | 357,314 |
Structured finance | 9,734 |  |  | 9,704 |  |  | 10,076 |  |  | 10,046 |
Total financial guaranty | $ | 362,345 |  |  | $ | 361,989 |  |  | $ | 367,770 |  |  | $ | 367,360 |
Par Outstanding |  |  |  |  |  |  |
Public finance | $ | 224,763 |  |  | $ | 224,463 |  |  | $ | 227,507 |  |  | $ | 227,164 |
Structured finance | 8,946 |  |  | 8,916 |  |  | 9,258 |  |  | 9,228 |
Total financial guaranty | $ | 233,709 |  |  | $ | 233,379 |  |  | $ | 236,765 |  |  | $ | 236,392 |
Financial Guaranty Portfolio by Internal Rating | Financial Guaranty Portfolio by Internal Rating As of March 31, 2022
|  | 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 |  | $ | 270 |  |  | 0.2 | % |  | $ | 2,102 |  |  | 4.3 | % |  | $ | 757 |  |  | 9.3 | % |  | $ | 482 |  |  | 59.1 | % |  | $ | 3,611 |  |  | 1.5 | %
AA |  | 16,472 |  |  | 9.4 |  |  | 3,975 |  |  | 8.2 |  |  | 4,633 |  |  | 57.2 |  |  | 21 |  |  | 2.7 |  |  | 25,101 |  |  | 10.8 |
A |  | 94,442 |  |  | 53.6 |  |  | 10,382 |  |  | 21.4 |  |  | 801 |  |  | 9.9 |  |  | 156 |  |  | 19.1 |  |  | 105,781 |  |  | 45.3 |
BBB |  | 61,039 |  |  | 34.7 |  |  | 31,486 |  |  | 64.9 |  |  | 566 |  |  | 7.0 |  |  | 156 |  |  | 19.1 |  |  | 93,247 |  |  | 40.0 |
BIG |  | 3,734 |  |  | 2.1 |  |  | 561 |  |  | 1.2 |  |  | 1,344 |  |  | 16.6 |  |  | — |  |  | — |  |  | 5,639 |  |  | 2.4 |
Total net par outstanding |  | $ | 175,957 |  |  | 100.0 | % |  | $ | 48,506 |  |  | 100.0 | % |  | $ | 8,101 |  |  | 100.0 | % |  | $ | 815 |  |  | 100.0 | % |  | $ | 233,379 |  |  | 100.0 | %
Financial Guaranty Portfolio by Internal Rating As of December 31, 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 |  | $ | 272 |  |  | 0.2 | % |  | $ | 2,217 |  |  | 4.5 | % |  | $ | 806 |  |  | 9.6 | % |  | $ | 493 |  |  | 57.7 | % |  | $ | 3,788 |  |  | 1.6 | %
AA |  | 16,372 |  |  | 9.2 |  |  | 4,205 |  |  | 8.4 |  |  | 4,760 |  |  | 56.8 |  |  | 22 |  |  | 2.6 |  |  | 25,359 |  |  | 10.7 |
A |  | 94,459 |  |  | 53.3 |  |  | 10,659 |  |  | 21.3 |  |  | 813 |  |  | 9.7 |  |  | 160 |  |  | 18.7 |  |  | 106,091 |  |  | 44.9 |
BBB |  | 60,744 |  |  | 34.3 |  |  | 32,264 |  |  | 64.6 |  |  | 611 |  |  | 7.3 |  |  | 179 |  |  | 21.0 |  |  | 93,798 |  |  | 39.7 |
BIG |  | 5,372 |  |  | 3.0 |  |  | 600 |  |  | 1.2 |  |  | 1,384 |  |  | 16.6 |  |  | — |  |  | — |  |  | 7,356 |  |  | 3.1 |
Total net par outstanding |  | $ | 177,219 |  |  | 100.0 | % |  | $ | 49,945 |  |  | 100.0 | % |  | $ | 8,374 |  |  | 100.0 | % |  | $ | 854 |  |  | 100.0 | % |  | $ | 236,392 |  |  | 100.0 | %
Schedule of BIG Net Par Outstanding and Number of Risks | Financial Guaranty Portfolio Components of BIG Net Par Outstanding As of March 31, 2022
| BIG Net Par Outstanding |  | Net Par
| BIG 1 |  | BIG 2 |  | BIG 3 |  | Total BIG |  | Outstanding
|  |  |  |  | (in millions) |  |  |  |
Public finance: |  |  |  |  |  |  |  |  |
U.S. public finance | $ | 1,462 |  |  | $ | 116 |  |  | $ | 2,156 |  |  | $ | 3,734 |  |  | $ | 175,957 |
Non-U.S. public finance | 518 |  |  | — |  |  | 43 |  |  | 561 |  |  | 48,506 |
Public finance | 1,980 |  |  | 116 |  |  | 2,199 |  |  | 4,295 |  |  | 224,463 |
Structured finance: |  |  |  |  |  |  |  |  |
U.S. RMBS | 53 |  |  | 81 |  |  | 1,095 |  |  | 1,229 |  |  | 2,277 |
Other structured finance | — |  |  | 39 |  |  | 76 |  |  | 115 |  |  | 6,639 |
Structured finance | 53 |  |  | 120 |  |  | 1,171 |  |  | 1,344 |  |  | 8,916 |
Total | $ | 2,033 |  |  | $ | 236 |  |  | $ | 3,370 |  |  | $ | 5,639 |  |  | $ | 233,379 |
Financial Guaranty Portfolio Components of BIG Net Par Outstanding As of December 31, 2021
| BIG Net Par Outstanding |  | Net Par
| BIG 1 |  | BIG 2 |  | BIG 3 |  | Total BIG |  | Outstanding
|  |  |  |  | (in millions) |  |  |  |
Public finance: |  |  |  |  |  |  |  |  |
U.S. public finance | $ | 1,765 |  |  | $ | 116 |  |  | $ | 3,491 |  |  | $ | 5,372 |  |  | $ | 177,219 |
Non-U.S. public finance | 556 |  |  | — |  |  | 44 |  |  | 600 |  |  | 49,945 |
Public finance | 2,321 |  |  | 116 |  |  | 3,535 |  |  | 5,972 |  |  | 227,164 |
Structured finance: |  |  |  |  |  |  |  |  |
U.S. RMBS | 121 |  |  | 24 |  |  | 1,120 |  |  | 1,265 |  |  | 2,391 |
Other structured finance | 1 |  |  | 41 |  |  | 77 |  |  | 119 |  |  | 6,837 |
Structured finance | 122 |  |  | 65 |  |  | 1,197 |  |  | 1,384 |  |  | 9,228 |
Total | $ | 2,443 |  |  | $ | 181 |  |  | $ | 4,732 |  |  | $ | 7,356 |  |  | $ | 236,392 |
Schedule of GO and PBA Bonds |
|  | Direct |  | Second-to-Pay |  | Assumed |  | Total
|  | (in millions)
GO |  | $ | 36 |  |  | $ | 10 |  |  | $ | 1 |  |  | $ | 47 |
PBA |  | 5 |  |  | — |  |  | — |  |  | 5 |
Total GO and PBA |  | $ | 41 |  |  | $ | 10 |  |  | $ | 1 |  |  | $ | 52 |
BIG Net Par Outstanding and Number of Risks | Financial Guaranty Portfolio BIG Net Par Outstanding and Number of Risks As of March 31, 2022
|  | 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: |  |  |  |  |  |  |  |  |  |  |  |
Category 1 |  | $ | 2,027 |  |  | $ | 6 |  |  | $ | 2,033 |  |  | 108 |  |  | 1 |  |  | 109 |
Category 2 |  | 225 |  |  | 11 |  |  | 236 |  |  | 20 |  |  | 2 |  |  | 22 |
Category 3 |  | 3,327 |  |  | 43 |  |  | 3,370 |  |  | 127 |  |  | 8 |  |  | 135 |
Total BIG |  | $ | 5,579 |  |  | $ | 60 |  |  | $ | 5,639 |  |  | 255 |  |  | 11 |  |  | 266 |
Financial Guaranty Portfolio BIG Net Par Outstanding and Number of Risks As of December 31, 2021
|  | 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: |  |  |  |  |  |  |  |  |  |  |  |
Category 1 |  | $ | 2,429 |  |  | $ | 14 |  |  | $ | 2,443 |  |  | 117 |  |  | 2 |  |  | 119 |
Category 2 |  | 177 |  |  | 4 |  |  | 181 |  |  | 16 |  |  | 1 |  |  | 17 |
Category 3 |  | 4,687 |  |  | 45 |  |  | 4,732 |  |  | 129 |  |  | 8 |  |  | 137 |
Total BIG |  | $ | 7,293 |  |  | $ | 63 |  |  | $ | 7,356 |  |  | 262 |  |  | 11 |  |  | 273 |
_____________________ (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 tables provide information on financial guaranty insurance contracts categorized as BIG. Financial Guaranty Insurance BIG Transaction Loss Summary As of March 31, 2022
| Gross |  | Net Total BIG
| BIG 1 |  | BIG 2 |  | BIG 3 |  | Total BIG |
| (dollars in millions)
Number of risks (1) | 108 |  |  | 20 |  |  | 127 |  |  | 255 |  |  | 255 |
Remaining weighted-average period (in years) | 7.6 |  | 7.9 |  | 8.3 |  | 8.1 |  | 8.1
Outstanding exposure: |  |  |  |  |  |  |  |  |
Par | $ | 2,035 |  |  | $ | 225 |  |  | $ | 3,347 |  |  | $ | 5,607 |  |  | $ | 5,579 |
Interest | 867 |  |  | 41 |  |  | 1,173 |  |  | 2,081 |  |  | 2,077 |
Total (2) | $ | 2,902 |  |  | $ | 266 |  |  | $ | 4,520 |  |  | $ | 7,688 |  |  | $ | 7,656 |
Expected cash outflows (inflows) | $ | 72 |  |  | $ | 68 |  |  | $ | 3,326 |  |  | $ | 3,466 |  |  | $ | 3,453 |
Potential recoveries (3) | (394) |  |  | (48) |  |  | (2,473) |  |  | (2,915) |  |  | (2,903) |
Subtotal | (322) |  |  | 20 |  |  | 853 |  |  | 551 |  |  | 550 |
Discount | 24 |  |  | (3) |  |  | (189) |  |  | (168) |  |  | (167) |
Expected losses to be paid (recovered) | $ | (298) |  |  | $ | 17 |  |  | $ | 664 |  |  | $ | 383 |  |  | $ | 383 |
Deferred premium revenue | $ | 71 |  |  | $ | 9 |  |  | $ | 235 |  |  | $ | 315 |  |  | $ | 313 |
Reserves (salvage) | $ | (317) |  |  | $ | 15 |  |  | $ | 484 |  |  | $ | 182 |  |  | $ | 183 |
Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2021
| Gross |  | Net Total BIG
| BIG 1 |  | BIG 2 |  | BIG 3 |  | Total BIG |
| (dollars in millions)
Number of risks (1) | 117 |  |  | 16 |  |  | 129 |  |  | 262 |  |  | 262 |
Remaining weighted-average period (in years) | 7.6 |  | 8.9 |  | 8.9 |  | 8.5 |  | 8.5
Outstanding exposure: |  |  |  |  |  |  |  |  |
Par | $ | 2,437 |  |  | $ | 177 |  |  | $ | 4,745 |  |  | $ | 7,359 |  |  | $ | 7,293 |
Interest | 1,000 |  |  | 36 |  |  | 1,942 |  |  | 2,978 |  |  | 2,962 |
Total (2) | $ | 3,437 |  |  | $ | 213 |  |  | $ | 6,687 |  |  | $ | 10,337 |  |  | $ | 10,255 |
Expected cash outflows (inflows) | $ | 111 |  |  | $ | 40 |  |  | $ | 4,820 |  |  | $ | 4,971 |  |  | $ | 4,918 |
Potential recoveries (3) | (656) |  |  | (10) |  |  | (3,829) |  |  | (4,495) |  |  | (4,430) |
Subtotal | (545) |  |  | 30 |  |  | 991 |  |  | 476 |  |  | 488 |
Discount | 19 |  |  | (3) |  |  | (145) |  |  | (129) |  |  | (129) |
Expected losses to be paid (recovered) | $ | (526) |  |  | $ | 27 |  |  | $ | 846 |  |  | $ | 347 |  |  | $ | 359 |
Deferred premium revenue | $ | 85 |  |  | $ | 2 |  |  | $ | 350 |  |  | $ | 437 |  |  | $ | 435 |
Reserves (salvage) | $ | (549) |  |  | $ | 25 |  |  | $ | 584 |  |  | $ | 60 |  |  | $ | 74 |
____________________ (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 for 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.
Schedule of Non-Financial Guaranty Exposure | Specialty Insurance and Reinsurance Exposure
|  | As of March 31, 2022 |  | As of December 31, 2021
|  | Gross Exposure |  | Net Exposure |  | Gross Exposure |  | Net Exposure
|  | (in millions)
Life insurance transactions (1) |  | $ | 1,261 |  |  | $ | 890 |  |  | $ | 1,250 |  |  | $ | 871 |
Aircraft residual value insurance policies |  | 355 |  |  | 200 |  |  | 355 |  |  | 200 |
Total |  | $ | 1,616 |  |  | $ | 1,090 |  |  | $ | 1,605 |  |  | $ | 1,071 |
____________________ (1) The life insurance transactions’ net exposure is projected to reach $1.1 billion by March 31, 2026.
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
| March 31, 2022 |  | December 31, 2021 |  | March 31, 2022 |  | December 31, 2021
| (in millions)
Exposure to Puerto Rico | $ | 2,256 |  |  | $ | 3,629 |  |  | $ | 3,169 |  |  | $ | 5,322 |
Schedule of Geographic Exposure of Net Par Outstanding | Puerto Rico Net Par Outstanding
| As of
| March 31, 2022 |  | December 31, 2021
| (in millions)
Puerto Rico Exposures Subject to a Plan or Support Agreement |  |  |
Commonwealth of Puerto Rico - GO (1) | $ | 47 |  |  | $ | 1,097 |
PBA (1) | 5 |  |  | 122 |
Total GO/PBA Plan | 52 |  |  | 1,219 |
PRHTA (Transportation revenue) | 799 |  |  | 799 |
PRHTA (Highway revenue) | 457 |  |  | 457 |
PRCCDA (2) | — |  |  | 152 |
Total HTA/CCDA PSA | 1,256 |  |  | 1,408 |
PRIFA (2) | — |  |  | 16 |
Total Subject to a Plan or Support Agreement | 1,308 |  |  | 2,643 |
Other Puerto Rico Exposures |  |  |
PREPA | 748 |  |  | 748 |
MFA (3) | 179 |  |  | 179 |
PRASA and U of PR (3) | 2 |  |  | 2 |
Total Other Puerto Rico Exposures | 929 |  |  | 929 |
Total net exposure to Puerto Rico | $ | 2,237 |  |  | $ | 3,572 |
____________________ (1) On March 15, 2022, the Modified Eighth Amended Title III Joint Plan of Adjustment, confirmed on January 18, 2022, was consummated, pursuant to which the Company, among other things, fully paid claims on all of its directly insured Puerto Rico GO bonds, other than certain GO bonds whose holders made certain elections. On the same date and pursuant to the same Plan of Adjustment, the Company fully paid claims on all of its directly insured PBA bonds, other than certain PBA bonds whose holders made certain elections. (2) On March 15, 2022, the Company fully paid claims on all of its insured PRCCDA and PRIFA bonds, eliminating its exposure to insured PRCCDA and PRIFA bonds, pursuant to Title VI orders entered on January 20, 2022. (3) All debt service on these insured exposures have been paid to date without any insurance claim being made on the Company.
BIG Net Par Outstanding and Number of Risks | Amortization Schedule of Puerto Rico Net Par Outstanding and Net Debt Service Outstanding As of March 31, 2022
| Scheduled Net Par Amortization |  | Scheduled Net Debt Service Amortization
| (in millions)
2022 (April 1 - June 30) | $ | — |  |  | $ | 3 |
2022 (July 1 - September 30) | 159 |  |  | 213 |
2022 (October 1 - December 31) | — |  |  | 3 |
Subtotal 2022 | 159 |  |  | 219 |
2023 | 186 |  |  | 289 |
2024 | 149 |  |  | 243 |
2025 | 151 |  |  | 237 |
2026 | 170 |  |  | 249 |
2027-2031 | 639 |  |  | 935 |
2032-2036 | 577 |  |  | 732 |
2037-2041 | 201 |  |  | 237 |
2042 | 5 |  |  | 5 |
Total | $ | 2,237 |  |  | $ | 3,146 |

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- Definition Tabular disclosure of insured financial obligations with credit deterioration related to the claim liability on financial guarantee insurance contracts as of the end of each annual and interim reporting period detailing, at a minimum, the following for each surveillance category or grouping used to track and monitor the entity's insured financial obligations: (1) number of issued and outstanding financial guarantee insurance contracts; (2) remaining weighted average contract period; (3) insured contractual payments outstanding, segregating principal and interest; (4) gross claim liability; (5) gross potential recoveries; (6) net discount of both the claim liability and potential recoveries; (7) net claim liability; (8) reinsurance recoverable; and (9) unearned premium revenue. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 944 -SubTopic 40 -Section 55 -Paragraph 34 -URI http://asc.fasb.org/extlink&oid=99379334&loc=SL5751140-161288 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 944 -SubTopic 40 -Section 50 -Paragraph 9 -Subparagraph (a)(5), (b)(1) -URI http://asc.fasb.org/extlink&oid=99382878&loc=SL5749324-161292 + Details
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