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Outstanding Exposure (Tables)

9 Months Ended

Sep. 30, 2022

Schedule of Insured Financial Obligations [Line Items]

Debt Service Outstanding

Financial Guaranty Portfolio

Debt Service and Par Outstanding

			As of September 30, 2022												As of December 31, 2021
			Gross						Net						Gross						Net
			(in millions)
Debt Service
Public finance			$	347,776					$	347,608					$	357,694					$	357,314
Structured finance			9,118						9,093						10,076						10,046
Total financial guaranty			$	356,894					$	356,701					$	367,770					$	367,360
Par Outstanding
Public finance			$	219,052					$	218,905					$	227,507					$	227,164
Structured finance			8,191						8,166						9,258						9,228
Total financial guaranty			$	227,243					$	227,071					$	236,765					$	236,392

Financial Guaranty Portfolio by Internal Rating

Financial Guaranty Portfolio by Internal Rating

As of September 30, 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						$	259					0.1		%				$	1,879					4.6		%				$	794					10.7		%				$	432					60.3		%				$	3,364					1.5		%
AA						16,451						9.3						3,454						8.4						4,522						60.7						11						1.5						24,438						10.8
A						96,052						54.0						8,491						20.7						510						6.8						170						23.7						105,223						46.3
BBB						60,893						34.2						26,777						65.2						487						6.5						104						14.5						88,261						38.9
BIG						4,187						2.4						462						1.1						1,136						15.3						—						—						5,785						2.5
Total net par outstanding						$	177,842					100.0		%				$	41,063					100.0		%				$	7,449					100.0		%				$	717					100.0		%				$	227,071					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 September 30, 2022

			BIG Net Par Outstanding																								Net Par
			BIG 1						BIG 2						BIG 3						Total BIG						Outstanding
															(in millions)
Public finance:
U.S. public finance			$	2,029					$	124					$	2,034					$	4,187					$	177,842
Non-U.S. public finance			425						—						37						462						41,063
Public finance			2,454						124						2,071						4,649						218,905
Structured finance:
U.S. RMBS			17						39						973						1,029						2,006
Other structured finance			—						35						72						107						6,160
Structured finance			17						74						1,045						1,136						8,166
Total			$	2,471					$	198					$	3,116					$	5,785					$	227,071

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

BIG Net Par Outstanding and Number of Risks

Financial Guaranty Portfolio

BIG Net Par Outstanding and Number of Risks

As of September 30, 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						$	2,465					$	6					$	2,471					110						1						111
Category 2						187						11						198						17						2						19
Category 3						3,075						41						3,116						117						8						125
Total BIG						$	5,727					$	58					$	5,785					244						11						255

 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 September 30, 2022  

			Gross																								Net Total BIG
			BIG 1						BIG 2						BIG 3						Total BIG
			(dollars in millions)
Number of risks (1)			110						17						117						244						244
Remaining weighted-average period (in years)			11.4						8.9						8.0						9.5						9.6
Outstanding exposure:
Par			$	2,471					$	187					$	3,093					$	5,751					$	5,727
Interest			1,604						70						1,184						2,858						2,854
Total (2)			$	4,075					$	257					$	4,277					$	8,609					$	8,581
Expected cash outflows (inflows)			$	77					$	126					$	3,133					$	3,336					$	3,324
Potential recoveries (3)			(374)						(81)						(2,027)						(2,482)						(2,470)
Subtotal			(297)						45						1,106						854						854
Discount			35						(14)						(184)						(163)						(163)
Expected losses to be paid (recovered)			$	(262)					$	31					$	922					$	691					$	691
Deferred premium revenue			$	110					$	18					$	203					$	331					$	331
Reserves (salvage)			$	(294)					$	22					$	763					$	491					$	491

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 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.

Schedule of Non-Financial Guaranty Exposure

Specialty Insurance and Reinsurance Exposure

						As of September 30, 2022												As of December 31, 2021
						Gross Exposure						Net Exposure						Gross Exposure						Net Exposure
						(in millions)
Life insurance transactions (1)						$	1,301					$	969					$	1,250					$	871
Aircraft residual value insurance policies						355						200						355						200
Total						$	1,656					$	1,169					$	1,605					$	1,071

____________________

(1)    The life insurance transactions’ net exposure is projected to reach $1.1 billion by June 30, 2024.

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, 2022						December 31, 2021						September 30, 2022						December 31, 2021
			(in millions)
Exposure to Puerto Rico			$	2,088					$	3,629					$	2,944					$	5,322

Schedule of Geographic Exposure of Net Par Outstanding

Puerto Rico

Net Par Outstanding

			As of
			September 30, 2022						December 31, 2021
			(in millions)
Puerto Rico Exposures Subject to a Plan or Support Agreement
Commonwealth of Puerto Rico - GO (1)			$	25					$	1,097
PBA (1)			4						122
Total GO/PBA Plan			29						1,219
PRHTA (Transportation revenue)			771						799
PRHTA (Highway revenue)			418						457
PRCCDA (2)			—						152
Total HTA PSA			1,189						1,408
PRIFA (2)			—						16
Total Subject to a Plan or Support Agreement			1,218						2,643
Other Puerto Rico Exposures
PREPA			720						748
MFA (3)			131						179
PRASA and U of PR (3)			2						2
Total Other Puerto Rico Exposures			853						929
Total net exposure to Puerto Rico			$	2,071					$	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 September 30, 2022

			Scheduled Net Par Amortization						Scheduled Net Debt Service Amortization
			(in millions)
2022 (October 1 - December 31)			$	—					$	3
2023 (January 1 - March 31)			—						49
2023 (April 1 - June 30)			—						2
2023 (July 1 - September 30)			181						230
2023 (October 1 - December 31)			—						3
Subtotal 2023			181						284
2024			149						243
2025			151						237
2026			170						249
2027-2031			637						934
2032-2036			577						732
2037-2041			201						237
2042			5						5
Total			$	2,071					$	2,924

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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 https://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 https://asc.fasb.org/extlink&oid=99382878&loc=SL5749324-161292

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