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v3.23.1

Outstanding Exposure (Tables) | 3 Months Ended
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Mar. 31, 2023
Outstanding Exposure Disclosure [Abstract] |
Debt Service Outstanding | Financial Guaranty Portfolio Debt Service and Par Outstanding
| As of March 31, 2023 |  | As of December 31, 2022
| Gross |  | Net |  | Gross |  | Net
| (in millions)
Debt Service |  |  |  |  |  |  |
Public finance | $ | 363,914 |  |  | $ | 363,717 |  |  | $ | 359,899 |  |  | $ | 359,703 |
Structured finance | 10,784 |  |  | 10,758 |  |  | 10,273 |  |  | 10,248 |
Total financial guaranty | $ | 374,698 |  |  | $ | 374,475 |  |  | $ | 370,172 |  |  | $ | 369,951 |
Par Outstanding |  |  |  |  |  |  |
Public finance | $ | 226,902 |  |  | $ | 226,746 |  |  | $ | 224,254 |  |  | $ | 224,099 |
Structured finance | 9,663 |  |  | 9,637 |  |  | 9,184 |  |  | 9,159 |
Total financial guaranty | $ | 236,565 |  |  | $ | 236,383 |  |  | $ | 233,438 |  |  | $ | 233,258 |
Financial Guaranty Portfolio by Internal Rating | Financial Guaranty Portfolio by Internal Rating As of March 31, 2023
|  | 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 |  | $ | 220 |  |  | 0.1 | % |  | $ | 2,000 |  |  | 4.4 | % |  | $ | 908 |  |  | 10.5 | % |  | $ | 472 |  |  | 48.3 | % |  | $ | 3,600 |  |  | 1.5 | %
AA |  | 16,239 |  |  | 9.0 |  |  | 3,535 |  |  | 7.6 |  |  | 4,605 |  |  | 53.1 |  |  | 12 |  |  | 1.2 |  |  | 24,391 |  |  | 10.3 |
A |  | 97,909 |  |  | 54.1 |  |  | 10,460 |  |  | 22.8 |  |  | 1,567 |  |  | 18.1 |  |  | 385 |  |  | 39.4 |  |  | 110,321 |  |  | 46.7 |
BBB |  | 62,665 |  |  | 34.7 |  |  | 28,924 |  |  | 63.0 |  |  | 492 |  |  | 5.7 |  |  | 108 |  |  | 11.1 |  |  | 92,189 |  |  | 39.0 |
BIG |  | 3,804 |  |  | 2.1 |  |  | 990 |  |  | 2.2 |  |  | 1,088 |  |  | 12.6 |  |  | — |  |  | — |  |  | 5,882 |  |  | 2.5 |
Total net par outstanding |  | $ | 180,837 |  |  | 100.0 | % |  | $ | 45,909 |  |  | 100.0 | % |  | $ | 8,660 |  |  | 100.0 | % |  | $ | 977 |  |  | 100.0 | % |  | $ | 236,383 |  |  | 100.0 | %
Financial Guaranty Portfolio by Internal Rating As of December 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 |  | $ | 222 |  |  | 0.1 | % |  | $ | 1,967 |  |  | 4.4 | % |  | $ | 926 |  |  | 11.2 | % |  | $ | 469 |  |  | 50.4 | % |  | $ | 3,584 |  |  | 1.5 | %
AA |  | 16,241 |  |  | 9.1 |  |  | 3,497 |  |  | 7.9 |  |  | 4,633 |  |  | 56.3 |  |  | 12 |  |  | 1.3 |  |  | 24,383 |  |  | 10.5 |
A |  | 96,807 |  |  | 53.9 |  |  | 9,271 |  |  | 20.9 |  |  | 1,075 |  |  | 13.1 |  |  | 340 |  |  | 36.5 |  |  | 107,493 |  |  | 46.1 |
BBB |  | 62,570 |  |  | 34.8 |  |  | 28,747 |  |  | 64.6 |  |  | 479 |  |  | 5.8 |  |  | 110 |  |  | 11.8 |  |  | 91,906 |  |  | 39.4 |
BIG |  | 3,796 |  |  | 2.1 |  |  | 981 |  |  | 2.2 |  |  | 1,115 |  |  | 13.6 |  |  | — |  |  | — |  |  | 5,892 |  |  | 2.5 |
Total net par outstanding |  | $ | 179,636 |  |  | 100.0 | % |  | $ | 44,463 |  |  | 100.0 | % |  | $ | 8,228 |  |  | 100.0 | % |  | $ | 931 |  |  | 100.0 | % |  | $ | 233,258 |  |  | 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, 2023
| BIG Net Par Outstanding |  | Net Par
| BIG 1 |  | BIG 2 |  | BIG 3 |  | Total BIG |  | Outstanding
|  |  |  |  | (in millions) |  |  |  |
Public finance: |  |  |  |  |  |  |  |  |
U.S. public finance | $ | 2,374 |  |  | $ | 109 |  |  | $ | 1,321 |  |  | $ | 3,804 |  |  | $ | 180,837 |
Non-U.S. public finance | 990 |  |  | — |  |  | — |  |  | 990 |  |  | 45,909 |
Public finance | 3,364 |  |  | 109 |  |  | 1,321 |  |  | 4,794 |  |  | 226,746 |
Structured finance: |  |  |  |  |  |  |  |  |
U.S. RMBS | 12 |  |  | 39 |  |  | 937 |  |  | 988 |  |  | 1,910 |
Other structured finance | — |  |  | 32 |  |  | 68 |  |  | 100 |  |  | 7,727 |
Structured finance | 12 |  |  | 71 |  |  | 1,005 |  |  | 1,088 |  |  | 9,637 |
Total | $ | 3,376 |  |  | $ | 180 |  |  | $ | 2,326 |  |  | $ | 5,882 |  |  | $ | 236,383 |
Financial Guaranty Portfolio Components of BIG Net Par Outstanding As of December 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 | $ | 2,364 |  |  | $ | 108 |  |  | $ | 1,324 |  |  | $ | 3,796 |  |  | $ | 179,636 |
Non-U.S. public finance | 981 |  |  | — |  |  | — |  |  | 981 |  |  | 44,463 |
Public finance | 3,345 |  |  | 108 |  |  | 1,324 |  |  | 4,777 |  |  | 224,099 |
Structured finance: |  |  |  |  |  |  |  |  |
U.S. RMBS | 18 |  |  | 39 |  |  | 953 |  |  | 1,010 |  |  | 1,956 |
Other structured finance | — |  |  | 34 |  |  | 71 |  |  | 105 |  |  | 7,203 |
Structured finance | 18 |  |  | 73 |  |  | 1,024 |  |  | 1,115 |  |  | 9,159 |
Total | $ | 3,363 |  |  | $ | 181 |  |  | $ | 2,348 |  |  | $ | 5,892 |  |  | $ | 233,258 |
BIG Net Par Outstanding and Number of Risks | Financial Guaranty Portfolio BIG Net Par Outstanding and Number of Risks As of March 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: |  |  |  |  |  |  |  |  |  |  |  |
Category 1 |  | $ | 3,370 |  |  | $ | 6 |  |  | $ | 3,376 |  |  | 117 |  |  | 1 |  |  | 118 |
Category 2 |  | 170 |  |  | 10 |  |  | 180 |  |  | 15 |  |  | 2 |  |  | 17 |
Category 3 |  | 2,286 |  |  | 40 |  |  | 2,326 |  |  | 109 |  |  | 8 |  |  | 117 |
Total BIG |  | $ | 5,826 |  |  | $ | 56 |  |  | $ | 5,882 |  |  | 241 |  |  | 11 |  |  | 252 |
Financial Guaranty Portfolio BIG Net Par Outstanding and Number of Risks As of December 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 |  | $ | 3,357 |  |  | $ | 6 |  |  | $ | 3,363 |  |  | 122 |  |  | 1 |  |  | 123 |
Category 2 |  | 171 |  |  | 10 |  |  | 181 |  |  | 14 |  |  | 2 |  |  | 16 |
Category 3 |  | 2,307 |  |  | 41 |  |  | 2,348 |  |  | 111 |  |  | 10 |  |  | 121 |
Total BIG |  | $ | 5,835 |  |  | $ | 57 |  |  | $ | 5,892 |  |  | 247 |  |  | 13 |  |  | 260 |
_____________________ (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 insured general obligation bonds of Puerto Rico and various obligations of its related authorities and public corporations. 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, 2023
| Scheduled Net Par Amortization |  | Scheduled Net Debt Service Amortization
| (in millions)
2023 (April 1 - June 30) | $ | — |  |  | $ | 3 |
2023 (July 1 - September 30) | 124 |  |  | 154 |
2023 (October 1 - December 31) | — |  |  | 3 |
Subtotal 2023 | 124 |  |  | 160 |
2024 | 110 |  |  | 170 |
2025 | 94 |  |  | 148 |
2026 | 149 |  |  | 200 |
2027 | 124 |  |  | 168 |
2028-2032 | 378 |  |  | 528 |
2033-2037 | 240 |  |  | 311 |
2038-2041 | 132 |  |  | 150 |
Total | $ | 1,351 |  |  | $ | 1,835 |
The following tables provide information on financial guaranty insurance contracts categorized as BIG. Financial Guaranty Insurance BIG Transaction Loss Summary As of March 31, 2023
| Gross |  | Net Total BIG
| BIG 1 |  | BIG 2 |  | BIG 3 |  | Total BIG |
| (dollars in millions)
Number of risks (1) | 117 |  |  | 15 |  |  | 109 |  |  | 241 |  |  | 241 |
Remaining weighted-average period (in years) | 11.2 |  | 8.5 |  | 7.4 |  | 9.7 |  | 9.7
Outstanding exposure: |  |  |  |  |  |  |  |  |
Par | $ | 3,376 |  |  | $ | 170 |  |  | $ | 2,296 |  |  | $ | 5,842 |  |  | $ | 5,826 |
Interest | 2,172 |  |  | 77 |  |  | 872 |  |  | 3,121 |  |  | 3,117 |
Total (2) | $ | 5,548 |  |  | $ | 247 |  |  | $ | 3,168 |  |  | $ | 8,963 |  |  | $ | 8,943 |
Expected cash outflows (inflows) | $ | 263 |  |  | $ | 122 |  |  | $ | 1,704 |  |  | $ | 2,089 |  |  | $ | 2,077 |
Potential recoveries (3) | (412) |  |  | (79) |  |  | (1,330) |  |  | (1,821) |  |  | (1,809) |
Subtotal | (149) |  |  | 43 |  |  | 374 |  |  | 268 |  |  | 268 |
Discount | 40 |  |  | (12) |  |  | (94) |  |  | (66) |  |  | (66) |
Expected losses to be paid (recovered) | $ | (109) |  |  | $ | 31 |  |  | $ | 280 |  |  | $ | 202 |  |  | $ | 202 |
Deferred premium revenue | $ | 165 |  |  | $ | 15 |  |  | $ | 155 |  |  | $ | 335 |  |  | $ | 335 |
Reserves (salvage) | $ | (158) |  |  | $ | 23 |  |  | $ | 164 |  |  | $ | 29 |  |  | $ | 29 |
Financial Guaranty Insurance BIG Transaction Loss Summary As of December 31, 2022
| Gross |  | Net Total BIG
| BIG 1 |  | BIG 2 |  | BIG 3 |  | Total BIG |
| (dollars in millions)
Number of risks (1) | 122 |  |  | 14 |  |  | 111 |  |  | 247 |  |  | 247 |
Remaining weighted-average period (in years) | 11.3 |  | 8.7 |  | 7.6 |  | 9.8 |  | 9.8
Outstanding exposure: |  |  |  |  |  |  |  |  |
Par | $ | 3,363 |  |  | $ | 171 |  |  | $ | 2,318 |  |  | $ | 5,852 |  |  | $ | 5,835 |
Interest | 2,177 |  |  | 77 |  |  | 894 |  |  | 3,148 |  |  | 3,144 |
Total (2) | $ | 5,540 |  |  | $ | 248 |  |  | $ | 3,212 |  |  | $ | 9,000 |  |  | $ | 8,979 |
Expected cash outflows (inflows) | $ | 128 |  |  | $ | 121 |  |  | $ | 1,771 |  |  | $ | 2,020 |  |  | $ | 2,008 |
Potential recoveries (3) | (294) |  |  | (79) |  |  | (1,364) |  |  | (1,737) |  |  | (1,725) |
Subtotal | (166) |  |  | 42 |  |  | 407 |  |  | 283 |  |  | 283 |
Discount | 35 |  |  | (13) |  |  | (104) |  |  | (82) |  |  | (82) |
Expected losses to be paid (recovered) | $ | (131) |  |  | $ | 29 |  |  | $ | 303 |  |  | $ | 201 |  |  | $ | 201 |
Deferred premium revenue | $ | 170 |  |  | $ | 15 |  |  | $ | 160 |  |  | $ | 345 |  |  | $ | 345 |
Reserves (salvage) | $ | (174) |  |  | $ | 21 |  |  | $ | 186 |  |  | $ | 33 |  |  | $ | 33 |
____________________ (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.
Gross Par and Gross Debt Service 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
| March 31, 2023 |  | December 31, 2022 |  | March 31, 2023 |  | December 31, 2022
| (in millions)
Exposure to Puerto Rico | $ | 1,367 |  |  | $ | 1,378 |  |  | $ | 1,855 |  |  | $ | 1,899 |
Schedule of Geographic Exposure of Net Par Outstanding | Puerto Rico Net Par Outstanding
| As of
| March 31, 2023 |  | December 31, 2022
| (in millions)
Defaulted Puerto Rico Exposures |  |  |
PREPA | $ | 720 |  |  | $ | 720 |
Total Defaulted | 720 |  |  | 720 |
Resolved Puerto Rico Exposures |  |  |
PRHTA (Transportation revenue) (1) | 295 |  |  | 298 |
PRHTA (Highway revenue) (1) | 182 |  |  | 182 |
Commonwealth of Puerto Rico - GO (1) | 25 |  |  | 25 |
PBA (1) | 4 |  |  | 4 |
Total Resolved | 506 |  |  | 509 |
Other Puerto Rico Exposures |  |  |
MFA (2) | 124 |  |  | 131 |
PRASA and U of PR (2) | 1 |  |  | 1 |
Total Other | 125 |  |  | 132 |
Total net exposure to Puerto Rico | $ | 1,351 |  |  | $ | 1,361 |
____________________ (1) Resolved in pursuant to the 2022 Puerto Rico Resolutions. (2) All debt service on these insured exposures have been paid to date without any insurance claim being made on the Company.
Schedule of Non-Financial Guaranty Exposure | Specialty Insurance, Reinsurance and Guaranties
|  | As of March 31, 2023 |  | As of December 31, 2022
|  | Gross Exposure |  | Net Exposure |  | Gross Exposure |  | Net Exposure
|  | (in millions)
Life insurance transactions (1) |  | $ | 1,302 |  |  | $ | 974 |  |  | $ | 1,314 |  |  | $ | 986 |
Aircraft residual value insurance policies |  | 355 |  |  | 200 |  |  | 355 |  |  | 200 |
Other guaranties |  | 1,626 |  |  | 1,626 |  |  | 228 |  |  | 228 |
____________________ (1) The life insurance transactions net exposure is projected to reach $1.1 billion in 2025.

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- Definition Tabular disclosure of the outstanding amounts of the insured contractual payments (principal and interest) outstanding on the underlying the entity's financial guaranty contracts, prior to and net of cessions + References No definition available. + Details
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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 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 + Details
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