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Outstanding Exposure (Tables)

6 Months Ended

Jun. 30, 2023

Outstanding Exposure Disclosure [Abstract]

Debt Service Outstanding

Financial Guaranty Portfolio

Debt Service and Par Outstanding

			As of June 30, 2023												As of December 31, 2022
			Gross						Net						Gross						Net
			(in millions)
Debt Service
Public finance			$	375,955					$	375,751					$	359,899					$	359,703
Structured finance			11,190						11,165						10,273						10,248
Total financial guaranty			$	387,145					$	386,916					$	370,172					$	369,951
Par Outstanding
Public finance			$	234,136					$	233,981					$	224,254					$	224,099
Structured finance			10,057						10,032						9,184						9,159
Total financial guaranty			$	244,193					$	244,013					$	233,438					$	233,258

Financial Guaranty Portfolio by Internal Rating

Financial Guaranty Portfolio by Internal Rating

As of June 30, 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						$	212					0.1		%				$	2,038					4.3		%				$	884					10.0		%				$	474					39.3		%				$	3,608					1.5		%
AA						17,452						9.4						3,442						7.2						4,580						51.9						12						1.0						25,486						10.5
A						100,267						53.8						11,005						23.1						1,684						19.1						613						50.9						113,569						46.5
BBB						64,852						34.8						30,147						63.2						611						6.9						106						8.8						95,716						39.2
BIG						3,540						1.9						1,026						2.2						1,068						12.1						—						—						5,634						2.3
Total net par outstanding						$	186,323					100.0		%				$	47,658					100.0		%				$	8,827					100.0		%				$	1,205					100.0		%				$	244,013					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 June 30, 2023

			BIG Net Par Outstanding																								Net Par
			BIG 1						BIG 2						BIG 3						Total BIG						Outstanding
															(in millions)
Public finance:
U.S. public finance			$	1,289					$	931					$	1,320					$	3,540					$	186,323
Non-U.S. public finance			1,026						—						—						1,026						47,658
Public finance			2,315						931						1,320						4,566						233,981
Structured finance:
U.S. RMBS			11						37						922						970						1,863
Other structured finance			—						31						67						98						8,169
Structured finance			11						68						989						1,068						10,032
Total			$	2,326					$	999					$	2,309					$	5,634					$	244,013

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 June 30, 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						$	2,320					$	6					$	2,326					107						1						108
BIG 2						989						10						999						16						2						18
BIG 3						2,269						40						2,309						109						8						117
Total BIG						$	5,578					$	56					$	5,634					232						11						243

 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 1						$	3,357					$	6					$	3,363					122						1						123
BIG 2						171						10						181						14						2						16
BIG 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 June 30, 2023

			Scheduled Net Par Amortization						Scheduled Net Debt Service Amortization
			(in millions)
2023 (July 1 - September 30)			$	124					$	154
2023 (October 1 - December 31)			—						3
Subtotal 2023			124						157
2024			110						170
2025			94						149
2026			149						200
2027			124						168
2028-2032			378						528
2033-2037			240						309
2038-2041			130						148
Total			$	1,349					$	1,829

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

Financial Guaranty Insurance

BIG Transaction Loss Summary

As of June 30, 2023  

			Gross																								Net Total BIG
			BIG 1						BIG 2						BIG 3						Total BIG
			(dollars in millions)
Number of risks (1)			107						16						109						232						232
Remaining weighted-average period (in years)			9.2						16.3						7.2						9.6						9.7
Outstanding exposure:
Par			$	2,326					$	989					$	2,280					$	5,595					$	5,578
Interest			1,191						923						872						2,986						2,983
Total (2)			$	3,517					$	1,912					$	3,152					$	8,581					$	8,561
Expected cash outflows (inflows)			$	110					$	182					$	1,702					$	1,994					$	1,982
Potential recoveries (3)			(296)						(79)						(1,329)						(1,704)						(1,693)
Subtotal			(186)						103						373						290						289
Discount			49						(23)						(56)						(30)						(30)
Expected losses to be paid (recovered)			$	(137)					$	80					$	317					$	260					$	259
Deferred premium revenue			$	106					$	65					$	151					$	322					$	322
Reserves (salvage)			$	(163)					$	39					$	202					$	78					$	77

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
			June 30, 2023						December 31, 2022						June 30, 2023						December 31, 2022
			(in millions)
Exposure to Puerto Rico			$	1,365					$	1,378					$	1,849					$	1,899

Schedule of Geographic Exposure of Net Par Outstanding

Puerto Rico

Net Par Outstanding

			As of
			June 30, 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)			293						298
PRHTA (Highway revenue) (1)			182						182
Commonwealth of Puerto Rico - GO (1)			25						25
PBA (1)			4						4
Total Resolved			504						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			$	1,349					$	1,361

____________________

(1)    Resolved 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 June 30, 2023												As of December 31, 2022
						Gross Exposure						Net Exposure						Gross Exposure						Net Exposure
						(in millions)
Life insurance transactions (1)						$	1,326					$	992					$	1,314					$	986
Aircraft residual value insurance policies						355						200						355						200
Other guaranties						1,643						1,643						228						228

____________________

(1)    The life insurance transactions net exposure is projected to reach $1.1 billion in 2025.

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Tabular disclosure of the outstanding principal amounts of financial obligations underlying the entity's financial guaranty contracts, net of ceded contracts, by internal credit rating.

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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

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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
-Name Accounting Standards Codification
-Topic 944
-SubTopic 40
-Section 55
-Paragraph 34
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147480046/944-40-55-34

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Name Accounting Standards Codification
-Topic 944
-SubTopic 40
-Section 50
-Paragraph 9
-Subparagraph (a)(5), (b)(1)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147480081/944-40-50-9

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