XML 42 R31.htm IDEA: XBRL DOCUMENT v3.23.2
Contracts Accounted for as Insurance (Tables)
 6 Months Ended
Jun. 30, 2023
Insurance [Abstract]  
Net Earned Premiums
Net Earned Premiums
 Second QuarterSix Months
 2023202220232022
 (in millions)
Financial guaranty insurance:
Scheduled net earned premiums$70 $70 $139 $149 
Accelerations from refundings and terminations (1)8 5 12 133 
Accretion of discount on net premiums receivable6 6 13 12 
Financial guaranty insurance net earned premiums84 81 164 294 
Specialty net earned premiums1 1 2 2 
  Net earned premiums$85 $82 $166 $296 
____________________
(1)    Six months 2022 accelerations included $104 million related to PRCCDA, PRIFA and GO/PBA exposures. See Note 3, Outstanding Exposure.
Gross Premium Receivable, Net of Commissions on Assumed Business Roll Forward
Gross Premium Receivable,
Net of Commissions Payable on Assumed Business
Roll Forward 
 Six Months
 20232022
 (in millions)
Beginning of year$1,298 $1,372 
Less: Specialty insurance premium receivable1 1 
Financial guaranty insurance premiums receivable1,297 1,371 
Gross written premiums on new business, net of commissions171 137 
Gross premiums received, net of commissions (120)(180)
Adjustments:
Changes in the expected term and debt service assumptions9 (4)
Accretion of discount, net of commissions on assumed business13 12 
Foreign exchange gain (loss) on remeasurement46 (102)
Financial guaranty insurance premium receivable (1)1,416 1,234 
Specialty insurance premium receivable1 1 
June 30,$1,417 $1,235 
Financial Guaranty Insurance
Expected Future Premium Collections and Earnings
 As of June 30, 2023
Future Gross Premiums
to be Collected (1)		Future Net Premiums
to be Earned (2)
 (in millions)
2023 (July 1 - September 30)$51 $73 
2023 (October 1 - December 31)30 72 
Subtotal 202381 145 
2024121 276 
2025104 258 
2026101 241 
202797 227 
2028-2032404 947 
2033-2037270 633 
2038-2042187 386 
After 2042374 536 
Total$1,739 3,649 
Future accretion323 
Total future net earned premiums$3,972 
____________________
(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
 June 30, 2023December 31, 2022
 (dollars in millions)
Premiums receivable, net of commissions payable$1,416$1,297
Deferred premium revenue1,7211,663
Weighted-average risk-free rate used to discount premiums1.9%1.8%
Weighted-average period of premiums receivable (in years)12.412.9
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
SectorJune 30, 2023December 31, 2022
 (in millions)
Public finance:
U.S. public finance$105 $71 
Non-U.S. public finance 1 1 
Public finance106 72 
Structured finance:
U.S. RMBS(67)(77)
Other structured finance41 42 
Structured finance(26)(35)
Total$80 $37 
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 June 30, 2023
 (in millions)
Net expected loss to be paid (recovered) - financial guaranty insurance $259 
Contra-paid, net 22 
Salvage and subrogation recoverable, net266 
Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance(343)
Net expected loss to be expensed (present value)$204 
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 June 30, 2023
 (in millions)
2023 (July 1 - September 30)$4 
2023 (October 1 - December 31)3 
Subtotal 20237 
202414 
202513 
202617 
202715 
2028-203261 
2033-203750 
2038-204213 
After 204214 
Net expected loss to be expensed204 
Future accretion30 
Total expected future loss and LAE$234 
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. Amounts presented are net of reinsurance.

Loss and LAE (Benefit) by Sector
  
 Second QuarterSix Months
Sector2023202220232022
(in millions)
Public finance:
U.S. public finance$56 $11 $52 $66 
Non-U.S. public finance— — — — 
Public finance56 11 52 66 
Structured finance:
U.S. RMBS(2)(22)$4 $(19)
Other structured finance1 — 3 (1)
Structured finance(1)(22)7 (20)
Loss and LAE (benefit)$55 $(11)$59 $46 
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)
DescriptionFinancial
Guaranty
Insurance (1)		Credit
Derivatives		TotalFinancial
Guaranty
Insurance (1)		Credit
Derivatives		Total
 (dollars in millions)
BIG 1$2,320 $6 $2,326 107 1 108 
BIG 2989 10 999 16 2 18 
BIG 32,269 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)
DescriptionFinancial
Guaranty
Insurance (1)		Credit
Derivatives		TotalFinancial
Guaranty
Insurance (1)		Credit
Derivatives		Total
 (dollars in millions)
BIG 1$3,357 $6 $3,363 122 1 123 
BIG 2171 10 181 14 2 16 
BIG 32,307 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 AmortizationScheduled Net Debt Service Amortization
(in millions)
2023 (July 1 - September 30)$124 $154 
2023 (October 1 - December 31)— 3 
Subtotal 2023124 157 
2024110 170 
202594 149 
2026149 200 
2027124 168 
2028-2032378 528 
2033-2037240 309 
2038-2041130 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  
 GrossNet Total BIG
 BIG 1BIG 2BIG 3Total BIG
(dollars in millions)
Number of risks (1)107 16 109 232 232 
Remaining weighted-average period (in years)9.216.37.29.69.7
Outstanding exposure:    
Par$2,326 $989 $2,280 $5,595 $5,578 
Interest1,191 923 872 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 $1,982 
Potential recoveries (3)(296)(79)(1,329)(1,704)(1,693)
Subtotal(186)103 373 290 289 
Discount49 (23)(56)(30)(30)
Expected losses to be paid (recovered)$(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 
 GrossNet Total BIG
 BIG 1BIG 2BIG 3Total BIG
(dollars in millions)
Number of risks (1)122 14 111 247 247 
Remaining weighted-average period (in years)11.38.77.69.89.8
Outstanding exposure: 
Par$3,363 $171 $2,318 $5,852 $5,835 
Interest2,177 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 $2,008 
Potential recoveries (3)(294)(79)(1,364)(1,737)(1,725)
Subtotal(166)42 407 283 283 
Discount35 (13)(104)(82)(82)
Expected losses to be paid (recovered)$(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.