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Contracts Accounted for as Insurance (Tables) | 9 Months Ended
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Sep. 30, 2023
Insurance [Abstract] |
Net Earned Premiums | Net Earned Premiums
| Third Quarter |  | Nine Months
| 2023 |  | 2022 |  | 2023 |  | 2022
| (in millions)
Financial guaranty insurance: |  |  |  |  |  |  |
Scheduled net earned premiums | $ | 73 |  |  | $ | 70 |  |  | $ | 212 |  |  | $ | 219 |
Accelerations from refundings and terminations (1) | 14 |  |  | 12 |  |  | 26 |  |  | 145 |
Accretion of discount on net premiums receivable | 7 |  |  | 6 |  |  | 20 |  |  | 18 |
Financial guaranty insurance net earned premiums | 94 |  |  | 88 |  |  | 258 |  |  | 382 |
Specialty net earned premiums | 1 |  |  | 1 |  |  | 3 |  |  | 3 |
Net earned premiums | $ | 95 |  |  | $ | 89 |  |  | $ | 261 |  |  | $ | 385 |
____________________ (1) Nine 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
| Nine Months
| 2023 |  | 2022
| (in millions)
Beginning of year | $ | 1,298 |  |  | $ | 1,372 |
Less: Specialty insurance premium receivable | 1 |  |  | 1 |
Financial guaranty insurance premiums receivable | 1,297 |  |  | 1,371 |
Gross written premiums on new business, net of commissions | 215 |  |  | 232 |
Gross premiums received, net of commissions | (170) |  |  | (258) |
Adjustments: |  |  |
Changes in the expected term and debt service assumptions | 4 |  |  | (5) |
Accretion of discount, net of commissions on assumed business | 20 |  |  | 18 |
Foreign exchange gain (loss) on remeasurement | 9 |  |  | (181) |
Financial guaranty insurance premium receivable | 1,375 |  |  | 1,177 |
Specialty insurance premium receivable | 1 |  |  | 1 |
September 30, | $ | 1,376 |  |  | $ | 1,178 |
Financial Guaranty Insurance Expected Future Premium Collections and Earnings
| As of September 30, 2023
| Future Gross Premiums to be Collected (1) |  | Future Net Premiums to be Earned (2)
| (in millions)
2023 (October 1 - December 31) | $ | 45 |  |  | $ | 72 |
2024 | 134 |  |  | 277 |
2025 | 104 |  |  | 259 |
2026 | 100 |  |  | 243 |
2027 | 97 |  |  | 230 |
2028-2032 | 402 |  |  | 958 |
2033-2037 | 264 |  |  | 635 |
2038-2042 | 182 |  |  | 390 |
After 2042 | 360 |  |  | 537 |
Total | $ | 1,688 |  |  | 3,601 |
Future accretion |  |  | 313 |
Total future net earned premiums |  |  | $ | 3,914 |
____________________ (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
| September 30, 2023 |  | December 31, 2022
| (dollars in millions)
Premiums receivable, net of commissions payable | $ | 1,375 |  | $ | 1,297
Deferred premium revenue | 1,702 |  | 1,663
Weighted-average risk-free rate used to discount premiums | 1.9% |  | 1.8%
Weighted-average period of premiums receivable (in years) | 12.2 |  | 12.9
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
Sector |  | September 30, 2023 |  | December 31, 2022
|  | (in millions)
Public finance: |  |  |  |
U.S. public finance |  | $ | 123 |  |  | $ | 71 |
Non-U.S. public finance |  | 1 |  |  | 1 |
Public finance |  | 124 |  |  | 72 |
Structured finance: |  |  |  |
U.S. RMBS |  | (89) |  |  | (77) |
Other structured finance |  | 42 |  |  | 42 |
Structured finance |  | (47) |  |  | (35) |
Total |  | $ | 77 |  |  | $ | 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 September 30, 2023
| (in millions)
Net expected loss to be paid (recovered) - financial guaranty insurance | $ | 249 |
Contra-paid, net | 21 |
Salvage and subrogation recoverable, net | 281 |
Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance | (355) |
Net expected loss to be expensed (present value) | $ | 196 |
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 September 30, 2023
| (in millions)
2023 (October 1 - December 31) | $ | 2 |
2024 | 13 |
2025 | 12 |
2026 | 15 |
2027 | 16 |
2028-2032 | 63 |
2033-2037 | 49 |
2038-2042 | 13 |
After 2042 | 13 |
Net expected loss to be expensed | 196 |
Future accretion | 39 |
Total expected future loss and LAE | $ | 235 |
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
| Third Quarter |  | Nine Months
Sector | 2023 |  | 2022 |  | 2023 |  | 2022
| (in millions)
Public finance: |  |  |  |  |  |  |
U.S. public finance | $ | 134 |  |  | $ | 1 |  |  | $ | 186 |  |  | $ | 67 |
Non-U.S. public finance | — |  |  | — |  |  | — |  |  | — |
Public finance | 134 |  |  | 1 |  |  | 186 |  |  | 67 |
Structured finance: |  |  |  |  |  |  |
U.S. RMBS | (35) |  |  | (78) |  |  | $ | (31) |  |  | $ | (97) |
Other structured finance | 1 |  |  | 2 |  |  | 4 |  |  | 1 |
Structured finance | (34) |  |  | (76) |  |  | (27) |  |  | (96) |
Loss and LAE (benefit) | $ | 100 |  |  | $ | (75) |  |  | $ | 159 |  |  | $ | (29) |
BIG Net Par Outstanding and Number of Risks | Financial Guaranty Portfolio BIG Net Par Outstanding and Number of Risks As of September 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 |  | $ | 2,115 |  |  | $ | 16 |  |  | $ | 2,131 |  |  | 102 |  |  | 2 |  |  | 104 |
BIG 2 |  | 980 |  |  | 10 |  |  | 990 |  |  | 13 |  |  | 2 |  |  | 15 |
BIG 3 |  | 2,024 |  |  | 29 |  |  | 2,053 |  |  | 109 |  |  | 7 |  |  | 116 |
Total BIG |  | $ | 5,119 |  |  | $ | 55 |  |  | $ | 5,174 |  |  | 224 |  |  | 11 |  |  | 235 |
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 September 30, 2023
| Scheduled Net Par Amortization |  | Scheduled Net Debt Service Amortization
| (in millions)
2023 (October 1 - December 31) | $ | — |  |  | $ | 3 |
2024 (January 1 - March 31) | — |  |  | 24 |
2024 (April 1 - June 30) | — |  |  | 3 |
2024 (July 1 - September 30) | 110 |  |  | 134 |
2024 (October 1 - December 31) | — |  |  | 3 |
Subtotal 2024 | 110 |  |  | 164 |
2025 | 84 |  |  | 132 |
2026 | 140 |  |  | 185 |
2027 | 120 |  |  | 158 |
2028-2032 | 293 |  |  | 427 |
2033-2037 | 235 |  |  | 302 |
2038-2041 | 123 |  |  | 140 |
Total | $ | 1,105 |  |  | $ | 1,511 |
The following tables provide information on financial guaranty insurance contracts categorized as BIG. Financial Guaranty Insurance BIG Transaction Loss Summary As of September 30, 2023
| Gross |  | Net Total BIG
| BIG 1 |  | BIG 2 |  | BIG 3 |  | Total BIG |
| (dollars in millions)
Number of risks (1) | 102 |  |  | 13 |  |  | 109 |  |  | 224 |  |  | 224 |
Remaining weighted-average period (in years) | 9.8 |  | 16.1 |  | 7.7 |  | 10.2 |  | 10.2
Outstanding exposure: |  |  |  |  |  |  |  |  |
Par | $ | 2,121 |  |  | $ | 980 |  |  | $ | 2,033 |  |  | $ | 5,134 |  |  | $ | 5,119 |
Interest | 1,125 |  |  | 922 |  |  | 824 |  |  | 2,871 |  |  | 2,867 |
Total (2) | $ | 3,246 |  |  | $ | 1,902 |  |  | $ | 2,857 |  |  | $ | 8,005 |  |  | $ | 7,986 |
Expected cash outflows (inflows) | $ | 113 |  |  | $ | 180 |  |  | $ | 1,621 |  |  | $ | 1,914 |  |  | $ | 1,903 |
Potential recoveries (3) | (324) |  |  | (78) |  |  | (1,223) |  |  | (1,625) |  |  | (1,615) |
Subtotal | (211) |  |  | 102 |  |  | 398 |  |  | 289 |  |  | 288 |
Discount | 60 |  |  | (25) |  |  | (74) |  |  | (39) |  |  | (39) |
Expected losses to be paid (recovered) | $ | (151) |  |  | $ | 77 |  |  | $ | 324 |  |  | $ | 250 |  |  | $ | 249 |
Deferred premium revenue | $ | 96 |  |  | $ | 64 |  |  | $ | 146 |  |  | $ | 306 |  |  | $ | 306 |
Reserves (salvage) | $ | (178) |  |  | $ | 37 |  |  | $ | 215 |  |  | $ | 74 |  |  | $ | 74 |
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.

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- Definition Tabular disclosure of the selected information for financial guarantee insurance policies paid in installments, including premiums receivable, gross deferred premium revenue, weighted-average risk-free rate used to discount premiums and weighted-average period of premiums receivable. + References No definition available. + Details
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- Definition Tabular disclosure of premium receivable activity with respect to financial guarantee insurance contracts. + References No definition available. + Details
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- Definition Tabular disclosure of the expected timing of the recognition in earnings of financial guaranty insurance net deferred premium revenue and present value of net expected losses to be expensed, pre-tax. + References No definition available. + Details
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- Definition Tabular disclosure of the loss and loss adjustment expense for financial guaranty insurance contracts including in earnings, by sector. + References No definition available. + Details
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- Definition Tabular disclosure of the reserve for settling insured claims and expenses incurred in the claims settlement process, net of reinsurance, including salvage and subrogation recoverable amounts. + 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 -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 + Details
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