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Outstanding Exposure (Tables)

6 Months Ended

Jun. 30, 2024

Outstanding Exposure Disclosure [Abstract]

Debt Service Outstanding

Financial Guaranty Portfolio

Debt Service and Par Outstanding

			As of June 30, 2024												As of December 31, 2023
			Gross						Net						Gross						Net
			(in millions)
Debt Service
Public finance			$	393,346					$	393,272					$	386,494					$	386,419
Structured finance			11,839						11,413						11,543						11,217
Total financial guaranty			$	405,185					$	404,685					$	398,037					$	397,636
Par Outstanding
Public finance			$	244,232					$	244,176					$	239,352					$	239,296
Structured finance			10,646						10,220						10,183						9,857
Total financial guaranty			$	254,878					$	254,396					$	249,535					$	249,153

Financial Guaranty Portfolio by Internal Rating

Financial Guaranty Portfolio by Internal Rating

As of June 30, 2024

						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						$	27					—		%				$	2,066					4.2		%				$	682					7.8		%				$	445					30.5		%				$	3,220					1.2		%
AA						18,100						9.3						3,164						6.3						5,623						64.2						74						5.0						26,961						10.6
A						106,415						54.7						13,437						27.1						902						10.3						853						58.4						121,607						47.8
BBB						66,561						34.2						29,831						60.2						625						7.1						89						6.1						97,106						38.2
BIG						3,490						1.8						1,085						2.2						927						10.6						—						—						5,502						2.2
Total net par outstanding						$	194,593					100.0		%				$	49,583					100.0		%				$	8,759					100.0		%				$	1,461					100.0		%				$	254,396					100.0		%

Financial Guaranty Portfolio by Internal Rating

As of December 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						$	110					0.1		%				$	2,062					4.2		%				$	867					10.0		%				$	465					38.0		%				$	3,504					1.4		%
AA						17,883						9.4						3,379						6.9						4,517						52.3						89						7.3						25,868						10.4
A						102,945						54.1						12,968						26.5						1,639						19.0						571						46.6						118,123						47.4
BBB						66,080						34.7						29,467						60.1						574						6.7						100						8.1						96,221						38.6
BIG						3,271						1.7						1,131						2.3						1,035						12.0						—						—						5,437						2.2
Total net par outstanding						$	190,289					100.0		%				$	49,007					100.0		%				$	8,632					100.0		%				$	1,225					100.0		%				$	249,153					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, 2024

			BIG Net Par Outstanding																								Net Par
			BIG 1						BIG 2						BIG 3						Total BIG						Outstanding
															(in millions)
Public finance:
U.S. public finance			$	1,594					$	952					$	944					$	3,490					194,593
Non-U.S. public finance			560						525						—						1,085						49,583
Public finance			2,154						1,477						944						4,575						244,176
Structured finance:
U.S. RMBS			16						29						800						845						1,585
Other structured finance			—						23						59						82						8,635
Structured finance			16						52						859						927						10,220
Total			$	2,170					$	1,529					$	1,803					$	5,502					$	254,396

Financial Guaranty Portfolio

Components of BIG Net Par Outstanding

As of December 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			$	1,257					$	926					$	1,088					$	3,271					$	190,289
Non-U.S. public finance			1,131						—						—						1,131						49,007
Public finance			2,388						926						1,088						4,402						239,296
Structured finance:
U.S. RMBS			22						36						883						941						1,774
Other structured finance			—						27						67						94						8,083
Structured finance			22						63						950						1,035						9,857
Total			$	2,410					$	989					$	2,038					$	5,437					$	249,153

BIG Net Par Outstanding and Number of Risks

Financial Guaranty Portfolio

BIG Net Par Outstanding and Number of Risks

As of June 30, 2024

						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						$	2,159					$	11					$	2,170					90						1						91
BIG 2						1,526						3						1,529						14						1						15
BIG 3						1,783						20						1,803						108						5						113
Total BIG						$	5,468					$	34					$	5,502					212						7						219

 Financial Guaranty Portfolio

BIG Net Par Outstanding and Number of Risks

As of December 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 1						$	2,394					$	16					$	2,410					95						2						97
BIG 2						979						10						989						13						2						15
BIG 3						2,010						28						2,038						109						7						116
Total BIG						$	5,383					$	54					$	5,437					217						11						228

_____________________

(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 obligations of the Puerto Rico authorities and public corporations that the Company insures. 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, 2024

			Scheduled Net Par Amortization						Scheduled Net Debt Service Amortization
			(in millions)
2024 (July 1 - September 30)			$	110					$	131
2024 (October 1 - December 31)			—						3
Subtotal 2024			110						134
2025			84						124
2026			140						177
2027			120						151
2028			81						106
2029-2033			197						282
2034-2038			132						170
2039-2041			97						106
Total			$	961					$	1,250

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

Financial Guaranty Insurance

BIG Transaction Loss Summary

As of June 30, 2024  

			Gross																								Net Total BIG
			BIG 1						BIG 2						BIG 3						Total BIG
			(dollars in millions)
Number of risks (1)			90						14						108						212						212
Remaining weighted-average period (in years)			11.1						13.0						6.7						10.2						10.3
Outstanding exposure:
Par			$	2,165					$	1,526					$	1,792					$	5,483					$	5,468
Interest			1,146						1,201						639						2,986						2,983
Total (2)			$	3,311					$	2,727					$	2,431					$	8,469					$	8,451
Expected cash outflows (inflows)			$	101					$	410					$	1,470					$	1,981					$	1,971
Potential recoveries (3)			(275)						(336)						(1,241)						(1,852)						(1,842)
Subtotal			(174)						74						229						129						129
Discount			38						42						(9)						71						71
Expected losses to be paid (recovered)			$	(136)					$	116					$	220					$	200					$	200
Deferred premium revenue			$	65					$	98					$	130					$	293					$	293
Reserves (salvage)			$	(172)					$	48					$	120					$	(4)					$	(4)

Financial Guaranty Insurance

BIG Transaction Loss Summary

As of December 31, 2023 

			Gross																								Net Total BIG
			BIG 1						BIG 2						BIG 3						Total BIG
			(dollars in millions)
Number of risks (1)			95						13						109						217						217
Remaining weighted-average period (in years)			9.6						15.9						7.5						9.9						10.0
Outstanding exposure:
Par			$	2,400					$	979					$	2,019					$	5,398					$	5,383
Interest			1,126						896						818						2,840						2,836
Total (2)			$	3,526					$	1,875					$	2,837					$	8,238					$	8,219
Expected cash outflows (inflows)			$	176					$	187					$	1,585					$	1,948					$	1,938
Potential recoveries (3)			(376)						(78)						(1,214)						(1,668)						(1,659)
Subtotal			(200)						109						371						280						279
Discount			56						(22)						(53)						(19)						(19)
Expected losses to be paid (recovered)			$	(144)					$	87					$	318					$	261					$	260
Deferred premium revenue			$	100					$	63					$	142					$	305					$	305
Reserves (salvage)			$	(181)					$	45					$	209					$	73					$	72

____________________

(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

The following tables show the Company’s insured exposure to various authorities and public corporations of Puerto Rico.

Puerto Rico

Gross Par and Gross Debt Service Outstanding

			Gross Par Outstanding												Gross Debt Service Outstanding
			As of												As of
			June 30, 2024						December 31, 2023						June 30, 2024						December 31, 2023
			(in millions)
Exposure to Puerto Rico			$	976					$	1,120					$	1,268					$	1,526

Schedule of Geographic Exposure of Net Par Outstanding

Puerto Rico

Net Par Outstanding

			As of
			June 30, 2024						December 31, 2023
			(in millions)
Defaulted Puerto Rico Exposures
PREPA			$	624					$	624
Total Defaulted			624						624
Resolved Puerto Rico Exposures (1)
Puerto Rico Highways and Transportation Authority (PRHTA) (Transportation revenue)			204						244
PRHTA (Highway revenue)			24						128
Total Resolved			228						372
Non-Defaulting Puerto Rico Exposures (2)
Municipal Finance Agency (MFA)			108						108
Puerto Rico Aqueduct and Sewer Authority (PRASA) and University of Puerto Rico (U of PR)			1						1
Total Non-Defaulting			109						109
Total net exposure to Puerto Rico			$	961					$	1,105

____________________

(1)    Resolved pursuant to the 2022 Puerto Rico Resolutions (as defined below). All of the Toll Bonds (as defined below) received from the PRHTA under the 2022 Puerto Rico Resolutions for the insured PRHTA bonds have been sold or redeemed; therefore, the remaining amounts owed for the insured PRHTA bonds are payable in full by the Company’s insurance subsidiaries under their financial guaranty policies and are no longer dependent on the credit of the PRHTA. See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles.

(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 Business

						As of June 30, 2024												As of December 31, 2023
						Gross Exposure						Net Exposure						Gross Exposure						Net Exposure
						(in millions)
Insurance securitizations (1)						$	1,430					$	1,099					$	1,370					$	1,043
Diversified real estate (2)						1,498						1,498						1,569						1,569
Pooled corporate obligations						796						796						488						488
Aircraft residual value insurance						308						177						355						200

____________________

(1)    Insurance securitizations exposure is projected to reach $1.6 billion gross in 2026 and $1.3 billion net in 2027.

(2)    Excess-of-loss guaranty of a minimum amount of billed rent on a diversified portfolio of real estate properties with an internal rating of AA that matures in 2042. This guaranty is accounted for in accordance with Accounting Standards Codification (ASC) 460, Guarantees.

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Tabular disclosure of the claim liability for financial guarantee insurance contracts.

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Reference 1: http://www.xbrl.org/2003/role/exampleRef
-Topic 944
-SubTopic 40
-Name Accounting Standards Codification
-Section 55
-Paragraph 34
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147480046/944-40-55-34

Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef
-Topic 944
-SubTopic 40
-Name Accounting Standards Codification
-Section 50
-Paragraph 9
-Subparagraph (a)(3)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147480081/944-40-50-9

Reference 3: http://www.xbrl.org/2009/role/commonPracticeRef
-Topic 944
-SubTopic 40
-Name Accounting Standards Codification
-Section 50
-Paragraph 9
-Subparagraph (a)(5)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147480081/944-40-50-9

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