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Outstanding Exposure (Tables)
 12 Months Ended
Dec. 31, 2017
Schedule of Insured Financial Obligations [Line Items]  
Debt Service Outstanding
Financial Guaranty
Debt Service Outstanding

 
Gross Debt Service
Outstanding
 
Net Debt Service
Outstanding
 
December 31,
2017
 
December 31,
2016
 
December 31,
2017
 
December 31,
2016
 
(in millions)
Public finance
$
393,010

 
$
425,849

 
$
386,092

 
$
409,447

Structured finance
15,482

 
29,151

 
15,026

 
28,088

Total financial guaranty
$
408,492

 
$
455,000

 
$
401,118

 
$
437,535
Financial Guaranty Portfolio by Internal Rating
Financial Guaranty Portfolio by Internal Rating
As of December 31, 2017 

 
 
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
 
$
877

 
0.4
%
 
$
2,541

 
5.9
%
 
$
1,655

 
14.7
%
 
$
319

 
22.5
%
 
$
5,392

 
2.1
%
AA
 
30,016

 
14.3

 
205

 
0.5

 
3,915

 
34.9

 
76

 
5.4

 
34,212

 
12.9

A
 
118,620

 
56.7

 
13,936

 
32.5

 
1,630

 
14.5

 
210

 
14.9

 
134,396

 
50.7

BBB
 
52,739

 
25.2

 
24,509

 
57.1

 
763

 
6.8

 
703

 
49.7

 
78,714

 
29.7

BIG
 
7,140

 
3.4

 
1,731

 
4.0

 
3,261

 
29.1

 
106

 
7.5

 
12,238

 
4.6

Total net par outstanding
 
$
209,392

 
100.0
%
 
$
42,922

 
100.0
%
 
$
11,224

 
100.0
%
 
$
1,414

 
100.0
%
 
$
264,952

 
100.0
%



Financial Guaranty Portfolio by Internal Rating
As of December 31, 2016

 
 
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
 
$
2,066

 
0.8
%
 
$
2,221

 
8.4
%
 
$
9,757

 
44.2
%
 
$
1,447

 
47.0
%
 
$
15,491

 
5.2
%
AA
 
46,420

 
19.0

 
170

 
0.6

 
5,773

 
26.2

 
127

 
4.1

 
52,490

 
17.7

A
 
133,829

 
54.7

 
6,270

 
23.8

 
1,589

 
7.2

 
456

 
14.8

 
142,144

 
48.0

BBB
 
55,103

 
22.5

 
16,378

 
62.1

 
879

 
4.0

 
759

 
24.6

 
73,119

 
24.7

BIG
 
7,380

 
3.0

 
1,342

 
5.1

 
4,059

 
18.4

 
293

 
9.5

 
13,074

 
4.4

Total net par outstanding
 
$
244,798

 
100.0
%
 
$
26,381

 
100.0
%
 
$
22,057

 
100.0
%
 
$
3,082

 
100.0
%
 
$
296,318

 
100.0
%
Financial Guaranty Portfolio by Asset Class
Financial Guaranty Portfolio
by Sector

 
Gross Par Outstanding
 
Net Par Outstanding
Sector
As of
December 31, 2017
 
As of
December 31, 2016
 
As of
December 31, 2017
 
As of
December 31, 2016
 
(in millions)
Public finance:
 
 
 
 
 

 
 

U.S.:
 
 
 
 
 

 
 

General obligation
$
91,531

 
$
110,167

 
$
90,705

 
$
107,717

Tax backed
44,783

 
51,325

 
44,350

 
49,931

Municipal utilities
32,584

 
38,442

 
32,357

 
37,603

Transportation
17,193

 
19,915

 
17,030

 
19,403

Healthcare
9,087

 
11,940

 
8,763

 
11,238

Higher education
8,210

 
10,114

 
8,195

 
10,085

Infrastructure finance
4,259

 
3,902

 
4,216

 
3,769

Housing revenue
1,336

 
1,593

 
1,319

 
1,559

Investor-owned utilities
523

 
697

 
523

 
697

Other public finance
1,935

 
2,810

 
1,934

 
2,796

Total public finance—U.S.
211,441

 
250,905

 
209,392

 
244,798

Non-U.S.:
 
 
 
 
 

 
 

Infrastructure finance
18,916

 
11,818

 
18,234

 
10,731

Regulated utilities
17,691

 
11,395

 
16,689

 
9,263

Pooled infrastructure
1,561

 
1,621

 
1,561

 
1,513

Other public finance
6,692

 
5,653

 
6,438

 
4,874

Total public finance—non-U.S.
44,860

 
30,487

 
42,922

 
26,381

Total public finance
256,301

 
281,392

 
252,314

 
271,179

Structured finance:
 
 
 
 
 

 
 

U.S.:
 
 
 
 
 

 
 

Residential Mortgage-Backed Securities (RMBS)
4,864

 
5,933

 
4,818

 
5,637

Consumer receivables
1,591

 
1,707

 
1,590

 
1,652

Insurance securitizations
1,825

 
2,355

 
1,449

 
2,308

Financial products
1,418

 
1,540

 
1,418

 
1,540

Pooled corporate obligations
1,347

 
10,273

 
1,347

 
10,050

Commercial receivables
146

 
234

 
146

 
230

Other structured finance
461

 
689

 
456

 
640

Total structured finance—U.S.
11,652

 
22,731

 
11,224

 
22,057

Non-U.S.:
 
 
 
 
 

 
 

RMBS
655

 
661

 
637

 
604

Commercial receivables
296

 
373

 
296

 
356

Pooled corporate obligations
157

 
1,716

 
157

 
1,535

Other structured finance
325

 
601

 
324

 
587

Total structured finance—non-U.S.
1,433

 
3,351

 
1,414

 
3,082

Total structured finance
13,085

 
26,082

 
12,638

 
25,139

Total net par outstanding
$
269,386

 
$
307,474

 
$
264,952

 
$
296,318
Expected Amortization of Net Par Outstanding
Expected Amortization of
Net Par Outstanding
As of December 31, 2017

 
Public Finance
 
Structured Finance
 
Total
 
(in millions)
0 to 5 years
$
78,860

 
$
6,106

 
$
84,966

5 to 10 years
51,541

 
2,632

 
54,173

10 to 15 years
45,634

 
1,718

 
47,352

15 to 20 years
34,974

 
1,892

 
36,866

20 years and above
41,305

 
290

 
41,595

Total net par outstanding
$
252,314

 
$
12,638

 
$
264,952
Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form)
Components of BIG Net Par Outstanding
As of December 31, 2017

 
BIG Net Par Outstanding
 
Net Par
 
BIG 1
 
BIG 2
 
BIG 3
 
Total BIG
 
Outstanding
 
 
 
 
 
(in millions)
 
 
 
 
Public finance:
 
 
 
 
 
 
 
 
 
U.S. public finance
$
2,368

 
$
663

 
$
4,109

 
$
7,140

 
$
209,392

Non-U.S. public finance
1,455

 
276

 
—

 
1,731

 
42,922

Public finance
3,823

 
939

 
4,109

 
8,871

 
252,314

Structured finance:
 
 
 
 
 
 
 
 
 
U.S. RMBS
374

 
304

 
2,083

 
2,761

 
4,818

Triple-X life insurance transactions
—

 
—

 
85

 
85

 
1,199

Trust preferred securities (TruPS)
161

 
—

 
—

 
161

 
1,349

Other structured finance
170

 
118

 
72

 
360

 
5,272

Structured finance
705

 
422

 
2,240

 
3,367

 
12,638

Total
$
4,528

 
$
1,361

 
$
6,349

 
$
12,238

 
$
264,952




Components of BIG Net Par Outstanding
As of December 31, 2016
 
 
BIG Net Par Outstanding
 
Net Par
 
BIG 1
 
BIG 2
 
BIG 3
 
Total BIG
 
Outstanding
 
 
 
 
 
(in millions)
 
 
 
 
Public finance:
 
 
 
 
 
 
 
 
 
U.S. public finance
$
2,402

 
$
3,123

 
$
1,855

 
$
7,380

 
$
244,798

Non-U.S. public finance
1,288

 
54

 
—

 
1,342

 
26,381

Public finance
3,690

 
3,177

 
1,855

 
8,722

 
271,179

Structured finance:
 
 
 
 
 
 
 
 
 
U.S. RMBS
197

 
493

 
2,461

 
3,151

 
5,637

Triple-X life insurance transactions
—

 
—

 
126

 
126

 
2,057

TruPS
304

 
126

 
—

 
430

 
1,892

Other structured finance
304

 
263

 
78

 
645

 
15,553

Structured finance
805

 
882

 
2,665

 
4,352

 
25,139

Total
$
4,495

 
$
4,059

 
$
4,520

 
$
13,074

 
$
296,318
BIG Net Par Outstanding and Number of Risks
BIG Net Par Outstanding
and Number of Risks
As of December 31, 2017

 
 
Net Par Outstanding
 
Number of Risks(2)
Description
 
Financial
Guaranty
Insurance(1)
 
Credit
Derivative
 
Total
 
Financial
Guaranty
Insurance(1)
 
Credit
Derivative
 
Total
 
 
(dollars in millions)
BIG:
 
 

 
 

 
 

 
 

 
 

 
 

Category 1
 
$
4,301

 
$
227

 
$
4,528

 
139

 
7

 
146

Category 2
 
1,344

 
17

 
1,361

 
46

 
3

 
49

Category 3
 
6,255

 
94

 
6,349

 
150

 
9

 
159

Total BIG
 
$
11,900

 
$
338

 
$
12,238

 
335

 
19

 
354


BIG Net Par Outstanding
and Number of Risks
As of December 31, 2016
 
 
 
Net Par Outstanding
 
Number of Risks(2)
Description
 
Financial
Guaranty
Insurance(1)
 
Credit
Derivative
 
Total
 
Financial
Guaranty
Insurance(1)
 
Credit
Derivative
 
Total
 
 
(dollars in millions)
BIG:
 
 

 
 

 
 

 
 

 
 

 
 

Category 1
 
$
3,861

 
$
634

 
$
4,495

 
165

 
10

 
175

Category 2
 
3,857

 
202

 
4,059

 
79

 
6

 
85

Category 3
 
4,383

 
137

 
4,520

 
148

 
9

 
157

Total BIG
 
$
12,101

 
$
973

 
$
13,074

 
392

 
25

 
417

_____________________
(1)    Includes net par outstanding for 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.
Financial Guaranty Insurance
BIG Transaction Loss Summary
As of December 31, 2017
 
 
BIG Categories
 
BIG 1
 
BIG 2
 
BIG 3
 
Total
BIG, Net
 
Effect of
Consolidating
FG VIEs
 
Total
 
Gross
 
Ceded
 
Gross
 
Ceded
 
Gross
 
Ceded
 
 
 
 
(dollars in millions)
Number of risks(1)
139

 
(22
)
 
46

 
(3
)
 
150

 
(41
)
 
335

 
—

 
335

Remaining weighted-average contract period (in years)
8.9

 
7.3

 
14.0

 
2.9

 
9.6

 
9.3

 
9.9

 
—

 
9.9

Outstanding exposure:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Principal
$
4,397

 
$
(96
)
 
$
1,352

 
$
(8
)
 
$
6,445

 
$
(190
)
 
$
11,900

 
$
—

 
$
11,900

Interest
2,110

 
(42
)
 
1,002

 
(1
)
 
3,098

 
(86
)
 
6,081

 
—

 
6,081

Total(2)
$
6,507

 
$
(138
)
 
$
2,354

 
$
(9
)
 
$
9,543

 
$
(276
)
 
$
17,981

 
$
—

 
$
17,981

Expected cash outflows (inflows)
$
186

 
$
(5
)
 
$
492

 
$
(1
)
 
$
3,785

 
$
(104
)
 
$
4,353

 
$
(307
)
 
$
4,046

Potential recoveries(3)
(595
)
 
20

 
(145
)
 
0

 
(2,273
)
 
67

 
$
(2,926
)
 
194

 
(2,732
)
Subtotal
(409
)
 
15

 
347

 
(1
)
 
1,512

 
(37
)
 
1,427

 
(113
)
 
1,314

Discount
66

 
(4
)
 
(93
)
 
0

 
(78
)
 
(2
)
 
(111
)
 
23

 
(88
)
Present value of expected cash flows
$
(343
)
 
$
11

 
$
254

 
$
(1
)
 
$
1,434

 
$
(39
)
 
$
1,316

 
$
(90
)
 
$
1,226

Deferred premium revenue
$
112

 
$
(5
)
 
$
129

 
$
0

 
$
540

 
$
(6
)
 
$
770

 
$
(74
)
 
$
696

Reserves (salvage)
$
(380
)
 
$
11

 
$
202

 
$
(1
)
 
$
1,100

 
$
(34
)
 
$
898

 
$
(55
)
 
$
843

 

Financial Guaranty Insurance
BIG Transaction Loss Summary
As of December 31, 2016
 
 
BIG Categories
 
BIG 1
 
BIG 2
 
BIG 3
 
Total
BIG, Net
 
Effect of
Consolidating
FG VIEs
 
Total
 
Gross
 
Ceded
 
Gross
 
Ceded
 
Gross
 
Ceded
 
 
(dollars in millions)
Number of risks(1)
165

 
(35
)
 
79

 
(11
)
 
148

 
(49
)
 
392

 
—

 
392

Remaining weighted-average contract period (in years)
8.6

 
7.0

 
13.2

 
10.5

 
8.1

 
6.0

 
10.1

 
—

 
10.1

Outstanding exposure:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Principal
$
4,187

 
$
(326
)
 
$
4,273

 
$
(416
)
 
$
4,703

 
$
(320
)
 
$
12,101

 
$
—

 
$
12,101

Interest
1,932

 
(140
)
 
2,926

 
(219
)
 
1,867

 
(87
)
 
6,279

 
—

 
6,279

Total(2)
$
6,119

 
$
(466
)
 
$
7,199

 
$
(635
)
 
$
6,570

 
$
(407
)
 
$
18,380

 
$
—

 
$
18,380

Expected cash outflows (inflows)
172

 
(19
)
 
1,404

 
(86
)
 
1,435

 
(65
)
 
2,841

 
(326
)
 
2,515

Potential recoveries(3)
(440
)
 
23

 
(146
)
 
4

 
(743
)
 
45

 
(1,257
)
 
198

 
(1,059
)
Subtotal
(268
)
 
4

 
1,258

 
(82
)
 
692

 
(20
)
 
1,584

 
(128
)
 
1,456

Discount
61

 
(4
)
 
(355
)
 
19

 
(114
)
 
(4
)
 
(397
)
 
24

 
(373
)
Present value of expected cash flows
(207
)
 
0


903

 
(63
)
 
578

 
(24
)
 
1,187

 
(104
)
 
1,083

Deferred premium revenue
$
131

 
$
(5
)
 
$
246

 
$
(6
)
 
$
476

 
$
(30
)
 
$
812

 
$
(86
)
 
$
726

Reserves (salvage)
$
(255
)
 
$
5

 
$
738

 
$
(58
)
 
$
343

 
$
(10
)
 
$
763

 
$
(64
)
 
$
699

____________________
(1)
A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making debt service payments. The ceded number of risks represents the number of risks for which the Company ceded a portion of its exposure.

(2)
Includes BIG amounts related to FG VIEs.

(3)
Includes excess spread and R&W receivables and payables.
Schedule of Geographic Exposure of Net Par Outstanding
Geographic Distribution of
Net Par Outstanding
As of December 31, 2017

 
Number of Risks
 
Net Par Outstanding
 
Percent of Total Net Par Outstanding
 
(dollars in millions)
U.S.:
 
 
 
 
 
U.S. Public finance:
 
 
 
 
 
 California
1,368

 
$
36,507

 
13.8
%
 Texas
1,229

 
19,027

 
7.2

 Pennsylvania
744

 
18,061

 
6.8

 Illinois
702

 
17,044

 
6.4

 New York
871

 
15,672

 
5.9

 New Jersey
444

 
12,441

 
4.7

 Florida
294

 
10,272

 
3.9

 Michigan
439

 
6,353

 
2.4

 Puerto Rico
18

 
4,968

 
1.9

 Alabama
296

 
4,808

 
1.8

 Other
3,112

 
64,239

 
24.3

Total U.S. public finance
9,517

 
209,392

 
79.1

U.S. Structured finance (multiple states)
512

 
11,224

 
4.2

Total U.S.
10,029

 
220,616

 
83.3

Non-U.S.:
 
 
 
 
 
United Kingdom
126

 
30,062

 
11.3

 France
10

 
3,167

 
1.2

 Canada
9

 
2,690

 
1.0

 Australia
12

 
2,309

 
0.9

 Italy
9

 
1,497

 
0.6

Other
44

 
4,611

 
1.7

Total non-U.S.
210

 
44,336

 
16.7

Total
10,239

 
$
264,952

 
100.0
%
Puerto Rico [Member]  
Schedule of Insured Financial Obligations [Line Items]  
BIG Net Par Outstanding and Number of Risks
Amortization Schedule of Puerto Rico Net Par Outstanding
and Net Debt Service Outstanding
As of December 31, 2017

 
Scheduled Net Par Amortization
 
Scheduled Net Debt Service Amortization
 
(in millions)
2018 (January 1 - March 31)
$
0

 
$
123

2018 (April 1 - June 30)
0

 
3

2018 (July 1 - September 30)
200

 
322

2018 (October 1 - December 31)
0

 
3

Subtotal 2018
200

 
451

2019
223

 
464

2020
285

 
516

2021
147

 
364

2022
137

 
345

2023-2027
1,229

 
2,129

2028-2032
812

 
1,436

2033-2037
1,217

 
1,572

2038-2042
453

 
602

2043-2047
263

 
316

Total
$
4,966

 
$
8,195
Gross Par and Gross Debt Service Outstanding
Puerto Rico
Gross Par and Gross Debt Service Outstanding

 
Gross Par Outstanding
 
Gross Debt Service Outstanding
 
December 31,
2017
 
December 31,
2016
 
December 31,
2017
 
December 31,
2016
 
(in millions)
Exposure to Puerto Rico
$
5,186

 
$
5,435

 
$
8,514

 
$
9,038
Schedule of Geographic Exposure of Net Par Outstanding
Puerto Rico
Net Par Outstanding (1)

 
As of
December 31, 2017
 
As of
December 31, 2016
 
(in millions)
Commonwealth Constitutionally Guaranteed
 
 
 
Commonwealth of Puerto Rico - General Obligation Bonds (2)
$
1,419

 
$
1,476

PBA
141

 
169

Public Corporations - Certain Revenues Potentially Subject to Clawback
 
 
 
PRHTA (Transportation revenue) (2)
882

 
918

PRHTA (Highways revenue) (2)
495

 
350

PRCCDA
152

 
152

PRIFA
18

 
18

Other Public Corporations
 
 
 
PREPA (2)
853

 
724

PRASA
373

 
373

MFA
360

 
334

COFINA (2)
272

 
271

U of PR
1

 
1

Total net exposure to Puerto Rico
$
4,966

 
$
4,786

____________________
(1)
The December 31, 2017 amounts include $389 million (which comprises $36 million of General Obligation Bonds, $134 million of PREPA, $144 million of PRHTA (Highways revenue), and $75 million of MFA) related to 2017 commutations of previously ceded business. See Note 13, Reinsurance and Other Monoline Exposures, for more information.

(2)
As of the date of this filing, the Oversight Board has certified a filing under Title III of PROMESA for these exposures.