Document_and_Entity_Informatio
Document and Entity Information (USD $) | 12 Months Ended | ||
Dec. 31, 2013 | Feb. 21, 2014 | Jun. 30, 2013 | |
Document And Entity Information [Abstract] | ' | ' | ' |
Entity Registrant Name | 'ASSURED GUARANTY LTD | ' | ' |
Entity Central Index Key | '0001273813 | ' | ' |
Document Type | '10-K | ' | ' |
Document Period End Date | 31-Dec-13 | ' | ' |
Amendment Flag | 'false | ' | ' |
Current Fiscal Year End Date | '--12-31 | ' | ' |
Entity Well-known Seasoned Issuer | 'Yes | ' | ' |
Entity Voluntary Filers | 'No | ' | ' |
Entity Current Reporting Status | 'Yes | ' | ' |
Entity Filer Category | 'Large Accelerated Filer | ' | ' |
Entity Public Float | ' | ' | $3,659,040,438 |
Entity Common Stock, Shares Outstanding | ' | 182,355,159 | ' |
Document Fiscal Year Focus | '2013 | ' | ' |
Document Fiscal Period Focus | 'FY | ' | ' |
Consolidated_Balance_Sheets
Consolidated Balance Sheets (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | ||
In Millions, unless otherwise specified | ||||
Investment portfolio: | ' | ' | ||
Fixed-maturity securities, available-for-sale, at fair value (amortized cost of $9,488 and $9,346) | $9,711 | $10,056 | ||
Short-term investments, at fair value | 904 | 817 | ||
Other invested assets | 170 | 212 | ||
Total investment portfolio | 10,785 | 11,085 | ||
Cash | 184 | 138 | ||
Premiums receivable, net of commissions payable | 876 | [1] | 1,005 | [1] |
Ceded unearned premium reserve | 452 | 561 | ||
Deferred acquisition costs | 124 | 116 | ||
Reinsurance recoverable on unpaid losses | 36 | 58 | ||
Salvage and subrogation recoverable | 174 | 456 | ||
Credit derivative assets | 94 | 141 | ||
Deferred tax asset, net | 688 | 721 | ||
Financial guaranty variable interest entities’ assets, at fair value | 2,565 | 2,688 | ||
Other assets | 309 | 273 | ||
Total assets | 16,287 | 17,242 | ||
Liabilities and shareholders’ equity | ' | ' | ||
Unearned premium reserve | 4,595 | 5,207 | ||
Loss and loss adjustment expense reserve | 592 | 601 | ||
Reinsurance balances payable, net | 148 | 219 | ||
Long-term debt | 816 | 836 | ||
Credit derivative liabilities | 1,787 | 1,934 | ||
Current income tax payable | 44 | 0 | ||
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 1,790 | 2,090 | ||
Financial guaranty variable interest entities’ liabilities without recourse, at fair value | 1,081 | 1,051 | ||
Other liabilities | 319 | 310 | ||
Total liabilities | 11,172 | 12,248 | ||
Commitments and contingencies (See Note 16) | ' | ' | ||
Common stock ($0.01 par value, 500,000,000 shares authorized; 182,177,866 and 194,003,297 shares issued and outstanding) | 2 | 2 | ||
Additional paid-in capital | 2,466 | 2,724 | ||
Retained earnings | 2,482 | 1,749 | ||
Accumulated other comprehensive income, net of tax of $71 and $198 | 160 | 515 | ||
Deferred equity compensation (320,193 and 320,193 shares) | 5 | 4 | ||
Total shareholders’ equity | 5,115 | 4,994 | ||
Total liabilities and shareholders’ equity | $16,287 | $17,242 | ||
[1] | Excludes $21 million, $29 million and $28 million as of December 31, 2013 , 2012 and 2011, respectively, related to consolidated FG VIEs. |
Consolidated_Balance_Sheets_Pa
Consolidated Balance Sheets (Parenthetical) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 |
In Millions, except Share data, unless otherwise specified | ||
Statement of Financial Position [Abstract] | ' | ' |
Fixed-maturity securities, available-for-sale, at fair value | $9,488 | $9,346 |
Common stock par value (per share) | $0.01 | $0.01 |
Common stock, shares authorized | 500,000,000 | 500,000,000 |
Common stock, shares issued | 182,177,866 | 194,003,297 |
Common stock, shares outstanding | 182,177,866 | 194,003,297 |
Accumulated other comprehensive income, tax provision | $71 | $198 |
Deferred equity compensation, shares | 320,193 | 320,193 |
Consolidated_Statements_of_Ope
Consolidated Statements of Operations (USD $) | 12 Months Ended | |||||
In Millions, except Per Share data, unless otherwise specified | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | |||
Revenues | ' | ' | ' | |||
Net earned premiums | $752 | [1] | $853 | [1] | $920 | [1] |
Net investment income | 393 | 404 | 396 | |||
Net realized investment gains (losses): | ' | ' | ' | |||
Other-than-temporary impairment losses | -32 | -58 | -84 | |||
Less: portion of other-than-temporary impairment loss recognized in other comprehensive income | 10 | -41 | -39 | |||
Other net realized investment gains (losses) | 94 | 18 | 27 | |||
Net realized investment gains (losses) | 52 | 1 | -18 | |||
Net change in fair value of credit derivatives: | ' | ' | ' | |||
Realized gains (losses) and other settlements | -42 | -108 | 6 | |||
Net unrealized gains (losses) | 107 | [2] | -477 | [2] | 554 | [2] |
Net change in fair value of credit derivatives | 65 | -585 | 560 | |||
Fair value gains (losses) on committed capital securities | 10 | -18 | 35 | |||
Fair value gains (losses) on financial guaranty variable interest entities | 346 | 191 | -146 | |||
Other income (loss) | -10 | 108 | 58 | |||
Total revenues | 1,608 | 954 | 1,805 | |||
Expenses | ' | ' | ' | |||
Loss and loss adjustment expenses | 154 | 504 | 448 | |||
Amortization of deferred acquisition costs | 12 | 14 | 17 | |||
Interest expense | 82 | 92 | 99 | |||
Other operating expenses | 218 | 212 | 212 | |||
Total expenses | 466 | 822 | 776 | |||
Income (loss) before income taxes | 1,142 | 132 | 1,029 | |||
Provision (benefit) for income taxes | ' | ' | ' | |||
Current | 157 | 57 | -127 | |||
Deferred | 177 | -35 | 383 | |||
Total provision (benefit) for income taxes | 334 | 22 | 256 | |||
Net income (loss) | $808 | $110 | $773 | |||
Earnings per share: | ' | ' | ' | |||
Basic (per share) | $4.32 | [3] | $0.58 | [3] | $4.21 | |
Diluted (per share) | $4.30 | [3] | $0.57 | [3] | $4.16 | |
Dividends per share | $0.40 | [3] | $0.36 | [3] | $0.18 | |
[1] | Excludes $60 million, $153 million and $75 million for the year ended December 31, 2013, 2012 and 2011, respectively, related to consolidated FG VIEs. | |||||
[2] | Except for net estimated credit impairments (i.e., net expected loss to be paid as discussed in Note 6), the unrealized gains and losses on credit derivatives are expected to reduce to zero as the exposure approaches its maturity date. With considerable volatility continuing in the market, unrealized gains (losses) on credit derivatives may fluctuate significantly in future periods. | |||||
[3] | Per share amounts for the quarters and the full years have each been calculated separately. Accordingly, quarterly amounts may not sum up to the annual amounts because of differences in the average common shares outstanding during each period and, with regard to diluted per share amounts only, because of the inclusion of the effect of potentially dilutive securities only in the periods in which such effect would have been dilutive. |
Consolidated_Statements_of_Com
Consolidated Statements of Comprehensive Income (USD $) | 12 Months Ended | ||
In Millions, unless otherwise specified | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 |
Statement of Comprehensive Income [Abstract] | ' | ' | ' |
Net income (loss) | $808 | $110 | $773 |
Unrealized holding gains (losses) arising during the period on: | ' | ' | ' |
Investments with no other-than-temporary impairment, net of tax provision (benefit) of $(106), $56 and $105 | -309 | 148 | 234 |
Investments with other-than-temporary impairment, net of tax provision (benefit) of $(17), $(2) and $5 | -35 | -7 | 9 |
Unrealized holding gains (losses) arising during the period, net of tax | -344 | 141 | 243 |
Less: reclassification adjustment for gains (losses) included in net income (loss), net of tax provision (benefit) of $5, $(7) and $(7) | 14 | -4 | -14 |
Change in net unrealized gains on investments | -358 | 145 | 257 |
Other, net of tax provision | 3 | 2 | -1 |
Other comprehensive income (loss) | -355 | 147 | 256 |
Comprehensive income (loss) | $453 | $257 | $1,029 |
Consolidated_Statements_of_Com1
Consolidated Statements of Comprehensive Income (Parenthetical) (USD $) | 12 Months Ended | ||
In Millions, unless otherwise specified | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 |
Statement of Comprehensive Income [Abstract] | ' | ' | ' |
Investments with no other-than-temporary impairment, tax provision (benefit) | ($106) | $56 | $105 |
Investments with other-than-temporary impairment, tax provision (benefit) | -17 | -2 | 5 |
Reclassification adjustment for gains (losses) included in net income (loss), tax provision (benefit) | $5 | ($7) | ($7) |
Consolidated_Statement_of_Shar
Consolidated Statement of Shareholders' Equity (USD $) | Total | Total Shareholders' Equity Attributable to Assured Guaranty Ltd. | Common Stock | Additional Paid-in Capital | Retained Earnings | Accumulated Other Comprehensive Income | Deferred Equity Compensation |
In Millions, except Share data, unless otherwise specified | |||||||
Balance at Dec. 31, 2010 | $3,670 | ' | $2 | $2,586 | $968 | $112 | $2 |
Balance (in shares) at Dec. 31, 2010 | ' | ' | 183,744,655 | ' | ' | ' | ' |
Increase (Decrease) in Shareholders' Equity | ' | ' | ' | ' | ' | ' | ' |
Net income (loss) | 773 | ' | ' | ' | 773 | ' | ' |
Dividends (2011 $0.18, 2012 $0.36, 2013 $0.40 per share) | -33 | ' | ' | ' | -33 | ' | ' |
Common stock repurchases (in shares) | ' | ' | -2,000,000 | ' | ' | ' | ' |
Common stock repurchases | -23 | ' | 0 | -23 | ' | ' | ' |
Share-based compensation and other (in shares) | ' | ' | 491,143 | ' | ' | ' | ' |
Share-based compensation and other | 9 | ' | 0 | 7 | ' | ' | 2 |
Other comprehensive income (loss) | 256 | ' | ' | ' | ' | 256 | ' |
Balance at Dec. 31, 2011 | 4,652 | ' | 2 | 2,570 | 1,708 | 368 | 4 |
Balance (in shares) at Dec. 31, 2011 | ' | ' | 182,235,798 | ' | ' | ' | ' |
Increase (Decrease) in Shareholders' Equity | ' | ' | ' | ' | ' | ' | ' |
Net income (loss) | 110 | 110 | ' | ' | 110 | ' | ' |
Dividends (2011 $0.18, 2012 $0.36, 2013 $0.40 per share) | ' | -69 | ' | ' | -69 | ' | ' |
Common stock issuance, net (in shares) | ' | ' | 13,428,770 | ' | ' | ' | ' |
Common stock issuance, net | ' | 173 | 0 | 173 | ' | ' | ' |
Common stock repurchases (in shares) | ' | ' | -2,066,759 | ' | ' | ' | ' |
Common stock repurchases | ' | -24 | 0 | -24 | ' | ' | ' |
Share-based compensation and other (in shares) | ' | ' | 405,488 | ' | ' | ' | ' |
Share-based compensation and other | ' | 5 | 0 | 5 | ' | ' | 0 |
Other comprehensive income (loss) | 147 | 147 | ' | ' | ' | 147 | ' |
Balance at Dec. 31, 2012 | 4,994 | ' | 2 | 2,724 | 1,749 | 515 | 4 |
Balance (in shares) at Dec. 31, 2012 | ' | ' | 194,003,297 | ' | ' | ' | ' |
Increase (Decrease) in Shareholders' Equity | ' | ' | ' | ' | ' | ' | ' |
Net income (loss) | 808 | ' | ' | ' | 808 | ' | ' |
Dividends (2011 $0.18, 2012 $0.36, 2013 $0.40 per share) | -75 | ' | ' | ' | -75 | ' | ' |
Common stock repurchases (in shares) | ' | ' | -12,512,759 | ' | ' | ' | ' |
Common stock repurchases | -264 | ' | 0 | -264 | ' | ' | ' |
Share-based compensation and other (in shares) | ' | ' | 687,328 | ' | ' | ' | ' |
Share-based compensation and other | 7 | ' | 0 | 6 | ' | ' | 1 |
Other comprehensive income (loss) | -355 | ' | ' | ' | ' | -355 | ' |
Balance at Dec. 31, 2013 | $5,115 | ' | $2 | $2,466 | $2,482 | $160 | $5 |
Balance (in shares) at Dec. 31, 2013 | ' | ' | 182,177,866 | ' | ' | ' | ' |
Consolidated_Statement_of_Shar1
Consolidated Statement of Shareholders' Equity (Parenthetical) (USD $) | 0 Months Ended | 3 Months Ended | 12 Months Ended | ||||||||||||||||||||
Feb. 07, 2013 | Feb. 09, 2012 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Jun. 30, 2012 | Mar. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | |||||||||||
Statement of Stockholders' Equity [Abstract] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||
Dividends, per share (in dollars per share) | $0.10 | $0.09 | $0.10 | [1] | $0.10 | [1] | $0.10 | [1] | $0.10 | [1] | $0.09 | [1] | $0.09 | [1] | $0.09 | [1] | $0.09 | [1] | $0.40 | [1] | $0.36 | [1] | $0.18 |
[1] | Per share amounts for the quarters and the full years have each been calculated separately. Accordingly, quarterly amounts may not sum up to the annual amounts because of differences in the average common shares outstanding during each period and, with regard to diluted per share amounts only, because of the inclusion of the effect of potentially dilutive securities only in the periods in which such effect would have been dilutive. |
Consolidated_Statements_of_Cas
Consolidated Statements of Cash Flows (USD $) | 12 Months Ended | |||||
In Millions, unless otherwise specified | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | |||
Operating Activities: | ' | ' | ' | |||
Net Income | $808 | $110 | $773 | |||
Adjustments to reconcile net income to net cash flows provided by operating activities: | ' | ' | ' | |||
Non-cash interest and operating expenses | 19 | 18 | 20 | |||
Net amortization of premium (discount) on investments | -8 | 8 | 23 | |||
Provision (benefit) for deferred income taxes | 177 | -35 | 383 | |||
Net realized investment losses (gains) | -52 | -1 | 18 | |||
Net unrealized losses (gains) on credit derivatives | -107 | [1] | 477 | [1] | -554 | [1] |
Fair value loss (gains) on committed capital securities | -10 | 18 | -35 | |||
Change in deferred acquisition costs | -8 | 18 | 18 | |||
Change in premiums receivable, net of commissions payable | 86 | 48 | 138 | |||
Change in ceded unearned premium reserve | 109 | 141 | 102 | |||
Change in unearned premium reserve | -612 | -749 | -998 | |||
Change in loss and loss adjustment expense reserve, net | 136 | -258 | 636 | |||
Change in current income tax | 30 | 129 | -182 | |||
Change in financial guaranty variable interest entities' assets and liabilities, net | -295 | -7 | 352 | |||
(Purchases) sales of trading securities, net | -16 | -59 | -6 | |||
Other | -13 | -23 | -12 | |||
Net cash flows provided by (used in) operating activities | 244 | -165 | 676 | |||
Fixed-maturity securities: | ' | ' | ' | |||
Purchases | -1,886 | -1,649 | -2,308 | |||
Sales | 1,029 | 912 | 1,107 | |||
Maturities | 883 | 1,105 | 663 | |||
Net sales (purchases) of short-term investments | -87 | 29 | 320 | |||
Net proceeds from paydowns on financial guaranty variable interest entities’ assets | 663 | 545 | 760 | |||
Acquisition of MAC, net of cash acquired | 0 | -91 | 0 | |||
Other | 79 | 92 | 19 | |||
Net cash flows provided by (used in) investing activities | 681 | 943 | 561 | |||
Financing activities | ' | ' | ' | |||
Proceeds from issuances of common stock | 0 | 173 | 0 | |||
Dividends paid | -75 | -69 | -33 | |||
Repurchases of common stock | -264 | -24 | -23 | |||
Share activity under option and incentive plans | -1 | -3 | -1 | |||
Net paydowns of financial guaranty variable interest entities’ liabilities | -511 | -724 | -1,053 | |||
Repayment of long-term debt | -27 | -209 | -22 | |||
Net cash flows provided by (used in) financing activities | -878 | -856 | -1,132 | |||
Effect of exchange rate changes | -1 | 1 | 2 | |||
Increase (decrease) in cash | 46 | -77 | 107 | |||
Cash at beginning of period | 138 | 215 | 108 | |||
Cash at end of period | 184 | 138 | 215 | |||
Cash paid (received) during the period for: | ' | ' | ' | |||
Income taxes | 110 | -24 | 34 | |||
Interest | $76 | $85 | $92 | |||
[1] | Except for net estimated credit impairments (i.e., net expected loss to be paid as discussed in Note 6), the unrealized gains and losses on credit derivatives are expected to reduce to zero as the exposure approaches its maturity date. With considerable volatility continuing in the market, unrealized gains (losses) on credit derivatives may fluctuate significantly in future periods. |
Business_and_Basis_of_Presenta
Business and Basis of Presentation | 12 Months Ended | |
Dec. 31, 2013 | ||
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ' | |
Business and Basis of Presentation | ' | |
Business and Basis of Presentation | ||
Business | ||
Assured Guaranty Ltd. (“AGL” and, together with its subsidiaries, “Assured Guaranty” or the “Company”) is a Bermuda-based holding company that provides, through its operating subsidiaries, credit protection products to the United States (“U.S.”) and international public finance (including infrastructure) and structured finance markets. The Company applies its credit underwriting judgment, risk management skills and capital markets experience to offer financial guaranty insurance that protects holders of debt instruments and other monetary obligations from defaults in scheduled payments. If an obligor defaults on a scheduled payment due on an obligation, including a scheduled principal or interest payment (“Debt Service”), the Company is required under its unconditional and irrevocable financial guaranty to pay the amount of the shortfall to the holder of the obligation. Obligations insured by the Company include bonds issued by U.S. state or municipal governmental authorities; notes issued to finance international infrastructure projects; and asset-backed securities issued by special purpose entities. The Company markets its financial guaranty insurance directly to issuers and underwriters of public finance and structured finance securities as well as to investors in such obligations. The Company guarantees obligations issued principally in the U.S. and the United Kingdom ("U.K"). The Company also guarantees obligations issued in other countries and regions, including Australia and Western Europe. | ||
In the past, the Company had sold credit protection by issuing policies that guaranteed payment obligations under credit derivatives, primarily credit default swaps ("CDS"). Financial guaranty contracts accounted for as credit derivatives are generally structured such that the circumstances giving rise to the Company’s obligation to make loss payments are similar to those for financial guaranty insurance contracts. The Company’s credit derivative transactions are governed by International Swaps and Derivative Association, Inc. (“ISDA”) documentation. The Company has not entered into any new CDS in order to sell credit protection since the beginning of 2009, when regulatory guidelines were issued that limited the terms under which such protection could be sold. The capital and margin requirements applicable under the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) also contributed the Company not entering into such new CDS since 2009. The Company actively pursues opportunities to terminate existing CDS, which have the effect of reducing future fair value volatility in income and/or reducing rating agency capital charges. | ||
Basis of Presentation | ||
The consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (“GAAP”) and, in the opinion of management, reflect all adjustments that are of a normal recurring nature, necessary for a fair statement of the financial condition, results of operations and cash flows of the Company and its consolidated financial guaranty variable interest entities (“FG VIEs”) for the periods presented. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. | ||
The consolidated financial statements include the accounts of AGL, its direct and indirect subsidiaries, (collectively, the “Subsidiaries”), and its consolidated FG VIEs. Intercompany accounts and transactions between and among all consolidated entities have been eliminated. Certain prior year balances have been reclassified to conform to the current year's presentation. | ||
The Company's principal insurance company subsidiaries are: | ||
• | Assured Guaranty Municipal Corp. ("AGM"), domiciled in New York; | |
• | Municipal Assurance Corp. ("MAC"), domiciled in New York; | |
• | Assured Guaranty Corp. ("AGC"), domiciled in Maryland; | |
• | Assured Guaranty (Europe) Ltd., organized in the United Kingdom; and | |
• | Assured Guaranty Re Ltd. (“AG Re”), domiciled in Bermuda. | |
MAC was purchased from Radian Asset Assurance Inc. ("Radian") in 2012 for $91 million in cash. Upon acquisition, the Company recorded $16 million in indefinite lived intangible assets, which represented the value of MAC's insurance licenses. MAC commenced underwriting U.S. public finance business in August 2013. MAC is indirectly owned by AGM and AGC. See Note 12, Insurance Company Regulatory Requirements. | ||
The Company’s organizational structure includes various holdings companies, two of which—Assured Guaranty US Holdings Inc. (“AGUS”) and Assured Guaranty Municipal Holdings Inc. (“AGMH”) – have public debt outstanding. See Note 17, Long-Term Debt and Credit Facilities. | ||
Significant Accounting Policies | ||
The Company revalues assets, liabilities, revenue and expenses denominated in non-U.S. currencies into U.S. dollars using applicable exchange rates. Gains and losses relating to translating foreign functional currency financial statements for U.S. GAAP reporting are recorded in other comprehensive income (loss) ("OCI") within shareholders' equity. Gains and losses relating to transactions in foreign denominations in subsidiaries where the functional currency is the U.S. dollar, are reported in the consolidated statement of operations. | ||
The chief operating decision maker manages the operations of the Company at a consolidated level. Therefore, all results of operations are reported as one segment. | ||
Other significant accounting policies are included in the following notes. | ||
Significant Accounting Policies | ||
Premium revenue recognition | Note 4 | |
Policy acquisition cost | Note 5 | |
Expected loss to be paid (Insurance, Credit Derivatives and FG VIE contracts) | Note 6 | |
Loss and loss adjustment expense (Insurance Contracts) | Note 7 | |
Fair value measurement | Note 8 | |
Credit derivatives (at Fair Value) | Note 9 | |
Variable interest entities (at Fair Value) | Note 10 | |
Investments and Cash | Note 11 | |
Income Taxes | Note 13 | |
Earnings per share | Note 18 | |
Stock based compensation | Note 20 |
Business_Changes_and_Developme
Business Changes and Developments | 12 Months Ended | |||||
Dec. 31, 2013 | ||||||
Business Changes Risks Uncertainties and Accounting Developments | ' | |||||
Business Changes and Developments | ' | |||||
Business Changes and Developments | ||||||
Market Conditions | ||||||
Since the financial crisis began six years ago, there have been significant challenges for the U.S. and global economies, which have affected the Company. | ||||||
• | Historically low interest rates reduced the demand for financial guaranty insurance as well as the average reinvestment rate in the investment portfolio. | |||||
• | Rating agency downgrades of the Company’s insurance company subsidiaries reduced the available market for financial guaranty insurance. | |||||
• | U.S. municipal budget deficits, and in rare cases bankruptcies, resulted in claims on our policies and reduced new market issuance. | |||||
• | The weak European economy resulted in claims and lower new issuance compared to pre-financial crisis levels. | |||||
• | Residential real estate and other structured products resulted in significant losses and the market for new structured products has not returned to pre-financial crisis levels. | |||||
Rating Actions | ||||||
When a rating agency assigns a public rating to a financial obligation guaranteed by one of AGL’s insurance company subsidiaries, it generally awards that obligation the same rating it has assigned to the financial strength of the AGL subsidiary that provides the guaranty. Investors in products insured by AGL’s insurance company subsidiaries frequently rely on ratings published by nationally recognized statistical rating organizations (“NRSROs”) because such ratings influence the trading value of securities and form the basis for many institutions’ investment guidelines as well as individuals’ bond purchase decisions. Therefore, the Company manages its business with the goal of achieving high financial strength ratings. Currently, the financial strength ratings of the Company's principal insurance company subsidiaries are: | ||||||
S&P | Moody’s | Kroll Bond Agency | ||||
AGM | AA- (stable outlook) | A2 (stable outlook) | — | |||
AGC | AA- (stable outlook) | A3 (stable outlook) | — | |||
MAC | AA- (stable outlook) | — | AA+ (stable outlook) | |||
Assured Guaranty (Europe) Ltd. | AA- (stable outlook) | A2 (stable outlook) | — | |||
AG Re | AA- (stable outlook) | Baa1 (negative outlook) | — | |||
If the financial strength ratings of one (or more) of the Company’s insurance subsidiaries were reduced below current levels, the Company expects it could have adverse effects on the impacted subsidiary's future business opportunities as well as the premiums the impacted subsidiary could charge for its insurance policies and consequently, a further downgrade could harm the Company’s new business production and results of operations in a material respect. However, the methodologies and models used by NRSROs differ, presenting conflicting goals that may make it inefficient or impractical to reach the highest rating level. The methodologies and models are not fully transparent, contain subjective elements and data (such as assumptions about future market demand for the Company’s products) and change frequently. Ratings reflect only the views of the respective NRSROs and are subject to continuous review and revision or withdrawal at any time. | ||||||
In the last several years, Standard & Poor’s Ratings Services (“S&P”) and Moody’s Investors Service, Inc. (“Moody’s”) have downgraded the financial strength ratings of the Company's insurance subsidiaries that they rated at the time of such downgrades. The latest downgrade took place on January 17, 2013, when Moody’s downgraded the financial strength ratings of the Company's insurance subsidiaries. In the same rating action, Moody's also downgraded the senior unsecured debt ratings of AGUS and AGMH to Baa2 from A3. On February 3, 2014, Moody's affirmed its ratings on the Company and the subsidiaries it rates, but revised the outlook on AG Re to negative. While the outlook for the ratings from S&P and Moody's is now stable for all the ratings of the Company and its rated subsidiaries except AG Re, there can be no assurance that S&P and Moody's will not take further action on the Company’s ratings or that Kroll will not take action on MAC's ratings. For a discussion of the effect of rating actions on the Company, see the following: | ||||||
• | Note 6, Expected Loss to be Paid | |||||
• | Note 9, Financial Guaranty Contracts Accounted for as Credit Derivatives | |||||
• | Note 14, Reinsurance and Other Monoline Exposures | |||||
• | Note 17, Long-Term Debt and Credit Facilities (regarding the impact on the Company's insured leveraged lease transactions) | |||||
Business Developments | ||||||
• | Representation and Warranty Settlements: There have been several settlements of representation and warranty claims over the past three years. See Note 6, Expected Loss to be Paid. | |||||
• | Repurchase of Common Shares: The Company has repurchased 12,512,759 common shares in 2013, 2,066,759 in 2012, and 2,000,000 in 2011. See Note 19, Shareholders' Equity. | |||||
• | Issuance of Common Shares: On June 1, 2012, AGL issued common shares to holders of each Equity Unit, for an aggregate of 13,428,770 common shares. See Note 17, Long-Term Debt and Credit Facilities. | |||||
• | Reinsurance: The Company has entered into several agreements with reinsurers, including assumption and re-assumption agreements and an excess of loss reinsurance facility. See Note 14, Reinsurance and Other Monoline Exposures. |
Outstanding_Exposure
Outstanding Exposure | 12 Months Ended | |||||||||||||||||||||||||||||||||||
Dec. 31, 2013 | ||||||||||||||||||||||||||||||||||||
Outstanding Exposure Disclosure | ' | |||||||||||||||||||||||||||||||||||
Outstanding Exposure | ' | |||||||||||||||||||||||||||||||||||
Outstanding Exposure | ||||||||||||||||||||||||||||||||||||
The Company’s financial guaranty contracts are written in either insurance or credit derivative form, but collectively are considered financial guaranty contracts. The Company seeks to limit its exposure to losses by underwriting obligations that are investment grade at inception, diversifying its insured portfolio and maintaining rigorous subordination or collateralization requirements on structured finance obligations. The Company also has utilized reinsurance by ceding business to third-party reinsurers. The Company provides financial guaranties with respect to debt obligations of special purpose entities, including variable interest entities ("VIEs"). Some of these VIEs are consolidated as described in Note 10, Consolidation of Variable Interest Entities. The outstanding par and Debt Service amounts presented below include outstanding exposures on VIEs whether or not they are consolidated. | ||||||||||||||||||||||||||||||||||||
The Company has issued financial guaranty insurance policies on public finance obligations and structured finance obligations. Public finance obligations insured by the Company consist primarily of general obligation bonds supported by the taxing powers of U.S. state or municipal governmental authorities, as well as tax-supported bonds, revenue bonds and other obligations supported by covenants from state or municipal governmental authorities or other municipal obligors to impose and collect fees and charges for public services or specific infrastructure projects. The Company also includes within public finance obligations those obligations backed by the cash flow from leases or other revenues from projects serving substantial public purposes, including utilities, toll roads, health care facilities and government office buildings. Structured finance obligations insured by the Company are generally issued by special purpose entities and backed by pools of assets having an ascertainable cash flow or market value or other specialized financial obligations. | ||||||||||||||||||||||||||||||||||||
Significant Risk Management Activities | ||||||||||||||||||||||||||||||||||||
The Portfolio Risk Management Committee, which includes members of senior management and senior credit and surveillance officers, sets specific risk policies and limits and is responsible for enterprise risk management, establishing the Company's risk appetite, credit underwriting of new business, surveillance and work-out. | ||||||||||||||||||||||||||||||||||||
Surveillance personnel are responsible for monitoring and reporting on all transactions in the insured portfolio. The primary objective of the surveillance process is to monitor trends and changes in transaction credit quality, detect any deterioration in credit quality, and recommend to management such remedial actions as may be necessary or appropriate. All transactions in the insured portfolio are assigned internal credit ratings, and surveillance personnel are responsible for recommending adjustments to those ratings to reflect changes in transaction credit quality. | ||||||||||||||||||||||||||||||||||||
Work-out personnel are responsible for managing work-out and loss mitigation situations, working with surveillance and legal personnel (as well as outside vendors) as appropriate. They develop strategies for the Company to enforce its contractual rights and remedies and to mitigate its losses, engage in negotiation discussions with transaction participants and, when necessary, manage (along with legal personnel) the Company's litigation proceedings. | ||||||||||||||||||||||||||||||||||||
During the third quarter of 2013, the Company changed the manner in which it presents par outstanding and Debt Service in two ways. First, the Company had included securities purchased for loss mitigation purposes both in its invested assets portfolio and its financial guaranty insured portfolio. Beginning with the third quarter of 2013, the Company excluded such loss mitigation securities from its disclosure about its financial guaranty insured portfolio (unless otherwise indicated) because it manages such securities as investments and not insurance exposure. Second, the Company refined its approach to its internal credit ratings and surveillance categories. Please refer to "Refinement of Approach to Internal Credit Ratings and Surveillance Categories" below for additional information. | ||||||||||||||||||||||||||||||||||||
Surveillance Categories | ||||||||||||||||||||||||||||||||||||
The Company segregates its insured portfolio into investment grade and below-investment-grade ("BIG") surveillance categories to facilitate the appropriate allocation of resources to monitoring and loss mitigation efforts and to aid in establishing the appropriate cycle for periodic review for each exposure. BIG exposures include all exposures with internal credit ratings below BBB-. The Company’s internal credit ratings are based on internal assessments of the likelihood of default and loss severity in the event of default. Internal credit ratings are expressed on a ratings scale similar to that used by the rating agencies and are generally reflective of an approach similar to that employed by the rating agencies, except that, beginning third quarter, the Company's internal credit ratings focus on future performance, rather than lifetime performance. See "Refinement of Approach to Internal Credit Ratings and Surveillance Categories" below. | ||||||||||||||||||||||||||||||||||||
The Company monitors its investment grade credits to determine whether any new credits need to be internally downgraded to BIG. The Company refreshes its internal credit ratings on individual credits in quarterly, semi-annual or annual cycles based on the Company’s view of the credit’s quality, loss potential, volatility and sector. Ratings on credits in sectors identified as under the most stress or with the most potential volatility are reviewed every quarter. The Company’s insured credit ratings on assumed credits are based on the Company’s reviews of low-rated credits or credits in volatile sectors, unless such information is not available, in which case, the ceding company’s credit rating of the transactions are used. The Company models the performance of many of its structured finance transactions as part of its periodic internal credit rating review of them. The Company models most assumed residential mortgage-backed security ("RMBS") credits with par above $1 million, as well as certain RMBS credits below that amount. | ||||||||||||||||||||||||||||||||||||
Credits identified as BIG are subjected to further review to determine the probability of a loss (see Note 6, Expected Loss to be Paid). Surveillance personnel then assign each BIG transaction to the appropriate BIG surveillance category based upon whether a future loss is expected and whether a claim has been paid. The Company expects “future losses” on a transaction when the Company believes there is at least a 50% chance that, on a present value basis, it will pay more claims over the future of that transaction than it will have reimbursed. For surveillance purposes, the Company calculates present value using a constant discount rate of 5%. (A risk-free rate is used for calculating the expected loss for financial statement purposes.) | ||||||||||||||||||||||||||||||||||||
More extensive monitoring and intervention is employed for all BIG surveillance categories, with internal credit ratings reviewed quarterly. In 2013, the Company refined the definitions of its BIG surveillance categories to be consistent with its new approach to assigning internal credit ratings. See "Refinement of Approach to Internal Credit Ratings and Surveillance Categories". The three BIG categories are: | ||||||||||||||||||||||||||||||||||||
• | BIG Category 1: Below-investment-grade transactions showing sufficient deterioration to make future losses possible, but for which none are currently expected. | |||||||||||||||||||||||||||||||||||
• | BIG Category 2: Below-investment-grade transactions for which future losses are expected but for which no claims (other than liquidity claims which is a claim that the Company expects to be reimbursed within one year) have yet been paid. | |||||||||||||||||||||||||||||||||||
• | BIG Category 3: Below-investment-grade transactions for which future losses are expected and on which claims (other than liquidity claims) have been paid. | |||||||||||||||||||||||||||||||||||
Refinement of Approach to Internal Credit Ratings and Surveillance Categories | ||||||||||||||||||||||||||||||||||||
Typically, when an issuer of a debt security has defaulted on a payment and has not made up that missed payment, the debt security is considered by the rating agencies to be below-investment-grade regardless of its current credit condition. Similarly, the Company had previously considered those securities on which it has made an insurance claim payment that had not been reimbursed to be BIG regardless of their current credit condition. | ||||||||||||||||||||||||||||||||||||
Structured finance transactions often include mechanisms for reimbursing the Company for its insurance claim payments from assets underlying the transactions to the extent permitted by asset performance. With improvements beginning to occur in the performance of the assets underlying some of the structured finance securities the Company has insured, the Company is receiving reimbursements on some transactions on which it had paid claims in the past. As a result of these improvements, it now projects receiving reimbursements (rather than making claims) in the future on some of those transactions. Under the old approach, a transaction with a projected lifetime loss, no matter how strong on a prospective basis, was required to be rated BIG. During the third quarter of 2013, the Company revised its approach to internal credit ratings. Under its revised approach, a transaction may be rated investment grade if it (a) has turned generally cash-flow positive and (b) is projected to have net future reimbursements with sufficient cushion to warrant an investment grade rating, even if it is projected to have ending lifetime unreimbursed insurance claim payments. The new approach resulted in the upgrade to investment grade of one RMBS transaction with a net par of $25 million at December 31, 2012. | ||||||||||||||||||||||||||||||||||||
The Company also applied its change in approach to internal credit ratings to the Surveillance BIG Category definitions. Previously the BIG Category definitions were based in large part on whether lifetime losses were projected. Under the new approach, the BIG Category definitions are based on whether future losses are projected. In addition to the upgrade out of BIG described above, the change in approach resulted in the migration of a number of risks within BIG Categories. | ||||||||||||||||||||||||||||||||||||
Effect of Refinement in Approach to | ||||||||||||||||||||||||||||||||||||
Internal Credit Ratings and Surveillance Categories | ||||||||||||||||||||||||||||||||||||
on Net Par Outstanding | ||||||||||||||||||||||||||||||||||||
As of December 31, 2012 | ||||||||||||||||||||||||||||||||||||
Previous Approach | New Approach | Difference | ||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
BIG 1 | $ | 9,254 | $ | 10,820 | $ | 1,566 | ||||||||||||||||||||||||||||||
BIG 2 | 4,617 | 4,617 | — | |||||||||||||||||||||||||||||||||
BIG 3 | 8,451 | 6,860 | (1,591 | ) | ||||||||||||||||||||||||||||||||
Total | $ | 22,322 | $ | 22,297 | $ | (25 | ) | |||||||||||||||||||||||||||||
Components of Outstanding Exposure | ||||||||||||||||||||||||||||||||||||
Debt Service Outstanding | ||||||||||||||||||||||||||||||||||||
Gross Debt Service | Net Debt Service | |||||||||||||||||||||||||||||||||||
Outstanding | Outstanding | |||||||||||||||||||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
Public finance | $ | 650,924 | $ | 722,478 | $ | 610,011 | $ | 677,285 | ||||||||||||||||||||||||||||
Structured finance | 86,456 | 110,620 | 80,524 | 103,071 | ||||||||||||||||||||||||||||||||
Total financial guaranty | $ | 737,380 | $ | 833,098 | $ | 690,535 | $ | 780,356 | ||||||||||||||||||||||||||||
Unless otherwise noted, ratings disclosed herein on Assured Guaranty's insured portfolio reflect Assured Guaranty's internal ratings. The Company classifies those portions of risks benefiting from reimbursement obligations collateralized by eligible assets held in trust in acceptable reimbursement structures as the higher of 'AA' or their current internal rating. | ||||||||||||||||||||||||||||||||||||
Financial Guaranty Portfolio by Internal Rating | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
Public Finance | Public Finance | Structured Finance | Structured Finance | Total | ||||||||||||||||||||||||||||||||
U.S. | Non-U.S. | U.S | Non-U.S | |||||||||||||||||||||||||||||||||
Rating | Net Par | % | Net Par | % | Net Par | % | Net Par | % | Net Par | % | ||||||||||||||||||||||||||
Category (1) | Outstanding | Outstanding | Outstanding | Outstanding | Outstanding | |||||||||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||||||||||||
AAA | $ | 4,998 | 1.4 | % | $ | 1,016 | 3 | % | $ | 32,317 | 54.9 | % | $ | 9,684 | 69.1 | % | $ | 48,015 | 10.5 | % | ||||||||||||||||
AA | 107,503 | 30.5 | 422 | 1.2 | 9,431 | 16 | 577 | 4.1 | 117,933 | 25.7 | ||||||||||||||||||||||||||
A | 192,841 | 54.8 | 9,453 | 27.9 | 2,580 | 4.4 | 742 | 5.3 | 205,616 | 44.8 | ||||||||||||||||||||||||||
BBB | 37,745 | 10.7 | 21,499 | 63.2 | 3,815 | 6.4 | 1,946 | 13.9 | 65,005 | 14.1 | ||||||||||||||||||||||||||
BIG | 9,094 | 2.6 | 1,608 | 4.7 | 10,764 | 18.3 | 1,072 | 7.6 | 22,538 | 4.9 | ||||||||||||||||||||||||||
Total net par outstanding (excluding loss mitigation bonds) | $ | 352,181 | 100 | % | $ | 33,998 | 100 | % | $ | 58,907 | 100 | % | $ | 14,021 | 100 | % | $ | 459,107 | 100 | % | ||||||||||||||||
Loss Mitigation Bonds | 32 | — | 1,163 | — | 1,195 | |||||||||||||||||||||||||||||||
Total net par outstanding (including loss mitigation bonds) | $ | 352,213 | $ | 33,998 | $ | 60,070 | $ | 14,021 | $ | 460,302 | ||||||||||||||||||||||||||
Financial Guaranty Portfolio by Internal Rating | ||||||||||||||||||||||||||||||||||||
As of December 31, 2012 | ||||||||||||||||||||||||||||||||||||
Public Finance | Public Finance | Structured Finance | Structured Finance | Total | ||||||||||||||||||||||||||||||||
U.S. | Non-U.S. | U.S | Non-U.S | |||||||||||||||||||||||||||||||||
Rating | Net Par | % | Net Par | % | Net Par | % | Net Par | % | Net Par | % | ||||||||||||||||||||||||||
Category (1) | Outstanding | Outstanding | Outstanding | Outstanding | Outstanding | |||||||||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||||||||||||
AAA | $ | 4,502 | 1.2 | % | $ | 1,706 | 4.5 | % | $ | 42,187 | 56.6 | % | $ | 13,169 | 70.2 | % | $ | 61,564 | 11.9 | % | ||||||||||||||||
AA | 124,525 | 32.1 | 875 | 2.3 | 9,543 | 12.8 | 722 | 3.9 | 135,665 | 26.1 | ||||||||||||||||||||||||||
A | 210,124 | 54.1 | 9,781 | 26.1 | 4,670 | 6.3 | 1,409 | 7.5 | 225,984 | 43.6 | ||||||||||||||||||||||||||
BBB | 44,213 | 11.4 | 22,885 | 61 | 3,737 | 5 | 2,427 | 12.9 | 73,262 | 14.1 | ||||||||||||||||||||||||||
BIG | 4,565 | 1.2 | 2,293 | 6.1 | 14,398 | 19.3 | 1,041 | 5.5 | 22,297 | 4.3 | ||||||||||||||||||||||||||
Total net par outstanding (excluding loss mitigation bonds) | $ | 387,929 | 100 | % | $ | 37,540 | 100 | % | $ | 74,535 | 100 | % | $ | 18,768 | 100 | % | $ | 518,772 | 100 | % | ||||||||||||||||
Loss Mitigation Bonds | 38 | — | 1,083 | — | 1,121 | |||||||||||||||||||||||||||||||
Total net par outstanding (including loss mitigation bonds) | $ | 387,967 | $ | 37,540 | $ | 75,618 | $ | 18,768 | $ | 519,893 | ||||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
-1 | In the third quarter of 2013, the Company adjusted its approach to assigning internal ratings. See "Refinement of Approach to Internal Credit Ratings and Surveillance Categories" above. This approach is reflected in the "Financial Guaranty Portfolio by Internal Rating" tables as of both December 31, 2013 and December 31, 2012. | |||||||||||||||||||||||||||||||||||
Financial Guaranty Portfolio | ||||||||||||||||||||||||||||||||||||
by Sector | ||||||||||||||||||||||||||||||||||||
Gross Par Outstanding | Ceded Par Outstanding | Net Par Outstanding | ||||||||||||||||||||||||||||||||||
Sector | As of December 31, 2013 | As of December 31, 2012 | As of December 31, 2013 | As of December 31, 2012 | As of December 31, 2013 | As of December 31, 2012 | ||||||||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||||||||||||
Public finance: | ||||||||||||||||||||||||||||||||||||
U.S.: | ||||||||||||||||||||||||||||||||||||
General obligation | $ | 160,751 | $ | 175,932 | $ | 5,474 | $ | 5,947 | $ | 155,277 | $ | 169,985 | ||||||||||||||||||||||||
Tax backed | 70,552 | 77,894 | 3,728 | 4,145 | 66,824 | 73,749 | ||||||||||||||||||||||||||||||
Municipal utilities | 57,893 | 63,933 | 1,569 | 1,817 | 56,324 | 62,116 | ||||||||||||||||||||||||||||||
Transportation | 32,514 | 35,624 | 1,684 | 1,825 | 30,830 | 33,799 | ||||||||||||||||||||||||||||||
Healthcare | 17,663 | 19,507 | 1,531 | 1,669 | 16,132 | 17,838 | ||||||||||||||||||||||||||||||
Higher education | 14,470 | 16,244 | 399 | 474 | 14,071 | 15,770 | ||||||||||||||||||||||||||||||
Infrastructure finance | 5,014 | 5,100 | 900 | 890 | 4,114 | 4,210 | ||||||||||||||||||||||||||||||
Housing | 3,518 | 4,792 | 132 | 159 | 3,386 | 4,633 | ||||||||||||||||||||||||||||||
Investor-owned utilities | 992 | 1,070 | 1 | 1 | 991 | 1,069 | ||||||||||||||||||||||||||||||
Other public finance—U.S. | 4,249 | 4,784 | 17 | 24 | 4,232 | 4,760 | ||||||||||||||||||||||||||||||
Total public finance—U.S. | 367,616 | 404,880 | 15,435 | 16,951 | 352,181 | 387,929 | ||||||||||||||||||||||||||||||
Non-U.S.: | ||||||||||||||||||||||||||||||||||||
Infrastructure finance | 17,373 | 18,716 | 2,670 | 2,904 | 14,703 | 15,812 | ||||||||||||||||||||||||||||||
Regulated utilities | 15,502 | 16,861 | 4,297 | 4,367 | 11,205 | 12,494 | ||||||||||||||||||||||||||||||
Pooled infrastructure | 2,754 | 3,430 | 234 | 230 | 2,520 | 3,200 | ||||||||||||||||||||||||||||||
Other public finance—non-U.S. | 6,645 | 7,297 | 1,075 | 1,263 | 5,570 | 6,034 | ||||||||||||||||||||||||||||||
Total public finance—non-U.S. | 42,274 | 46,304 | 8,276 | 8,764 | 33,998 | 37,540 | ||||||||||||||||||||||||||||||
Total public finance | 409,890 | 451,184 | 23,711 | 25,715 | 386,179 | 425,469 | ||||||||||||||||||||||||||||||
Structured finance: | ||||||||||||||||||||||||||||||||||||
U.S.: | ||||||||||||||||||||||||||||||||||||
Pooled corporate obligations | 32,955 | 44,120 | 1,630 | 2,234 | 31,325 | 41,886 | ||||||||||||||||||||||||||||||
RMBS | 14,542 | 18,114 | 821 | 1,079 | 13,721 | 17,035 | ||||||||||||||||||||||||||||||
Commercial mortgage-backed securities ("CMBS") and other commercial real estate related exposures | 3,990 | 4,293 | 38 | 46 | 3,952 | 4,247 | ||||||||||||||||||||||||||||||
Insurance securitizations | 3,082 | 2,991 | 47 | 48 | 3,035 | 2,943 | ||||||||||||||||||||||||||||||
Financial product | 2,709 | 3,653 | — | — | 2,709 | 3,653 | ||||||||||||||||||||||||||||||
Consumer receivables | 2,257 | 2,429 | 59 | 60 | 2,198 | 2,369 | ||||||||||||||||||||||||||||||
Commercial receivables | 918 | 1,033 | 7 | 8 | 911 | 1,025 | ||||||||||||||||||||||||||||||
Structured credit | 71 | 249 | 2 | 51 | 69 | 198 | ||||||||||||||||||||||||||||||
Other structured finance—U.S. | 2,067 | 2,307 | 1,080 | 1,128 | 987 | 1,179 | ||||||||||||||||||||||||||||||
Total structured finance—U.S. | 62,591 | 79,189 | 3,684 | 4,654 | 58,907 | 74,535 | ||||||||||||||||||||||||||||||
Non-U.S.: | ||||||||||||||||||||||||||||||||||||
Pooled corporate obligations | 12,232 | 16,288 | 1,174 | 1,475 | 11,058 | 14,813 | ||||||||||||||||||||||||||||||
Commercial receivables | 1,286 | 1,489 | 23 | 26 | 1,263 | 1,463 | ||||||||||||||||||||||||||||||
RMBS | 1,296 | 1,586 | 150 | 162 | 1,146 | 1,424 | ||||||||||||||||||||||||||||||
Structured credit | 197 | 669 | 21 | 78 | 176 | 591 | ||||||||||||||||||||||||||||||
CMBS and other commercial real estate related exposures | — | 100 | — | — | — | 100 | ||||||||||||||||||||||||||||||
Other structured finance—non-U.S. | 403 | 402 | 25 | 25 | 378 | 377 | ||||||||||||||||||||||||||||||
Total structured finance—non-U.S. | 15,414 | 20,534 | 1,393 | 1,766 | 14,021 | 18,768 | ||||||||||||||||||||||||||||||
Total structured finance | 78,005 | 99,723 | 5,077 | 6,420 | 72,928 | 93,303 | ||||||||||||||||||||||||||||||
Total net par outstanding | $ | 487,895 | $ | 550,907 | $ | 28,788 | $ | 32,135 | $ | 459,107 | $ | 518,772 | ||||||||||||||||||||||||
In addition to the amounts shown in the table above, the Company’s net mortgage guaranty insurance in force was approximately $152 million as of December 31, 2013. The net mortgage guaranty insurance in force is assumed excess of loss business and comprises $144 million covering loans originated in Ireland and $8 million covering loans originated in the U.K. | ||||||||||||||||||||||||||||||||||||
In accordance with the terms of certain credit derivative contracts, the referenced obligations in such contracts have been delivered to the Company, and they therefore are included in the investment portfolio. Such amounts are still included in the financial guaranty insured portfolio, and totaled $195 million and $220 million in gross par outstanding as of December 31, 2013 and December 31, 2012, respectively. | ||||||||||||||||||||||||||||||||||||
Actual maturities of insured obligations could differ from contractual maturities because borrowers have the right to call or prepay certain obligations with or without call or prepayment penalties. The expected maturities of structured finance obligations are, in general, considerably shorter than the contractual maturities for such obligations. | ||||||||||||||||||||||||||||||||||||
Expected Amortization of | ||||||||||||||||||||||||||||||||||||
Net Par Outstanding | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
Public Finance | Structured Finance | Total | ||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
0 to 5 years | $ | 104,223 | $ | 56,783 | $ | 161,006 | ||||||||||||||||||||||||||||||
5 to 10 years | 81,176 | 7,261 | 88,437 | |||||||||||||||||||||||||||||||||
10 to 15 years | 74,775 | 2,965 | 77,740 | |||||||||||||||||||||||||||||||||
15 to 20 years | 56,734 | 2,017 | 58,751 | |||||||||||||||||||||||||||||||||
20 years and above | 69,271 | 3,902 | 73,173 | |||||||||||||||||||||||||||||||||
Total net par outstanding | $ | 386,179 | $ | 72,928 | $ | 459,107 | ||||||||||||||||||||||||||||||
In addition to amounts shown in the tables above, the Company had outstanding commitments to provide guaranties of $419 million for structured finance and $355 million for public finance obligations at December 31, 2013. The structured finance commitments include the unfunded component of pooled corporate and other transactions. Public finance commitments typically relate to primary and secondary public finance debt issuances. The expiration dates for the public finance commitments range between January 1, 2014 and February 25, 2017, with $231 million expiring prior to December 31, 2014. The commitments are contingent on the satisfaction of all conditions set forth in them and may expire unused or be canceled at the counterparty’s request. Therefore, the total commitment amount does not necessarily reflect actual future guaranteed amounts. | ||||||||||||||||||||||||||||||||||||
Components of BIG Portfolio | ||||||||||||||||||||||||||||||||||||
Components of BIG Net Par Outstanding | ||||||||||||||||||||||||||||||||||||
(Insurance and Credit Derivative Form) | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
BIG Net Par Outstanding | Net Par | BIG Net Par as | ||||||||||||||||||||||||||||||||||
a % of Total Net Par | ||||||||||||||||||||||||||||||||||||
BIG 1 | BIG 2 | BIG 3 | Total BIG | Outstanding | Outstanding | |||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
First lien U.S. RMBS: | ||||||||||||||||||||||||||||||||||||
Prime first lien | $ | 52 | $ | 321 | $ | 30 | $ | 403 | $ | 541 | 0.1 | % | ||||||||||||||||||||||||
Alt-A first lien | 656 | 1,137 | 935 | 2,728 | 3,590 | 0.6 | ||||||||||||||||||||||||||||||
Option ARM | 71 | 60 | 467 | 598 | 937 | 0.1 | ||||||||||||||||||||||||||||||
Subprime | 297 | 908 | 740 | 1,945 | 6,130 | 0.4 | ||||||||||||||||||||||||||||||
Second lien U.S. RMBS: | ||||||||||||||||||||||||||||||||||||
Closed end second lien | 8 | 20 | 118 | 146 | 244 | 0 | ||||||||||||||||||||||||||||||
Home equity lines of credit (“HELOCs”) | 1,499 | 20 | 378 | 1,897 | 2,279 | 0.4 | ||||||||||||||||||||||||||||||
Total U.S. RMBS | 2,583 | 2,466 | 2,668 | 7,717 | 13,721 | 1.6 | ||||||||||||||||||||||||||||||
Trust preferred securities (“TruPS”) | 1,587 | 135 | — | 1,722 | 4,970 | 0.4 | ||||||||||||||||||||||||||||||
Other structured finance | 1,367 | 309 | 721 | 2,397 | 54,237 | 0.5 | ||||||||||||||||||||||||||||||
U.S. public finance | 8,205 | 440 | 449 | 9,094 | 352,181 | 2 | ||||||||||||||||||||||||||||||
Non-U.S. public finance | 1,009 | 599 | — | 1,608 | 33,998 | 0.4 | ||||||||||||||||||||||||||||||
Total | $ | 14,751 | $ | 3,949 | $ | 3,838 | $ | 22,538 | $ | 459,107 | 4.9 | % | ||||||||||||||||||||||||
Components of BIG Net Par Outstanding | ||||||||||||||||||||||||||||||||||||
(Insurance and Credit Derivative Form) | ||||||||||||||||||||||||||||||||||||
As of December 31, 2012 | ||||||||||||||||||||||||||||||||||||
BIG Net Par Outstanding | Net Par | BIG Net Par as | ||||||||||||||||||||||||||||||||||
a % of Total Net Par | ||||||||||||||||||||||||||||||||||||
BIG 1 | BIG 2 | BIG 3 | Total BIG | Outstanding | Outstanding | |||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
First lien U.S. RMBS: | ||||||||||||||||||||||||||||||||||||
Prime first lien | $ | 28 | $ | 436 | $ | 11 | $ | 475 | $ | 641 | 0.1 | % | ||||||||||||||||||||||||
Alt-A first lien | 753 | 1,962 | 739 | 3,454 | 4,469 | 0.7 | ||||||||||||||||||||||||||||||
Option ARM | 333 | 392 | 317 | 1,042 | 1,450 | 0.2 | ||||||||||||||||||||||||||||||
Subprime (including net interest margin securities) | 152 | 988 | 921 | 2,061 | 7,048 | 0.4 | ||||||||||||||||||||||||||||||
Second lien U.S. RMBS: | ||||||||||||||||||||||||||||||||||||
Closed end second lien | 97 | 76 | 58 | 231 | 348 | 0 | ||||||||||||||||||||||||||||||
HELOCs | 644 | — | 1,932 | 2,576 | 3,079 | 0.5 | ||||||||||||||||||||||||||||||
Total U.S. RMBS | 2,007 | 3,854 | 3,978 | 9,839 | 17,035 | 1.9 | ||||||||||||||||||||||||||||||
TruPS | 1,920 | — | 953 | 2,873 | 5,694 | 0.6 | ||||||||||||||||||||||||||||||
Other structured finance | 1,310 | 263 | 1,154 | 2,727 | 70,574 | 0.5 | ||||||||||||||||||||||||||||||
U.S. public finance | 3,290 | 500 | 775 | 4,565 | 387,929 | 0.9 | ||||||||||||||||||||||||||||||
Non-U.S. public finance | 2,293 | — | — | 2,293 | 37,540 | 0.4 | ||||||||||||||||||||||||||||||
Total | $ | 10,820 | $ | 4,617 | $ | 6,860 | $ | 22,297 | $ | 518,772 | 4.3 | % | ||||||||||||||||||||||||
BIG Net Par Outstanding | ||||||||||||||||||||||||||||||||||||
and Number of Risks | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
Net Par Outstanding | Number of Risks(2) | |||||||||||||||||||||||||||||||||||
Description | Financial | Credit | Total | Financial | Credit | Total | ||||||||||||||||||||||||||||||
Guaranty | Derivative | Guaranty | Derivative | |||||||||||||||||||||||||||||||||
Insurance(1) | Insurance(1) | |||||||||||||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||||||||||||
BIG: | ||||||||||||||||||||||||||||||||||||
Category 1 | $ | 12,391 | $ | 2,360 | $ | 14,751 | 185 | 25 | 210 | |||||||||||||||||||||||||||
Category 2 | 2,323 | 1,626 | 3,949 | 80 | 21 | 101 | ||||||||||||||||||||||||||||||
Category 3 | 3,031 | 807 | 3,838 | 119 | 27 | 146 | ||||||||||||||||||||||||||||||
Total BIG | $ | 17,745 | $ | 4,793 | $ | 22,538 | 384 | 73 | 457 | |||||||||||||||||||||||||||
BIG Net Par Outstanding | ||||||||||||||||||||||||||||||||||||
and Number of Risks | ||||||||||||||||||||||||||||||||||||
As of December 31, 2012 | ||||||||||||||||||||||||||||||||||||
Net Par Outstanding | Number of Risks(2) | |||||||||||||||||||||||||||||||||||
Description | Financial | Credit | Total | Financial | Credit | Total | ||||||||||||||||||||||||||||||
Guaranty | Derivative | Guaranty | Derivative | |||||||||||||||||||||||||||||||||
Insurance(1) | Insurance(1) | |||||||||||||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||||||||||||
BIG: | ||||||||||||||||||||||||||||||||||||
Category 1 | $ | 7,929 | $ | 2,891 | $ | 10,820 | 163 | 33 | 196 | |||||||||||||||||||||||||||
Category 2 | 2,116 | 2,501 | 4,617 | 76 | 27 | 103 | ||||||||||||||||||||||||||||||
Category 3 | 5,543 | 1,317 | 6,860 | 131 | 29 | 160 | ||||||||||||||||||||||||||||||
Total BIG | $ | 15,588 | $ | 6,709 | $ | 22,297 | 370 | 89 | 459 | |||||||||||||||||||||||||||
_____________________ | ||||||||||||||||||||||||||||||||||||
(1) Includes net par outstanding for 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. | |||||||||||||||||||||||||||||||||||
Geographic Distribution of Net Par Outstanding | ||||||||||||||||||||||||||||||||||||
The Company seeks to maintain a diversified portfolio of insured obligations designed to spread its risk across a number of geographic areas. | ||||||||||||||||||||||||||||||||||||
Geographic Distribution of | ||||||||||||||||||||||||||||||||||||
Net Par Outstanding | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
Number of Risks | Net Par Outstanding | Percent of Total Net Par Outstanding | ||||||||||||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||||||||||||
U.S.: | ||||||||||||||||||||||||||||||||||||
U.S. Public Finance: | ||||||||||||||||||||||||||||||||||||
California | 1,492 | $ | 52,704 | 11.5 | % | |||||||||||||||||||||||||||||||
New York | 1,035 | 28,582 | 6.2 | |||||||||||||||||||||||||||||||||
Pennsylvania | 1,059 | 28,475 | 6.2 | |||||||||||||||||||||||||||||||||
Texas | 1,269 | 27,249 | 5.9 | |||||||||||||||||||||||||||||||||
Illinois | 881 | 24,138 | 5.3 | |||||||||||||||||||||||||||||||||
Florida | 422 | 21,773 | 4.7 | |||||||||||||||||||||||||||||||||
New Jersey | 656 | 14,462 | 3.2 | |||||||||||||||||||||||||||||||||
Michigan | 713 | 14,250 | 3.1 | |||||||||||||||||||||||||||||||||
Georgia | 204 | 9,364 | 2 | |||||||||||||||||||||||||||||||||
Ohio | 554 | 8,763 | 1.9 | |||||||||||||||||||||||||||||||||
Other states and U.S. territories | 4,517 | 122,421 | 26.7 | |||||||||||||||||||||||||||||||||
Total U.S. public finance | 12,802 | 352,181 | 76.7 | |||||||||||||||||||||||||||||||||
U.S. Structured finance (multiple states) | 963 | 58,907 | 12.8 | |||||||||||||||||||||||||||||||||
Total U.S. | 13,765 | 411,088 | 89.5 | |||||||||||||||||||||||||||||||||
Non-U.S.: | ||||||||||||||||||||||||||||||||||||
United Kingdom | 115 | 21,405 | 4.7 | |||||||||||||||||||||||||||||||||
Australia | 29 | 5,598 | 1.2 | |||||||||||||||||||||||||||||||||
Canada | 10 | 3,851 | 0.8 | |||||||||||||||||||||||||||||||||
France | 21 | 3,614 | 0.8 | |||||||||||||||||||||||||||||||||
Italy | 10 | 1,808 | 0.4 | |||||||||||||||||||||||||||||||||
Other | 100 | 11,743 | 2.6 | |||||||||||||||||||||||||||||||||
Total non-U.S. | 285 | 48,019 | 10.5 | |||||||||||||||||||||||||||||||||
Total | 14,050 | $ | 459,107 | 100 | % | |||||||||||||||||||||||||||||||
Direct Economic Exposure to the Selected European Countries | ||||||||||||||||||||||||||||||||||||
Several European countries continue to experience significant economic, fiscal and/or political strains such that the likelihood of default on obligations with a nexus to those countries may be higher than the Company anticipated when such factors did not exist. The European countries where it believes heightened uncertainties exist are: Hungary, Ireland, Italy, Portugal and Spain (the “Selected European Countries”). The Company is closely monitoring its exposures in Selected European Countries where it believes heightened uncertainties exist. Published reports have identified countries that may be experiencing reduced demand for their sovereign debt in the current environment. The Company selected these European countries based on these reports and its view that their credit fundamentals are deteriorating. The Company’s economic exposure to the Selected European Countries (based on par for financial guaranty contracts and notional amount for financial guaranty contracts accounted for as derivatives) is shown in the following table, net of ceded reinsurance. | ||||||||||||||||||||||||||||||||||||
Net Direct Economic Exposure to Selected European Countries(1) | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
Hungary (2) | Ireland | Italy | Portugal (2) | Spain (2) | Total | |||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
Sovereign and sub-sovereign exposure: | ||||||||||||||||||||||||||||||||||||
Non-infrastructure public finance | $ | — | $ | — | $ | 1,024 | $ | 98 | $ | 275 | $ | 1,397 | ||||||||||||||||||||||||
Infrastructure finance | 384 | — | 18 | 12 | 155 | 569 | ||||||||||||||||||||||||||||||
Sub-total | 384 | — | 1,042 | 110 | 430 | 1,966 | ||||||||||||||||||||||||||||||
Non-sovereign exposure: | ||||||||||||||||||||||||||||||||||||
Regulated utilities | — | — | 234 | — | — | 234 | ||||||||||||||||||||||||||||||
RMBS | 224 | 144 | 315 | — | — | 683 | ||||||||||||||||||||||||||||||
Sub-total | 224 | 144 | 549 | — | — | 917 | ||||||||||||||||||||||||||||||
Total | $ | 608 | $ | 144 | $ | 1,591 | $ | 110 | $ | 430 | $ | 2,883 | ||||||||||||||||||||||||
Total BIG | $ | 608 | $ | — | $ | — | $ | 110 | $ | 430 | $ | 1,148 | ||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
-1 | While the Company’s exposures are shown in U.S. dollars, the obligations the Company insures are in various currencies, including U.S. dollars, Euros and British pounds sterling. Included in the table above is $144 million of reinsurance assumed on a 2004 - 2006 pool of Irish residential mortgages that is part of the Company’s remaining legacy mortgage reinsurance business. One of the residential mortgage-backed securities included in the table above includes residential mortgages in both Italy and Germany, and only the portion of the transaction equal to the portion of the original mortgage pool in Italian mortgages is shown in the table. | |||||||||||||||||||||||||||||||||||
(2) | See Note 6, Expected Loss to be Paid. | |||||||||||||||||||||||||||||||||||
When the Company directly insures an obligation, it assigns the obligation to a geographic location or locations based on its view of the geographic location of the risk. For direct exposure this can be a relatively straight-forward determination as, for example, a debt issue supported by availability payments for a toll road in a particular country. The Company may also assign portions of a risk to more than one geographic location. The Company may also have direct exposures to the Selected European Countries in business assumed from unaffiliated monoline insurance companies. In the case of assumed business for direct exposures, the Company depends upon geographic information provided by the primary insurer. | ||||||||||||||||||||||||||||||||||||
The Company has excluded in the exposure tables above its indirect economic exposure to the Selected European Countries through policies it provides on (a) pooled corporate and (b) commercial receivables transactions. The Company considers economic exposure to a selected European Country to be indirect when the exposure relates to only a small portion of an insured transaction that otherwise is not related to a Selected European Country. The Company has reviewed transactions through which it believes it may have indirect exposure to the Selected European Countries that is material to the transaction and calculated total net indirect exposure to Selected European Counties in non-sovereign pooled corporate and non-sovereign commercial receivables to be $781 million and $86 million, respectively, based on the proportion of the insured par equal to the proportion of obligors identified as being domiciled in a Selected European Country. | ||||||||||||||||||||||||||||||||||||
The Company no longer guarantees any sovereign bonds of the Selected European Countries. The exposure shown in the “Non-infrastructure public finance” category is from transactions backed by receivable payments from sub-sovereigns in Italy, Spain and Portugal. Sub-sovereign debt is debt issued by a governmental entity or government backed entity, or supported by such an entity, that is other than direct sovereign debt of the ultimate governing body of the country. In 2012, the Company paid claims under its guarantees of €218 million in net exposure to the sovereign debt of Greece, paying off in full its liabilities with respect to the Greek sovereign bonds. | ||||||||||||||||||||||||||||||||||||
Exposure to Puerto Rico | ||||||||||||||||||||||||||||||||||||
The Company insures general obligation bonds of the Commonwealth of Puerto Rico and various obligations of its related authorities and public corporations aggregating $5.4 billion net par. The Company rates $5.2 billion net par of that amount BIG. | ||||||||||||||||||||||||||||||||||||
The following table shows estimated amortization of the general obligation bonds of Puerto Rico and various obligations of its related authorities and public corporations insured and rated BIG by the Company. The Company guarantees payments of interest and principal when those amounts are scheduled to be paid and cannot be required to pay on an accelerated basis. The column labeled “Estimated BIG Net Debt Service Amortization” shows the total amount of principal and interest due in the period indicated and represents the maximum net amount the Company would be required to pay on BIG Puerto Rico exposures in a given period assuming the obligors paid nothing on all of those obligations in that period. | ||||||||||||||||||||||||||||||||||||
Amortization Schedule of BIG Net Par Outstanding | ||||||||||||||||||||||||||||||||||||
and BIG Net Debt Service Outstanding of Puerto Rico | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
Estimated BIG Net Par Amortization | Estimated BIG Net Debt Service Amortization | |||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
2014 | $ | 242 | $ | 501 | ||||||||||||||||||||||||||||||||
2015 | 364 | 608 | ||||||||||||||||||||||||||||||||||
2016 | 289 | 515 | ||||||||||||||||||||||||||||||||||
2017 | 208 | 421 | ||||||||||||||||||||||||||||||||||
2018 | 160 | 363 | ||||||||||||||||||||||||||||||||||
2019-2023 | 921 | 1,780 | ||||||||||||||||||||||||||||||||||
2024-2028 | 979 | 1,622 | ||||||||||||||||||||||||||||||||||
2029-2033 | 706 | 1,141 | ||||||||||||||||||||||||||||||||||
After 2033 | 1,302 | 1,596 | ||||||||||||||||||||||||||||||||||
Total | $ | 5,171 | $ | 8,547 | ||||||||||||||||||||||||||||||||
Recent announcements and actions by the Governor and his administration indicate officials of the Commonwealth are focused on measures to help Puerto Rico operate within its financial resources and maintain its access to the capital markets. All Puerto Rico credits insured by the Company are current on their debt service payments, and we expect them to continue to make their debt service payments. Neither Puerto Rico nor its related authorities and public corporations are eligible debtors under Chapter 9 of the U.S. Bankruptcy Code. However, Puerto Rico faces high debt levels, a declining population and an economy that has been in recession since 2006. Puerto Rico has been operating with a structural budget deficit in recent years, and its two largest pension funds are significantly underfunded. | ||||||||||||||||||||||||||||||||||||
In January 2014 the Company downgraded most of its insured Puerto Rico credits to BIG, reflecting the economic and financial challenges facing the Commonwealth and due to concerns that the rating agencies would downgrade Puerto Rico and limit its access to credit. Subsequently, in February 2014, S&P, Moody's and Fitch Ratings downgraded much of the debt of Puerto Rico and its related authorities and public corporations to BIG, citing various factors including limited liquidity and market access risk. |
Financial_Guaranty_Insurance_P
Financial Guaranty Insurance Premiums | 12 Months Ended | |||||||||||||||||||||||
Dec. 31, 2013 | ||||||||||||||||||||||||
Financial Guaranty Insurance Premiums [Abstract] | ' | |||||||||||||||||||||||
Financial Guaranty Insurance Premiums | ' | |||||||||||||||||||||||
Financial Guaranty Insurance Premiums | ||||||||||||||||||||||||
The portfolio of outstanding exposures discussed in Note 3, Outstanding Exposure, includes financial guaranty contracts that meet the definition of insurance contracts as well as those that meet the definition of a derivative under GAAP. Amounts presented in this note relate only to financial guaranty insurance contracts. See Note 9, Financial Guaranty Contracts Accounted for as Credit Derivatives. | ||||||||||||||||||||||||
Accounting Policies | ||||||||||||||||||||||||
Accounting for financial guaranty contracts that meet the scope exception under derivative accounting guidance are subject to industry specific guidance for financial guaranty insurance. The accounting for contracts that fall under the financial guaranty insurance definition are consistent whether the contract was written on a direct basis, assumed from another financial guarantor under a reinsurance treaty, ceded to another insurer under a reinsurance treaty, or acquired in a business combination. | ||||||||||||||||||||||||
Unearned premium reserve represents deferred premium revenue, net of paid claims that have not yet been expensed (“contra-paid”). The following discussion relates to the deferred premium revenue component of the unearned premium reserve, while the contra-paid is discussed in Note 7, Financial Guaranty Insurance Losses. | ||||||||||||||||||||||||
The amount of deferred premium revenue at contract inception is determined as follows: | ||||||||||||||||||||||||
• | For premiums received upfront on financial guaranty insurance contracts that were originally underwritten by the Company, deferred premium revenue is equal to the amount of cash received. Upfront premiums typically relate to public finance transactions. | |||||||||||||||||||||||
• | For premiums received in installments on financial guaranty insurance contracts that were originally underwritten by the Company, deferred premium revenue is the present value of either (1) contractual premiums due or (2) in cases where the underlying collateral is comprised of homogeneous pools of assets, the expected premiums to be collected over the life of the contract. To be considered a homogeneous pool of assets, prepayments must be contractually prepayable, the amount of prepayments must be probable, and the timing and amount of prepayments must be reasonably estimable. When the Company adjusts prepayment assumptions or expected premium collections, an adjustment is recorded to the deferred premium revenue, with a corresponding adjustment to the premium receivable, and prospective changes are recognized in premium revenues. Premiums receivable are discounted at the risk-free rate at inception and such discount rate is updated only when changes to prepayment assumptions are made that change the expected date of final maturity. Installment premiums typically relate to structured finance transactions, where the insurance premium rate is determined at the inception of the contract but the insured par is subject to prepayment throughout the life of the transaction. | |||||||||||||||||||||||
• | For financial guaranty insurance contracts acquired in a business combination, deferred premium revenue is equal to the fair value of the insurance contract at the date of acquisition based on what a hypothetical similarly rated financial guaranty insurer would have charged for the contract at that date and not the actual cash flows under the insurance contract. The amount of deferred premium revenue may differ significantly from cash collections due primarily to fair value adjustments recorded in connection with a business combination. | |||||||||||||||||||||||
The Company recognizes deferred premium revenue as earned premium over the contractual period or expected period of the contract in proportion to the amount of insurance protection provided. As premium revenue is recognized, a corresponding decrease to the deferred premium revenue is recorded. The amount of insurance protection provided is a function of the insured principal amount outstanding. Accordingly, the proportionate share of premium revenue recognized in a given reporting period is a constant rate calculated based on the relationship between the insured principal amounts outstanding in the reporting period compared with the sum of each of the insured principal amounts outstanding for all periods. When an insured financial obligation is retired before its maturity, the financial guaranty insurance contract is extinguished. Any nonrefundable deferred premium revenue related to that contract is accelerated and recognized as premium revenue. When a premium receivable balance is deemed uncollectible, it is written off to bad debt expense. | ||||||||||||||||||||||||
For reinsurance assumed contracts, earned premiums reported in the Company's consolidated statements of operations are calculated based upon data received from ceding companies, however, some ceding companies report premium data between 30 and 90 days after the end of the reporting period. The Company estimates earned premiums for the lag period. Differences between such estimates and actual amounts are recorded in the period in which the actual amounts are determined. When installment premiums are related to reinsurance assumed contracts, the Company assesses the credit quality and liquidity of the ceding companies and the impact of any potential regulatory constraints to determine the collectability of such amounts. | ||||||||||||||||||||||||
Deferred premium revenue ceded to reinsurers (ceded unearned premium reserve) is recorded as an asset. Direct, assumed and ceded earned premium revenue are presented together as net earned premiums in the statement of operations. Net earned premiums comprise the following: | ||||||||||||||||||||||||
Net Earned Premiums | ||||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||||
2013 | 2012 | 2011 | ||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Scheduled net earned premiums | $ | 470 | $ | 581 | $ | 765 | ||||||||||||||||||
Acceleration of net earned premiums | 263 | 249 | 125 | |||||||||||||||||||||
Accretion of discount on net premiums receivable | 17 | 22 | 28 | |||||||||||||||||||||
Financial guaranty insurance net earned premiums | 750 | 852 | 918 | |||||||||||||||||||||
Other | 2 | 1 | 2 | |||||||||||||||||||||
Net earned premiums(1) | $ | 752 | $ | 853 | $ | 920 | ||||||||||||||||||
___________________ | ||||||||||||||||||||||||
-1 | Excludes $60 million, $153 million and $75 million for the year ended December 31, 2013, 2012 and 2011, respectively, related to consolidated FG VIEs. | |||||||||||||||||||||||
Components of | ||||||||||||||||||||||||
Unearned Premium Reserve | ||||||||||||||||||||||||
As of December 31, 2013 | As of December 31, 2012 | |||||||||||||||||||||||
Gross | Ceded | Net(1) | Gross | Ceded | Net(1) | |||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Deferred premium revenue: | ||||||||||||||||||||||||
Financial guaranty insurance | $ | 4,647 | $ | 470 | $ | 4,177 | $ | 5,349 | $ | 586 | $ | 4,763 | ||||||||||||
Other | 5 | — | 5 | 7 | — | 7 | ||||||||||||||||||
Deferred premium revenue | $ | 4,652 | $ | 470 | $ | 4,182 | $ | 5,356 | $ | 586 | $ | 4,770 | ||||||||||||
Contra-paid | (57 | ) | (18 | ) | (39 | ) | (149 | ) | (25 | ) | (124 | ) | ||||||||||||
Unearned premium reserve | $ | 4,595 | $ | 452 | $ | 4,143 | $ | 5,207 | $ | 561 | $ | 4,646 | ||||||||||||
____________________ | ||||||||||||||||||||||||
-1 | Excludes $187 million and $262 million deferred premium revenue and $55 million and $98 million contra-paid related to FG VIEs as of December 31, 2013 and December 31, 2012, respectively. | |||||||||||||||||||||||
Gross Premium Receivable, | ||||||||||||||||||||||||
Net of Commissions on Assumed Business | ||||||||||||||||||||||||
Roll Forward | ||||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||||
2013 | 2012 | 2011 | ||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Beginning of period, December 31 | $ | 1,005 | $ | 1,003 | $ | 1,168 | ||||||||||||||||||
Gross premium written, net of commissions on assumed business | 145 | 211 | 245 | |||||||||||||||||||||
Gross premiums received, net of commissions on assumed business | (259 | ) | (294 | ) | (318 | ) | ||||||||||||||||||
Adjustments: | ||||||||||||||||||||||||
Changes in the expected term | (28 | ) | 44 | (104 | ) | |||||||||||||||||||
Accretion of discount, net of commissions on assumed business | 20 | 36 | 32 | |||||||||||||||||||||
Foreign exchange translation | (1 | ) | 13 | (5 | ) | |||||||||||||||||||
Consolidation of FG VIEs | — | (5 | ) | (10 | ) | |||||||||||||||||||
Other adjustments | (6 | ) | (3 | ) | (5 | ) | ||||||||||||||||||
End of period, December 31 (1) | $ | 876 | $ | 1,005 | $ | 1,003 | ||||||||||||||||||
____________________ | ||||||||||||||||||||||||
-1 | Excludes $21 million, $29 million and $28 million as of December 31, 2013 , 2012 and 2011, respectively, related to consolidated FG VIEs. | |||||||||||||||||||||||
Gains or losses due to foreign exchange rate changes relate to installment premium receivables denominated in currencies other than the U.S. dollar. Approximately 48% and 47% of installment premiums at December 31, 2013 and 2012, respectively, are denominated in currencies other than the U.S. dollar, primarily the Euro and British Pound Sterling. | ||||||||||||||||||||||||
The timing and cumulative amount of actual collections may differ from expected collections in the tables below due to factors such as foreign exchange rate fluctuations, counterparty collectability issues, accelerations, commutations and changes in expected lives. | ||||||||||||||||||||||||
Expected Collections of | ||||||||||||||||||||||||
Gross Premiums Receivable, | ||||||||||||||||||||||||
Net of Commissions on Assumed Business | ||||||||||||||||||||||||
(Undiscounted) | ||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
2014 (January 1 – March 31) | $ | 47 | ||||||||||||||||||||||
2014 (April 1 – June 30) | 33 | |||||||||||||||||||||||
2014 (July 1 – September 30) | 23 | |||||||||||||||||||||||
2014 (October 1 – December 31) | 25 | |||||||||||||||||||||||
2015 | 91 | |||||||||||||||||||||||
2016 | 85 | |||||||||||||||||||||||
2017 | 78 | |||||||||||||||||||||||
2018 | 70 | |||||||||||||||||||||||
2019-2023 | 279 | |||||||||||||||||||||||
2024-2028 | 173 | |||||||||||||||||||||||
2029-2033 | 121 | |||||||||||||||||||||||
After 2033 | 129 | |||||||||||||||||||||||
Total(1) | $ | 1,154 | ||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||
-1 | Excludes expected cash collections on FG VIEs of $27 million. | |||||||||||||||||||||||
Scheduled Net Earned Premiums | ||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
2014 (January 1 – March 31) | $ | 108 | ||||||||||||||||||||||
2014 (April 1 – June 30) | 107 | |||||||||||||||||||||||
2014 (July 1 – September 30) | 105 | |||||||||||||||||||||||
2014 (October 1 – December 31) | 102 | |||||||||||||||||||||||
Subtotal 2014 | 422 | |||||||||||||||||||||||
2015 | 372 | |||||||||||||||||||||||
2016 | 328 | |||||||||||||||||||||||
2017 | 294 | |||||||||||||||||||||||
2018 | 269 | |||||||||||||||||||||||
2019-2023 | 1,049 | |||||||||||||||||||||||
2024-2028 | 668 | |||||||||||||||||||||||
2029-2033 | 405 | |||||||||||||||||||||||
After 2033 | 370 | |||||||||||||||||||||||
Total present value basis(1) | 4,177 | |||||||||||||||||||||||
Discount | 240 | |||||||||||||||||||||||
Total future value | $ | 4,417 | ||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||
-1 | Excludes scheduled net earned premiums on consolidated FG VIEs of $187 million. | |||||||||||||||||||||||
Selected Information for | ||||||||||||||||||||||||
Policies Paid in Installments | ||||||||||||||||||||||||
As of | As of | |||||||||||||||||||||||
31-Dec-13 | 31-Dec-12 | |||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||
Premiums receivable, net of ceding commission payable | $ | 876 | $ | 1,005 | ||||||||||||||||||||
Gross deferred premium revenue | 1,576 | 1,908 | ||||||||||||||||||||||
Weighted-average risk-free rate used to discount premiums | 3.4 | % | 3.5 | % | ||||||||||||||||||||
Weighted-average period of premiums receivable (in years) | 9.4 | 9.6 | ||||||||||||||||||||||
Financial_Guaranty_Insurance_A
Financial Guaranty Insurance Acquisition Costs | 12 Months Ended | |||||||||||
Dec. 31, 2013 | ||||||||||||
Insurance [Abstract] | ' | |||||||||||
Financial Guaranty Insurance Acquisition Costs | ' | |||||||||||
Financial Guaranty Insurance Acquisition Costs | ||||||||||||
Accounting Policy | ||||||||||||
Policy acquisition costs that are directly related and essential to successful insurance contract acquisition are deferred for contracts accounted for as insurance. Amortization of deferred policy acquisition costs includes the accretion of discount on ceding commission income and expense. Acquisition costs associated with derivative contracts are not deferred. | ||||||||||||
Direct costs related to the acquisition of new and renewal contracts that result directly from and are essential to the contract transaction are capitalized. These costs include expenses such as ceding commissions and the cost of underwriting personnel. Ceding commission expense on assumed reinsurance contracts and ceding commission income on ceded reinsurance contracts that are associated with premiums received in installments are calculated at their contractually defined rates and included in deferred acquisition costs ("DAC"), with a corresponding offset to net premiums receivable or reinsurance balances payable. Management uses its judgment in determining the type and amount of costs to be deferred. The Company conducts an annual study to determine which operating costs qualify for deferral. Costs incurred by the insurer for soliciting potential customers, market research, training, administration, unsuccessful acquisition efforts, and product development as well as all overhead type costs are charged to expense as incurred. DAC are amortized in proportion to net earned premiums. When an insured obligation is retired early, the remaining related DAC is expensed at that time. | ||||||||||||
Expected losses, which include loss adjustment expenses (“LAE”), investment income, and the remaining costs of servicing the insured or reinsured business, are considered in determining the recoverability of DAC. | ||||||||||||
Rollforward of | ||||||||||||
Deferred Acquisition Costs | ||||||||||||
Year Ended December 31, | ||||||||||||
2013 | 2012 | 2011 | ||||||||||
(in millions) | ||||||||||||
Beginning of period | $ | 116 | $ | 132 | $ | 146 | ||||||
Costs deferred during the period: | ||||||||||||
Commissions on assumed and ceded business | 9 | (13 | ) | (13 | ) | |||||||
Premium taxes | 4 | 4 | 7 | |||||||||
Compensation and other acquisition costs | 8 | 10 | 9 | |||||||||
Total | 21 | 1 | 3 | |||||||||
Costs amortized during the period | (13 | ) | (17 | ) | (17 | ) | ||||||
Foreign exchange translation | 0 | 0 | 0 | |||||||||
End of period | $ | 124 | $ | 116 | $ | 132 | ||||||
Expected_Loss_to_be_Paid
Expected Loss to be Paid | 12 Months Ended | |||||||||||||||||
Dec. 31, 2013 | ||||||||||||||||||
Expected Losses [Abstract] | ' | |||||||||||||||||
Expected Loss to be Paid | ' | |||||||||||||||||
Expected Loss to be Paid | ||||||||||||||||||
Accounting Policy | ||||||||||||||||||
The insured portfolio includes policies accounted for under three separate accounting models depending on the characteristics of the contract and the Company's control rights. The Company has paid and expects to pay future losses on policies which fall under each of the three accounting models. The following provides a summarized description of the three accounting models, with references to additional information provided throughout this report. The three models are insurance, derivative and VIE consolidation. | ||||||||||||||||||
In order to effectively evaluate and manage the economics and liquidity of the entire insured portfolio, management compiles and analyzes loss information for all policies on a consistent basis. The Company monitors and assigns ratings and calculates expected losses in the same manner for all its exposures regardless of form or differing accounting models. | ||||||||||||||||||
The discussion of expected loss to be paid within this note encompasses all policies in the insured portfolio. Net expected loss to be paid in the tables below consists of the present value of future: expected claim and LAE payments, expected recoveries of excess spread in the transaction structures, cessions to reinsurers, and expected recoveries for breaches of representations and warranties ("R&W") and other loss mitigation strategies. | ||||||||||||||||||
Accounting Models: | ||||||||||||||||||
The following is a summary of each of the accounting models prescribed by GAAP with a reference to the notes that describe the accounting policies and required disclosures. This note provides information regarding expected claim payments to be made under all insured contracts. | ||||||||||||||||||
Insurance Accounting | ||||||||||||||||||
For contracts accounted for as financial guaranty insurance, loss and LAE reserve is recorded only to the extent and for the amount that expected losses to be paid exceed unearned premium reserve. As a result, the Company has expected loss to be paid that have not yet been expensed. Such amounts will be expensed in future periods as deferred premium revenue amortizes into income. Expected loss to be paid is important from a liquidity perspective in that it represents the present value of amounts that the Company expects to pay or recover in future periods. Expected loss to be expensed is important because it presents the Company's projection of incurred losses that will be recognized in future periods (excluding accretion of discount). See Note 7, Financial Guaranty Insurance Losses. | ||||||||||||||||||
Derivative Accounting, at Fair Value | ||||||||||||||||||
For contracts that do not meet the financial guaranty scope exception in the derivative accounting guidance (primarily due to the fact that the insured is not required to be exposed to the insured risk throughout the life of the contract), the Company records such credit derivative contracts at fair value on the consolidated balance sheet with changes in fair value recorded in the consolidated statement of operations. Expected loss to be paid is an important measure used by management to analyze the net economic loss on credit derivatives. The fair value recorded on the balance sheet represents an exit price in a hypothetical market because the Company does not trade its credit derivative contracts. The fair value is determined using significant Level 3 inputs in an internally developed model while the expected loss to be paid (which represents the net present value of expected cash outflows) uses methodologies and assumptions consistent with financial guaranty insurance expected losses to be paid. See Note 8, Fair Value Measurement and Note 9, Financial Guaranty Contracts Accounted for as Credit Derivatives. | ||||||||||||||||||
VIE Consolidation, at Fair Value | ||||||||||||||||||
For financial guaranty insurance contracts issued on the debt of variable interest entities over which the Company is deemed to be the primary beneficiary due to its control rights, as defined in accounting literature, the Company consolidates the FG VIE. The Company carries the assets and liabilities of the FG VIEs at fair value under the fair value option election. Management assesses the losses on the insured debt of the consolidated FG VIEs in the same manner as other financial guaranty insurance and credit derivative contracts. Expected loss to be paid for FG VIEs pursuant to AGC's and AGM's financial guaranty insurance policies is calculated in a manner consistent with the Company's other financial guaranty insurance contracts. See Note 10, Consolidation of Variable Interest Entities. | ||||||||||||||||||
Expected Loss to be Paid | ||||||||||||||||||
The expected loss to be paid is equal to the present value of expected future cash outflows for claim and LAE payments, net of inflows for expected salvage and subrogation (i.e. excess spread on the underlying collateral, and estimated and contractual recoveries for breaches of representations and warranties), using current risk-free rates. When the Company becomes entitled to the cash flow from the underlying collateral of an insured credit under salvage and subrogation rights as a result of a claim payment or estimated future claim payment, it reduces the expected loss to be paid on the contract. Net expected loss to be paid is defined as expected loss to be paid, net of amounts ceded to reinsurers. | ||||||||||||||||||
The current risk-free rate is based on the remaining period of the contract used in the premium revenue recognition calculation (i.e., the contractual or expected period, as applicable). The Company updates the discount rate each quarter and records the effect of such changes in economic loss development. Expected cash outflows and inflows are probability weighted cash flows that reflect the likelihood of all possible outcomes. The Company estimates the expected cash outflows and inflows using management's assumptions about the likelihood of all possible outcomes based on all information available to it. Those assumptions consider the relevant facts and circumstances and are consistent with the information tracked and monitored through the Company's risk-management activities. | ||||||||||||||||||
Economic Loss Development | ||||||||||||||||||
Economic loss development represents the change in net expected loss to be paid attributable to the effects of changes in assumptions based on observed market trends, changes in discount rates, accretion of discount and the economic effects of loss mitigation efforts. | ||||||||||||||||||
Expected loss to be paid and economic loss development include the effects of loss mitigation strategies such as negotiated and estimated recoveries for breaches of representations and warranties, and purchases of insured debt obligations. Additionally, in certain cases, issuers of insured obligations elected, or the Company and an issuer mutually agreed as part of a negotiation, to deliver the underlying collateral or insured obligation to the Company. | ||||||||||||||||||
In circumstances where the Company has acquired its own insured obligations that have expected losses, either as part of loss mitigation strategy or via delivery of underlying collateral, expected loss to be paid is reduced by the proportionate share of the insured obligation that is held in the investment portfolio. The difference between the purchase price of the obligation and the fair value excluding the value of the Company's insurance, is treated as a paid loss for both purchased bonds and delivered collateral or insured obligations. Assets that are purchased or put to the Company are recorded in the investment portfolio, at fair value, excluding the value of the Company's insurance. See Note 11, Investments and Cash and Note 8, Fair Value Measurement. | ||||||||||||||||||
Loss Estimation Process | ||||||||||||||||||
The Company’s loss reserve committees estimate expected loss to be paid for all contracts. Surveillance personnel present analyses related to potential losses to the Company’s loss reserve committees for consideration in estimating the expected loss to be paid. Such analyses include the consideration of various scenarios with potential probabilities assigned to them. Depending upon the nature of the risk, the Company’s view of the potential size of any loss and the information available to the Company, that analysis may be based upon individually developed cash flow models, internal credit rating assessments and sector-driven loss severity assumptions or judgmental assessments. In the case of its assumed business, the Company may conduct its own analysis as just described or, depending on the Company’s view of the potential size of any loss and the information available to the Company, the Company may use loss estimates provided by ceding insurers. The Company’s loss reserve committees review and refresh the estimate of expected loss to be paid each quarter. The Company’s estimate of ultimate loss on a policy is subject to significant uncertainty over the life of the insured transaction due to the potential for significant variability in credit performance as a result of economic, fiscal and financial market variability over the long duration of most contracts. The determination of expected loss to be paid is an inherently subjective process involving numerous estimates, assumptions and judgments by management. | ||||||||||||||||||
The following table presents a roll forward of the present value of net expected loss to be paid for all contracts, whether accounted for as insurance, credit derivatives or FG VIEs, by sector, after the benefit for net expected recoveries for contractual breaches of R&W. The Company used weighted average risk-free rates for U.S. dollar denominated obligations, which ranged from 0.0% to 4.44% as of December 31, 2013 and 0.0% to 3.28% as of December 31, 2012. | ||||||||||||||||||
Net Expected Loss to be Paid | ||||||||||||||||||
Before Recoveries for Breaches of R&W | ||||||||||||||||||
Roll Forward by Sector | ||||||||||||||||||
Year Ended December 31, 2013 | ||||||||||||||||||
Net Expected | Economic Loss | (Paid) | Net Expected | |||||||||||||||
Loss to be | Development | Recovered | Loss to be | |||||||||||||||
Paid as of | Losses(1) | Paid as of | ||||||||||||||||
December 31, 2012(2) | December 31, 2013(2) | |||||||||||||||||
(in millions) | ||||||||||||||||||
U.S. RMBS: | ||||||||||||||||||
First lien: | ||||||||||||||||||
Prime first lien | $ | 10 | $ | 16 | $ | (1 | ) | $ | 25 | |||||||||
Alt-A first lien | 693 | (40 | ) | (75 | ) | 578 | ||||||||||||
Option ARM | 460 | 63 | (359 | ) | 164 | |||||||||||||
Subprime | 351 | 101 | (30 | ) | 422 | |||||||||||||
Total first lien | 1,514 | 140 | (465 | ) | 1,189 | |||||||||||||
Second lien: | ||||||||||||||||||
Closed-end second lien | 99 | (3 | ) | (9 | ) | 87 | ||||||||||||
HELOCs | 39 | 3 | (113 | ) | (71 | ) | ||||||||||||
Total second lien | 138 | 0 | (122 | ) | 16 | |||||||||||||
Total U.S. RMBS | 1,652 | 140 | (587 | ) | 1,205 | |||||||||||||
TruPS | 27 | 7 | 17 | 51 | ||||||||||||||
Other structured finance | 312 | (41 | ) | (151 | ) | 120 | ||||||||||||
U.S. public finance | 7 | 239 | 18 | 264 | ||||||||||||||
Non-U.S public finance | 52 | 17 | (12 | ) | 57 | |||||||||||||
Other insurance | (3 | ) | (10 | ) | 10 | (3 | ) | |||||||||||
Total | $ | 2,047 | $ | 352 | $ | (705 | ) | $ | 1,694 | |||||||||
Net Expected Loss to be Paid | ||||||||||||||||||
Before Recoveries for Breaches of R&W | ||||||||||||||||||
Roll Forward by Sector | ||||||||||||||||||
Year Ended December 31, 2012 | ||||||||||||||||||
Net Expected | Economic Loss | (Paid) | Expected | |||||||||||||||
Loss to be | Development | Recovered | Loss to be | |||||||||||||||
Paid as of | Losses(1) | Paid as of | ||||||||||||||||
December 31, 2011 | December 31, 2012 | |||||||||||||||||
(in millions) | ||||||||||||||||||
U.S. RMBS: | ||||||||||||||||||
First lien: | ||||||||||||||||||
Prime first lien | $ | 5 | $ | 5 | $ | — | $ | 10 | ||||||||||
Alt-A first lien | 702 | 102 | (111 | ) | 693 | |||||||||||||
Option ARM | 935 | 128 | (603 | ) | 460 | |||||||||||||
Subprime | 342 | 57 | (48 | ) | 351 | |||||||||||||
Total first lien | 1,984 | 292 | (762 | ) | 1,514 | |||||||||||||
Second lien: | ||||||||||||||||||
Closed-end second lien | 138 | (5 | ) | (34 | ) | 99 | ||||||||||||
HELOCs | 159 | 80 | (200 | ) | 39 | |||||||||||||
Total second lien | 297 | 75 | (234 | ) | 138 | |||||||||||||
Total U.S. RMBS | 2,281 | 367 | (996 | ) | 1,652 | |||||||||||||
TruPS | 64 | (30 | ) | (7 | ) | 27 | ||||||||||||
Other structured finance | 342 | 2 | (32 | ) | 312 | |||||||||||||
U.S. public finance | 16 | 74 | (83 | ) | 7 | |||||||||||||
Non-U.S public finance | 51 | 221 | (220 | ) | 52 | |||||||||||||
Other insurance | 2 | (17 | ) | 12 | (3 | ) | ||||||||||||
Total | $ | 2,756 | $ | 617 | $ | (1,326 | ) | $ | 2,047 | |||||||||
____________________ | ||||||||||||||||||
-1 | Net of ceded paid losses, whether or not such amounts have been settled with reinsurers. Ceded paid losses are typically settled 45 days after the end of the reporting period. Such amounts are recorded in reinsurance recoverable on paid losses included in other assets. | |||||||||||||||||
-2 | Includes expected LAE to be paid for mitigating claim liabilities of $34 million as of December 31, 2013 and $39 million as of December 31, 2012. The Company paid $54 million and $47 million in LAE for the years ended December 31, 2013 and 2012, respectively. | |||||||||||||||||
Net Expected Recoveries from | ||||||||||||||||||
Breaches of R&W Rollforward | ||||||||||||||||||
Year Ended December 31, 2013 | ||||||||||||||||||
Future Net | R&W Development | R&W Recovered | Future Net | |||||||||||||||
R&W Benefit as of | and Accretion of | During 2013(1) | R&W Benefit as of | |||||||||||||||
December 31, 2012 | Discount | December 31, 2013(2) | ||||||||||||||||
During 2013 | ||||||||||||||||||
(in millions) | ||||||||||||||||||
U.S. RMBS: | ||||||||||||||||||
First lien: | ||||||||||||||||||
Prime first lien | $ | 4 | $ | — | $ | — | $ | 4 | ||||||||||
Alt-A first lien | 378 | 41 | (145 | ) | 274 | |||||||||||||
Option ARM | 591 | 161 | (579 | ) | 173 | |||||||||||||
Subprime | 109 | 9 | — | 118 | ||||||||||||||
Total first lien | 1,082 | 211 | (724 | ) | 569 | |||||||||||||
Second lien: | ||||||||||||||||||
Closed end second lien | 138 | (9 | ) | (31 | ) | 98 | ||||||||||||
HELOC | 150 | 94 | (199 | ) | 45 | |||||||||||||
Total second lien | 288 | 85 | (230 | ) | 143 | |||||||||||||
Total | $ | 1,370 | $ | 296 | $ | (954 | ) | $ | 712 | |||||||||
Net Expected Recoveries from | ||||||||||||||||||
Breaches of R&W Rollforward | ||||||||||||||||||
Year Ended December 31, 2012 | ||||||||||||||||||
Future Net | R&W Development | R&W Recovered | Future Net | |||||||||||||||
R&W Benefit as of | and Accretion of | During 2012(1) | R&W Benefit as of | |||||||||||||||
December 31, 2011 | Discount | December 31, 2012 | ||||||||||||||||
During 2012 | ||||||||||||||||||
(in millions) | ||||||||||||||||||
U.S. RMBS: | ||||||||||||||||||
First lien: | ||||||||||||||||||
Prime first lien | $ | 3 | $ | 1 | $ | — | $ | 4 | ||||||||||
Alt-A first lien | 407 | 40 | (69 | ) | 378 | |||||||||||||
Option ARM | 725 | 89 | (223 | ) | 591 | |||||||||||||
Subprime | 101 | 8 | — | 109 | ||||||||||||||
Total first lien | 1,236 | 138 | (292 | ) | 1,082 | |||||||||||||
Second lien: | ||||||||||||||||||
Closed end second lien | 224 | 5 | (91 | ) | 138 | |||||||||||||
HELOC | 190 | 36 | (76 | ) | 150 | |||||||||||||
Total second lien | 414 | 41 | (167 | ) | 288 | |||||||||||||
Total | $ | 1,650 | $ | 179 | $ | (459 | ) | $ | 1,370 | |||||||||
____________________ | ||||||||||||||||||
-1 | Gross amounts recovered were $986 million and $485 million for years ended December 31, 2013 and 2012, respectively. | |||||||||||||||||
-2 | Includes excess spread that the Company will receive as salvage as a result of a settlement agreement with a R&W provider. | |||||||||||||||||
Net Expected Loss to be Paid | ||||||||||||||||||
After Net Expected Recoveries for Breaches of R&W | ||||||||||||||||||
Roll Forward | ||||||||||||||||||
Year Ended December 31, 2013 | ||||||||||||||||||
Net Expected | Economic Loss | (Paid) | Net Expected | |||||||||||||||
Loss to be | Development | Recovered | Loss to be | |||||||||||||||
Paid as of | Losses(1) | Paid as of | ||||||||||||||||
December 31, 2012 | December 31, 2013 | |||||||||||||||||
(in millions) | ||||||||||||||||||
U.S. RMBS: | ||||||||||||||||||
First lien: | ||||||||||||||||||
Prime first lien | $ | 6 | $ | 16 | $ | (1 | ) | $ | 21 | |||||||||
Alt-A first lien | 315 | (81 | ) | 70 | 304 | |||||||||||||
Option ARM | (131 | ) | (98 | ) | 220 | (9 | ) | |||||||||||
Subprime | 242 | 92 | (30 | ) | 304 | |||||||||||||
Total first lien | 432 | (71 | ) | 259 | 620 | |||||||||||||
Second lien: | ||||||||||||||||||
Closed-end second lien | (39 | ) | 6 | 22 | (11 | ) | ||||||||||||
HELOCs | (111 | ) | (91 | ) | 86 | (116 | ) | |||||||||||
Total second lien | (150 | ) | (85 | ) | 108 | (127 | ) | |||||||||||
Total U.S. RMBS | 282 | (156 | ) | 367 | 493 | |||||||||||||
TruPS | 27 | 7 | 17 | 51 | ||||||||||||||
Other structured finance | 312 | (41 | ) | (151 | ) | 120 | ||||||||||||
U.S. public finance | 7 | 239 | 18 | 264 | ||||||||||||||
Non-U.S public finance | 52 | 17 | (12 | ) | 57 | |||||||||||||
Other | (3 | ) | (10 | ) | 10 | (3 | ) | |||||||||||
Total | $ | 677 | $ | 56 | $ | 249 | $ | 982 | ||||||||||
Net Expected Loss to be Paid | ||||||||||||||||||
After Net Expected Recoveries for Breaches of R&W | ||||||||||||||||||
Roll Forward | ||||||||||||||||||
Year Ended December 31, 2012 | ||||||||||||||||||
Net Expected | Economic Loss | (Paid) | Expected | |||||||||||||||
Loss to be | Development | Recovered | Loss to be | |||||||||||||||
Paid as of | Losses(1) | Paid as of | ||||||||||||||||
December 31, 2011 | December 31, 2012 | |||||||||||||||||
(in millions) | ||||||||||||||||||
U.S. RMBS: | ||||||||||||||||||
First lien: | ||||||||||||||||||
Prime first lien | $ | 2 | $ | 4 | $ | — | $ | 6 | ||||||||||
Alt-A first lien | 295 | 62 | (42 | ) | 315 | |||||||||||||
Option ARM | 210 | 39 | (380 | ) | (131 | ) | ||||||||||||
Subprime | 241 | 49 | (48 | ) | 242 | |||||||||||||
Total first lien | 748 | 154 | (470 | ) | 432 | |||||||||||||
Second lien: | ||||||||||||||||||
Closed-end second lien | (86 | ) | (10 | ) | 57 | (39 | ) | |||||||||||
HELOCs | (31 | ) | 44 | (124 | ) | (111 | ) | |||||||||||
Total second lien | (117 | ) | 34 | (67 | ) | (150 | ) | |||||||||||
Total U.S. RMBS | 631 | 188 | (537 | ) | 282 | |||||||||||||
TruPS | 64 | (30 | ) | (7 | ) | 27 | ||||||||||||
Other structured finance | 342 | 2 | (32 | ) | 312 | |||||||||||||
U.S. public finance | 16 | 74 | (83 | ) | 7 | |||||||||||||
Non-U.S public finance | 51 | 221 | (220 | ) | 52 | |||||||||||||
Other | 2 | (17 | ) | 12 | (3 | ) | ||||||||||||
Total | $ | 1,106 | $ | 438 | $ | (867 | ) | $ | 677 | |||||||||
____________________ | ||||||||||||||||||
-1 | Net of ceded paid losses, whether or not such amounts have been settled with reinsurers. Ceded paid losses are typically settled 45 days after the end of the reporting period. Such amounts are recorded in reinsurance recoverable on paid losses included in other assets. | |||||||||||||||||
The following tables present the present value of net expected loss to be paid for all contracts by accounting model, by sector and after the benefit for estimated and contractual recoveries for breaches of R&W. | ||||||||||||||||||
Net Expected Loss to be Paid | ||||||||||||||||||
By Accounting Model | ||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||
Financial | FG VIEs(1) | Credit | Total | |||||||||||||||
Guaranty | Derivatives | |||||||||||||||||
Insurance | ||||||||||||||||||
(in millions) | ||||||||||||||||||
US RMBS: | ||||||||||||||||||
First lien: | ||||||||||||||||||
Prime first lien | $ | 3 | $ | — | $ | 18 | $ | 21 | ||||||||||
Alt-A first lien | 199 | 31 | 74 | 304 | ||||||||||||||
Option ARM | (18 | ) | (2 | ) | 11 | (9 | ) | |||||||||||
Subprime | 149 | 81 | 74 | 304 | ||||||||||||||
Total first lien | 333 | 110 | 177 | 620 | ||||||||||||||
Second Lien: | ||||||||||||||||||
Closed-end second lien | (34 | ) | 25 | (2 | ) | (11 | ) | |||||||||||
HELOCs | (41 | ) | (75 | ) | — | (116 | ) | |||||||||||
Total second lien | (75 | ) | (50 | ) | (2 | ) | (127 | ) | ||||||||||
Total U.S. RMBS | 258 | 60 | 175 | 493 | ||||||||||||||
TruPS | 3 | — | 48 | 51 | ||||||||||||||
Other structured finance | 161 | — | (41 | ) | 120 | |||||||||||||
U.S. public finance | 264 | — | — | 264 | ||||||||||||||
Non-U.S. public finance | 55 | — | 2 | 57 | ||||||||||||||
Subtotal | $ | 741 | $ | 60 | $ | 184 | 985 | |||||||||||
Other | (3 | ) | ||||||||||||||||
Total | $ | 982 | ||||||||||||||||
Net Expected Loss to be Paid | ||||||||||||||||||
By Accounting Model | ||||||||||||||||||
As of December 31, 2012 | ||||||||||||||||||
Financial | FG VIEs(1) | Credit | Total | |||||||||||||||
Guaranty | Derivatives | |||||||||||||||||
Insurance | ||||||||||||||||||
(in millions) | ||||||||||||||||||
US RMBS: | ||||||||||||||||||
First lien: | ||||||||||||||||||
Prime first lien | $ | 4 | $ | — | $ | 2 | $ | 6 | ||||||||||
Alt-A first lien | 164 | 27 | 124 | 315 | ||||||||||||||
Option ARM | (114 | ) | (37 | ) | 20 | (131 | ) | |||||||||||
Subprime | 118 | 50 | 74 | 242 | ||||||||||||||
Total first lien | 172 | 40 | 220 | 432 | ||||||||||||||
Second Lien: | ||||||||||||||||||
Closed-end second lien | (60 | ) | 31 | (10 | ) | (39 | ) | |||||||||||
HELOCs | 56 | (167 | ) | — | (111 | ) | ||||||||||||
Total second lien | (4 | ) | (136 | ) | (10 | ) | (150 | ) | ||||||||||
Total U.S. RMBS | 168 | (96 | ) | 210 | 282 | |||||||||||||
TruPS | 1 | — | 26 | 27 | ||||||||||||||
Other structured finance | 224 | — | 88 | 312 | ||||||||||||||
U.S. public finance | 7 | — | — | 7 | ||||||||||||||
Non-U.S. public finance | 51 | — | 1 | 52 | ||||||||||||||
Subtotal | $ | 451 | $ | (96 | ) | $ | 325 | 680 | ||||||||||
Other | (3 | ) | ||||||||||||||||
Total | $ | 677 | ||||||||||||||||
___________________ | ||||||||||||||||||
(1) Refer to Note 10, Consolidation of Variable Interest Entities. | ||||||||||||||||||
The following tables present the net economic loss development for all contracts by accounting model, by sector and after the benefit for estimated and contractual recoveries for breaches of R&W. | ||||||||||||||||||
Net Economic Loss Development | ||||||||||||||||||
By Accounting Model | ||||||||||||||||||
Year Ended December 31, 2013 | ||||||||||||||||||
Financial | FG VIEs(1) | Credit | Total | |||||||||||||||
Guaranty | Derivatives(2) | |||||||||||||||||
Insurance | ||||||||||||||||||
(in millions) | ||||||||||||||||||
US RMBS: | ||||||||||||||||||
First lien: | ||||||||||||||||||
Prime first lien | $ | (1 | ) | $ | — | $ | 17 | $ | 16 | |||||||||
Alt-A first lien | (54 | ) | 5 | (32 | ) | (81 | ) | |||||||||||
Option ARM | (62 | ) | (36 | ) | — | (98 | ) | |||||||||||
Subprime | 48 | 32 | 12 | 92 | ||||||||||||||
Total first lien | (69 | ) | 1 | (3 | ) | (71 | ) | |||||||||||
Second Lien: | ||||||||||||||||||
Closed-end second lien | 30 | (34 | ) | 10 | 6 | |||||||||||||
HELOCs | (91 | ) | (1 | ) | 1 | (91 | ) | |||||||||||
Total second lien | (61 | ) | (35 | ) | 11 | (85 | ) | |||||||||||
Total U.S. RMBS | (130 | ) | (34 | ) | 8 | (156 | ) | |||||||||||
TruPS | — | — | 7 | 7 | ||||||||||||||
Other structured finance | (36 | ) | — | (5 | ) | (41 | ) | |||||||||||
U.S. public finance | 239 | — | — | 239 | ||||||||||||||
Non-U.S. public finance | 16 | — | 1 | 17 | ||||||||||||||
Subtotal | $ | 89 | $ | (34 | ) | $ | 11 | 66 | ||||||||||
Other | (10 | ) | ||||||||||||||||
Total | $ | 56 | ||||||||||||||||
Net Economic Loss Development | ||||||||||||||||||
By Accounting Model | ||||||||||||||||||
Year Ended December 31, 2012 | ||||||||||||||||||
Financial | FG VIEs(1) | Credit | Total | |||||||||||||||
Guaranty | Derivatives(2) | |||||||||||||||||
Insurance | ||||||||||||||||||
(in millions) | ||||||||||||||||||
US RMBS: | ||||||||||||||||||
First lien: | ||||||||||||||||||
Prime first lien | $ | 2 | $ | — | $ | 2 | $ | 4 | ||||||||||
Alt-A first lien | 38 | (10 | ) | 34 | 62 | |||||||||||||
Option ARM | 37 | (8 | ) | 10 | 39 | |||||||||||||
Subprime | 31 | 7 | 11 | 49 | ||||||||||||||
Total first lien | 108 | (11 | ) | 57 | 154 | |||||||||||||
Second Lien: | ||||||||||||||||||
Closed-end second lien | 13 | (23 | ) | — | (10 | ) | ||||||||||||
HELOCs | 37 | 7 | — | 44 | ||||||||||||||
Total second lien | 50 | (16 | ) | — | 34 | |||||||||||||
Total U.S. RMBS | 158 | (27 | ) | 57 | 188 | |||||||||||||
TruPS | (11 | ) | — | (19 | ) | (30 | ) | |||||||||||
Other structured finance | 15 | — | (13 | ) | 2 | |||||||||||||
U.S. public finance | 75 | — | (1 | ) | 74 | |||||||||||||
Non-U.S. public finance | 222 | — | (1 | ) | 221 | |||||||||||||
Subtotal | $ | 459 | $ | (27 | ) | $ | 23 | 455 | ||||||||||
Other | (17 | ) | ||||||||||||||||
Total | $ | 438 | ||||||||||||||||
___________________ | ||||||||||||||||||
(1) Refer to Note 10, Consolidation of Variable Interest Entities. | ||||||||||||||||||
(2) Refer to Note 9, Financial Guaranty Contracts Accounted for as Credit Derivatives. | ||||||||||||||||||
Approach to Projecting Losses in U.S. RMBS | ||||||||||||||||||
The Company projects losses on its insured U.S. RMBS on a transaction-by-transaction basis by projecting the performance of the underlying pool of mortgages over time and then applying the structural features (i.e., payment priorities and tranching) of the RMBS to the projected performance of the collateral over time. The resulting projected claim payments or reimbursements are then discounted using risk-free rates. For transactions where the Company projects it will receive recoveries from providers of R&W, it projects the amount of recoveries and either establishes a recovery for claims already paid or reduces its projected claim payments accordingly. | ||||||||||||||||||
The further behind a mortgage borrower falls in making payments, the more likely it is that he or she will default. The rate at which borrowers from a particular delinquency category (number of monthly payments behind) eventually default is referred to as the “liquidation rate.” The Company derives its liquidation rate assumptions from observed roll rates, which are the rates at which loans progress from one delinquency category to the next and eventually to default and liquidation. The Company applies liquidation rates to the mortgage loan collateral in each delinquency category and makes certain timing assumptions to project near-term mortgage collateral defaults from loans that are currently delinquent. | ||||||||||||||||||
Mortgage borrowers that are not more than one payment behind (generally considered performing borrowers) have demonstrated an ability and willingness to pay throughout the recession and mortgage crisis, and as a result are viewed as less likely to default than delinquent borrowers. Performing borrowers that eventually default will also need to progress through delinquency categories before any defaults occur. The Company projects how many of the currently performing loans will default and when they will default, by first converting the projected near term defaults of delinquent borrowers derived from liquidation rates into a vector of conditional default rates ("CDR"), then projecting how the conditional default rates will develop over time. Loans that are defaulted pursuant to the conditional default rate after the near-term liquidation of currently delinquent loans represent defaults of currently performing loans and projected re-performing loans. A conditional default rate is the outstanding principal amount of defaulted loans liquidated in the current month divided by the remaining outstanding amount of the whole pool of loans (or “collateral pool balance”). The collateral pool balance decreases over time as a result of scheduled principal payments, partial and whole principal prepayments, and defaults. | ||||||||||||||||||
In order to derive collateral pool losses from the collateral pool defaults it has projected, the Company applies a loss severity. The loss severity is the amount of loss the transaction experiences on a defaulted loan after the application of net proceeds from the disposal of the underlying property. The Company projects loss severities by sector based on its experience to date. Further detail regarding the assumptions and variables the Company used to project collateral losses in its U.S. RMBS portfolio may be found below in the sections “U.S. First Lien RMBS Loss Projections: Alt-A First Lien, Option ARM, Subprime and Prime” and “U.S. Second Lien RMBS Loss Projections: HELOCs and Closed-End Second Lien” | ||||||||||||||||||
The Company is in the process of enforcing claims for breaches of R&W regarding the characteristics of the loans included in the collateral pools. The Company calculates a credit from the RMBS issuer for such recoveries where the R&W were provided by an entity the Company believes to be financially viable and where the Company already has access or believes it will attain access to the underlying mortgage loan files. Where the Company has an agreement with an R&W provider (e.g., the Bank of America Agreement, the Deutsche Bank Agreement or the UBS Agreement) or where it is in advanced discussions on a potential agreement, that credit is based on the agreement or potential agreement. Where the Company does not have an agreement with the R&W provider but the Company believes the R&W provider to be economically viable, the Company estimates what portion of its past and projected future claims it believes will be reimbursed by that provider. Further detail regarding how the Company calculates these credits may be found under “Breaches of Representations and Warranties” below. | ||||||||||||||||||
The Company projects the overall future cash flow from a collateral pool by adjusting the payment stream from the principal and interest contractually due on the underlying mortgages for (a) the collateral losses it projects as described above, (b) assumed voluntary prepayments and (c) servicer advances. The Company then applies an individual model of the structure of the transaction to the projected future cash flow from that transaction’s collateral pool to project the Company’s future claims and claim reimbursements for that individual transaction. Finally, the projected claims and reimbursements are discounted using risk-free rates. As noted above, the Company runs several sets of assumptions regarding mortgage collateral performance, or scenarios, and probability weights them. | ||||||||||||||||||
The ultimate performance of the Company’s RMBS transactions remains highly uncertain, may differ from the Company's projections and may be subject to considerable volatility due to the influence of many factors, including the level and timing of loan defaults, changes in housing prices, results from the Company’s loss mitigation activities and other variables. The Company will continue to monitor the performance of its RMBS exposures and will adjust its RMBS loss projection assumptions and scenarios based on actual performance and management’s view of future performance. | ||||||||||||||||||
Year-End 2013 Compared to Year-End 2012 U.S. RMBS Loss Projections | ||||||||||||||||||
The Company's RMBS loss projection methodology assumes that the housing and mortgage markets will continue improving. Each quarter the Company makes a judgment as to whether to change the assumptions it uses to make RMBS loss projections based on its observation during the quarter of the performance of its insured transactions (including early stage delinquencies, late stage delinquencies and, for first liens, loss severity) as well as the residential property market and economy in general, and, to the extent it observes changes, it makes a judgment as whether those changes are normal fluctuations or part of a trend. Based on such observations the Company chose to use the same general methodology (with the refinements described below) to project RMBS losses as of December 31, 2013 as it used as of December 31, 2012. The Company's use of the same general approach to project RMBS losses as of December 31, 2013 as it used as of December 31, 2012 was consistent with its view at December 31, 2013 that the housing and mortgage market recovery was occurring at a slower pace than it anticipated at December 31, 2012. | ||||||||||||||||||
The Company refined its first lien RMBS loss projection methodology as of December 31, 2013 to model explicitly the behavior of borrowers with loans that had been modified. The Company has observed that mortgage loan servicers were modifying more mortgage loans (reducing or forbearing from collecting interest or principal or both due on mortgage loans) to reduce the borrowers’ monthly payments and so improve their payment performance than was the case before the mortgage crisis. Borrowers who are current based on their new, reduced monthly payments are generally reported as current, but are more likely to default than borrowers who are current and whose loans have not been modified. The Company believes modified loans are most likely to default again during the first year after modification. The Company set its liquidation rate assumptions as of December 31, 2012 based on observed roll rates and with modification activity in mind. As of December 31, 2013 the Company made a number of refinements to its first lien RMBS loss projection assumptions to treat loan modifications explicitly. Specifically, in the base case approach, it: | ||||||||||||||||||
• | established a liquidation rate assumption for loans reported as current but that had been reported as modified in the previous 12 months, | |||||||||||||||||
• | assumed that currently delinquent loans that did not roll to liquidation would behave like modified loans, and so applied the modified loan liquidation rate to them, | |||||||||||||||||
• | increased from two to three years the period over which it calculates the initial CDR based on assumed liquidations of non-performing loans and modified loans, to account for the longer period modified loans will take to default, | |||||||||||||||||
• | increased the period it assumes the transactions will experience the initial loss severity assumption before it improves and the period during which the transaction will experience low voluntary prepayment rates, | |||||||||||||||||
• | established an assumption for servicers not to advance loan payments on all delinquent loans | |||||||||||||||||
The methodology and revised assumptions the Company uses to project first lien RMBS losses and the scenarios it employs are described in more detail below under " - U.S. First Lien RMBS Loss Projections: Alt A First Lien, Option ARM, Subprime and Prime". The refinement in assumptions described above resulted in a reduction of the initial CDRs but the application of the initial CDRs for a longer period, which generally resulted in a higher amount of loans being liquidated at the initial CDR under the refined assumptions than under the initial CDR under the previous assumptions. The Company estimated the impact of all of the refinements to its assumptions described above to be an increase of expected losses of approximately $8 million (before adjustments for settlements or loss mitigation purchases) by running on the first lien RMBS portfolio as of December 31, 2013 base case assumptions similar to what it used as of December 31, 2012 and comparing those results to those results from the refined assumptions. | ||||||||||||||||||
During 2013 the Company observed improvements in the performance of its second lien RMBS transactions that, when viewed in the context of their performance prior to 2013, suggested those transactions were beginning to respond to the improvements in the residential property market and economy being widely reported by market observers. Based on such observations, in projecting losses for second lien RMBS the Company chose to decrease by two months in its base scenario and by three months in its optimistic scenario the period it assumed it would take the mortgage market to recover as compared to December 31, 2012. Also during 2013 the Company observed material improvements in the delinquency measures of certain second lien RMBS for which the servicing had been transferred, and made certain adjustments on just those transactions to reflect its view that much of this improvement was due to loan modifications and reinstatements made by the new servicer and that such recently modified and reinstated loans may have a higher likelihood of defaulting again. The methodology and assumptions the Company uses to project second lien RMBS losses and the scenarios it employs are described in more detail below under " - U.S. Second Lien RMBS Loss Projections: HELOCs and Closed-End Second Lien". | ||||||||||||||||||
The Company observed some improvement in delinquency trends in most of its RMBS transactions during 2013, with some of that improvement in second liens driven by servicing transfers it effectuated. Such improvement is naturally transmitted to its projections for each individual RMBS transaction, since the projections are based on the delinquency performance of the loans in that individual transaction. | ||||||||||||||||||
Year-End 2012 Compared to Year-End 2011 U.S. RMBS Loss Projections | ||||||||||||||||||
Based on the Company’s observation during 2012 of the performance of its insured transactions (including early stage delinquencies, late stage delinquencies and, for first liens, loss severity) as well as the residential property market and economy in general, the Company chose to use essentially the same assumptions and scenarios to project RMBS loss as of December 31, 2012 as it used as of December 31, 2011, except that as compared to December 31, 2011: | ||||||||||||||||||
• | in its most optimistic scenario, it reduced by three months the period it assumed it would take the mortgage market to recover; and | |||||||||||||||||
• | in its most pessimistic scenario, it increased by three months the period it assumed it would take the mortgage market to recover. | |||||||||||||||||
The Company's use of essentially the same assumptions and scenarios to project RMBS losses as of December 31, 2012 as at December 31, 2011 was consistent with its view at December 31, 2012 that the housing and mortgage market recovery was occurring at a slower pace than it anticipated at December 31, 2011. The Company's changes during 2012 to the period it would take the mortgage market to recover in its most optimistic scenario and its most pessimistic scenario allowed it to consider a wider range of possibilities for the speed of the recovery. Since the Company's projections for each RMBS transaction are based on the delinquency performance of the loans in that individual RMBS transaction, improvement or deterioration in that aspect of a transaction's performance impacts the projections for that transaction. The methodology and assumptions the Company uses to project RMBS losses and the scenarios it employs are described in more detail below under " – U.S. First Lien RMBS Loss Projections: Alt A First Lien, Option ARM, Subprime and Prime" and "– U.S. Second Lien RMBS Loss Projections: HELOCs and Closed-End Second Lien." | ||||||||||||||||||
U.S. First Lien RMBS Loss Projections: Alt-A First Lien, Option ARM, Subprime and Prime | ||||||||||||||||||
The majority of projected losses in first lien RMBS transactions are expected to come from non-performing mortgage loans (those that have been modified in the previous 12 months or are delinquent or in foreclosure or that have been foreclosed and so the RMBS issuer owns the underlying real estate). Changes in the amount of non-performing loans from the amount projected in the previous period are one of the primary drivers of loss development in this portfolio. In order to determine the number of defaults resulting from these delinquent and foreclosed loans, the Company applies a liquidation rate assumption to loans in each of various non-performing categories. The liquidation rate is a standard industry measure that is used to estimate the number of loans in a given non-performing category that will default within a specified time period. The Company arrived at its liquidation rates based on data purchased from a third party provider and assumptions about how delays in the foreclosure process and loan modifications may ultimately affect the rate at which loans are liquidated. As described above under “ - Year-End 2013 Compared to Year-End 2012 U.S. RMBS Loss Projections”, the Company refined its methodology as of December 31, 2013 to establishing liquidation rates to explicitly consider loans modifications and revised the period over which it projects these liquidations to occur from two to three years. Based on its review of that data, the Company made the changes described in the following table as of December 31, 2013 and maintained the same liquidation assumptions at December 31, 2012 and December 31, 2011. The following table shows liquidation assumptions for various non-performing categories. | ||||||||||||||||||
First Lien Liquidation Rates | ||||||||||||||||||
31-Dec-13 | 31-Dec-12 | 31-Dec-11 | ||||||||||||||||
Current Loans Modified in Previous 12 Months | ||||||||||||||||||
Alt A and Prime | 35% | N/A | N/A | |||||||||||||||
Option ARM | 35 | N/A | N/A | |||||||||||||||
Subprime | 35 | N/A | N/A | |||||||||||||||
30 – 59 Days Delinquent | ||||||||||||||||||
Alt A and Prime | 50 | 35% | 35% | |||||||||||||||
Option ARM | 50 | 50 | 50 | |||||||||||||||
Subprime | 45 | 30 | 30 | |||||||||||||||
60 – 89 Days Delinquent | ||||||||||||||||||
Alt A and Prime | 60 | 55 | 55 | |||||||||||||||
Option ARM | 65 | 65 | 65 | |||||||||||||||
Subprime | 50 | 45 | 45 | |||||||||||||||
90+ Days Delinquent | ||||||||||||||||||
Alt A and Prime | 75 | 65 | 65 | |||||||||||||||
Option ARM | 70 | 75 | 75 | |||||||||||||||
Subprime | 60 | 60 | 60 | |||||||||||||||
Bankruptcy | ||||||||||||||||||
Alt A and Prime | 60 | 55 | 55 | |||||||||||||||
Option ARM | 60 | 70 | 70 | |||||||||||||||
Subprime | 55 | 50 | 50 | |||||||||||||||
Foreclosure | ||||||||||||||||||
Alt A and Prime | 85 | 85 | 85 | |||||||||||||||
Option ARM | 80 | 85 | 85 | |||||||||||||||
Subprime | 70 | 80 | 80 | |||||||||||||||
Real Estate Owned | ||||||||||||||||||
All | 100 | 100 | 100 | |||||||||||||||
While the Company uses liquidation rates as described above to project defaults of non-performing loans, it projects defaults on presently current loans by applying a CDR trend. The start of that CDR trend is based on the defaults the Company projects will emerge from currently nonperforming loans. The total amount of expected defaults from the non-performing loans is translated into a constant CDR (i.e., the CDR plateau), which, if applied for each of the next 36 months (up from 24 months as of December 31, 2012), would be sufficient to produce approximately the amount of defaults that were calculated to emerge from the various delinquency categories. The CDR thus calculated individually on the delinquent collateral pool for each RMBS is then used as the starting point for the CDR curve used to project defaults of the presently performing loans. The refinement in assumptions described above under “ - Year-End 2013 Compared to Year-End 2012 U.S. RMBS Loss Projections” resulted in a reduction of the initial CDRs but the application of the initial CDRs for a longer period generally resulted in a higher amount of loans being liquidated at the initial CDR under the December 31, 2013 assumptions than under the initial CDR under the December 31, 2012 assumptions. | ||||||||||||||||||
In the base case, after the initial 36-month CDR plateau period, each transaction’s CDR is projected to improve over 12 months to an intermediate CDR (calculated as 20% of its CDR plateau); that intermediate CDR is held constant for 36 months and then trails off in steps to a final CDR of 5% of the CDR plateau. Under the Company’s methodology, defaults projected to occur in the first 36 months represent defaults that can be attributed to loans that are currently delinquent or in foreclosure, while the defaults projected to occur using the projected CDR trend after the first 36 month period represent defaults attributable to borrowers that are currently performing. | ||||||||||||||||||
Another important driver of loss projections is loss severity, which is the amount of loss the transaction incurs on a loan after the application of net proceeds from the disposal of the underlying property. Loss severities experienced in first lien transactions have reached historic high levels, and the Company is assuming in the base case that these high levels generally will continue for another 18 months (up from a twelve months as of December 31, 2012), except that in the case of subprime loans, the Company assumes the unprecedented 90% loss severity rate will continue for another nine months (up from six months as of December 31, 2012) then drop to 80% for nine more months (up from six months as of December 31, 2012), in each case before following the ramp described below. The Company determines its initial loss severity based on actual recent experience. The Company’s initial loss severity assumptions for December 31, 2013 were the same as it used for December 31, 2012 and December 31, 2011. The Company then assumes that loss severities begin returning to levels consistent with underwriting assumptions beginning after the initial 18 month period, declining to 40% in the base case over 2.5 years (up from two years as of December 31, 2012). | ||||||||||||||||||
The following table shows the range of key assumptions used in the calculation of expected loss to be paid for individual transactions for direct vintage 2004 - 2008 first lien U.S. RMBS. | ||||||||||||||||||
Key Assumptions in Base Case Expected Loss Estimates | ||||||||||||||||||
First Lien RMBS(1) | ||||||||||||||||||
As of | As of | As of | ||||||||||||||||
31-Dec-13 | 31-Dec-12 | 31-Dec-11 | ||||||||||||||||
Alt-A First Lien | ||||||||||||||||||
Plateau CDR | 2.8 | % | – | 18.40% | 3.8 | % | – | 23.20% | 2.8 | % | – | 41.30% | ||||||
Intermediate CDR | 0.6 | % | – | 3.70% | 0.8 | % | – | 4.60% | 0.6 | % | – | 8.30% | ||||||
Period until intermediate CDR | 48 months | 36 months | 36 months | |||||||||||||||
Final CDR | 0.1 | % | – | 0.90% | 0.2 | % | – | 1.20% | 0.1 | % | – | 2.10% | ||||||
Initial loss severity | 65% | 65% | 65% | |||||||||||||||
Initial conditional prepayment rate ("CPR") | 0 | % | – | 34.20% | 0 | % | – | 39.40% | 0 | % | – | 37.50% | ||||||
Final CPR | 15% | 15% | 15% | |||||||||||||||
Option ARM | ||||||||||||||||||
Plateau CDR | 4.9 | % | – | 16.80% | 7 | % | – | 26.10% | 9.6 | % | – | 31.50% | ||||||
Intermediate CDR | 1 | % | – | 3.40% | 1.4 | % | – | 5.20% | 1.9 | % | – | 6.30% | ||||||
Period until intermediate CDR | 48 months | 36 months | 36 months | |||||||||||||||
Final CDR | 0.2 | % | – | 0.80% | 0.4 | % | – | 1.30% | 0.5 | % | – | 1.60% | ||||||
Initial loss severity | 65% | 65% | 65% | |||||||||||||||
Initial CPR | 0.4 | % | – | 13.10% | 0 | % | – | 10.70% | 0 | % | – | 29.10% | ||||||
Final CPR | 15% | 15% | 15% | |||||||||||||||
Subprime | ||||||||||||||||||
Plateau CDR | 5.6 | % | – | 16.20% | 7.3 | % | – | 26.20% | 8.3 | % | – | 29.90% | ||||||
Intermediate CDR | 1.1 | % | – | 3.20% | 1.5 | % | – | 5.20% | 1.7 | % | – | 6% | ||||||
Period until intermediate CDR | 48 months | 36 months | 36 months | |||||||||||||||
Final CDR | 0.3 | % | – | 0.80% | 0.4 | % | – | 1.30% | 0.4 | % | – | 1.50% | ||||||
Initial loss severity | 90% | 90% | 90% | |||||||||||||||
Initial CPR | 0 | % | – | 15.70% | 0 | % | – | 17.60% | 0 | % | – | 16.30% | ||||||
Final CPR | 15% | 15% | 15% | |||||||||||||||
____________________ | ||||||||||||||||||
(1) Represents variables for most heavily weighted scenario (the “base case”). | ||||||||||||||||||
The rate at which the principal amount of loans is voluntarily prepaid may impact both the amount of losses projected (since that amount is a function of the conditional default rate, the loss severity and the loan balance over time) as well as the amount of excess spread (the amount by which the interest paid by the borrowers on the underlying loan exceeds the amount of interest owed on the insured obligations). The assumption for the voluntary CPR follows a similar pattern to that of the conditional default rate. The current level of voluntary prepayments is assumed to continue for the plateau period before gradually increasing over 12 months to the final CPR, which is assumed to be 15% in the base case. For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant. These assumptions are the same as those the Company used for December 31, 2012 and December 31, 2011 except that, as of December 31, 2013 the period of initial CDRs were assumed to last 12 months longer than they were assumed to last as of December 31, 2012 and 2011, so the initial CPR is also held constant 12 months longer as of December 31, 2013 than it was as of December 31, 2012 or 2011. | ||||||||||||||||||
In estimating expected losses, the Company modeled and probability weighted sensitivities for first lien transactions by varying its assumptions of how fast a recovery is expected to occur. One of the variables used to model sensitivities was how quickly the conditional default rate returned to its modeled equilibrium, which was defined as 5% of the initial conditional default rate. The Company also stressed CPR and the speed of recovery of loss severity rates. The Company probability weighted a total of five scenarios (including its base case) as of December 31, 2013, using the same number of scenarios and weightings as it used as of December 31, 2012 and 2011. The Company used a similar approach to establish its pessimistic and optimistic scenarios as of December 31, 2013 as it used as of December 31, 2012 and 2011, increasing and decreasing the periods of stress from those used in the base case, except that all of the stress periods were longer as of December 31, 2013 than they were as of December 31, 2012 and 2011. In a somewhat more stressful environment than that of the base case, where the conditional default rate plateau was extended six months (to be 42 months long) before the same more gradual conditional default rate recovery and loss severities were assumed to recover over 4.5 rather than 2.5 years (and subprime loss severities were assumed to recover only to 60%), expected loss to be paid would increase from current projections by approximately $41 million for Alt-A first liens, $12 million for Option ARM, $93 million for subprime and $4 million for prime transactions. In an even more stressful scenario where loss severities were assumed to rise and then recover over nine years and the initial ramp-down of the conditional default rate was assumed to occur over 15 months and other assumptions were the same as the other stress scenario, expected loss to be paid would increase from current projections by approximately $111 million for Alt-A first liens, $30 million for Option ARM, $136 million for subprime and $12 million for prime transactions. The Company also considered two scenarios where the recovery was faster than in its base case. In a scenario with a somewhat less stressful environment than the base case, where conditional default rate recovery was somewhat less gradual and the initial subprime loss severity rate was assumed to be 80% for 18 months and was assumed to recover to 40% over 2.5 years, expected loss to be paid would increase from current projections by approximately $1 million for Alt-A first lien and would decrease by $11 million for Option ARM, $24 million for subprime and $1 million for prime transactions. In an even less stressful scenario where the conditional default rate plateau was six months shorter (30 months, effectively assuming that liquidation rates would improve) and the conditional default rate recovery was more pronounced, (including an initial ramp-down of the conditional default rate over nine months rather than 12 months), expected loss to be paid would decrease from current projections by approximately $38 million for Alt-A first lien, $29 million for Option ARM, $77 million for subprime and $4 million for prime transactions. | ||||||||||||||||||
U.S. Second Lien RMBS Loss Projections: HELOCs and Closed-End Second Lien | ||||||||||||||||||
The Company believes the primary variable affecting its expected losses in second lien RMBS transactions is the amount and timing of future losses in the collateral pool supporting the transactions. Expected losses are also a function of the structure of the transaction; the voluntary prepayment rate (typically also referred to as CPR of the collateral); the interest rate environment; and assumptions about the draw rate and loss severity. These variables are interrelated, difficult to predict and subject to considerable volatility. If actual experience differs from the Company’s assumptions, the losses incurred could be materially different from the estimate. The Company continues to update its evaluation of these exposures as new information becomes available. | ||||||||||||||||||
The following table shows the range of key assumptions for the calculation of expected loss to be paid for individual transactions for direct vintage 2004 - 2008 second lien U.S. RMBS. | ||||||||||||||||||
Key Assumptions in Base Case Expected Loss Estimates | ||||||||||||||||||
Second Lien RMBS(1) | ||||||||||||||||||
HELOC key assumptions | As of | As of | As of | |||||||||||||||
31-Dec-13 | 31-Dec-12 | 31-Dec-11 | ||||||||||||||||
Plateau CDR | 2.3 | % | – | 7.70% | 3.8 | % | – | 15.90% | 4 | % | – | 27.40% | ||||||
Final CDR trended down to | 0.4 | % | – | 3.20% | 0.4 | % | – | 3.20% | 0.4 | % | – | 3.20% | ||||||
Period until final CDR | 34 months | 36 months | 36 months | |||||||||||||||
Initial CPR | 2.7 | % | – | 21.50% | 2.9 | % | – | 15.40% | 1.4 | % | – | 25.80% | ||||||
Final CPR | 10% | 10% | 10% | |||||||||||||||
Loss severity | 98% | 98% | 98% | |||||||||||||||
Closed-end second lien key assumptions | As of | As of | As of | |||||||||||||||
31-Dec-13 | 31-Dec-12 | 31-Dec-11 | ||||||||||||||||
Plateau CDR | 7.3 | % | – | 15.10% | 7.3 | % | – | 20.70% | 6.9 | % | – | 29.50% | ||||||
Final CDR trended down to | 3.5 | % | – | 9.10% | 3.5 | % | – | 9.10% | 3.5 | % | – | 9.10% | ||||||
Period until final CDR | 34 months | 36 months | 36 months | |||||||||||||||
Initial CPR | 3.1 | % | – | 12.00% | 1.9 | % | – | 12.50% | 0.9 | % | – | 14.70% | ||||||
Final CPR | 10% | 10% | 10% | |||||||||||||||
Loss severity | 98% | 98% | 98% | |||||||||||||||
____________________ | ||||||||||||||||||
-1 | Represents variables for most heavily weighted scenario (the “base case”). | |||||||||||||||||
In second lien transactions the projection of near-term defaults from currently delinquent loans is relatively straightforward because loans in second lien transactions are generally “charged off” (treated as defaulted) by the securitization’s servicer once the loan is 180 days past due. Most second lien transactions report the amount of loans in five monthly delinquency categories (i.e., 30-59 days past due, 60-89 days past due, 90-119 days past due, 120-149 days past due and 150-179 days past due). The Company estimates the amount of loans that will default over the next five months by calculating current representative liquidation rates (the percent of loans in a given delinquency status that are assumed to ultimately default) from selected representative transactions and then applying an average of the preceding twelve months’ liquidation rates to the amount of loans in the delinquency categories. The amount of loans projected to default in the first through fifth months is expressed as a CDR. The first four months’ CDR is calculated by applying the liquidation rates to the current period past due balances (i.e., the 150-179 day balance is liquidated in the first projected month, the 120-149 day balance is liquidated in the second projected month, the 90-119 day balance is liquidated in the third projected month and the 60-89 day balance is liquidated in the fourth projected month). For the fifth month the CDR is calculated using the average 30-59 day past due balances for the prior three months, adjusted as necessary to reflect one time service events. The fifth month CDR is then used as the basis for the plateau period that follows the embedded five months of losses. During 2013 the Company observed material improvements in the delinquency measures of certain second lien RMBS for which the servicing had been transferred, and determined that much of this improvement was due to loan modifications and reinstatements made by the new servicer. To reflect the possibility that such recently modified and reinstated loans may have a higher likelihood of defaulting again, for such transactions the Company treated as severely delinquent a portion of the loans that are current or less than 150 days delinquent and that it identified as having been recently modified or reinstated. Even with that adjustment, the improvement in delinquency measures for those transactions resulted in a lower initial CDR for those transactions than the initial CDR calculated as of December 31, 2012. | ||||||||||||||||||
As of December 31, 2013, for the base case scenario, the CDR (the “plateau CDR”) was held constant for one month. Once the plateau period has ended, the CDR is assumed to gradually trend down in uniform increments to its final long-term steady state CDR. The long-term steady state CDR is calculated as the constant CDR that would have yielded the amount of losses originally expected at underwriting. In the base case scenario, the time over which the CDR trends down to its final CDR is 28 months. Therefore, the total stress period for second lien transactions is 34 months, comprising five months of delinquent data, a one month plateau period and 28 months of decrease to the steady state CDR. This is two months shorter than used for December 31, 2012 and 2011. When a second lien loan defaults, there is generally a very low recovery. Based on current expectations of future performance, the Company assumes that it will only recover 2% of the collateral, the same as December 31, 2012 and December 31, 2011. | ||||||||||||||||||
The rate at which the principal amount of loans is prepaid may impact both the amount of losses projected as well as the amount of excess spread. In the base case, the current CPR (based on experience of the most recent three quarters) is assumed to continue until the end of the plateau before gradually increasing to the final CPR over the same period the CDR decreases. For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant. The final CPR is assumed to be 10% for both HELOC and closed-end second lien transactions. This level is much higher than current rates for most transactions, but lower than the historical average, which reflects the Company’s continued uncertainty about the projected performance of the borrowers in these transactions. This pattern is consistent with how the Company modeled the CPR at December 31, 2012 and December 31, 2011. To the extent that prepayments differ from projected levels it could materially change the Company’s projected excess spread and losses. | ||||||||||||||||||
The Company uses a number of other variables in its second lien loss projections, including the spread between relevant interest rate indices, the loss severity, and HELOC draw rates (the amount of new advances provided on existing HELOCs expressed as a percentage of current outstanding advances). These variables have been relatively stable over the past several quarters and in the relevant ranges have less impact on the projection results than the variables discussed above. | ||||||||||||||||||
In estimating expected losses, the Company modeled and probability weighted three possible CDR curves applicable to the period preceding the return to the long-term steady state CDR. The Company believes that the level of the elevated CDR and the length of time it will persist is the primary driver behind the likely amount of losses the collateral will suffer (before considering the effects of repurchases of ineligible loans). The Company continues to evaluate the assumptions affecting its modeling results. | ||||||||||||||||||
As of December 31, 2013, the Company’s base case assumed a one month CDR plateau and a 28 month ramp-down (for a total stress period of 34 months). The Company also modeled a scenario with a longer period of elevated defaults and another with a shorter period of elevated defaults and weighted them the same as of December 31, 2012 and 2011. Increasing the CDR plateau to four months and increasing the ramp-down by five months to 33-months (for a total stress period of 42 months) would increase the expected loss by approximately $26 million for HELOC transactions and $2 million for closed-end second lien transactions. On the other hand, keeping the CDR plateau at one month but decreasing the length of the CDR ramp-down to 18 months (for a total stress period of 24 months) would decrease the expected loss by approximately $24 million for HELOC transactions and $2 million for closed-end second lien transactions. | ||||||||||||||||||
Breaches of Representations and Warranties | ||||||||||||||||||
Generally, when mortgage loans are transferred into a securitization, the loan originator(s) and/or sponsor(s) provide R&W that the loans meet certain characteristics, and a breach of such R&W often requires that the loan be repurchased from the securitization. In many of the transactions the Company insures, it is in a position to enforce these R&W provisions. Soon after the Company observed the deterioration in the performance of its insured RMBS following the deterioration of the residential mortgage and property markets, the Company began using internal resources as well as third party forensic underwriting firms and legal firms to pursue breaches of R&W on a loan-by-loan basis. Where a provider of R&W refused to honor its repurchase obligations, the Company sometimes chose to initiate litigation. See “Recovery Litigation” below. The Company's success in pursuing these strategies permitted the Company to enter into agreements with R&W providers under which those providers made payments to the Company, agreed to make payments to the Company in the future, and / or repurchased loans from the transactions, all in return for releases of related liability by the Company. Such agreements provide the Company with many of the benefits of pursuing the R&W claims on a loan by loan basis or through litigation, but without the related expense and uncertainty. The Company continues to pursue these strategies against R&W providers with which it does not yet have agreements. | ||||||||||||||||||
Using these strategies, through December 31, 2013 the Company has caused entities providing R&Ws to pay or agree to pay approximately $3.6 billion (gross of reinsurance) in respect of their R&W liabilities for transactions in which the Company has provided insurance. | ||||||||||||||||||
(in millions) | ||||||||||||||||||
Agreement amounts already received | $ | 2,608 | ||||||||||||||||
Agreement amounts projected to be received in the future | 425 | |||||||||||||||||
Repurchase amounts paid into the relevant RMBS prior to settlement (1) | 578 | |||||||||||||||||
Total R&W payments, gross of reinsurance | $ | 3,611 | ||||||||||||||||
____________________ | ||||||||||||||||||
-1 | These amounts were paid into the relevant RMBS transactions (rather than to the Company as in most settlements) and distributed in accordance with the priority of payments set out in the relevant transaction documents. Because the Company may insure only a portion of the capital structure of a transaction, such payments will not necessarily directly benefit the Company dollar-for-dollar, especially in first lien transactions. | |||||||||||||||||
Based on this success, the Company has included in its net expected loss estimates as of December 31, 2013 an estimated net benefit related to breaches of R&W of $712 million, which includes $413 million from agreements with R&W providers and $299 million in transactions where the Company does not yet have such an agreement, all net of reinsurance. | ||||||||||||||||||
Representations and Warranties Agreements (1) | ||||||||||||||||||
Agreement Date | Current Net Par Covered | Receipts to December 31, 2013 (net of reinsurance) | Estimated Future Receipts (net of reinsurance) | Eligible Assets Held in Trust (gross of reinsurance) | ||||||||||||||
(in millions) | ||||||||||||||||||
Bank of America - First Lien | Apr-11 | $ | 1,059 | $ | 474 | $ | 201 | $ | 593 | |||||||||
Bank of America - Second Lien | Apr-11 | 1,387 | 968 | NA | NA | |||||||||||||
Deutsche Bank | May-12 | 1,711 | 179 | 107 | 151 | |||||||||||||
UBS | May-13 | 807 | 394 | 59 | 174 | |||||||||||||
Others | Various | 994 | 385 | 46 | NA | |||||||||||||
Total | $ | 5,958 | $ | 2,400 | $ | 413 | $ | 918 | ||||||||||
____________________ | ||||||||||||||||||
-1 | This table relates to past and projected future recoveries under R&W and related agreements. Excluded is the $299 million of future net recoveries the Company projects receiving from R&W counterparties in transactions with $1,617 million of net par outstanding as of December 31, 2013 not covered by current agreements and $806 million of net par partially covered by agreements but for which the Company projects receiving additional amounts. | |||||||||||||||||
The Company's agreements with the counterparties specifically named in the table above required an initial payment to the Company to reimburse it for past claims as well as an obligation to reimburse it for a portion of future claims. The named counterparties placed eligible assets in trust to collateralize their future reimbursement obligations, and the amount of collateral they are required to post may be increased or decreased from time to time as determined by rating agency requirements. Reimbursement payments under these agreements are made either monthly or quarterly and have been made timely. With respect to the reimbursement for future claims: | ||||||||||||||||||
• | Bank of America. Under the Company's agreement with Bank of America Corporation and certain of its subsidiaries (“Bank of America”), Bank of America agreed to reimburse the Company for 80% of claims on the first lien transactions covered by the agreement that the Company pays in the future, until the aggregate lifetime collateral losses (not insurance losses or claims) on those transactions reach $6.6 billion. As of December 31, 2013 aggregate lifetime collateral losses on those transactions was $3.7 billion, and the Company was projecting in its base case that such collateral losses would eventually reach $5.1 billion. | |||||||||||||||||
• | Deutsche Bank. Under the Company's May 2012 agreement with Deutsche Bank AG and certain of its affiliates (collectively, “Deutsche Bank”), Deutsche Bank agreed to reimburse the Company for certain claims it pays in the future on eight first and second lien transactions, including 80% of claims it pays on those transactions until the aggregate lifetime claims (before reimbursement) reach $319 million. As of December 31, 2013, the Company was projecting in its base case that such aggregate lifetime claims would remain below $319 million. In the event aggregate lifetime claims paid exceed $389 million, Deutsche Bank must reimburse Assured Guaranty for 85% of such claims paid (in excess of $389 million) until such claims paid reach $600 million. | |||||||||||||||||
The agreement also requires Deutsche Bank to reimburse AGC for future claims it pays on certain RMBS re-securitizations. The amount available for reimbursement of claim payments is based on a percentage of the losses that occur in certain uninsured tranches (“Uninsured Tranches”) within the eight transactions described above: 60% of losses on the Uninsured Tranches (up to $141 million of losses), 60% of such losses (for losses between $161 million and $185 million), and 100% of such losses (for losses from $185 million to $248 million). Losses on the Uninsured Tranches from $141 million to $161 million and above $248 million are not included in the calculation of AGC's reimbursement amount for re-securitization claim payments. As of December 31, 2013, the Company was projecting in its base case that losses on the Uninsured Tranches would be $150 million. Pursuant to the CDS termination on October 10, 2013 described below, a portion of Deutsche Bank's reimbursement obligation was applied to the terminated CDS. After giving effect to application of the portion of the reimbursement obligation to the terminated CDS, as well as to reimbursements related to other covered RMBS re-securitizations, and based on the Company's base case projections for losses on the Uninsured Tranches, the Company expects that $30 million will be available to reimburse AGC for re-securitization claim payments on the remaining re-securitizations. Except for the reimbursement obligation based on losses occurring on the Uninsured Tranches and the termination agreed to described below, the agreement with Deutsche Bank does not cover transactions where the Company has provided protection to Deutsche Bank on RMBS transactions in CDS form. | ||||||||||||||||||
On October 10, 2013, the Company and Deutsche Bank terminated one below investment grade transaction under which the Company had provided credit protection to Deutsche Bank through a CDS. The transaction had a net par outstanding of $294 million at the time of termination. In connection with the termination, Assured Guaranty agreed to release to Deutsche Bank $60 million of assets held in trust that was in excess of the amount of assets required to be held in trust for regulatory and rating agency capital relief. | ||||||||||||||||||
• | UBS. On May 6, 2013, the Company entered into an agreement with UBS Real Estate Securities Inc. and affiliates ("UBS") and a third party resolving the Company’s claims and liabilities related to specified RMBS transactions that were issued, underwritten or sponsored by UBS and insured by AGM or AGC under financial guaranty insurance policies. Under the agreement, UBS agreed to reimburse the Company for 85% of future losses on three first lien RMBS transactions. | |||||||||||||||||
• | Flagstar. On June 21, 2013, AGM entered into a settlement agreement with Flagstar Bank in connection with its litigation for breach of contract against Flagstar on the Flagstar Home Equity Loan Trust, Series 2005-1 and Series 2006-2 second lien transactions. The agreement followed judgments by the court in February and April 2013 in favor of AGM, which Flagstar had planned to appeal. As part of the settlement, AGM received a cash payment of $105 million and Flagstar withdrew its appeal. Flagstar also will reimburse AGM in full for all future claims on AGM’s financial guaranty insurance policies for such transactions. This settlement resolved all RMBS claims that AGM had asserted against Flagstar and each party agreed to release the other from any and all other future RMBS-related claims between them. | |||||||||||||||||
The Company calculated an expected recovery of $299 million from breaches of R&W in transactions not covered by agreements with $1,617 million of net par outstanding as of December 31, 2013 and $806 million of net par partially covered by agreements but for which the Company projects receiving additional amounts. The Company did not incorporate any gain contingencies from potential litigation in its estimated repurchases. The amount the Company will ultimately recover related to such contractual R&W is uncertain and subject to a number of factors including the counterparty's ability to pay, the number and loss amount of loans determined to have breached R&W and, potentially, negotiated settlements or litigation recoveries. As such, the Company's estimate of recoveries is uncertain and actual amounts realized may differ significantly from these estimates. In arriving at the expected recovery from breaches of R&W not already covered by agreements, the Company considered the creditworthiness of the provider of the R&W, the number of breaches found on defaulted loans, the success rate in resolving these breaches across those transactions where material repurchases have been made and the potential amount of time until the recovery is realized. The calculation of expected recovery from breaches of such contractual R&W involved a variety of scenarios which ranged from the Company recovering substantially all of the losses it incurred due to violations of R&W to the Company realizing limited recoveries. These scenarios were probability weighted in order to determine the recovery incorporated into the Company's estimate of expected losses. This approach was used for both loans that had already defaulted and those assumed to default in the future. The Company adjusts the calculation of its expected recovery from breaches of R&W based on changing facts and circumstances with respect to each counterparty and transaction. | ||||||||||||||||||
The Company uses the same RMBS projection scenarios and weightings to project its future R&W benefit as it uses to project RMBS losses on its portfolio. To the extent the Company increases its loss projections, the R&W benefit (whether pursuant to an R&W agreement or not) generally will also increase, subject to the agreement limits and thresholds described above. Similarly, to the extent the Company decreases its loss projections, the R&W benefit (whether pursuant to an R&W agreement or not) generally will also decrease, subject to the agreement limits and thresholds described above. | ||||||||||||||||||
The Company accounts for the loss sharing obligations under the R&W agreements on financial guaranty insurance contracts as subrogation, offsetting the losses it projects by an R&W benefit from the relevant party for the applicable portion of the projected loss amount. Proceeds projected to be reimbursed to the Company on transactions where the Company has already paid claims are viewed as a recovery on paid losses. For transactions where the Company has not already paid claims, projected recoveries reduce projected loss estimates. In either case, projected recoveries have no effect on the amount of the Company's exposure. See Notes 8, Fair Value Measurement and 9, Consolidation of Variable Interest Entities. | ||||||||||||||||||
U.S. RMBS Risks with R&W Benefit | ||||||||||||||||||
Number of Risks (1) as of | Debt Service as of | |||||||||||||||||
December 31, 2013 | December 31, 2012 | December 31, 2013 | December 31, 2012 | |||||||||||||||
(dollars in millions) | ||||||||||||||||||
Prime first lien | 1 | 1 | $ | 38 | $ | 44 | ||||||||||||
Alt-A first lien | 19 | 26 | 2,856 | 4,173 | ||||||||||||||
Option ARM | 9 | 10 | 641 | 1,183 | ||||||||||||||
Subprime | 5 | 5 | 998 | 989 | ||||||||||||||
Closed-end second lien | 4 | 4 | 158 | 260 | ||||||||||||||
HELOC | 4 | 7 | 320 | 549 | ||||||||||||||
Total | 42 | 53 | $ | 5,011 | $ | 7,198 | ||||||||||||
____________________ | ||||||||||||||||||
(1) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments.This table shows the full future Debt Service (not just the amount of Debt Service expected to be reimbursed) for risks with projected future R&W benefit, whether pursuant to an agreement or not. | ||||||||||||||||||
The following table provides a breakdown of the development and accretion amount in the roll forward of estimated recoveries associated with alleged breaches of R&W. | ||||||||||||||||||
Components of R&W Development | ||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||
2013 | 2012 | |||||||||||||||||
(in millions) | ||||||||||||||||||
Inclusion (removal) of deals with breaches of R&W during period | $ | 6 | $ | (3 | ) | |||||||||||||
Change in recovery assumptions as the result of additional file review and recovery success | (6 | ) | (10 | ) | ||||||||||||||
Estimated increase (decrease) in defaults that will result in additional (lower) breaches | (8 | ) | 63 | |||||||||||||||
Results of settlements | 289 | 120 | ||||||||||||||||
Accretion of discount on balance | 15 | 9 | ||||||||||||||||
Total | $ | 296 | $ | 179 | ||||||||||||||
“XXX” Life Insurance Transactions | ||||||||||||||||||
The Company’s $2.7 billion net par of XXX life insurance transactions as of December 31, 2013 include $598 million rated BIG. The BIG “XXX” life insurance reserve securitizations are based on discrete blocks of individual life insurance business. In each such transaction the monies raised by the sale of the bonds insured by the Company were used to capitalize a special purpose vehicle that provides reinsurance to a life insurer or reinsurer. The monies are invested at inception in accounts managed by third-party investment managers. | ||||||||||||||||||
The BIG “XXX” life insurance transactions consist of two transactions: Ballantyne Re p.l.c and Orkney Re II p.l.c. These transactions had material amounts of their assets invested in U.S. RMBS transactions. Based on its analysis of the information currently available, including estimates of future investment performance, and projected credit impairments on the invested assets and performance of the blocks of life insurance business at December 31, 2013, the Company’s projected net expected loss to be paid is $73 million. The overall decrease of approximately $66 million in expected loss to be paid during 2013 is due primarily to the purchase of insured notes during the year. | ||||||||||||||||||
Student Loan Transactions | ||||||||||||||||||
The Company has insured or reinsured $2.8 billion net par of student loan securitizations, of which $1.9 billion was issued by private issuers and classified as asset-backed and $0.9 billion was issued by public authorities and classified as public finance. Of these amounts, $206 million and $253 million, respectively, are rated BIG. The Company is projecting approximately $64 million of net expected loss to be paid in these portfolios. In general, the losses are due to: (i) the poor credit performance of private student loan collateral and high loss severities, or (ii) high interest rates on auction rate securities with respect to which the auctions have failed. The largest of these losses was approximately $26 million and related to a transaction backed by a pool of private student loans assumed by AG Re from another monoline insurer. The guaranteed bonds were issued as auction rate securities that now bear a high rate of interest due to the downgrade of the primary insurer’s financial strength rating. Further, the underlying loan collateral has performed below expectations. The overall increase of $10 million in net expected loss during 2013 was primarily due to worse than expected collateral performance. | ||||||||||||||||||
Trust Preferred Securities Collateralized Debt Obligations | ||||||||||||||||||
The Company has insured or reinsured $5.0 billion of net par (72% of which is in CDS form) of collateralized debt obligations (“CDOs”) backed by TruPS and similar debt instruments, or “TruPS CDOs.” Of the $5.0 billion, $1.7 billion is rated BIG. The underlying collateral in the TruPS CDOs consists of subordinated debt instruments such as TruPS issued by bank holding companies and similar instruments issued by insurance companies, real estate investment trusts (“REITs”) and other real estate related issuers. | ||||||||||||||||||
The Company projects losses for TruPS CDOs by projecting the performance of the asset pools across several scenarios (which it weights) and applying the CDO structures to the resulting cash flows. At December 31, 2013, the Company has projected expected losses to be paid for TruPS CDOs of $51 million. The increase of approximately $24 million in 2013 was due primarily to additional defaults and deferrals in the underlying collateral as well as the receipt during the year of $9 million in reimbursements for claims previously paid. | ||||||||||||||||||
Selected U.S. Public Finance Transactions | ||||||||||||||||||
The Company insures general obligation bonds of the Commonwealth of Puerto Rico and various obligations of its related authorities and public corporations aggregating $5.4 billion net par. The Company rates $5.2 billion net par of that amount BIG. Although recent announcements and actions by the current Governor and his administration indicate officials of the Commonwealth are focused on measures that are intended to help Puerto Rico operate within its financial resources and maintain its access to the capital markets, Puerto Rico faces significant challenges, including high debt levels, a declining population and an economy that has been in recession since 2006. Puerto Rico has been operating with a structural budget deficit in recent years, and its two largest pension funds are significantly underfunded. In February 2014, S&P, Moody's and Fitch Ratings downgraded much of the debt of Puerto Rico and its related authorities and public corporations to below investment grade, citing various factors including limited liquidity and market access risk. The Commonwealth has not defaulted on any of its debt. Neither Puerto Rico nor its related authorities and public corporations are eligible debtors under Chapter 9 of the U.S. Bankruptcy Code. Information regarding the Company's exposure general obligations of Commonwealth of Puerto Rico and various obligations of its related authorities and public corporations, please refer "Puerto Rico Exposure" in Note 3, Outstanding Exposure. | ||||||||||||||||||
Many U.S. municipalities and related entities continue to be under increased pressure, and a few have filed for protection under the U.S. Bankruptcy Code, entered into state processes designed to help municipalities in fiscal distress or otherwise indicated they may consider not meeting their obligations to make timely payments on their debts. Given some of these developments, and the circumstances surrounding each instance, the ultimate outcome cannot be certain and may lead to an increase in defaults on some of the Company's insured public finance obligations. The Company will continue to analyze developments in each of these matters closely. The municipalities whose obligations the Company has insured that have filed for protection under Chapter 9 of the U.S Bankruptcy Code are: Detroit, Michigan; Jefferson County, Alabama; and Stockton, California. The City Council of Harrisburg, Pennsylvania had also filed a purported bankruptcy petition, which was later dismissed by the bankruptcy court; a receiver for the City of Harrisburg was appointed by the Commonwealth Court of Pennsylvania on December 2, 2011. | ||||||||||||||||||
The Company has net par exposure to the City of Detroit, Michigan of $2.1 billion as of December 31, 2013. On July 18, 2013, the City of Detroit filed for bankruptcy under Chapter 9 of the U.S. Bankruptcy Code. Most of the Company's net par exposure relates to $1.0 billion of sewer revenue bonds and $784 million of water revenue bonds, both of which the Company rates BBB. Both the sewer and water systems provide services to areas that extend beyond the city limits, and the bonds are secured by a lien on "special revenues." The Company also has net par exposure of $146 million to the City's general obligation bonds (which are secured by a pledge of the unlimited tax, full faith, credit and resources of the City and the specific ad valorem taxes approved by the voters solely to pay debt service on the general obligation bonds) and $175 million of the City's Certificates of Participation (which are unsecured unconditional contractual obligations of the City), both of which the Company rates below investment grade. AGM has filed a complaint in the U.S. Bankruptcy Court for the Eastern District of Michigan against the City seeking a declaratory judgment with respect to the City’s unlawful treatment of its Unlimited Tax General Obligation Bonds. Detail about the lawsuit is set forth under "Recovery Litigation -- Public Finance Transactions" below. On December 3, 2013, the Bankruptcy Court ruled that the City is eligible for protection under Chapter 9. On February 21, 2014, the City filed a proposed plan of adjustment and disclosure statement with the Bankruptcy Court. | ||||||||||||||||||
During 2013 the Company has resolved, or is in the process of resolving, several of the credits that filed or attempted to file for protection under Chapter 9 of the U.S. Bankruptcy Code: | ||||||||||||||||||
• | Stockton. On June 28, 2012, the City of Stockton, California filed for bankruptcy protection under Chapter 9 of the U.S. Bankruptcy Code. The Company's net exposure to the City's general fund is $119 million, consisting of pension obligation bonds. The Company also had exposure to lease obligation bonds; as of December 31, 2013, the Company owned all of such bonds and held them in its investment portfolio. As of December 31, 2013, the Company had paid $26 million in net claims. On October 3, 2013, the Company reached a tentative settlement with the City regarding the treatment of the bonds insured by the Company in the City's proposed plan of adjustment. Under the terms of the settlement, the Company received title to an office building, the ground lease of which secures the lease revenue bonds, and will also be entitled to certain fixed payments and certain variable payments contingent on the City's revenue growth. The settlement is subject to a number of conditions, including a sales tax increase (which was approved by voters on November 5, 2013), confirmation of a plan of adjustment that implements the terms of the settlement and definitive documentation. Pursuant to an order of the Bankruptcy Court, the City held a vote of its creditors on its proposed plan of adjustment; all but one of the classes polled voted to accept the plan. The court proceeding to determine whether to confirm the plan of adjustment is expected to begin in May 2014. The Company expects the plan to be confirmed and implemented during 2014. | |||||||||||||||||
• | Jefferson County. On November 9, 2011, Jefferson County filed for bankruptcy protection under Chapter 9 of the U.S. Bankruptcy Code. After several years of negotiations and litigation with various parties, Jefferson County's revised plan of adjustment was approved by the bankruptcy court and in December 2013 became effective. In order for Jefferson County to refund and retire the sewer warrants that it had previously issued, and to make other payments under the plan of adjustment, Jefferson County issued approximately $1,785 million of new sewer warrants on December 3, 2013. In that issuance, AGM insured approximately $600 million in initial aggregate principal amount of the senior lien sewer warrants, which AGM internally rates investment grade. The sewer system emerged from bankruptcy with a significantly lower debt burden and a rate structure that is approved through the life of the new sewer warrants. | |||||||||||||||||
• | Mashantucket Pequot Foxwoods Casino. During 2013 and as part of a negotiated restructuring, the Company paid off the insured bonds secured by the excess free cash flow of the Foxwoods Casino run by the Mashantucket Pequot Tribe. The Company made cumulative claims payments of $116 million (net of reinsurance) on the insured bonds. In return for participating in the restructuring, the Company received new notes with a principal amount of $145 million with the same seniority as the bonds the Company had insured. The new notes are held as an investment and accounted for as such. | |||||||||||||||||
• | Harrisburg. In December 2011, the Commonwealth Court of Pennsylvania appointed a receiver for the City . The Company had insured bonds for a resource recovery facility sponsored by the City. In December 2013 the defaulted recourse recovery facility bonds were paid in full with funds from the sale of the resource recovery facility, the sale of parking system revenue bonds issued by the Pennsylvania Economic Development Financing Authority (“PEDFA”) and claim payments made by the Company. AGM insured $189 million of the parking facility revenue bonds issued by PEDFA and is entitled to receive reimbursements for claims it paid from residual cash flow on the parking system after the payment of debt service on the PEDFA bonds. | |||||||||||||||||
The Company has $336 million of net par exposure to the Louisville Arena Authority. The bond proceeds were used to construct the KFC Yum Center, home to the University of Louisville men's and women's basketball teams. Actual revenues available for Debt Service are well below original projections, and under the Company's internal rating scale, the transaction is BIG. | ||||||||||||||||||
The Company projects that its total future expected net loss across its troubled U.S. public finance credits as of December 31, 2013 will be $264 million. As of December 31, 2012 the Company was projecting a net expected loss of $7 million across it troubled U.S. public finance credits. The net increase of $257 million in expected loss was primarily attributable to deterioration in the credit of Puerto Rico and its related related authorities and public corporations, the bankruptcy filing by the City of Detroit, and a final resolution in Harrisburg that was somewhat worse for the Company than it projected as of December 31, 2012, offset in part primarily by the final resolution of the Company's Jefferson County exposure. | ||||||||||||||||||
Certain Selected European Country Transactions | ||||||||||||||||||
The Company insures and reinsures credits with sub-sovereign exposure to various Spanish and Portuguese issuers where a Spanish and Portuguese sovereign default may cause the regions also to default. The Company's gross exposure to these Spanish and Portuguese credits is €437 million and €92 million, respectively and exposure net of reinsurance for Spanish and Portuguese credits is €313 million and €80 million, respectively. The Company rates most of these issuers in the BB category due to the financial condition of Spain and Portugal and their dependence on the sovereign. The Company's Hungary exposure is to infrastructure bonds dependent on payments from Hungarian governmental entities and covered mortgage bonds issued by Hungarian banks. The Company's gross exposure to these Hungarian credits is $645 million and its exposure net of reinsurance is $608 million of which all is rated BIG. The Company estimated net expected losses of $51 million related to these Spanish, Portuguese and Hungarian credits, up from $41 million as of December 31, 2012 largely due to minor movements in exchange rates, interest rates and timing of potential defaults, and the general deterioration of the Company's view of its Hungarian exposure during the year. Information regarding the Company's exposure to other Selected European Countries may be found under "Direct Economic Exposure to the Selected European Countries" in Note 3, Outstanding Exposure. | ||||||||||||||||||
Manufactured Housing | ||||||||||||||||||
The Company insures or reinsures a total of $257 million net par of securities backed by manufactured housing loans, of which $180 million is rated BIG. The Company has expected loss to be paid of $26 million as of December 31, 2013, down from $33 million as of December 31, 2012, due primarily to the higher risk free rates used to discount losses and additional amortization on certain transactions. | ||||||||||||||||||
Infrastructure Finance | ||||||||||||||||||
The Company has insured exposure of approximately $3.0 billion to infrastructure transactions with refinancing risk as to which the Company may need to make claim payments that it did not anticipate paying when the policies were issued. Although the Company may not experience ultimate loss on a particular transaction, the aggregate amount of the claim payments may be substantial and reimbursement may not occur for an extended time, if at all. These transactions generally involve long-term infrastructure projects that were financed by bonds that mature prior to the expiration of the project concession. The Company expected the cash flows from these projects to be sufficient to repay all of the debt over the life of the project concession, but also expected the debt to be refinanced in the market at or prior to its maturity. Due to market conditions, the Company may have to pay a claim when the debt matures, and then recover its payment from cash flows produced by the project in the future. The Company generally projects that in most scenarios it will be fully reimbursed for such payments. However, the recovery of the payments is uncertain and may take a long time, ranging from 10 to 35 years, depending on the transaction and the performance of the underlying collateral. The Company’s exposure to infrastructure transactions with refinancing risk was reduced during 2013 by the termination of its insurance on A$413 million of infrastructure securities having maturities commencing in 2014. The Company estimates total claims for the remaining two largest transactions with significant refinancing risk, assuming no refinancing and based on certain performance assumptions, could be $1.8 billion on a gross basis; such claims would be payable from 2017 through 2022. | ||||||||||||||||||
Recovery Litigation | ||||||||||||||||||
RMBS Transactions | ||||||||||||||||||
As of the date of this filing, AGM and AGC have lawsuits pending against a number of providers of representations and warranties in U.S. RMBS transactions insured by them, seeking damages. In all the lawsuits, AGM and AGC have alleged breaches of R&W in respect of the underlying loans in the transactions, and failure to cure or repurchase defective loans identified by AGM and AGC to such persons. | ||||||||||||||||||
• | Deutsche Bank: AGM has sued Deutsche Bank AG affiliates DB Structured Products, Inc. and ACE Securities Corp. in the Supreme Court of the State of New York on the ACE Securities Corp. Home Equity Loan Trust, Series 2006-GP1 second lien transaction. | |||||||||||||||||
• | Credit Suisse: AGM and AGC have sued DLJ Mortgage Capital, Inc. (“DLJ”) and Credit Suisse Securities (USA) LLC (“Credit Suisse”) on first lien U.S. RMBS transactions insured by them. The ones insured by AGM are: CSAB Mortgage-Backed Pass Through Certificates, Series 2006-2; CSAB Mortgage-Backed Pass Through Certificates, Series 2006-3; CSAB Mortgage-Backed Pass Through Certificates, Series 2006-4; and CMSC Mortgage-Backed Pass Through Certificates, Series 2007-3. The ones insured by AGC are: CSAB Mortgage-Backed Pass Through Certificates, Series 2007-1 and TBW Mortgage-Backed Pass Through Certificates, Series 2007-2. Although DLJ and Credit Suisse successfully dismissed certain causes of action and claims for relief asserted in the complaint, the primary causes of action against DLJ for breach of R&W and breach of its repurchase obligations remained. On February 27, 2014 the Appellate Division, First Department unanimously reversed certain aspects of the partial dismissal by the Supreme Court of the State of New York of certain claims for relief by holding as a matter of law that AGM’s and AGC’s remedies for breach of R&W are not limited to the repurchase remedy. On October 21, 2013, AGM and AGC filed an amended complaint against DLJ and Credit Suisse (and added Credit Suisse First Boston Mortgage Securities Corp. as a defendant), asserting claims of fraud and material misrepresentation in the inducement of an insurance contract, in addition to their existing breach of contract claims. The defendants have filed a motion to dismiss certain aspects of the fraud claim against Credit Suisse First Boston Mortgage Securities Corp., and AGM's and AGC's claims for compensatory damages in the form of all claims paid and to be paid by AGM and AGC. The motion to dismiss is currently pending. | |||||||||||||||||
On March 26, 2013, AGM filed a lawsuit against RBS Securities Inc., RBS Financial Products Inc. and Financial Asset Securities Corp. (collectively, “RBS”) in the United States District Court for the Southern District of New York on the Soundview Home Loan Trust 2007-WMC1 transaction. The complaint alleges that RBS made fraudulent misrepresentations to AGM regarding the quality of the underlying mortgage loans in the transaction and that RBS's misrepresentations induced AGM into issuing a financial guaranty insurance policy in respect of the Class II-A-1 certificates issued in the transaction. On July 19, 2013, AGM amended its complaint to add a claim under Section 3105 of the New York Insurance Law. RBS has filed motions to dismiss AGM's complaint. | ||||||||||||||||||
In May 2012, AGM sued GMAC Mortgage, LLC (formerly GMAC Mortgage Corporation; Residential Asset Mortgage Products, Inc.; Ally Bank (formerly GMAC Bank); Residential Funding Company, LLC (formerly Residential Funding Corporation); Residential Capital, LLC (formerly Residential Capital Corporation, "ResCap"); Ally Financial (formerly GMAC, LLC); and Residential Funding Mortgage Securities II, Inc. on the GMAC RFC Home Equity Loan-Backed Notes, Series 2006-HSA3 and GMAC Home Equity Loan-Backed Notes, Series 2004-HE3 second lien transactions. On May 14, 2012, ResCap and several of its affiliates filed for Chapter 11 protection with the U.S. Bankruptcy Court. The debtors' Joint Chapter 11 Plan became effective in December 2013 and AGM received a settlement amount. Accordingly, AGM dismissed its lawsuit at year-end 2013. | ||||||||||||||||||
“XXX” Life Insurance Transactions | ||||||||||||||||||
In December 2008, Assured Guaranty (UK) Ltd. (“AGUK”) filed an action against J.P. Morgan Investment Management Inc. (“JPMIM”), the investment manager in the Orkney Re II transaction, in the Supreme Court of the State of New York alleging that JPMIM engaged in breaches of fiduciary duty, gross negligence and breaches of contract based upon its handling of the investments of Orkney Re II. After AGUK’s claims were dismissed with prejudice in January 2010, AGUK was successful in its subsequent motions and appeals and, as of December 2011, all of AGUK’s claims for breaches of fiduciary duty, gross negligence and contract were reinstated in full. Separately, at the trial court level, discovery is ongoing. | ||||||||||||||||||
Public Finance Transactions | ||||||||||||||||||
On December 23, 2013, AGM filed an amended complaint in the U.S. Bankruptcy Court for the Eastern District of Michigan against the City seeking a declaratory judgment with respect to the City’s unlawful treatment of its Unlimited Tax General Obligation Bonds (the “Unlimited Tax Bonds”). The complaint seeks a declaratory judgment and court order establishing, among other things, that, under Michigan law, the proceeds of ad valorem taxes levied and collected by the City for the sole purpose of repaying the Unlimited Tax Bonds are “restricted funds” which must be segregated and not comingled with other funds of the City, that the City is prohibited from using the restricted funds for any purposes other than repaying holders of the Unlimited Tax Bonds, and that holders of the Unlimited Tax Bonds and AGM, as subrogee of the holders, have a statutory lien on the restricted funds which constitutes a lien on special revenues within the meaning of Chapter 9 of the U.S. Bankruptcy Code. A hearing was held on this matter on February 19, 2014. | ||||||||||||||||||
In June 2010, AGM had sued JPMorgan Chase Bank, N.A. and JPMorgan Securities, Inc. (together, “JPMorgan”), the underwriter of debt issued by Jefferson County, in the Supreme Court of the State of New York alleging that JPMorgan induced AGM to issue its insurance policies in respect of such debt through material and fraudulent misrepresentations and omissions, including concealing that it had secured its position as underwriter and swap provider through bribes to Jefferson County commissioners and others. AGM dismissed the litigation after Jefferson County's Chapter 9 plan of adjustment became effective in December 2013. | ||||||||||||||||||
In September 2010, AGM, together with TD Bank, National Association and Manufacturers and Traders Trust Company, as trustees, filed a complaint in the Court of Common Pleas of Dauphin County, Pennsylvania against The Harrisburg Authority, The City of Harrisburg, Pennsylvania, and the Treasurer of the City in connection with certain Resource Recovery Facility bonds and notes issued by The Harrisburg Authority, alleging, among other claims, breach of contract by both The Harrisburg Authority and The City of Harrisburg, and seeking remedies including an order of mandamus compelling the City to satisfy its obligations on the defaulted bonds and notes and the appointment of a receiver for The Harrisburg Authority. In connection with the consummation of Harrisburg's fiscal recovery plan in December 2013, AGM dismissed such litigation. |
Financial_Guaranty_Insurance_L
Financial Guaranty Insurance Losses | 12 Months Ended | |||||||||||||||||||||||||||||||||||
Dec. 31, 2013 | ||||||||||||||||||||||||||||||||||||
Financial Guaranty Insurance Losses [Abstract] | ' | |||||||||||||||||||||||||||||||||||
Financial Guaranty Insurance Losses | ' | |||||||||||||||||||||||||||||||||||
Financial Guaranty Insurance Losses | ||||||||||||||||||||||||||||||||||||
Accounting Policies | ||||||||||||||||||||||||||||||||||||
Loss and LAE Reserve | ||||||||||||||||||||||||||||||||||||
Loss and LAE reserve reported on the balance sheet relates only to direct and assumed reinsurance contracts that are accounted for as insurance, substantially all of which are financial guaranty insurance contracts. The corresponding reserve ceded to reinsurers is reported as reinsurance recoverable on unpaid losses. As discussed in Note 8, Fair Value Measurement, contracts that meet the definition of a derivative, as well as consolidated FG VIE assets and liabilities, are recorded separately at fair value. Any expected losses related to consolidated FG VIEs are eliminated upon consolidation. Any expected losses on credit derivatives are not recorded as loss and LAE reserve on the consolidated balance sheet. | ||||||||||||||||||||||||||||||||||||
Under financial guaranty insurance accounting, the sum of unearned premium reserve (deferred premium revenue, less claim payments that have not yet been expensed or "contra-paid"), and loss and LAE reserve represents the Company's stand‑ready obligation. At contract inception, the entire stand-ready obligation is represented by unearned premium reserve. A loss and LAE reserve for an insurance contract is only recorded when the expected loss to be paid plus contra-paid (“total losses”) exceed the deferred premium revenue, on a contract by contract basis. | ||||||||||||||||||||||||||||||||||||
When a claim payment is made on a contract, it first reduces any recorded loss and LAE reserve. To the extent there is no loss and LAE reserve on a contract, which occurs when total losses are less than deferred premium revenue, or to the extent loss and LAE reserve is not sufficient to cover a claim payment, then such claim payment is recorded as “contra-paid,” which reduces the unearned premium reserve. The contra-paid is recognized in the line item “loss and LAE” in the consolidated statement of operations when and for the amount that total losses exceed the remaining deferred premium revenue on the insurance contract. Loss and LAE in the consolidated statement of operations is presented net of cessions to reinsurers. | ||||||||||||||||||||||||||||||||||||
Salvage and Subrogation Recoverable | ||||||||||||||||||||||||||||||||||||
When the Company becomes entitled to the cash flow from the underlying collateral of an insured credit under salvage and subrogation rights as a result of a claim payment or estimated future claim payment, it reduces the expected loss to be paid on the contract. Such reduction in expected loss to be paid can result in one of the following: | ||||||||||||||||||||||||||||||||||||
• | a reduction in the corresponding loss and LAE reserve with a benefit to the income statement, | |||||||||||||||||||||||||||||||||||
• | no entry recorded, if “total loss” is not in excess of deferred premium revenue, or | |||||||||||||||||||||||||||||||||||
• | the recording of a salvage asset with a benefit to the income statement if the transaction is in a net recovery position at the reporting date. | |||||||||||||||||||||||||||||||||||
The Company recognizes the expected recovery of claim payments (including recoveries from settlement with R&W providers) made by an acquired subsidiary prior to the date of acquisition, consistent with its policy for recognizing recoveries on all financial guaranty insurance contracts. To the extent that the estimated amount of recoveries increases or decreases, due to changes in facts and circumstances, including the examination of additional loan files and our experience in recovering loans put back to the originator, the Company would recognize a benefit or expense consistent with how changes in the expected recovery of all other claim payments are recorded. The ceded component of salvage and subrogation recoverable is recorded in the line item reinsurance balances payable. | ||||||||||||||||||||||||||||||||||||
Expected Loss to be Expensed | ||||||||||||||||||||||||||||||||||||
Expected loss to be expensed represents past or expected future net claim payments that have not yet been expensed. Such amounts will be expensed in future periods as deferred premium revenue amortizes into income on financial guaranty insurance policies. Expected loss to be expensed is the Company's projection of incurred losses that will be recognized in future periods, excluding accretion of discount. | ||||||||||||||||||||||||||||||||||||
Insurance Contracts' Loss Information | ||||||||||||||||||||||||||||||||||||
The following table provides balance sheet information on loss and LAE reserves and salvage and subrogation recoverable, net of reinsurance. | ||||||||||||||||||||||||||||||||||||
Loss and LAE Reserve and Salvage and Subrogation Recoverable | ||||||||||||||||||||||||||||||||||||
Net of Reinsurance | ||||||||||||||||||||||||||||||||||||
Insurance Contracts | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | As of December 31, 2012 | |||||||||||||||||||||||||||||||||||
Loss and | Salvage and | Net Reserve (Recoverable) | Loss and | Salvage and | Net Reserve (Recoverable) | |||||||||||||||||||||||||||||||
LAE | Subrogation | LAE | Subrogation | |||||||||||||||||||||||||||||||||
Reserve, net | Recoverable, net | Reserve, net | Recoverable, net | |||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
U.S. RMBS: | ||||||||||||||||||||||||||||||||||||
First lien: | ||||||||||||||||||||||||||||||||||||
Prime first lien | $ | 3 | $ | — | $ | 3 | $ | 3 | $ | — | $ | 3 | ||||||||||||||||||||||||
Alt-A first lien | 108 | — | 108 | 93 | — | 93 | ||||||||||||||||||||||||||||||
Option ARM | 22 | 47 | (25 | ) | 52 | 216 | (164 | ) | ||||||||||||||||||||||||||||
Subprime | 143 | 2 | 141 | 82 | 0 | 82 | ||||||||||||||||||||||||||||||
First lien | 276 | 49 | 227 | 230 | 216 | 14 | ||||||||||||||||||||||||||||||
Second lien: | ||||||||||||||||||||||||||||||||||||
Closed-end second lien | 5 | 45 | (40 | ) | 5 | 72 | (67 | ) | ||||||||||||||||||||||||||||
HELOC | 5 | 127 | (122 | ) | 37 | 196 | (159 | ) | ||||||||||||||||||||||||||||
Second lien | 10 | 172 | (162 | ) | 42 | 268 | (226 | ) | ||||||||||||||||||||||||||||
Total U.S. RMBS | 286 | 221 | 65 | 272 | 484 | (212 | ) | |||||||||||||||||||||||||||||
TruPS | 2 | — | 2 | 1 | — | 1 | ||||||||||||||||||||||||||||||
Other structured finance | 145 | 6 | 139 | 197 | 4 | 193 | ||||||||||||||||||||||||||||||
U.S. public finance | 189 | 8 | 181 | 104 | 134 | (30 | ) | |||||||||||||||||||||||||||||
Non-U.S. public finance | 35 | — | 35 | 31 | — | 31 | ||||||||||||||||||||||||||||||
Financial guaranty | 657 | 235 | 422 | 605 | 622 | (17 | ) | |||||||||||||||||||||||||||||
Other | 2 | 5 | (3 | ) | 2 | 5 | (3 | ) | ||||||||||||||||||||||||||||
Subtotal | 659 | 240 | 419 | 607 | 627 | (20 | ) | |||||||||||||||||||||||||||||
Effect of consolidating FG VIEs | (103 | ) | (85 | ) | (18 | ) | (64 | ) | (217 | ) | 153 | |||||||||||||||||||||||||
Total (1) | $ | 556 | $ | 155 | $ | 401 | $ | 543 | $ | 410 | $ | 133 | ||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
(1) See “Components of Net Reserves (Salvage)” table for loss and LAE reserve and salvage and subrogation recoverable components. | ||||||||||||||||||||||||||||||||||||
The following table reconciles the reported gross and ceded reserve and salvage and subrogation amounts to the financial guaranty net reserves (salvage) in the financial guaranty BIG transaction loss summary tables. | ||||||||||||||||||||||||||||||||||||
Components of Net Reserves (Salvage) | ||||||||||||||||||||||||||||||||||||
Insurance Contracts | ||||||||||||||||||||||||||||||||||||
As of | As of | |||||||||||||||||||||||||||||||||||
31-Dec-13 | 31-Dec-12 | |||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
Loss and LAE reserve | $ | 592 | $ | 601 | ||||||||||||||||||||||||||||||||
Reinsurance recoverable on unpaid losses | (36 | ) | (58 | ) | ||||||||||||||||||||||||||||||||
Loss and LAE reserve, net | 556 | 543 | ||||||||||||||||||||||||||||||||||
Salvage and subrogation recoverable | (174 | ) | (456 | ) | ||||||||||||||||||||||||||||||||
Salvage and subrogation payable(1) | 19 | 46 | ||||||||||||||||||||||||||||||||||
Salvage and subrogation recoverable, net | (155 | ) | (410 | ) | ||||||||||||||||||||||||||||||||
Other recoverables(2) | (15 | ) | (30 | ) | ||||||||||||||||||||||||||||||||
Net reserves (salvage) | 386 | 103 | ||||||||||||||||||||||||||||||||||
Less: other (non-financial guaranty business) | (3 | ) | (3 | ) | ||||||||||||||||||||||||||||||||
Net reserves (salvage) | $ | 389 | $ | 106 | ||||||||||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
(1) Recorded as a component of reinsurance balances payable. | ||||||||||||||||||||||||||||||||||||
(2) R&W recoverables recorded in other assets on the consolidated balance sheet. | ||||||||||||||||||||||||||||||||||||
Balance Sheet Classification of | ||||||||||||||||||||||||||||||||||||
Net Expected Recoveries for Breaches of R&W | ||||||||||||||||||||||||||||||||||||
Insurance Contracts | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | As of December 31, 2012 | |||||||||||||||||||||||||||||||||||
For all | Effect of | Reported on | For all | Effect of | Reported on | |||||||||||||||||||||||||||||||
Financial | Consolidating | Balance Sheet(1) | Financial | Consolidating | Balance Sheet(1) | |||||||||||||||||||||||||||||||
Guaranty | FG VIEs | Guaranty | FG VIEs | |||||||||||||||||||||||||||||||||
Insurance | Insurance | |||||||||||||||||||||||||||||||||||
Contracts | Contracts | |||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
Salvage and subrogation recoverable, net | $ | 122 | $ | (49 | ) | $ | 73 | $ | 449 | $ | (169 | ) | $ | 280 | ||||||||||||||||||||||
Loss and LAE reserve, net | 363 | (24 | ) | 339 | 571 | (33 | ) | 538 | ||||||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
-1 | The remaining benefit for R&W is either recorded at fair value in FG VIE assets, or not recorded on the balance sheet until the total loss, net of R&W, exceeds unearned premium reserve. | |||||||||||||||||||||||||||||||||||
The table below provides a reconciliation of net expected loss to be paid to net expected loss to be expensed. Expected loss to be paid differs from expected loss to be expensed due to: (1) the contra-paid which represent the payments that have been made but have not yet been expensed, (2) 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 (having the effect of reducing net expected loss to be paid by the amount of the previously paid claim and the expected recovery), but will have no future income effect (because the previously paid claims and the corresponding recovery of those claims will offset in income in future periods), and (3) loss reserves that have already been established (and therefore expensed but not yet paid). | ||||||||||||||||||||||||||||||||||||
Reconciliation of Net Expected Loss to be Paid and | ||||||||||||||||||||||||||||||||||||
Net Expected Loss to be Expensed | ||||||||||||||||||||||||||||||||||||
Financial Guaranty Insurance Contracts | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
Net expected loss to be paid | $ | 801 | ||||||||||||||||||||||||||||||||||
Less: net expected loss to be paid for FG VIEs | 60 | |||||||||||||||||||||||||||||||||||
Total | 741 | |||||||||||||||||||||||||||||||||||
Contra-paid, net | 39 | |||||||||||||||||||||||||||||||||||
Salvage and subrogation recoverable, net of reinsurance | 150 | |||||||||||||||||||||||||||||||||||
Loss and LAE reserve, net of reinsurance | (554 | ) | ||||||||||||||||||||||||||||||||||
Other recoveries (1) | 15 | |||||||||||||||||||||||||||||||||||
Net expected loss to be expensed (2) | $ | 391 | ||||||||||||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
-1 | R&W recoverables recorded in other assets on the consolidated balance sheet. | |||||||||||||||||||||||||||||||||||
-2 | Excludes $98 million as of December 31, 2013 related to consolidated FG VIEs. | |||||||||||||||||||||||||||||||||||
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 refundings, accelerations, commutations, changes in expected lives and updates to loss estimates. This table excludes amounts related to consolidated FG VIEs, which are eliminated in consolidation. | ||||||||||||||||||||||||||||||||||||
Net Expected Loss to be Expensed | ||||||||||||||||||||||||||||||||||||
Insurance Contracts | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
2014 (January 1 - March 31) | $ | 11 | ||||||||||||||||||||||||||||||||||
2014 (April 1 - June 30) | 11 | |||||||||||||||||||||||||||||||||||
2014 (July 1 - September 30) | 10 | |||||||||||||||||||||||||||||||||||
2014 (October 1–December 31) | 10 | |||||||||||||||||||||||||||||||||||
Subtotal 2014 | 42 | |||||||||||||||||||||||||||||||||||
2015 | 41 | |||||||||||||||||||||||||||||||||||
2016 | 33 | |||||||||||||||||||||||||||||||||||
2017 | 30 | |||||||||||||||||||||||||||||||||||
2018 | 27 | |||||||||||||||||||||||||||||||||||
2019 - 2023 | 99 | |||||||||||||||||||||||||||||||||||
2024 - 2028 | 56 | |||||||||||||||||||||||||||||||||||
2029 - 2033 | 36 | |||||||||||||||||||||||||||||||||||
After 2033 | 27 | |||||||||||||||||||||||||||||||||||
Net expected loss to be expensed(1) | 391 | |||||||||||||||||||||||||||||||||||
Discount | 406 | |||||||||||||||||||||||||||||||||||
Total future value | $ | 797 | ||||||||||||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
-1 | Consolidation of FG VIEs resulted in reductions of $98 million in net expected loss to be expensed which is on a present value basis. | |||||||||||||||||||||||||||||||||||
The following table presents the loss and LAE recorded in the consolidated statements of operations by sector for insurance contracts. Amounts presented are net of reinsurance. | ||||||||||||||||||||||||||||||||||||
Loss and LAE | ||||||||||||||||||||||||||||||||||||
Reported on the | ||||||||||||||||||||||||||||||||||||
Consolidated Statements of Operations | ||||||||||||||||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||||||||||||||||
2013 | 2012 | 2011 | ||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
Structured Finance: | ||||||||||||||||||||||||||||||||||||
U.S. RMBS: | ||||||||||||||||||||||||||||||||||||
First lien: | ||||||||||||||||||||||||||||||||||||
Prime first lien | $ | 1 | $ | 2 | $ | — | ||||||||||||||||||||||||||||||
Alt-A first lien | (2 | ) | 51 | 53 | ||||||||||||||||||||||||||||||||
Option ARM | (48 | ) | 137 | 203 | ||||||||||||||||||||||||||||||||
Subprime | 80 | 38 | (39 | ) | ||||||||||||||||||||||||||||||||
First lien | 31 | 228 | 217 | |||||||||||||||||||||||||||||||||
Second lien: | ||||||||||||||||||||||||||||||||||||
Closed end second lien | 18 | 31 | 1 | |||||||||||||||||||||||||||||||||
HELOC | (53 | ) | 49 | 171 | ||||||||||||||||||||||||||||||||
Second lien | (35 | ) | 80 | 172 | ||||||||||||||||||||||||||||||||
Total U.S. RMBS | (4 | ) | 308 | 389 | ||||||||||||||||||||||||||||||||
TruPS | (1 | ) | (10 | ) | 11 | |||||||||||||||||||||||||||||||
Other structured finance | (34 | ) | 3 | 107 | ||||||||||||||||||||||||||||||||
Structured finance | (35 | ) | (7 | ) | 118 | |||||||||||||||||||||||||||||||
Public Finance: | ||||||||||||||||||||||||||||||||||||
U.S. public finance | 198 | 51 | 15 | |||||||||||||||||||||||||||||||||
Non-U.S. public finance | 16 | 234 | 33 | |||||||||||||||||||||||||||||||||
Public finance | 214 | 285 | 48 | |||||||||||||||||||||||||||||||||
Subtotal | 175 | 586 | 555 | |||||||||||||||||||||||||||||||||
Other | — | (17 | ) | — | ||||||||||||||||||||||||||||||||
Loss and LAE insurance contracts before FG VIE consolidation | 175 | 569 | 555 | |||||||||||||||||||||||||||||||||
Effect of consolidating FG VIEs | (21 | ) | (65 | ) | (107 | ) | ||||||||||||||||||||||||||||||
Loss and LAE | $ | 154 | $ | 504 | $ | 448 | ||||||||||||||||||||||||||||||
The following table provides information on financial guaranty insurance contracts categorized as BIG. Previously, the Company had included securities purchased for loss mitigation purposes in its descriptions of its invested assets and its financial guaranty insured portfolio. Beginning with third quarter 2013, the Company excludes such loss mitigation securities from its disclosure about its financial guaranty insured portfolio (unless otherwise indicated); it has taken this approach as of both December 31, 2013 and December 31, 2012. | ||||||||||||||||||||||||||||||||||||
Financial Guaranty Insurance | ||||||||||||||||||||||||||||||||||||
BIG Transaction Loss Summary | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
BIG Categories (1) | ||||||||||||||||||||||||||||||||||||
BIG 1 | BIG 2 | BIG 3 | Total | Effect of | Total | |||||||||||||||||||||||||||||||
BIG, Net | Consolidating | |||||||||||||||||||||||||||||||||||
Gross | Ceded | Gross | Ceded | Gross | Ceded | FG VIEs | ||||||||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||||||||||||
Number of risks(2) | 185 | (72 | ) | 80 | (24 | ) | 119 | (34 | ) | 384 | — | 384 | ||||||||||||||||||||||||
Remaining weighted-average contract period (in years) | 10.5 | 8.1 | 8.3 | 5.9 | 9.8 | 7.2 | 10.5 | — | 10.5 | |||||||||||||||||||||||||||
Outstanding exposure: | ||||||||||||||||||||||||||||||||||||
Principal | $ | 15,132 | $ | (2,741 | ) | $ | 2,483 | $ | (160 | ) | $ | 3,189 | $ | (158 | ) | $ | 17,745 | $ | — | $ | 17,745 | |||||||||||||||
Interest | 8,114 | (1,144 | ) | 1,181 | (53 | ) | 1,244 | (52 | ) | 9,290 | — | 9,290 | ||||||||||||||||||||||||
Total(3) | $ | 23,246 | $ | (3,885 | ) | $ | 3,664 | $ | (213 | ) | $ | 4,433 | $ | (210 | ) | $ | 27,035 | $ | — | $ | 27,035 | |||||||||||||||
Expected cash outflows (inflows) | $ | 1,853 | $ | (528 | ) | $ | 1,038 | $ | (40 | ) | $ | 1,681 | $ | (62 | ) | $ | 3,942 | $ | (690 | ) | $ | 3,252 | ||||||||||||||
Potential recoveries(4) | (1,879 | ) | 514 | (671 | ) | 27 | (707 | ) | 32 | (2,684 | ) | 579 | (2,105 | ) | ||||||||||||||||||||||
Subtotal | (26 | ) | (14 | ) | 367 | (13 | ) | 974 | (30 | ) | 1,258 | (111 | ) | 1,147 | ||||||||||||||||||||||
Discount | 13 | — | (126 | ) | 3 | (352 | ) | 5 | (457 | ) | 51 | (406 | ) | |||||||||||||||||||||||
Present value of expected cash flows | $ | (13 | ) | $ | (14 | ) | $ | 241 | $ | (10 | ) | $ | 622 | $ | (25 | ) | $ | 801 | $ | (60 | ) | $ | 741 | |||||||||||||
Deferred premium revenue | $ | 517 | $ | (90 | ) | $ | 163 | $ | (7 | ) | $ | 303 | $ | (27 | ) | $ | 859 | $ | (178 | ) | $ | 681 | ||||||||||||||
Reserves (salvage)(5) | $ | (114 | ) | $ | 1 | $ | 117 | $ | (4 | ) | $ | 420 | $ | (13 | ) | $ | 407 | $ | (18 | ) | $ | 389 | ||||||||||||||
Financial Guaranty Insurance | ||||||||||||||||||||||||||||||||||||
BIG Transaction Loss Summary | ||||||||||||||||||||||||||||||||||||
As of December 31, 2012 | ||||||||||||||||||||||||||||||||||||
BIG Categories (1) | ||||||||||||||||||||||||||||||||||||
BIG 1 | BIG 2 | BIG 3 | Total | Effect of | Total | |||||||||||||||||||||||||||||||
BIG, Net | Consolidating | |||||||||||||||||||||||||||||||||||
Gross | Ceded | Gross | Ceded | Gross | Ceded | FG VIEs | ||||||||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||||||||||||
Number of risks(2) | 163 | (66 | ) | 76 | (22 | ) | 131 | (41 | ) | 370 | — | 370 | ||||||||||||||||||||||||
Remaining weighted-average contract period (in years) | 10.2 | 9.2 | 10.6 | 15.1 | 9 | 6 | 10 | — | 10 | |||||||||||||||||||||||||||
Outstanding exposure: | ||||||||||||||||||||||||||||||||||||
Principal | $ | 9,462 | $ | (1,533 | ) | $ | 2,248 | $ | (132 | ) | $ | 6,024 | $ | (481 | ) | $ | 15,588 | $ | — | $ | 15,588 | |||||||||||||||
Interest | 4,475 | (591 | ) | 1,357 | (127 | ) | 1,881 | (117 | ) | 6,878 | — | 6,878 | ||||||||||||||||||||||||
Total(3) | $ | 13,937 | $ | (2,124 | ) | $ | 3,605 | $ | (259 | ) | $ | 7,905 | $ | (598 | ) | $ | 22,466 | $ | — | $ | 22,466 | |||||||||||||||
Expected cash outflows (inflows) | $ | 1,914 | $ | (687 | ) | $ | 863 | $ | (58 | ) | $ | 2,720 | $ | (146 | ) | $ | 4,606 | $ | (738 | ) | $ | 3,868 | ||||||||||||||
Potential recoveries(4) | (2,356 | ) | 677 | (509 | ) | 18 | (1,911 | ) | 117 | (3,964 | ) | 798 | (3,166 | ) | ||||||||||||||||||||||
Subtotal | (442 | ) | (10 | ) | 354 | (40 | ) | 809 | (29 | ) | 642 | 60 | 702 | |||||||||||||||||||||||
Discount | 12 | 8 | (107 | ) | 14 | (216 | ) | 2 | (287 | ) | 36 | (251 | ) | |||||||||||||||||||||||
Present value of expected cash flows | $ | (430 | ) | $ | (2 | ) | $ | 247 | $ | (26 | ) | $ | 593 | $ | (27 | ) | $ | 355 | $ | 96 | $ | 451 | ||||||||||||||
Deferred premium revenue | $ | 265 | $ | (32 | ) | $ | 227 | $ | (15 | ) | $ | 604 | $ | (83 | ) | $ | 966 | $ | (251 | ) | $ | 715 | ||||||||||||||
Reserves (salvage)(5) | $ | (485 | ) | $ | 10 | $ | 102 | $ | (18 | ) | $ | 347 | $ | (3 | ) | $ | (47 | ) | $ | 153 | $ | 106 | ||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
-1 | In third quarter 2013, the Company adjusted its approach to assigning internal ratings. See "Refinement of Approach to Internal Credit Ratings and Surveillance Categories" in Note 3, Outstanding Exposure. This approach is reflected in the "Financial Guaranty Insurance BIG Transaction Loss Summary" tables as of both December 31, 2013 and December 31, 2012. | |||||||||||||||||||||||||||||||||||
-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 ceded number of risks represents the number of risks for which the Company ceded a portion of its exposure. | |||||||||||||||||||||||||||||||||||
-3 | Includes BIG amounts related to FG VIEs. | |||||||||||||||||||||||||||||||||||
-4 | Includes estimated future recoveries for breaches of R&W as well as excess spread, and draws on HELOCs. | |||||||||||||||||||||||||||||||||||
-5 | See table “Components of net reserves (salvage).” | |||||||||||||||||||||||||||||||||||
Ratings Impact on Financial Guaranty Business | ||||||||||||||||||||||||||||||||||||
A downgrade of one of the Company’s insurance subsidiaries may result in increased claims under financial guaranties issued by the Company, if the insured obligors were unable to pay. | ||||||||||||||||||||||||||||||||||||
For example, AGM has issued financial guaranty insurance policies in respect of the obligations of municipal obligors under interest rate swaps. Under the swaps, AGM insures periodic payments owed by the municipal obligors to the bank counterparties. Under certain of the swaps, AGM also insures termination payments that may be owed by the municipal obligors to the bank counterparties. If (i) AGM has been downgraded below the rating trigger set forth in a swap under which it has insured the termination payment, which rating trigger varies on a transaction by transaction basis; (ii) the municipal obligor has the right to cure by, but has failed in, posting collateral, replacing AGM or otherwise curing the downgrade of AGM; (iii) the transaction documents include as a condition that an event of default or termination event with respect to the municipal obligor has occurred, such as the rating of the municipal obligor being downgraded past a specified level, and such condition has been met; (iv) the bank counterparty has elected to terminate the swap; (v) a termination payment is payable by the municipal obligor; and (vi) the municipal obligor has failed to make the termination payment payable by it, then AGM would be required to pay the termination payment due by the municipal obligor, in an amount not to exceed the policy limit set forth in the financial guaranty insurance policy. At AGM's current financial strength ratings, if the conditions giving rise to the obligation of AGM to make a termination payment under the swap termination policies were all satisfied, then AGM could pay claims in an amount not exceeding approximately $84 million in respect of such termination payments. Taking into consideration whether the rating of the municipal obligor is below any applicable specified trigger, if the financial strength ratings of AGM were further downgraded below "A" by S&P or below "A2" by Moody's, and the conditions giving rise to the obligation of AGM to make a payment under the swap policies were all satisfied, then AGM could pay claims in an additional amount not exceeding approximately $261 million in respect of such termination payments. | ||||||||||||||||||||||||||||||||||||
As another example, with respect to variable rate demand obligations ("VRDOs") for which a bank has agreed to provide a liquidity facility, a downgrade of AGM or AGC may provide the bank with the right to give notice to bondholders that the bank will terminate the liquidity facility, causing the bondholders to tender their bonds to the bank. Bonds held by the bank accrue interest at a “bank bond rate” that is higher than the rate otherwise borne by the bond (typically the prime rate plus 2.00% — 3.00%, and capped at the lesser of 25% and the maximum legal limit). In the event the bank holds such bonds for longer than a specified period of time, usually 90-180 days, the bank has the right to demand accelerated repayment of bond principal, usually through payment of equal installments over a period of not less than five years. In the event that a municipal obligor is unable to pay interest accruing at the bank bond rate or to pay principal during the shortened amortization period, a claim could be submitted to AGM or AGC under its financial guaranty policy. As of December 31, 2013, AGM and AGC had insured approximately $5.9 billion net par of VRDOs, of which approximately $0.4 billion of net par constituted VRDOs issued by municipal obligors rated BBB- or lower pursuant to the Company’s internal rating. The specific terms relating to the rating levels that trigger the bank’s termination right, and whether it is triggered by a downgrade by one rating agency or a downgrade by all rating agencies then rating the insurer, vary depending on the transaction. | ||||||||||||||||||||||||||||||||||||
In addition, AGM may be required to pay claims in respect of AGMH’s former financial products business if Dexia SA and its affiliates do not comply with their obligations following a downgrade of the financial strength rating of AGM. Most of the guaranteed investment contracts ("GICs") insured by AGM allow for the withdrawal of GIC funds in the event of a downgrade of AGM, unless the relevant GIC issuer posts collateral or otherwise enhances its credit. Most GICs insured by AGM allow for the termination of the GIC contract and a withdrawal of GIC funds at the option of the GIC holder in the event of a downgrade of AGM below a specified threshold, generally below A- by S&P or A3 by Moody’s, with no right of the GIC issuer to avoid such withdrawal by posting collateral or otherwise enhancing its credit. Each GIC contract stipulates the thresholds below which the GIC issuer must post eligible collateral, along with the types of securities eligible for posting and the collateralization percentage applicable to each security type. These collateralization percentages range from 100% of the GIC balance for cash posted as collateral to, typically, 108% for asset-backed securities. If the entire aggregate accreted GIC balance of approximately $2.7 billion as of December 31, 2013 were terminated, the assets of the GIC issuers (which had an aggregate accreted principal of approximately $4.0 billion and an aggregate market value of approximately $3.8 billion) would be sufficient to fund the withdrawal of the GIC funds. |
Fair_Value_Measurement
Fair Value Measurement | 12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Measurement | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Measurement | |||||||||||||||||||||||||||||||||||||||||||||||||||
The Company carries a significant portion of its assets and liabilities at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., exit price). The price represents the price available in the principal market for the asset or liability. If there is no principal market, then the price is based on a hypothetical market that maximizes the value received for an asset or minimizes the amount paid for a liability (i.e., the most advantageous market). | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fair value is based on quoted market prices, where available. If listed prices or quotes are not available, fair value is based on either internally developed models that primarily use, as inputs, market-based or independently sourced market parameters, including but not limited to yield curves, interest rates and debt prices or with the assistance of an independent third-party using a discounted cash flow approach and the third party’s proprietary pricing models. In addition to market information, models also incorporate transaction details, such as maturity of the instrument and contractual features designed to reduce the Company’s credit exposure, such as collateral rights as applicable. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Valuation adjustments may be made to ensure that financial instruments are recorded at fair value. These adjustments include amounts to reflect counterparty credit quality, the Company’s creditworthiness and constraints on liquidity. As markets and products develop and the pricing for certain products becomes more or less transparent, the Company may refine its methodologies and assumptions. During 2013, no changes were made to the Company’s valuation models that had or are expected to have, a material impact on the Company’s consolidated balance sheets or statements of operations and comprehensive income. | |||||||||||||||||||||||||||||||||||||||||||||||||||
The Company’s methods for calculating fair value produce a fair value calculation that may not be indicative of net realizable value or reflective of future fair values. The use of different methodologies or assumptions to determine fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. | |||||||||||||||||||||||||||||||||||||||||||||||||||
The fair value hierarchy is determined based on whether the inputs to valuation techniques used to measure fair value are observable or unobservable. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect Company estimates of market assumptions. The fair value hierarchy prioritizes model inputs into three broad levels as follows, with Level 1 being the highest and Level 3 the lowest. An asset or liability’s categorization within the fair value hierarchy is based on the lowest level of significant input to its valuation. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Level 1—Quoted prices for identical instruments in active markets. The Company generally defines an active market as a market in which trading occurs at significant volumes. Active markets generally are more liquid and have a lower bid-ask spread than an inactive market. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Level 2—Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and observable inputs other than quoted prices, such as interest rates or yield curves and other inputs derived from or corroborated by observable market inputs. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Level 3—Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. Financial instruments are considered Level 3 when their values are determined using pricing models, discounted cash flow methodologies or similar techniques and at least one significant model assumption or input is unobservable. Level 3 financial instruments also include those for which the determination of fair value requires significant management judgment or estimation. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Transfers between Levels 1, 2 and 3 are recognized at the end of the period when the transfer occurs. The Company reviews the classification between Levels 1, 2 and 3 quarterly to determine whether a transfer is necessary. During the periods presented, there were no transfers between Level 1, 2 and 3. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Measured and Carried at Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fixed-Maturity Securities and Short-term Investments | |||||||||||||||||||||||||||||||||||||||||||||||||||
The fair value of bonds in the investment portfolio is generally based on prices received from third party pricing services or alternative pricing sources with reasonable levels of price transparency. The pricing services prepare estimates of fair value measurements using their pricing models, which include available relevant market information, benchmark curves, benchmarking of like securities, sector groupings, and matrix pricing. Additional valuation factors that can be taken into account are nominal spreads and liquidity adjustments. The pricing services evaluate each asset class based on relevant market and credit information, perceived market movements, and sector news. The market inputs used in the pricing evaluation, listed in the approximate order of priority include: benchmark yields, reported trades, broker/dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers, reference data and industry and economic events. Benchmark yields have in many cases taken priority over reported trades for securities that trade less frequently or those that are distressed trades, and therefore may not be indicative of the market. The extent of the use of each input is dependent on the asset class and the market conditions. Given the asset class, the priority of the use of inputs may change or some market inputs may not be relevant. Additionally, the valuation of fixed maturity investments is more subjective when markets are less liquid due to the lack of market based inputs, which may increase the potential that the estimated fair value of an investment is not reflective of the price at which an actual transaction would occur. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Short-term investments, that are traded in active markets, are classified within Level 1 in the fair value hierarchy and are based on quoted market prices. Securities such as discount notes are classified within Level 2 because these securities are typically not actively traded due to their approaching maturity and, as such, their cost approximates fair value. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Prices determined based on models where at least one significant model assumption or input is unobservable, are considered to be Level 3 in the fair value hierarchy. At December 31, 2013, the Company used models to price 36 fixed-maturity securities, which was 6.9% or $730 million of the Company’s fixed-maturity securities and short-term investments at fair value. Certain level 3 securities were priced with the assistance of an independent third-party. The pricing is based on a discounted cash flow approach using the third-party’s proprietary pricing models. The models use inputs such as projected prepayment speeds; severity assumptions; recovery lag assumptions; estimated default rates (determined on the basis of an analysis of collateral attributes, historical collateral performance, borrower profiles and other features relevant to the evaluation of collateral credit quality); home price depreciation/appreciation rates based on macroeconomic forecasts and recent trading activity. The yield used to discount the projected cash flows is determined by reviewing various attributes of the bond including collateral type, weighted average life, sensitivity to losses, vintage, and convexity, in conjunction with market data on comparable securities. Significant changes to any of these inputs could materially change the expected timing of cash flows within these securities which is a significant factor in determining the fair value of the securities. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Other Invested Assets | |||||||||||||||||||||||||||||||||||||||||||||||||||
Other invested assets includes investments carried and measured at fair value on a recurring basis of $121 million and non-recurring basis of $6 million. Assets carried on a recurring basis primarily comprise certain short-term investments and fixed-maturity securities classified as trading and are Level 2 in the fair value hierarchy. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Other Assets | |||||||||||||||||||||||||||||||||||||||||||||||||||
Committed Capital Securities | |||||||||||||||||||||||||||||||||||||||||||||||||||
The fair value of committed capital securities ("CCS"), which is recorded in “other assets” on the consolidated balance sheets, represents the difference between the present value of remaining expected put option premium payments under AGC’s CCS (the “AGC CCS”) and AGM’s Committed Preferred Trust Securities (the “AGM CPS”) agreements, and the estimated present value that the Company would hypothetically have to pay currently for a comparable security (see Note 17, Long-Term Debt and Credit Facilities). The AGC CCS and AGM CPS are carried at fair value with changes in fair value recorded on the consolidated statement of operations. The estimated current cost of the Company’s CCS is based on several factors, including broker-dealer quotes for the outstanding securities, the U.S. dollar forward swap curve, London Interbank Offered Rate ("LIBOR") curve projections and the term the securities are estimated to remain outstanding. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Supplemental Executive Retirement Plans | |||||||||||||||||||||||||||||||||||||||||||||||||||
The Company classifies the fair value measurement of the assets of the Company's various supplemental executive retirement plans as either Level 1 or Level 2. The fair value of these assets is valued based on the observable published daily values of the underlying mutual fund included in the aforementioned plans (Level 1) or based upon the net asset value of the funds if a published daily value is not available (Level 2). | |||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Guaranty Contracts Accounted for as Credit Derivatives | |||||||||||||||||||||||||||||||||||||||||||||||||||
The Company’s credit derivatives consist primarily of insured CDS contracts, and also include interest rate swaps that fall under derivative accounting standards requiring fair value accounting through the statement of operations. The Company does not enter into CDS with the intent to trade these contracts and the Company may not unilaterally terminate a CDS contract absent an event of default or termination event that entitles the Company to terminate (except for certain rare circumstances); however, the Company has mutually agreed with various counterparties to terminate certain CDS transactions. Such terminations generally are completed for an amount that approximates the present value of future premiums, not at fair value. | |||||||||||||||||||||||||||||||||||||||||||||||||||
The terms of the Company’s CDS contracts differ from more standardized credit derivative contracts sold by companies outside the financial guaranty industry. The non-standard terms include the absence of collateral support agreements or immediate settlement provisions. In addition, the Company employs relatively high attachment points and does not exit derivatives it sells or purchases for credit protection purposes, except under specific circumstances such as mutual agreements with counterparties to terminate certain CDS contracts. Management considers the non-standard terms of its credit derivative contracts in determining the fair value of these contracts. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Due to the lack of quoted prices and other observable inputs for its instruments or for similar instruments, the Company determines the fair value of its credit derivative contracts primarily through internally developed, proprietary modeling that uses both observable and unobservable market data inputs to derive an estimate of the fair value of the Company's contracts in principal markets (see "Assumptions and Inputs"). There is no established market where financial guaranty insured credit derivatives are actively traded, therefore, management has determined that the exit market for the Company’s credit derivatives is a hypothetical one based on its entry market. Management has tracked the historical pricing of the Company’s deals to establish historical price points in the hypothetical market that are used in the fair value calculation. These contracts are classified as Level 3 in the fair value hierarchy since there is reliance on at least one unobservable input deemed significant to the valuation model, most importantly the Company’s estimate of the value of the non-standard terms and conditions of its credit derivative contracts and of the Company’s current credit standing. | |||||||||||||||||||||||||||||||||||||||||||||||||||
The Company’s models and the related assumptions are continuously reevaluated by management and enhanced, as appropriate, based upon improvements in modeling techniques and availability of more timely and relevant market information. | |||||||||||||||||||||||||||||||||||||||||||||||||||
The fair value of the Company’s credit derivative contracts represents the difference between the present value of remaining premiums the Company expects to receive or pay and the estimated present value of premiums that a financial guarantor of comparable credit-worthiness would hypothetically charge or pay for the same protection. The fair value of the Company’s credit derivatives depends on a number of factors, including notional amount of the contract, expected term, credit spreads, changes in interest rates, the credit ratings of referenced entities, the Company’s own credit risk and remaining contractual cash flows. The expected remaining contractual premium cash flows are the most readily observable inputs since they are based on the CDS contractual terms. Credit spreads capture the effect of recovery rates and performance of underlying assets of these contracts, among other factors. Consistent with the previous several years, market conditions at December 31, 2013 were such that market prices of the Company’s CDS contracts were not available. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Management considers factors such as current prices charged for similar agreements, when available, performance of underlying assets, life of the instrument, and the nature and extent of activity in the financial guaranty credit derivative marketplace. The assumptions that management uses to determine the fair value may change in the future due to market conditions. Due to the inherent uncertainties of the assumptions used in the valuation models, actual experience may differ from the estimates reflected in the Company’s consolidated financial statements and the differences may be material. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Assumptions and Inputs | |||||||||||||||||||||||||||||||||||||||||||||||||||
Listed below are various inputs and assumptions that are key to the establishment of the Company’s fair value for CDS contracts. | |||||||||||||||||||||||||||||||||||||||||||||||||||
· Gross spread. | |||||||||||||||||||||||||||||||||||||||||||||||||||
· The allocation of gross spread among: | |||||||||||||||||||||||||||||||||||||||||||||||||||
• | the profit the originator, usually an investment bank, realizes for putting the deal together and funding the transaction (“bank profit”); | ||||||||||||||||||||||||||||||||||||||||||||||||||
• | premiums paid to the Company for the Company’s credit protection provided (“net spread”); and | ||||||||||||||||||||||||||||||||||||||||||||||||||
• | the cost of CDS protection purchased by the originator to hedge their counterparty credit risk exposure to the Company (“hedge cost”). | ||||||||||||||||||||||||||||||||||||||||||||||||||
· The weighted average life which is based on future expected premium cash flows and Debt Service schedules. | |||||||||||||||||||||||||||||||||||||||||||||||||||
· The rates used to discount future expected premium cash flows which ranged from 0.21% to 3.88% at December 31, 2013 and 0.21% to 2.81% at December 31, 2012. | |||||||||||||||||||||||||||||||||||||||||||||||||||
The Company obtains gross spreads on its outstanding contracts from market data sources published by third parties (e.g. dealer spread tables for the collateral similar to assets within the Company’s transactions), as well as collateral-specific spreads provided by trustees or obtained from market sources. If observable market credit spreads are not available or reliable for the underlying reference obligations, then market indices are used that most closely resemble the underlying reference obligations, considering asset class, credit quality rating and maturity of the underlying reference obligations. These indices are adjusted to reflect the non-standard terms of the Company’s CDS contracts. Market sources determine credit spreads by reviewing new issuance pricing for specific asset classes and receiving price quotes from their trading desks for the specific asset in question. Management validates these quotes by cross-referencing quotes received from one market source against quotes received from another market source to ensure reasonableness. In addition, the Company compares the relative change in price quotes received from one quarter to another, with the relative change experienced by published market indices for a specific asset class. Collateral specific spreads obtained from third-party, independent market sources are un-published spread quotes from market participants or market traders who are not trustees. Management obtains this information as the result of direct communication with these sources as part of the valuation process. | |||||||||||||||||||||||||||||||||||||||||||||||||||
With respect to CDS transactions for which there is an expected claim payment within the next twelve months, the allocation of gross spread reflects a higher allocation to the cost of credit rather than the bank profit component. In the current market, it is assumed that a bank would be willing to accept a lower profit on distressed transactions in order to remove these transactions from its financial statements. | |||||||||||||||||||||||||||||||||||||||||||||||||||
The following spread hierarchy is utilized in determining which source of gross spread to use, with the rule being to use CDS spreads where available. If not available, CDS spreads are either interpolated or extrapolated based on similar transactions or market indices. | |||||||||||||||||||||||||||||||||||||||||||||||||||
· Actual collateral specific credit spreads (if up-to-date and reliable market-based spreads are available). | |||||||||||||||||||||||||||||||||||||||||||||||||||
· Deals priced or closed during a specific quarter within a specific asset class and specific rating. | |||||||||||||||||||||||||||||||||||||||||||||||||||
· Credit spreads interpolated based upon market indices. | |||||||||||||||||||||||||||||||||||||||||||||||||||
· Credit spreads provided by the counterparty of the CDS. | |||||||||||||||||||||||||||||||||||||||||||||||||||
· Credit spreads extrapolated based upon transactions of similar asset classes, similar ratings, and similar time to maturity. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Information by Credit Spread Type (1) | |||||||||||||||||||||||||||||||||||||||||||||||||||
As of | As of | ||||||||||||||||||||||||||||||||||||||||||||||||||
31-Dec-13 | 31-Dec-12 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Based on actual collateral specific spreads | 6 | % | 6 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Based on market indices | 88 | % | 88 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Provided by the CDS counterparty | 6 | % | 6 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Total | 100 | % | 100 | % | |||||||||||||||||||||||||||||||||||||||||||||||
____________________ | |||||||||||||||||||||||||||||||||||||||||||||||||||
(1) Based on par. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Over time the data inputs can change as new sources become available or existing sources are discontinued or are no longer considered to be the most appropriate. It is the Company’s objective to move to higher levels on the hierarchy whenever possible, but it is sometimes necessary to move to lower priority inputs because of discontinued data sources or management’s assessment that the higher priority inputs are no longer considered to be representative of market spreads for a given type of collateral. This can happen, for example, if transaction volume changes such that a previously used spread index is no longer viewed as being reflective of current market levels. | |||||||||||||||||||||||||||||||||||||||||||||||||||
The Company interpolates a curve based on the historical relationship between the premium the Company receives when a credit derivative is closed to the daily closing price of the market index related to the specific asset class and rating of the deal. This curve indicates expected credit spreads at each indicative level on the related market index. For transactions with unique terms or characteristics where no price quotes are available, management extrapolates credit spreads based on an alternative transaction for which the Company has received a spread quote from one of the first three sources within the Company’s spread hierarchy. This alternative transaction will be within the same asset class, have similar underlying assets, similar credit ratings, and similar time to maturity. The Company then calculates the percentage of relative spread change quarter over quarter for the alternative transaction. This percentage change is then applied to the historical credit spread of the transaction for which no price quote was received in order to calculate the transactions’ current spread. Counterparties determine credit spreads by reviewing new issuance pricing for specific asset classes and receiving price quotes from their trading desks for the specific asset in question. These quotes are validated by cross-referencing quotes received from one market source with those quotes received from another market source to ensure reasonableness. | |||||||||||||||||||||||||||||||||||||||||||||||||||
The premium the Company receives is referred to as the “net spread.” The Company’s pricing model takes into account not only how credit spreads on risks that it assumes affect pricing, but also how the Company’s own credit spread affects the pricing of its deals. The Company’s own credit risk is factored into the determination of net spread based on the impact of changes in the quoted market price for credit protection bought on the Company, as reflected by quoted market prices on CDS referencing AGC or AGM. For credit spreads on the Company’s name the Company obtains the quoted price of CDS contracts traded on AGC and AGM from market data sources published by third parties. The cost to acquire CDS protection referencing AGC or AGM affects the amount of spread on CDS deals that the Company retains and, hence, their fair value. As the cost to acquire CDS protection referencing AGC or AGM increases, the amount of premium the Company retains on a deal generally decreases. As the cost to acquire CDS protection referencing AGC or AGM decreases, the amount of premium the Company retains on a deal generally increases. In the Company’s valuation model, the premium the Company captures is not permitted to go below the minimum rate that the Company would currently charge to assume similar risks. This assumption can have the effect of mitigating the amount of unrealized gains that are recognized on certain CDS contracts. Given the current market conditions and the Company’s own credit spreads, approximately 61% and 71% based on number of deals of the Company's CDS contracts are fair valued using this minimum premium as of as of December 31, 2013 and December 31, 2012, respectively. The Company corroborates the assumptions in its fair value model, including the portion of exposure to AGC and AGM hedged by its counterparties, with independent third parties each reporting period. The current level of AGC’s and AGM’s own credit spread has resulted in the bank or deal originator hedging a significant portion of its exposure to AGC and AGM. This reduces the amount of contractual cash flows AGC and AGM can capture as premium for selling its protection. | |||||||||||||||||||||||||||||||||||||||||||||||||||
The amount of premium a financial guaranty insurance market participant can demand is inversely related to the cost of credit protection on the insurance company as measured by market credit spreads assuming all other assumptions remain constant. This is because the buyers of credit protection typically hedge a portion of their risk to the financial guarantor, due to the fact that the contractual terms of the Company's contracts typically do not require the posting of collateral by the guarantor. The extent of the hedge depends on the types of instruments insured and the current market conditions. | |||||||||||||||||||||||||||||||||||||||||||||||||||
A fair value resulting in a credit derivative asset on protection sold is the result of contractual cash inflows on in-force deals in excess of what a hypothetical financial guarantor could receive if it sold protection on the same risk as of the reporting date. If the Company were able to freely exchange these contracts (i.e., assuming its contracts did not contain proscriptions on transfer and there was a viable exchange market), it would be able to realize a gain representing the difference between the higher contractual premiums to which it is entitled and the current market premiums for a similar contract. The Company determines the fair value of its CDS contracts by applying the difference between the current net spread and the contractual net spread for the remaining duration of each contract to the notional value of its CDS contracts. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Example | |||||||||||||||||||||||||||||||||||||||||||||||||||
Following is an example of how changes in gross spreads, the Company’s own credit spread and the cost to buy protection on the Company affect the amount of premium the Company can demand for its credit protection. The assumptions used in these examples are hypothetical amounts. Scenario 1 represents the market conditions in effect on the transaction date and Scenario 2 represents market conditions at a subsequent reporting date. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Scenario 1 | Scenario 2 | ||||||||||||||||||||||||||||||||||||||||||||||||||
bps | % of Total | bps | % of Total | ||||||||||||||||||||||||||||||||||||||||||||||||
Original gross spread/cash bond price (in bps) | 185 | 500 | |||||||||||||||||||||||||||||||||||||||||||||||||
Bank profit (in bps) | 115 | 62 | % | 50 | 10 | % | |||||||||||||||||||||||||||||||||||||||||||||
Hedge cost (in bps) | 30 | 16 | % | 440 | 88 | % | |||||||||||||||||||||||||||||||||||||||||||||
The Company premium received per annum (in bps) | 40 | 22 | % | 10 | 2 | % | |||||||||||||||||||||||||||||||||||||||||||||
In Scenario 1, the gross spread is 185 basis points. The bank or deal originator captures 115 basis points of the original gross spread and hedges 10% of its exposure to AGC, when the CDS spread on AGC was 300 basis points (300 basis points × 10% =/font>30 basis points). Under this scenario the Company received premium of 40 basis points, or 22% of the gross spread. | |||||||||||||||||||||||||||||||||||||||||||||||||||
In Scenario 2, the gross spread is 500 basis points. The bank or deal originator captures 50 basis points of the original gross spread and hedges 25% of its exposure to AGC, when the CDS spread on AGC was 1,760 basis points (1,760 basis points × 25% =/font>440 basis points). Under this scenario the Company would receive premium of 10 basis points, or 2% of the gross spread. Due to the increased cost to hedge AGC’s name, the amount of profit the bank would expect to receive, and the premium the Company would expect to receive decline significantly. | |||||||||||||||||||||||||||||||||||||||||||||||||||
In this example, the contractual cash flows (the Company premium received per annum above) exceed the amount a market participant would require the Company to pay in today’s market to accept its obligations under the CDS contract, thus resulting in an asset. This credit derivative asset is equal to the difference in premium rates discounted at the corresponding LIBOR over the weighted average remaining life of the contract. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Strengths and Weaknesses of Model | |||||||||||||||||||||||||||||||||||||||||||||||||||
The Company’s credit derivative valuation model, like any financial model, has certain strengths and weaknesses. | |||||||||||||||||||||||||||||||||||||||||||||||||||
The primary strengths of the Company’s CDS modeling techniques are: | |||||||||||||||||||||||||||||||||||||||||||||||||||
· The model takes into account the transaction structure and the key drivers of market value. The transaction structure includes par insured, weighted average life, level of subordination and composition of collateral. | |||||||||||||||||||||||||||||||||||||||||||||||||||
· The model maximizes the use of market-driven inputs whenever they are available. The key inputs to the model are market-based spreads for the collateral, and the credit rating of referenced entities. These are viewed by the Company to be the key parameters that affect fair value of the transaction. | |||||||||||||||||||||||||||||||||||||||||||||||||||
· The model is a consistent approach to valuing positions. The Company has developed a hierarchy for market-based spread inputs that helps mitigate the degree of subjectivity during periods of high illiquidity. | |||||||||||||||||||||||||||||||||||||||||||||||||||
The primary weaknesses of the Company’s CDS modeling techniques are: | |||||||||||||||||||||||||||||||||||||||||||||||||||
· There is no exit market or actual exit transactions. Therefore the Company’s exit market is a hypothetical one based on the Company’s entry market. | |||||||||||||||||||||||||||||||||||||||||||||||||||
· There is a very limited market in which to validate the reasonableness of the fair values developed by the Company’s model. | |||||||||||||||||||||||||||||||||||||||||||||||||||
· At December 31, 2013 and 2012, the markets for the inputs to the model were highly illiquid, which impacts their reliability. | |||||||||||||||||||||||||||||||||||||||||||||||||||
· Due to the non-standard terms under which the Company enters into derivative contracts, the fair value of its credit derivatives may not reflect the same prices observed in an actively traded market of credit derivatives that do not contain terms and conditions similar to those observed in the financial guaranty market. | |||||||||||||||||||||||||||||||||||||||||||||||||||
These contracts were classified as Level 3 in the fair value hierarchy because there is a reliance on at least one unobservable input deemed significant to the valuation model, most significantly the Company's estimate of the value of non-standard terms and conditions of its credit derivative contracts and amount of protection purchased on AGC or AGM's name. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Option on FG VIEs’ Assets and Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||||||
The Company elected the fair value option for all the FG VIEs’ assets and liabilities. See Note 10, Consolidation of Variable Interest Entities. | |||||||||||||||||||||||||||||||||||||||||||||||||||
The FG VIEs that are consolidated by the Company issued securities collateralized by HELOCs, first lien and second lien RMBS, subprime automobile loans, and other loans and receivables. The lowest level input that is significant to the fair value measurement of these assets and liabilities was a Level 3 input (i.e. unobservable), therefore management classified them as Level 3 in the fair value hierarchy. Prices were generally determined with the assistance of an independent third-party. The pricing is based on a discounted cash flow approach and the third-party’s proprietary pricing models. The models to price the FG VIEs’ liabilities used, where appropriate, inputs such as estimated prepayment speeds; market values of the assets that collateralize the securities; estimated default rates (determined on the basis of an analysis of collateral attributes, historical collateral performance, borrower profiles and other features relevant to the evaluation of collateral credit quality); yields implied by market prices for similar securities; house price depreciation/appreciation rates based on macroeconomic forecasts and, for those liabilities insured by the Company, the benefit from the Company’s insurance policy guaranteeing the timely payment of principal and interest for the FG VIE tranches insured by the Company, taking into account the timing of the potential default and the Company’s own credit rating. The third-party also utilizes an internal model to determine an appropriate yield at which to discount the cash flows of the security, by factoring in collateral types, weighted-average lives, and other structural attributes specific to the security being priced. The expected yield is further calibrated by utilizing algorithm’s designed to aggregate market color, received by the third-party, on comparable bonds. | |||||||||||||||||||||||||||||||||||||||||||||||||||
The fair value of the Company’s FG VIE assets is sensitive to changes related to estimated prepayment speeds; estimated default rates (determined on the basis of an analysis of collateral attributes such as: historical collateral performance, borrower profiles and other features relevant to the evaluation of collateral credit quality); discount rates implied by market prices for similar securities; and house price depreciation/appreciation rates based on macroeconomic forecasts. Significant changes to some of these inputs could materially change the market value of the FG VIE’s assets and the implied collateral losses within the transaction. In general, the fair value of the FG VIE asset is most sensitive to changes in the projected collateral losses, where an increase in collateral losses typically leads to a decrease in the fair value of FG VIE assets, while a decrease in collateral losses typically leads to an increase in the fair value of FG VIE assets. These factors also directly impact the fair value of the Company’s FG VIE liabilities. | |||||||||||||||||||||||||||||||||||||||||||||||||||
The fair value of the Company’s FG VIE liabilities is also sensitive to changes relating to estimated prepayment speeds; market values of the underlying assets; estimated default rates (determined on the basis of an analysis of collateral attributes such as: historical collateral performance, borrower profiles and other features relevant to the evaluation of collateral credit quality); discount rates implied by market prices for similar securities; and house price depreciation/appreciation rates based on macroeconomic forecasts. In addition, the Company’s FG VIE liabilities with recourse are also sensitive to changes in the Company’s implied credit worthiness. Significant changes to any of these inputs could materially change the timing of expected losses within the insured transaction which is a significant factor in determining the implied benefit from the Company’s insurance policy guaranteeing the timely payment of principal and interest for the tranches of debt issued by the FG VIE that is insured by the Company. In general, extending the timing of expected loss payments by the Company into the future typically leads to a decrease in the value of the Company’s insurance and a decrease in the fair value of the Company’s FG VIE liabilities with recourse, while a shortening of the timing of expected loss payments by the Company typically leads to an increase in the value of the Company’s insurance and an increase in the fair value of the Company’s FG VIE liabilities with recourse. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Not Carried at Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Guaranty Insurance Contracts | |||||||||||||||||||||||||||||||||||||||||||||||||||
The fair value of the Company’s financial guaranty contracts accounted for as insurance was based on management’s estimate of what a similarly rated financial guaranty insurance company would demand to acquire the Company’s in-force book of financial guaranty insurance business. This amount was based on the pricing assumptions management has observed for portfolio transfers that have occurred in the financial guaranty market and included adjustments to the carrying value of unearned premium reserve for stressed losses, ceding commissions and return on capital. The significant inputs were not readily observable. The Company accordingly classified this fair value measurement as Level 3. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Long-Term Debt | |||||||||||||||||||||||||||||||||||||||||||||||||||
The Company’s long-term debt, excluding notes payable, is valued by broker-dealers using third party independent pricing sources and standard market conventions. The market conventions utilize market quotations, market transactions for the Company’s comparable instruments, and to a lesser extent, similar instruments in the broader insurance industry. The fair value measurement was classified as Level 2 in the fair value hierarchy. | |||||||||||||||||||||||||||||||||||||||||||||||||||
The fair value of the notes payable that are recorded within long-term debt was determined by calculating the present value of the expected cash flows. The Company determines discounted future cash flows using market driven discount rates and a variety of assumptions, including LIBOR curve projections, prepayment and default assumptions, and AGM CDS spreads. The fair value measurement was classified as Level 3 in the fair value hierarchy because there is a reliance on significant unobservable inputs to the valuation model, including the discount rates, prepayment and default assumptions, loss severity and recovery on delinquent loans. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Other Invested Assets | |||||||||||||||||||||||||||||||||||||||||||||||||||
The fair value of the other invested assets, which primarily consist of assets acquired in refinancing transactions, was determined by calculating the present value of the expected cash flows. The Company uses a market approach to determine discounted future cash flows using market driven discount rates and a variety of assumptions, including LIBOR curve projections and prepayment and default assumptions. The fair value measurement was classified as Level 3 in the fair value hierarchy because there is a reliance on significant unobservable inputs to the valuation model, including the discount rates, prepayment and default assumptions, loss severity and recovery on delinquent loans. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Other Assets and Other Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||||||
The Company’s other assets and other liabilities consist predominantly of accrued interest, receivables for securities sold and payables for securities purchased, the carrying values of which approximate fair value. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Instruments Carried at Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||||||
Amounts recorded at fair value in the Company’s financial statements are included in the tables below. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Hierarchy of Financial Instruments Carried at Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Hierarchy | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | Level 1 | Level 2 | Level 3 | ||||||||||||||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Investment portfolio, available-for-sale: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fixed-maturity securities | |||||||||||||||||||||||||||||||||||||||||||||||||||
Obligations of state and political subdivisions | $ | 5,079 | $ | — | $ | 5,043 | $ | 36 | |||||||||||||||||||||||||||||||||||||||||||
U.S. government and agencies | 700 | — | 700 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Corporate securities | 1,340 | — | 1,204 | 136 | |||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
RMBS | 1,122 | — | 832 | 290 | |||||||||||||||||||||||||||||||||||||||||||||||
CMBS | 549 | — | 549 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Asset-backed securities | 608 | — | 340 | 268 | |||||||||||||||||||||||||||||||||||||||||||||||
Foreign government securities | 313 | — | 313 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Total fixed-maturity securities | 9,711 | — | 8,981 | 730 | |||||||||||||||||||||||||||||||||||||||||||||||
Short-term investments | 904 | 506 | 398 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Other invested assets(1) | 127 | — | 119 | 8 | |||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative assets | 94 | — | — | 94 | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ assets, at fair value | 2,565 | — | — | 2,565 | |||||||||||||||||||||||||||||||||||||||||||||||
Other assets(2) | 84 | 27 | 11 | 46 | |||||||||||||||||||||||||||||||||||||||||||||||
Total assets carried at fair value | $ | 13,485 | $ | 533 | $ | 9,509 | $ | 3,443 | |||||||||||||||||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative liabilities | $ | 1,787 | $ | — | $ | — | $ | 1,787 | |||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities with recourse, at fair value | 1,790 | — | — | 1,790 | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities without recourse, at fair value | 1,081 | — | — | 1,081 | |||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities carried at fair value | $ | 4,658 | $ | — | $ | — | $ | 4,658 | |||||||||||||||||||||||||||||||||||||||||||
Fair Value Hierarchy of Financial Instruments Carried at Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||||||
As of December 31, 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Hierarchy | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | Level 1 | Level 2 | Level 3 | ||||||||||||||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Investment portfolio, available-for-sale: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fixed-maturity securities | |||||||||||||||||||||||||||||||||||||||||||||||||||
Obligations of state and political subdivisions | $ | 5,631 | $ | — | $ | 5,596 | $ | 35 | |||||||||||||||||||||||||||||||||||||||||||
U.S. government and agencies | 794 | — | 794 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Corporate securities | 1,010 | — | 1,010 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
RMBS | 1,266 | — | 1,047 | 219 | |||||||||||||||||||||||||||||||||||||||||||||||
CMBS | 520 | — | 520 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Asset-backed securities | 531 | — | 225 | 306 | |||||||||||||||||||||||||||||||||||||||||||||||
Foreign government securities | 304 | — | 304 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Total fixed-maturity securities | 10,056 | — | 9,496 | 560 | |||||||||||||||||||||||||||||||||||||||||||||||
Short-term investments | 817 | 446 | 371 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Other invested assets(1) | 120 | — | 112 | 8 | |||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative assets | 141 | — | — | 141 | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ assets, at fair value | 2,688 | — | — | 2,688 | |||||||||||||||||||||||||||||||||||||||||||||||
Other assets(2) | 65 | 24 | 5 | 36 | |||||||||||||||||||||||||||||||||||||||||||||||
Total assets carried at fair value | $ | 13,887 | $ | 470 | $ | 9,984 | $ | 3,433 | |||||||||||||||||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative liabilities | $ | 1,934 | $ | — | $ | — | $ | 1,934 | |||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities with recourse, at fair value | 2,090 | — | — | 2,090 | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities without recourse, at fair value | 1,051 | — | — | 1,051 | |||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities carried at fair value | $ | 5,075 | $ | — | $ | — | $ | 5,075 | |||||||||||||||||||||||||||||||||||||||||||
____________________ | |||||||||||||||||||||||||||||||||||||||||||||||||||
-1 | Includes mortgage loans that are recorded at fair value on a non-recurring basis. At December 31, 2013 and December 31, 2012, such investments were carried at their fair value of $6 million and $7 million, respectively. | ||||||||||||||||||||||||||||||||||||||||||||||||||
(2) Includes fair value of CCS and supplemental executive retirement plan assets. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Changes in Level 3 Fair Value Measurements | |||||||||||||||||||||||||||||||||||||||||||||||||||
The table below presents a roll forward of the Company’s Level 3 financial instruments carried at fair value on a recurring basis during the years ended December 31, 2013 and 2012. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Level 3 Rollforward | |||||||||||||||||||||||||||||||||||||||||||||||||||
Recurring Basis | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2013 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fixed-Maturity Securities | |||||||||||||||||||||||||||||||||||||||||||||||||||
Obligations | Corporate Securities | RMBS | Asset- | Other | FG VIEs’ | Other | Credit | FG VIEs' Liabilities | FG VIEs’ Liabilities | ||||||||||||||||||||||||||||||||||||||||||
of State and | Backed | Invested | Assets at | Assets | Derivative | with | without | ||||||||||||||||||||||||||||||||||||||||||||
Political | Securities | Assets | Fair | Asset | Recourse, | Recourse, | |||||||||||||||||||||||||||||||||||||||||||||
Subdivisions | Value | (Liability), | at Fair | at Fair | |||||||||||||||||||||||||||||||||||||||||||||||
net(5) | Value | Value | |||||||||||||||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fair value as of December 31, 2012 | $ | 35 | $ | — | $ | 219 | $ | 306 | $ | 1 | $ | 2,688 | $ | 36 | $ | (1,793 | ) | $ | (2,090 | ) | $ | (1,051 | ) | ||||||||||||||||||||||||||||
Total pretax realized and unrealized gains/(losses) recorded in:(1) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | (8 | ) | (2 | ) | 4 | (2 | ) | 13 | (2 | ) | 67 | (2 | ) | (1 | ) | (7 | ) | 686 | (3 | ) | 10 | (4 | ) | 65 | (6 | ) | (166 | ) | (3 | ) | (225 | ) | (3 | ) | |||||||||||||||||
Other comprehensive income (loss) | 13 | 5 | 26 | (43 | ) | 2 | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
Purchases | — | 130 | (8 | ) | 86 | 80 | 2 | (8 | ) | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||
Settlements | (4 | ) | (3 | ) | (54 | ) | (142 | ) | (2 | ) | (663 | ) | — | 35 | 343 | 168 | |||||||||||||||||||||||||||||||||||
FG VIE consolidations | — | — | — | — | — | 48 | — | — | (12 | ) | (37 | ) | |||||||||||||||||||||||||||||||||||||||
FG VIE deconsolidations | — | — | — | — | — | (194 | ) | — | — | 135 | 64 | ||||||||||||||||||||||||||||||||||||||||
Fair value as of December 31, 2013 | $ | 36 | $ | 136 | $ | 290 | $ | 268 | $ | 2 | $ | 2,565 | $ | 46 | $ | (1,693 | ) | $ | (1,790 | ) | $ | (1,081 | ) | ||||||||||||||||||||||||||||
Change in unrealized gains/(losses) related to financial instruments held as of December 31, 2013 | $ | 14 | $ | 5 | $ | 27 | $ | (20 | ) | $ | 2 | $ | 623 | $ | 10 | $ | (139 | ) | $ | (169 | ) | $ | (326 | ) | |||||||||||||||||||||||||||
Fair Value Level 3 Rollforward | |||||||||||||||||||||||||||||||||||||||||||||||||||
Recurring Basis | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fixed-Maturity Securities | |||||||||||||||||||||||||||||||||||||||||||||||||||
Obligations of state and political subdivisions | RMBS | Asset Backed Securities | Other | FG VIEs’ | Other | Credit | FG VIEs’ Liabilities | FG VIEs’ Liabilities | |||||||||||||||||||||||||||||||||||||||||||
Invested | Assets at | Assets | Derivative | with | without | ||||||||||||||||||||||||||||||||||||||||||||||
Assets | Fair | Asset | Recourse, | Recourse, | |||||||||||||||||||||||||||||||||||||||||||||||
Value | (Liability), | at Fair | at Fair | ||||||||||||||||||||||||||||||||||||||||||||||||
net(5) | Value | Value | |||||||||||||||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fair value as of December 31, 2011 | $ | 10 | $ | 134 | $ | 235 | $ | 2 | $ | 2,819 | $ | 54 | $ | (1,304 | ) | $ | (2,397 | ) | (1,061 | ) | |||||||||||||||||||||||||||||||
Total pretax realized and unrealized gains/(losses) recorded in:(1) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | 1 | (2 | ) | 11 | (2 | ) | 29 | (2 | ) | 0 | (7 | ) | 399 | (3 | ) | (18 | ) | (4 | ) | (585 | ) | (6 | ) | (276 | ) | (3 | ) | (195 | ) | (3 | ) | ||||||||||||||||||||
Other comprehensive income (loss) | (10 | ) | 16 | 30 | (1 | ) | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
Purchases | 34 | 108 | 40 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
Settlements | — | (50 | ) | (28 | ) | — | (545 | ) | — | 96 | 519 | 205 | |||||||||||||||||||||||||||||||||||||||
FG VIE consolidations | — | — | — | — | 15 | — | — | (18 | ) | — | |||||||||||||||||||||||||||||||||||||||||
FG VIE elimination | — | — | — | — | — | — | — | 82 | — | ||||||||||||||||||||||||||||||||||||||||||
Fair value as of December 31, 2012 | $ | 35 | $ | 219 | $ | 306 | $ | 1 | $ | 2,688 | $ | 36 | $ | (1,793 | ) | $ | (2,090 | ) | (1,051 | ) | |||||||||||||||||||||||||||||||
Change in unrealized gains/(losses) related to financial instruments held as of December 31, 2012 | $ | (10 | ) | $ | 11 | $ | 33 | $ | (1 | ) | $ | 674 | $ | (18 | ) | $ | (480 | ) | $ | (608 | ) | 50 | |||||||||||||||||||||||||||||
___________________ | |||||||||||||||||||||||||||||||||||||||||||||||||||
-1 | Realized and unrealized gains (losses) from changes in values of Level 3 financial instruments represent gains (losses) from changes in values of those financial instruments only for the periods in which the instruments were classified as Level 3. | ||||||||||||||||||||||||||||||||||||||||||||||||||
-2 | Included in net realized investment gains (losses) and net investment income. | ||||||||||||||||||||||||||||||||||||||||||||||||||
-3 | Included in fair value gains (losses) on FG VIEs. | ||||||||||||||||||||||||||||||||||||||||||||||||||
-4 | Recorded in fair value gains (losses) on CCS. | ||||||||||||||||||||||||||||||||||||||||||||||||||
-5 | Represents net position of credit derivatives. The consolidated balance sheet presents gross assets and liabilities based on net counterparty exposure. | ||||||||||||||||||||||||||||||||||||||||||||||||||
-6 | Reported in net change in fair value of credit derivatives. | ||||||||||||||||||||||||||||||||||||||||||||||||||
-7 | Reported in other income. | ||||||||||||||||||||||||||||||||||||||||||||||||||
-8 | Non cash transaction. | ||||||||||||||||||||||||||||||||||||||||||||||||||
Level 3 Fair Value Disclosures | |||||||||||||||||||||||||||||||||||||||||||||||||||
Quantitative Information About Level 3 Fair Value Inputs | |||||||||||||||||||||||||||||||||||||||||||||||||||
At December 31, 2013 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Instrument Description | Fair Value at December 31, 2013(in millions) | Valuation | Significant Unobservable Inputs | Range | |||||||||||||||||||||||||||||||||||||||||||||||
Technique | |||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fixed-maturity securities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Obligations of state and political subdivisions | $ | 36 | Discounted | Rate of inflation | 1 | % | - | 3.00% | |||||||||||||||||||||||||||||||||||||||||||
cash flow | Cash flow receipts | 0.5 | % | - | 60.90% | ||||||||||||||||||||||||||||||||||||||||||||||
Discount rates | 4.6 | % | 9.00% | ||||||||||||||||||||||||||||||||||||||||||||||||
Collateral recovery period | 1 month | - | 10 years | ||||||||||||||||||||||||||||||||||||||||||||||||
Corporate securities | 136 | Discounted | Yield | 8.30% | |||||||||||||||||||||||||||||||||||||||||||||||
cash flow | |||||||||||||||||||||||||||||||||||||||||||||||||||
RMBS | 290 | Discounted | CPR | 1 | % | - | 15.80% | ||||||||||||||||||||||||||||||||||||||||||||
cash flow | CDR | 5 | % | - | 25.80% | ||||||||||||||||||||||||||||||||||||||||||||||
Severity | 48.1 | % | - | 102.50% | |||||||||||||||||||||||||||||||||||||||||||||||
Yield | 2.5 | % | - | 9.40% | |||||||||||||||||||||||||||||||||||||||||||||||
Asset-backed securities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Investor owned utility | 141 | Discounted cash flow | Liquidation value (in millions) | $195 | - | $245 | |||||||||||||||||||||||||||||||||||||||||||||
Years to liquidation | 0 years | - | 3 years | ||||||||||||||||||||||||||||||||||||||||||||||||
Collateral recovery period | 12 months | 6 years | |||||||||||||||||||||||||||||||||||||||||||||||||
Discount factor | 15.30% | ||||||||||||||||||||||||||||||||||||||||||||||||||
XXX life insurance transactions | 127 | Discounted | Yield | 12.50% | |||||||||||||||||||||||||||||||||||||||||||||||
cash flow | |||||||||||||||||||||||||||||||||||||||||||||||||||
Other invested assets | 8 | Discounted cash flow | Discount for lack of liquidity | 10 | % | - | 20.00% | ||||||||||||||||||||||||||||||||||||||||||||
Recovery on delinquent loans | 20 | % | - | 60.00% | |||||||||||||||||||||||||||||||||||||||||||||||
Default rates | 1 | % | - | 10.00% | |||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 40 | % | - | 90.00% | |||||||||||||||||||||||||||||||||||||||||||||||
Prepayment speeds | 6 | % | - | 15.00% | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ assets, at fair value | 2,565 | Discounted | CPR | 0.3 | % | - | 11.80% | ||||||||||||||||||||||||||||||||||||||||||||
cash flow | CDR | 3 | % | - | 25.80% | ||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 37.5 | % | - | 102.00% | |||||||||||||||||||||||||||||||||||||||||||||||
Yield | 3.5 | % | - | 10.20% | |||||||||||||||||||||||||||||||||||||||||||||||
Financial Instrument Description | Fair Value at | Valuation | Significant Unobservable Inputs | Range | |||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2013 | Technique | ||||||||||||||||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets | 46 | Discounted cash flow | Quotes from third party pricing | $47 | - | $53 | |||||||||||||||||||||||||||||||||||||||||||||
Term (years) | 5 years | ||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative liabilities, net | (1,693 | ) | Discounted | Year 1 loss estimates | 0 | % | - | 48.00% | |||||||||||||||||||||||||||||||||||||||||||
cash flow | Hedge cost (in bps) | 46.3 | - | 525 | |||||||||||||||||||||||||||||||||||||||||||||||
Bank profit (in bps) | 1 | - | 1,418.50 | ||||||||||||||||||||||||||||||||||||||||||||||||
Internal floor (in bps) | 7 | - | 100 | ||||||||||||||||||||||||||||||||||||||||||||||||
Internal credit rating | AAA | - | BIG | ||||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities, at fair value | (2,871 | ) | Discounted | CPR | 0.3 | % | - | 11.80% | |||||||||||||||||||||||||||||||||||||||||||
cash flow | CDR | 3 | % | - | 25.80% | ||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 37.5 | % | - | 102.00% | |||||||||||||||||||||||||||||||||||||||||||||||
Yield | 3.5 | % | - | 10.20% | |||||||||||||||||||||||||||||||||||||||||||||||
Quantitative Information About Level 3 Fair Value Inputs | |||||||||||||||||||||||||||||||||||||||||||||||||||
At December 31, 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Instrument Description | Fair Value at December 31, 2012(in millions) | Valuation | Significant Unobservable Inputs | Range | |||||||||||||||||||||||||||||||||||||||||||||||
Technique | |||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fixed-maturity securities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Obligations of state and political subdivisions | $ | 35 | Discounted | Rate of inflation | 1 | % | - | 3.00% | |||||||||||||||||||||||||||||||||||||||||||
cash flow | Cash flow receipts | 4.9 | % | - | 85.80% | ||||||||||||||||||||||||||||||||||||||||||||||
Discount rates | 4.3 | % | 9.00% | ||||||||||||||||||||||||||||||||||||||||||||||||
Collateral recovery period | 1 month | - | 43 years | ||||||||||||||||||||||||||||||||||||||||||||||||
RMBS | 219 | Discounted | CPR | 0.8 | % | - | 7.50% | ||||||||||||||||||||||||||||||||||||||||||||
cash flow | CDR | 4.4 | % | - | 28.60% | ||||||||||||||||||||||||||||||||||||||||||||||
Severity | 48.1 | % | - | 102.80% | |||||||||||||||||||||||||||||||||||||||||||||||
Yield | 3.5 | % | - | 12.80% | |||||||||||||||||||||||||||||||||||||||||||||||
Asset-backed securities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Whole business securitization | 63 | Discounted cash flow | Annual gross revenue projections (in millions) | $54 | - | $96 | |||||||||||||||||||||||||||||||||||||||||||||
Value of primary financial guaranty policy | 43.80% | ||||||||||||||||||||||||||||||||||||||||||||||||||
Liquidity discount | 5 | % | - | 20.00% | |||||||||||||||||||||||||||||||||||||||||||||||
Investor owned utility | 186 | Discounted cash flow | Liquidation value (in millions) | $212 | - | $242 | |||||||||||||||||||||||||||||||||||||||||||||
Years to liquidation | 0 years | - | 3 years | ||||||||||||||||||||||||||||||||||||||||||||||||
Discount factor | 15.30% | ||||||||||||||||||||||||||||||||||||||||||||||||||
XXX life insurance transactions | 57 | Discounted | Yield | 12.50% | |||||||||||||||||||||||||||||||||||||||||||||||
cash flow | |||||||||||||||||||||||||||||||||||||||||||||||||||
Other invested assets | 8 | Discounted cash flow | Discount for lack of liquidity | 10 | % | - | 20.00% | ||||||||||||||||||||||||||||||||||||||||||||
Recovery on delinquent loans | 20 | % | - | 60.00% | |||||||||||||||||||||||||||||||||||||||||||||||
Default rates | 1 | % | - | 12.00% | |||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 40 | % | - | 90.00% | |||||||||||||||||||||||||||||||||||||||||||||||
Prepayment speeds | 6 | % | - | 15.00% | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ assets, at fair value | 2,688 | Discounted | CPR | 0.5 | % | - | 10.90% | ||||||||||||||||||||||||||||||||||||||||||||
cash flow | CDR | 3 | % | - | 28.60% | ||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 37.5 | % | - | 103.80% | |||||||||||||||||||||||||||||||||||||||||||||||
Yield | 4.5 | % | - | 20.00% | |||||||||||||||||||||||||||||||||||||||||||||||
Financial Instrument Description | Fair Value at | Valuation | Significant Unobservable Inputs | Range | |||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2012 | Technique | ||||||||||||||||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets | 36 | Discounted cash flow | Quotes from third party pricing | $38 | - | $51 | |||||||||||||||||||||||||||||||||||||||||||||
Term (years) | 3 years | ||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative liabilities, net | (1,793 | ) | Discounted | Year 1 loss estimates | 0 | % | - | 58.70% | |||||||||||||||||||||||||||||||||||||||||||
cash flow | Hedge cost (in bps) | 64.2 | - | 678.4 | |||||||||||||||||||||||||||||||||||||||||||||||
Bank profit (in bps) | 1 | - | 1,312.90 | ||||||||||||||||||||||||||||||||||||||||||||||||
Internal floor (in bps) | 7 | - | 60 | ||||||||||||||||||||||||||||||||||||||||||||||||
Internal credit rating | AAA | - | BIG | ||||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities, at fair value | (3,141 | ) | Discounted | CPR | 0.5 | % | - | 10.90% | |||||||||||||||||||||||||||||||||||||||||||
cash flow | CDR | 3 | % | - | 28.60% | ||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 37.5 | % | - | 103.80% | |||||||||||||||||||||||||||||||||||||||||||||||
Yield | 4.5 | % | - | 20.00% | |||||||||||||||||||||||||||||||||||||||||||||||
The carrying amount and estimated fair value of the Company’s financial instruments are presented in the following table. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value of Financial Instruments | |||||||||||||||||||||||||||||||||||||||||||||||||||
As of | As of | ||||||||||||||||||||||||||||||||||||||||||||||||||
31-Dec-13 | 31-Dec-12 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Carrying | Estimated | Carrying | Estimated | ||||||||||||||||||||||||||||||||||||||||||||||||
Amount | Fair Value | Amount | Fair Value | ||||||||||||||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fixed-maturity securities | $ | 9,711 | $ | 9,711 | $ | 10,056 | $ | 10,056 | |||||||||||||||||||||||||||||||||||||||||||
Short-term investments | 904 | 904 | 817 | 817 | |||||||||||||||||||||||||||||||||||||||||||||||
Other invested assets | 147 | 155 | 177 | 182 | |||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative assets | 94 | 94 | 141 | 141 | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ assets, at fair value | 2,565 | 2,565 | 2,688 | 2,688 | |||||||||||||||||||||||||||||||||||||||||||||||
Other assets | 179 | 179 | 166 | 166 | |||||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Financial guaranty insurance contracts(1) | 3,783 | 5,128 | 3,918 | 6,537 | |||||||||||||||||||||||||||||||||||||||||||||||
Long-term debt | 816 | 970 | 836 | 1,091 | |||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative liabilities | 1,787 | 1,787 | 1,934 | 1,934 | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities with recourse, at fair value | 1,790 | 1,790 | 2,090 | 2,090 | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities without recourse, at fair value | 1,081 | 1,081 | 1,051 | 1,051 | |||||||||||||||||||||||||||||||||||||||||||||||
Other liabilities | 36 | 36 | 47 | 47 | |||||||||||||||||||||||||||||||||||||||||||||||
____________________ | |||||||||||||||||||||||||||||||||||||||||||||||||||
-1 | Carrying amount includes the assets and liabilities related to financial guaranty insurance contract premiums, losses, and salvage and subrogation and other recoverables net of reinsurance. |
Financial_Guaranty_Contracts_A
Financial Guaranty Contracts Accounted for as Credit Derivatives | 12 Months Ended | ||||||||||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | ||||||||||||||||||||||||
Financial Guaranty Contracts Accounted for as Credit Derivatives | ' | ||||||||||||||||||||||||
Financial Guaranty Contracts Accounted for as Credit Derivatives | |||||||||||||||||||||||||
Accounting Policy | |||||||||||||||||||||||||
Credit derivatives are recorded at fair value. Changes in fair value are recorded in “net change in fair value of credit derivatives” on the consolidated statement of operations. Realized gains and other settlements on credit derivatives include credit derivative premiums received and receivable for credit protection the Company has sold under its insured CDS contracts, premiums paid and payable for credit protection the Company has purchased, contractual claims paid and payable and received and receivable related to insured credit events under these contracts, ceding commissions expense or income and realized gains or losses related to their early termination. Net unrealized gains and losses on credit derivatives represent the adjustments for changes in fair value in excess of realized gains and other settlements. Fair value of credit derivatives is reflected as either net assets or net liabilities determined on a contract by contract basis in the Company's consolidated balance sheets. See Note 8, Fair Value Measurement, for a discussion on the fair value methodology for credit derivatives. | |||||||||||||||||||||||||
Credit Derivatives | |||||||||||||||||||||||||
The Company has a portfolio of financial guaranty contracts that meet the definition of a derivative in accordance with GAAP (primarily CDS). Until the Company ceased selling credit protection through credit derivative contracts in the beginning of 2009, following the issuance of regulatory guidelines that limited the terms under which the credit protection could be sold, management considered these agreements to be a normal part of its financial guaranty business. The potential capital or margin requirements that may apply under the Dodd-Frank Act contributed to the decision of the Company not to sell new credit protection through CDS in the foreseeable future. | |||||||||||||||||||||||||
Credit derivative transactions are governed by ISDA documentation and have different characteristics from financial guaranty insurance contracts. For example, the Company’s control rights with respect to a reference obligation under a credit derivative may be more limited than when the Company issues a financial guaranty insurance contract. In addition, while the Company’s exposure under credit derivatives, like the Company’s exposure under financial guaranty insurance contracts, has been generally for as long as the reference obligation remains outstanding, unlike financial guaranty contracts, a credit derivative may be terminated for a breach of the ISDA documentation or other specific events. A loss payment is made only upon the occurrence of one or more defined credit events with respect to the referenced securities or loans. A credit event may be a non-payment event such as a failure to pay, bankruptcy or restructuring, as negotiated by the parties to the credit derivative transactions. If events of default or termination events specified in the credit derivative documentation were to occur, the non-defaulting or the non-affected party, which may be either the Company or the counterparty, depending upon the circumstances, may decide to terminate a credit derivative prior to maturity. The Company may be required to make a termination payment to its swap counterparty upon such termination. The Company may not unilaterally terminate a CDS contract; however, the Company on occasion has mutually agreed with various counterparties to terminate certain CDS transactions. | |||||||||||||||||||||||||
Credit Derivative Net Par Outstanding by Sector | |||||||||||||||||||||||||
The estimated remaining weighted average life of credit derivatives was 4.1 years at December 31, 2013 and 3.7 years at December 31, 2012. The components of the Company’s credit derivative net par outstanding are presented below. | |||||||||||||||||||||||||
Credit Derivatives | |||||||||||||||||||||||||
Subordination and Ratings | |||||||||||||||||||||||||
As of December 31, 2013 | As of December 31, 2012 | ||||||||||||||||||||||||
Asset Type | Net Par | Original | Current | Weighted | Net Par | Original | Current | Weighted | |||||||||||||||||
Outstanding | Subordination(1) | Subordination(1) | Average | Outstanding | Subordination(1) | Subordination(1) | Average | ||||||||||||||||||
Credit | Credit | ||||||||||||||||||||||||
Rating | Rating | ||||||||||||||||||||||||
(dollars in millions) | |||||||||||||||||||||||||
Pooled corporate obligations: | |||||||||||||||||||||||||
Collateralized loan obligation/collateral bond obligations | $ | 19,323 | 32.4 | % | 34 | % | AAA | $ | 29,142 | 32.8 | % | 33.3 | % | AAA | |||||||||||
Synthetic investment grade pooled corporate | 9,754 | 21.6 | 20 | AAA | 9,658 | 21.6 | 19.7 | AAA | |||||||||||||||||
Synthetic high yield pooled corporate | 2,690 | 47.2 | 41.1 | AAA | 3,626 | 35 | 30.3 | AAA | |||||||||||||||||
TruPS CDOs | 3,554 | 45.5 | 32.9 | BB+ | 4,099 | 46.5 | 32.7 | BB | |||||||||||||||||
Market value CDOs of corporate obligations | 2,000 | 24.4 | 30.5 | AAA | 3,595 | 30.1 | 32 | AAA | |||||||||||||||||
Total pooled corporate obligations | 37,321 | 31.5 | 30.6 | AAA | 50,120 | 31.7 | 30.4 | AAA | |||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||||||
Option ARM and Alt-A first lien | 2,609 | 19.2 | 8.6 | BB- | 3,381 | 20.2 | 10.4 | B+ | |||||||||||||||||
Subprime first lien | 2,930 | 30.5 | 51.9 | AA- | 3,494 | 29.8 | 52.6 | A+ | |||||||||||||||||
Prime first lien | 264 | 10.9 | 3.2 | CCC | 333 | 10.9 | 5.2 | B | |||||||||||||||||
Closed end second lien and HELOCs | 23 | — | — | B+ | 49 | — | — | B- | |||||||||||||||||
Total U.S. RMBS | 5,826 | 24.4 | 30.1 | BBB | 7,257 | 24.2 | 30.4 | BBB | |||||||||||||||||
CMBS | 3,744 | 33.5 | 42.5 | AAA | 4,094 | 33.3 | 41.8 | AAA | |||||||||||||||||
Other | 7,591 | — | — | A- | 9,310 | — | — | A | |||||||||||||||||
Total | $ | 54,482 | AA+ | $ | 70,781 | AA+ | |||||||||||||||||||
____________________ | |||||||||||||||||||||||||
-1 | Represents the sum of subordinate tranches and over-collateralization and does not include any benefit from excess interest collections that may be used to absorb losses. | ||||||||||||||||||||||||
Except for TruPS CDOs, the Company’s exposure to pooled corporate obligations is highly diversified in terms of obligors and industries. Most pooled corporate transactions are structured to limit exposure to any given obligor and industry. The majority of the Company’s pooled corporate exposure consists of collateralized loan obligation (“CLO”) or synthetic pooled corporate obligations. Most of these CLOs have an average obligor size of less than 1% of the total transaction and typically restrict the maximum exposure to any one industry to approximately 10%. The Company’s exposure also benefits from embedded credit enhancement in the transactions which allows a transaction to sustain a certain level of losses in the underlying collateral, further insulating the Company from industry specific concentrations of credit risk on these deals. | |||||||||||||||||||||||||
The Company’s TruPS CDO asset pools are generally less diversified by obligors and industries than the typical CLO asset pool. Also, the underlying collateral in TruPS CDOs consists primarily of subordinated debt instruments such as TruPS issued by bank holding companies and similar instruments issued by insurance companies, REITs and other real estate related issuers while CLOs typically contain primarily senior secured obligations. However, to mitigate these risks TruPS CDOs were typically structured with higher levels of embedded credit enhancement than typical CLOs. | |||||||||||||||||||||||||
The Company’s exposure to “Other” CDS contracts is also highly diversified. It includes $2.5 billion of exposure to two pooled infrastructure transactions comprising diversified pools of international infrastructure project transactions and loans to regulated utilities. These pools were all structured with underlying credit enhancement sufficient for the Company to attach at AAA levels at origination. The remaining $5.1 billion of exposure in “Other” CDS contracts comprises numerous deals across various asset classes, such as commercial receivables, international RMBS, infrastructure, regulated utilities and consumer receivables. Of the total net par outstanding in the "Other" sector, $0.5 billion is rated BIG. | |||||||||||||||||||||||||
Distribution of Credit Derivative Net Par Outstanding by Internal Rating | |||||||||||||||||||||||||
As of December 31, 2013 | As of December 31, 2012 | ||||||||||||||||||||||||
Ratings | Net Par | % of Total | Net Par | % of Total | |||||||||||||||||||||
Outstanding | Outstanding | ||||||||||||||||||||||||
(dollars in millions) | |||||||||||||||||||||||||
AAA | $ | 38,244 | 70.2 | % | $ | 50,918 | 71.9 | % | |||||||||||||||||
AA | 3,648 | 6.7 | 3,083 | 4.4 | |||||||||||||||||||||
A | 3,636 | 6.7 | 5,487 | 7.8 | |||||||||||||||||||||
BBB | 4,161 | 7.6 | 4,584 | 6.4 | |||||||||||||||||||||
BIG | 4,793 | 8.8 | 6,709 | 9.5 | |||||||||||||||||||||
Credit derivative net par outstanding | $ | 54,482 | 100 | % | $ | 70,781 | 100 | % | |||||||||||||||||
Net Change in Fair Value of Credit Derivatives | |||||||||||||||||||||||||
Net Change in Fair Value of Credit Derivatives Gain (Loss) | |||||||||||||||||||||||||
Year Ended December 31, | |||||||||||||||||||||||||
2013 | 2012 | 2011 | |||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||
Net credit derivative premiums received and receivable | $ | 119 | $ | 127 | $ | 185 | |||||||||||||||||||
Net ceding commissions (paid and payable) received and receivable | 2 | 1 | 3 | ||||||||||||||||||||||
Realized gains on credit derivatives | 121 | 128 | 188 | ||||||||||||||||||||||
Terminations | 0 | (1 | ) | (23 | ) | ||||||||||||||||||||
Net credit derivative losses (paid and payable) recovered and recoverable | (163 | ) | (235 | ) | (159 | ) | |||||||||||||||||||
Realized gains (losses) and other settlements on credit derivatives | (42 | ) | (108 | ) | 6 | ||||||||||||||||||||
Net change in unrealized gains (losses) on credit derivatives(1) | 107 | (477 | ) | 554 | |||||||||||||||||||||
Net change in fair value of credit derivatives | $ | 65 | $ | (585 | ) | $ | 560 | ||||||||||||||||||
____________________ | |||||||||||||||||||||||||
-1 | Except for net estimated credit impairments (i.e., net expected loss to be paid as discussed in Note 6), the unrealized gains and losses on credit derivatives are expected to reduce to zero as the exposure approaches its maturity date. With considerable volatility continuing in the market, unrealized gains (losses) on credit derivatives may fluctuate significantly in future periods. | ||||||||||||||||||||||||
The table below sets out the net par amount of credit derivative contracts that the Company and its counterparties agreed to terminate on a consensual basis. | |||||||||||||||||||||||||
Net Par and Accelerations of Credit Derivative Revenues | |||||||||||||||||||||||||
from Terminations of CDS Contracts | |||||||||||||||||||||||||
Year Ended December 31, | |||||||||||||||||||||||||
2013 | 2012 | 2011 | |||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||
Net par of terminated CDS contracts | $ | 4,054 | $ | 2,264 | $ | 11,543 | |||||||||||||||||||
Accelerations of credit derivative revenues | 21 | 3 | 25 | ||||||||||||||||||||||
In 2013, in addition to the agreements to terminate CDS transactions discussed above, in connection with loss mitigation efforts, the Company terminated a CDS transaction that referenced a film securitization after paying the counterparty $120 million which was recorded in realized gains (losses) and other settlements on credit derivatives, with a corresponding release of the unrealized loss recorded in unrealized gains (losses) on credit derivatives of $127 million for a net change in fair value of credit derivatives of $7 million. | |||||||||||||||||||||||||
Net Change in Unrealized Gains (Losses) | |||||||||||||||||||||||||
on Credit Derivatives | |||||||||||||||||||||||||
By Sector | |||||||||||||||||||||||||
Year Ended December 31, | |||||||||||||||||||||||||
Asset Type | 2013 | 2012 | 2011 | ||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||
Pooled corporate obligations | $ | (32 | ) | $ | 59 | $ | 39 | ||||||||||||||||||
U.S. RMBS | (69 | ) | (551 | ) | 381 | ||||||||||||||||||||
CMBS | 0 | 2 | 11 | ||||||||||||||||||||||
Other (1) | 208 | 13 | 123 | ||||||||||||||||||||||
Total | $ | 107 | $ | (477 | ) | $ | 554 | ||||||||||||||||||
____________________ | |||||||||||||||||||||||||
-1 | “Other” includes all other U.S. and international asset classes, such as commercial receivables, international infrastructure, international RMBS securities, and pooled infrastructure securities. | ||||||||||||||||||||||||
During 2013, unrealized fair value gains were generated in the “other” sector primarily as a result of the termination of a film securitization transaction and a U.K. infrastructure transaction, as well as price improvement on a XXX life securitization transaction. These unrealized gains were partially offset by unrealized fair value losses in the prime first lien, Alt-A, Option ARM and subprime RMBS sectors due to wider implied net spreads. The wider implied net spreads were primarily a result of the decreased cost to buy protection in AGC’s name as the market cost of AGC’s credit protection decreased. These transactions were pricing above their floor levels (or the minimum rate at which the Company would consider assuming these risks based on historical experience); therefore when the cost of purchasing CDS protection on AGC, which management refers to as the CDS spread on AGC, decreased the implied spreads that the Company would expect to receive on these transactions increased. The cost of AGM’s credit protection also decreased slightly during 2013, but did not lead to significant fair value losses, as the majority of AGM policies continue to price at floor levels. | |||||||||||||||||||||||||
During 2012, U.S. RMBS unrealized fair value losses were generated primarily in the prime first lien, Alt-A, Option ARM and subprime RMBS sectors primarily as a result of the decreased cost to buy protection in AGC's name as the market cost of AGC's credit protection decreased. These transactions were pricing above their floor levels therefore when the cost of purchasing CDS protection on AGC decreased, the implied spreads that the Company would expect to receive on these transactions increased. The cost of AGM's credit protection also decreased during 2012, but did not lead to significant fair value losses, as the majority of AGM policies continue to price at floor levels. In addition, 2012 included an $85 million unrealized gain relating to R&W benefits from the agreement with Deutsche Bank. | |||||||||||||||||||||||||
In 2011, U.S. RMBS unrealized fair value gains were generated primarily in the Option ARM, Alt-A, prime first lien and subprime sectors primarily as a result of the increased cost to buy protection in AGC's name as the market cost of AGC's credit protection increased. These transactions were pricing above their floor levels; therefore when the cost of purchasing CDS protection on AGC increased, the implied spreads that the Company would expect to receive on these transactions decreased. The unrealized fair value gain in "other" primarily resulted from tighter implied net spreads on a XXX life securitization transaction and a film securitization, which also resulted from the increased cost to buy protection in AGC's name, referenced above. The cost of AGM's credit protection also increased during the year, but did not lead to significant fair value gains, as the majority of AGM policies continue to price at floor levels. | |||||||||||||||||||||||||
The impact of changes in credit spreads will vary based upon the volume, tenor, interest rates, and other market conditions at the time these fair values are determined. In addition, since each transaction has unique collateral and structural terms, the underlying change in fair value of each transaction may vary considerably. The fair value of credit derivative contracts also reflects the change in the Company’s own credit cost based on the price to purchase credit protection on AGC and AGM. The Company determines its own credit risk based on quoted CDS prices traded on the Company at each balance sheet date. Generally, a widening of the CDS prices traded on AGC and AGM has an effect of offsetting unrealized losses that result from widening general market credit spreads, while a narrowing of the CDS prices traded on AGC and AGM has an effect of offsetting unrealized gains that result from narrowing general market credit spreads. | |||||||||||||||||||||||||
Five-Year CDS Spread | |||||||||||||||||||||||||
on AGC and AGM | |||||||||||||||||||||||||
Quoted price of CDS contract (in basis points) | |||||||||||||||||||||||||
As of | As of | As of | |||||||||||||||||||||||
31-Dec-13 | 31-Dec-12 | 31-Dec-11 | |||||||||||||||||||||||
AGC | 460 | 678 | 1,140 | ||||||||||||||||||||||
AGM | 525 | 536 | 778 | ||||||||||||||||||||||
One-Year CDS Spread | |||||||||||||||||||||||||
on AGC and AGM | |||||||||||||||||||||||||
Quoted price of CDS contract (in basis points) | |||||||||||||||||||||||||
As of | As of | As of | |||||||||||||||||||||||
31-Dec-13 | 31-Dec-12 | 31-Dec-11 | |||||||||||||||||||||||
AGC | 185 | 270 | 965 | ||||||||||||||||||||||
AGM | 220 | 257 | 538 | ||||||||||||||||||||||
Fair Value of Credit Derivatives | |||||||||||||||||||||||||
and Effect of AGC and AGM | |||||||||||||||||||||||||
Credit Spreads | |||||||||||||||||||||||||
As of | As of | ||||||||||||||||||||||||
31-Dec-13 | 31-Dec-12 | ||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||
Fair value of credit derivatives before effect of AGC and AGM credit spreads | $ | (3,442 | ) | $ | (4,809 | ) | |||||||||||||||||||
Plus: Effect of AGC and AGM credit spreads | 1,749 | 3,016 | |||||||||||||||||||||||
Net fair value of credit derivatives | $ | (1,693 | ) | $ | (1,793 | ) | |||||||||||||||||||
The fair value of CDS contracts at December 31, 2013, before considering the implications of AGC’s and AGM’s credit spreads, is a direct result of continued wide credit spreads in the fixed income security markets and ratings downgrades. The asset classes that remain most affected are 2005-2007 vintages of prime first lien, Alt-A, Option ARM, subprime RMBS deals as well as trust-preferred and pooled corporate securities. Comparing December 31, 2013 with December 31, 2012, there was a narrowing of spreads primarily related to Alt-A first lien, Option ARM, and subprime RMBS transactions, as well as the Company's pooled corporate obligations. This narrowing of spreads combined with the runoff of par outstanding and termination of securities, resulted in a gain of approximately $1,367 million, before taking into account AGC’s or AGM’s credit spreads. | |||||||||||||||||||||||||
Management believes that the trading level of AGC’s and AGM’s credit spreads over the past several years has been due to the correlation between AGC’s and AGM’s risk profile and the current risk profile of the broader financial markets and to increased demand for credit protection against AGC and AGM as the result of its financial guaranty volume, as well as the overall lack of liquidity in the CDS market. Offsetting the benefit attributable to AGC’s and AGM’s credit spread were higher credit spreads in the fixed income security markets. The higher credit spreads in the fixed income security market are due to the lack of liquidity in the high yield CDO, TruPS CDO, and CLO markets as well as continuing market concerns over the most recent vintages of RMBS. | |||||||||||||||||||||||||
The following table presents the fair value and the present value of expected claim payments or recoveries (i.e. net expected loss to be paid as described in Note 6) for contracts accounted for as derivatives. | |||||||||||||||||||||||||
Net Fair Value and Expected | |||||||||||||||||||||||||
Losses of Credit Derivatives | |||||||||||||||||||||||||
by Sector | |||||||||||||||||||||||||
Fair Value of Credit Derivative | Present Value of Expected Claim | ||||||||||||||||||||||||
Asset (Liability), net | (Payments) Recoveries(1) | ||||||||||||||||||||||||
Asset Type | As of | As of | As of | As of | |||||||||||||||||||||
31-Dec-13 | 31-Dec-12 | 31-Dec-13 | 31-Dec-12 | ||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||
Pooled corporate obligations | $ | (30 | ) | $ | 6 | $ | (35 | ) | $ | (16 | ) | ||||||||||||||
U.S. RMBS | (1,308 | ) | (1,237 | ) | (147 | ) | (181 | ) | |||||||||||||||||
CMBS | (2 | ) | (2 | ) | — | — | |||||||||||||||||||
Other | (353 | ) | (560 | ) | 43 | (85 | ) | ||||||||||||||||||
Total | $ | (1,693 | ) | $ | (1,793 | ) | $ | (139 | ) | $ | (282 | ) | |||||||||||||
____________________ | |||||||||||||||||||||||||
(1) | Represents the expected claim payments (recoveries) in excess of the present value of future installment fees to be received of $45 million as of December 31, 2013 and $43 million as of December 31, 2012. Includes R&W benefit of $180 million as of December 31, 2013 and $237 million as of December 31, 2012. | ||||||||||||||||||||||||
Ratings Sensitivities of Credit Derivative Contracts | |||||||||||||||||||||||||
Within the Company’s insured CDS portfolio, the transaction documentation for approximately $1.7 billion in CDS gross par insured as of December 31, 2013 provides that a downgrade of AGC's financial strength rating below BBB- or Baa3 would constitute a termination event that would allow the relevant CDS counterparty to terminate the affected transactions. As of December 31, 2012, such amount was $2.0 billion. If the CDS counterparty elected to terminate the affected transactions, AGC could be required to make a termination payment (or may be entitled to receive a termination payment from the CDS counterparty). The Company does not believe that it can accurately estimate the termination payments AGC could be required to make if, as a result of any such downgrade, a CDS counterparty terminated the affected transactions. These payments could have a material adverse effect on the Company’s liquidity and financial condition. | |||||||||||||||||||||||||
The transaction documentation for approximately $10.3 billion in CDS gross par insured as of December 31, 2013 requires AGC and Assured Guaranty Re Overseas Ltd. ("AGRO") to post eligible collateral to secure its obligations to make payments under such contracts. Eligible collateral is generally cash or U.S. government or agency securities; eligible collateral other than cash is valued at a discount to the face amount. For approximately $9.9 billion of such contracts, AGC has negotiated caps such that the posting requirement cannot exceed a certain fixed amount, regardless of the mark-to-market valuation of the exposure or the financial strength ratings of AGC. For such contracts, AGC need not post on a cash basis more than $665 million, although the value of the collateral posted may exceed such fixed amount depending on the advance rate agreed with the counterparty for the particular type of collateral posted. For the remaining approximately $347 million of such contracts, AGC or AGRO could be required from time to time to post additional collateral without such cap based on movements in the mark-to-market valuation of the underlying exposure. As of December 31, 2013, the Company was posting approximately $677 million to secure obligations under its CDS exposure, of which approximately $62 million related to such $347 million of notional. As of December 31, 2012, the Company was posting approximately $728 million, of which approximately $68 million related to $400 million of notional where AGC or AGRO could be required to post additional collateral based on movements in the mark-to-market valuation of the underlying exposure. | |||||||||||||||||||||||||
Sensitivity to Changes in Credit Spread | |||||||||||||||||||||||||
The following table summarizes the estimated change in fair values on the net balance of the Company’s credit derivative positions assuming immediate parallel shifts in credit spreads on AGC and AGM and on the risks that they both assume. | |||||||||||||||||||||||||
Effect of Changes in Credit Spread | |||||||||||||||||||||||||
As of December 31, 2013 | |||||||||||||||||||||||||
Credit Spreads(1) | Estimated Net | Estimated Change | |||||||||||||||||||||||
Fair Value | in Gain/(Loss) | ||||||||||||||||||||||||
(Pre-Tax) | (Pre-Tax) | ||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||
100% widening in spreads | $ | (3,499 | ) | $ | (1,806 | ) | |||||||||||||||||||
50% widening in spreads | (2,596 | ) | (903 | ) | |||||||||||||||||||||
25% widening in spreads | (2,145 | ) | (452 | ) | |||||||||||||||||||||
10% widening in spreads | (1,874 | ) | (181 | ) | |||||||||||||||||||||
Base Scenario | (1,693 | ) | — | ||||||||||||||||||||||
10% narrowing in spreads | (1,527 | ) | 166 | ||||||||||||||||||||||
25% narrowing in spreads | (1,276 | ) | 417 | ||||||||||||||||||||||
50% narrowing in spreads | (860 | ) | 833 | ||||||||||||||||||||||
____________________ | |||||||||||||||||||||||||
-1 | Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. |
Consolidation_of_Variable_Inte
Consolidation of Variable Interest Entities | 12 Months Ended | |||||||||||||||||||||
Dec. 31, 2013 | ||||||||||||||||||||||
Consolidation of Variable Interest Entities [abstract] | ' | |||||||||||||||||||||
Consolidation of Variable Interest Entities | ' | |||||||||||||||||||||
Consolidation of Variable Interest Entities | ||||||||||||||||||||||
The Company provides financial guaranties with respect to debt obligations of special purpose entities, including VIEs. AGC and AGM do not sponsor any VIEs when underwriting third party financial guaranty insurance or credit derivative transactions, nor has either of them acted as the servicer or collateral manager for any VIE obligations that it insures. The transaction structure generally provides certain financial protections to the Company. This financial protection can take several forms, the most common of which are overcollateralization, first loss protection (or subordination) and excess spread. In the case of overcollateralization (i.e., the principal amount of the securitized assets exceeds the principal amount of the structured finance obligations guaranteed by the Company), the structure allows defaults of the securitized assets before a default is experienced on the structured finance obligation guaranteed by the Company. In the case of first loss, the financial guaranty insurance policy only covers a senior layer of losses experienced by multiple obligations issued by special purpose entities, including VIEs. The first loss exposure with respect to the assets is either retained by the seller or sold off in the form of equity or mezzanine debt to other investors. In the case of excess spread, the financial assets contributed to special purpose entities, including VIEs, generate cash flows that are in excess of the interest payments on the debt issued by the special purpose entity. Such excess spread is typically distributed through the transaction’s cash flow waterfall and may be used to create additional credit enhancement, applied to redeem debt issued by the special purpose entities, including VIEs (thereby, creating additional overcollateralization), or distributed to equity or other investors in the transaction. | ||||||||||||||||||||||
AGC and AGM are not primarily liable for the debt obligations issued by the VIEs they insure and would only be required to make payments on these debt obligations in the event that the issuer of such debt obligations defaults on any principal or interest due. AGL’s and its Subsidiaries’ creditors do not have any rights with regard to the collateral supporting the debt issued by the FG VIEs. Proceeds from sales, maturities, prepayments and interest from such underlying collateral may only be used to pay Debt Service on VIE liabilities. Net fair value gains and losses on FG VIEs are expected to reverse to zero at maturity of the VIE debt, except for net premiums received and net claims paid by AGC or AGM under the financial guaranty insurance contract. The Company’s estimate of expected loss to be paid for FG VIEs is included in Note 6, Expected Loss to be Paid. | ||||||||||||||||||||||
Accounting Policy | ||||||||||||||||||||||
For all years presented, the Company has evaluated whether it was the primary beneficiary of its VIEs. If the Company concludes that it is the primary beneficiary it is required to consolidate the entire VIE in the Company's financial statements and eliminate the effects of the financial guaranty insurance contracts issued by AGM and AGC on the consolidated FG VIEs debt obligations. | ||||||||||||||||||||||
The primary beneficiary of a VIE is the enterprise that has both 1) the power to direct the activities of a VIE that most significantly impact the entity's economic performance; and 2) the obligation to absorb losses of the entity that could potentially be significant to the VIE or the right to receive benefits from the entity that could potentially be significant to the VIE. The Company reassesses whether the Company is the primary beneficiary of a VIE on a quarterly basis. | ||||||||||||||||||||||
As part of the terms of its financial guaranty contracts, the Company obtains certain protective rights with respect to the VIE that are triggered by the occurrence of certain events, such as failure to be in compliance with a covenant due to poor deal performance or a deterioration in a servicer or collateral manager's financial condition. At deal inception, the Company typically is not deemed to control a VIE; however, once a trigger event occurs, the Company's control of the VIE typically increases. The Company continuously evaluates its power to direct the activities that most significantly impact the economic performance of VIEs that have debt obligations insured by the Company and, accordingly, where the Company is obligated to absorb VIE losses or receive benefits that could potentially be significant to the VIE. The Company obtains protective rights under its insurance contracts that give the Company additional controls over a VIE if there is either deterioration of deal performance or in the financial health of the deal servicer. The Company is deemed to be the control party under GAAP, typically when its protective rights give it the power to both terminate and replace the deal servicer, which are characteristics specific to the Company's financial guaranty contracts. If the protective rights that could make the Company the control party have not been triggered, then the VIE is not consolidated. As of December 31, 2013, the Company had issued financial guaranty contracts for approximately 1,000 VIEs that it did not consolidate. | ||||||||||||||||||||||
The FG VIEs' liabilities that are insured by the Company are considered to be with recourse, because the Company guarantees the payment of principal and interest regardless of the performance of the related FG VIEs' assets. FG VIEs' liabilities that are not insured by the Company are considered to be without recourse, because the payment of principal and interest of these liabilities is wholly dependent on the performance of the FG VIEs' assets. | ||||||||||||||||||||||
The Company has limited contractual rights to obtain the financial records of its consolidated FG VIEs. The FG VIEs do not prepare separate GAAP financial statements; therefore, the Company compiles GAAP financial information for them based on trustee reports prepared by and received from third parties. Such trustee reports are not available to the Company until approximately 30 days after the end of any given period. The time required to perform adequate reconciliations and analyses of the information in these trustee reports results in a one quarter lag in reporting the FG VIEs' activities. The Company records the fair value of FG VIE assets and liabilities based on modeled prices. The Company updates the model assumptions each reporting period for the most recent available information, which incorporates the impact of material events that may have occurred since the quarter lag date. Interest income and interest expense are derived from the trustee reports and included in “fair value gains (losses) on FG VIEs” in the consolidated statement of operations. The Company has elected the fair value option for assets and liabilities classified as FG VIEs' assets and liabilities because the carrying amount transition method was not practical. | ||||||||||||||||||||||
The cash flows generated by the FG VIE assets, including R&W recoveries, are classified as cash flows from investing activities. Paydowns of FG liabilities are supported by the cash flows generated by FG VIE assets, and for liabilities with recourse, possibly claim payments made by AGM or AGC under its financial guaranty insurance contracts. Paydowns of FG liabilities both with and without recourse are classified as cash flows used in financing activities by the Company. Interest income, interest expense and other expenses of the FG VIE assets and liabilities are classified as operating cash flows. Claim payments made by AGC and AGM under the financial guaranty contracts issued to the FG VIEs are eliminated upon consolidation and therefore such claim payments are treated as paydowns of FG VIE liabilities as a financing activity as opposed to an operating activity of AGM and AGC. | ||||||||||||||||||||||
Consolidated FG VIEs | ||||||||||||||||||||||
Number of FG VIE's Consolidated | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2013 | 2012 | 2011 | ||||||||||||||||||||
Beginning of the year | 33 | 33 | 29 | |||||||||||||||||||
Consolidated(1) | 11 | 2 | 8 | |||||||||||||||||||
Deconsolidated(1) | (3 | ) | — | — | ||||||||||||||||||
Matured | (1 | ) | (2 | ) | (4 | ) | ||||||||||||||||
End of the year | 40 | 33 | 33 | |||||||||||||||||||
____________________ | ||||||||||||||||||||||
-1 | Net loss on consolidation and deconsolidation was $7 million in 2013, $6 million in 2012 and $95 million in 2011, respectively, and recorded in “fair value gains (losses) on FG VIEs” in the consolidated statement of operations. | |||||||||||||||||||||
The total unpaid principal balance for the FG VIEs’ assets that were over 90 days or more past due was approximately $750 million at December 31, 2013 and $893 million at December 31, 2012. The aggregate unpaid principal of the FG VIEs’ assets was approximately $1,940 million greater than the aggregate fair value at December 31, 2013, excluding the effect of R&W settlements. The aggregate unpaid principal of the FG VIEs’ assets was approximately $2,631 million greater than the aggregate fair value at December 31, 2012, excluding the effect of R&W settlements. The change in the instrument-specific credit risk of the FG VIEs’ assets for 2013 were gains of $340 million. The change in the instrument-specific credit risk of the FG VIEs’ assets for 2012 were gains of $413 million. | ||||||||||||||||||||||
The unpaid principal for FG VIE liabilities with recourse was $2,316 million and $2,808 million as of December 31, 2013 and December 31, 2012, respectively. FG VIE liabilities with recourse will mature at various dates ranging from 2025 to 2047. The aggregate unpaid principal balance was approximately $1,611 million greater than the aggregate fair value of the FG VIEs’ liabilities as of December 31, 2013. | ||||||||||||||||||||||
The table below shows the carrying value of the consolidated FG VIEs’ assets and liabilities in the consolidated financial statements, segregated by the types of assets that collateralize their respective debt obligations. | ||||||||||||||||||||||
Consolidated FG VIEs | ||||||||||||||||||||||
By Type of Collateral | ||||||||||||||||||||||
As of December 31, 2013 | As of December 31, 2012 | |||||||||||||||||||||
Number of | Assets | Liabilities | Number of | Assets | Liabilities | |||||||||||||||||
FG VIEs | FG VIEs | |||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||
With recourse: | ||||||||||||||||||||||
First lien | 25 | $ | 630 | $ | 791 | 14 | $ | 618 | $ | 825 | ||||||||||||
Second lien | 14 | 460 | 640 | 16 | 633 | 915 | ||||||||||||||||
Other | 1 | 359 | 359 | 3 | 350 | 350 | ||||||||||||||||
Total with recourse | 40 | 1,449 | 1,790 | 33 | 1,601 | 2,090 | ||||||||||||||||
Without recourse | — | 1,116 | 1,081 | — | 1,087 | 1,051 | ||||||||||||||||
Total | 40 | $ | 2,565 | $ | 2,871 | 33 | $ | 2,688 | $ | 3,141 | ||||||||||||
The consolidation of FG VIEs has a significant effect on net income and shareholder’s equity due to (1) changes in fair value gains (losses) on FG VIE assets and liabilities, (2) the elimination of premiums and losses related to the AGC and AGM FG VIE liabilities with recourse and (3) the elimination of investment balances related to the Company’s purchase of AGC and AGM insured FG VIE debt. Upon consolidation of a FG VIE, the related insurance and, if applicable, the related investment balances, are considered intercompany transactions and therefore eliminated. Such eliminations are included in the table below to present the full effect of consolidating FG VIEs. | ||||||||||||||||||||||
Effect of Consolidating FG VIEs on Net Income, | ||||||||||||||||||||||
Cash Flows From Operating Activities and Shareholders’ Equity | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2013 | 2012 | 2011 | ||||||||||||||||||||
(in millions) | ||||||||||||||||||||||
Net earned premiums | $ | (60 | ) | $ | (153 | ) | $ | (75 | ) | |||||||||||||
Net investment income | (13 | ) | (13 | ) | (8 | ) | ||||||||||||||||
Net realized investment gains (losses) | 2 | 4 | 12 | |||||||||||||||||||
Fair value gains (losses) on FG VIEs | 346 | 191 | (146 | ) | ||||||||||||||||||
Loss and LAE | 21 | 65 | 107 | |||||||||||||||||||
Total pretax effect on net income | 296 | 94 | (110 | ) | ||||||||||||||||||
Less: tax provision (benefit) | 103 | 32 | (38 | ) | ||||||||||||||||||
Total effect on net income (loss) | $ | 193 | $ | 62 | $ | (72 | ) | |||||||||||||||
Effect of consolidating VIEs on cash flows from operating activities | $ | (136 | ) | $ | 166 | $ | 319 | |||||||||||||||
As of | As of | |||||||||||||||||||||
31-Dec-13 | 31-Dec-12 | |||||||||||||||||||||
(in millions) | ||||||||||||||||||||||
Effect on shareholders’ equity (decrease) increase | $ | (172 | ) | $ | (348 | ) | ||||||||||||||||
Fair value gains (losses) on FG VIEs represent the net change in fair value on the consolidated FG VIEs’ assets and liabilities. In 2013, the Company recorded a pre-tax net fair value gain of consolidated FG VIEs of $346 million. The gain was primarily driven by R&W benefits received on several VIE assets as a result of settlements with various counterparties throughout the year. These R&W settlements resulted in a gain of approximately $265 million. The remainder of the gain was driven by price appreciation on the Company's FG VIE assets during the year resulting from improvements in the underlying collateral, as well as large principal paydowns made on the Company's FG VIEs. | ||||||||||||||||||||||
In 2012, the Company recorded a pre-tax fair value gain on FG VIEs of $191 million. The majority of this gain, approximately $166 million, is a result of a R&W benefit received on several VIE assets as a result of a settlement with Deutsche Bank that closed in 2012. While prices continued to appreciate during the period on the Company's FG VIE assets and liabilities, gains in the second half of the year were primarily driven by large principal paydowns made on the Company's FG VIEs. The 2011 pre-tax fair value losses on consolidated FG VIEs of $146 million were driven by the unrealized loss on consolidation of eight new VIEs, as well as two existing transactions in which the fair value of the underlying collateral depreciated, while the price of the wrapped senior bonds was largely unchanged from the prior year. | ||||||||||||||||||||||
Non-Consolidated VIEs | ||||||||||||||||||||||
To date, the Company’s analyses have indicated that it does not have a controlling financial interest in any other VIEs and, as a result, they are not consolidated in the consolidated financial statements. The Company’s exposure provided through its financial guaranties with respect to debt obligations of special purpose entities is included within net par outstanding in Note 3, Outstanding Exposure. |
Investments_and_Cash
Investments and Cash | 12 Months Ended | |||||||||||||||||||||||||
Dec. 31, 2013 | ||||||||||||||||||||||||||
Investments 1 [abstract] | ' | |||||||||||||||||||||||||
Investments and Cash | ' | |||||||||||||||||||||||||
Investments and Cash | ||||||||||||||||||||||||||
Accounting Policy | ||||||||||||||||||||||||||
The vast majority of the Company's investment portfolio is composed of fixed maturity and short-term investments, classified as available-for-sale at the time of purchase (approximately 98% based on fair value at December 31, 2013), and therefore carried at fair value. Changes in fair value for other-than-temporarily-impaired ("OTTI") securities are bifurcated between credit losses and non-credit changes in fair value. Credit losses on OTTI securities are recorded in the statement of operations and the non-credit component of OTTI securities are recorded in OCI. For securities where the Company has the intent to sell or it is more-likely-than-not that it will be required to sell the security before recovery, declines in fair value are recorded in the consolidated statements of operations. | ||||||||||||||||||||||||||
Credit losses reduce the amortized cost of impaired securities. The amortized cost basis is adjusted for accretion and amortization (using the effective interest method) with a corresponding entry recorded in net investment income. | ||||||||||||||||||||||||||
Realized gains and losses on sales of investments are determined using the specific identification method. Realized loss includes amounts recorded for other-than-temporary impairments on debt securities and the declines in fair value of securities for which the Company has the intent to sell the security or inability to hold until recovery of amortized cost. | ||||||||||||||||||||||||||
For mortgage‑backed securities, and any other holdings for which there is prepayment risk, prepayment assumptions are evaluated and revised as necessary. Any necessary adjustments due to changes in effective yields and maturities are recognized in net investment income. | ||||||||||||||||||||||||||
The Company purchases securities that it has insured, and for which it has expected losses to be paid, in order to mitigate the economic effect of insured losses ("loss mitigation bonds"). These securities were purchased at a discount and are accounted for excluding the effects of the Company’s insurance. | ||||||||||||||||||||||||||
Short-term investments, which are those investments with a maturity of less than one year at time of purchase, are carried at fair value and include amounts deposited in money market funds. | ||||||||||||||||||||||||||
Other invested assets primarily includes: | ||||||||||||||||||||||||||
• | assets acquired in refinancing transactions which are primarily comprised of franchise loans that are evaluated for impairment by assessing the probability of collecting expected cash flows with any impairment recorded in realized gain (loss) on investments and any subsequent increases in expected cash flows recorded as an increase in yield over the remaining life, | |||||||||||||||||||||||||
• | trading securities, which are carried at fair value with unrealized gains and losses recorded in net income, | |||||||||||||||||||||||||
• | a 50% equity investment acquired in a restructuring of an insured CDS carried at its proportionate share of the underlying entity's U.S. GAAP equity value. | |||||||||||||||||||||||||
Cash consists of cash on hand and demand deposits. As a result of the lag in reporting FG VIEs, cash and short-term investments do not reflect cash outflow to the holders of the debt issued by the FG VIEs for claim payments made by the Company's insurance subsidiaries to the consolidated FG VIEs until the subsequent reporting period. | ||||||||||||||||||||||||||
Assessment for Other-Than Temporary Impairments | ||||||||||||||||||||||||||
The amount of other-than-temporary-impairment recognized in earnings depends on whether (1) an entity intends to sell the security or (2) it is more-likely-than-not that the entity will be required to sell the security before recovery of its amortized cost basis. If the Company intends to sell the security, or it is more-likely-than-not that the Company will be required to sell the security before recovery of its amortized cost basis, the entire difference between the investment's amortized cost basis and its fair value at the balance sheet date is recorded as a realized loss. | ||||||||||||||||||||||||||
If an entity does not intend to sell the security and it is not more-likely-than-not that the Company will be required to sell the security before recovery of its amortized cost basis, the other-than-temporary-impairment is separated into (1) the amount representing the credit loss and (2) the amount related to all other factors. | ||||||||||||||||||||||||||
The Company has a formal review process to determine other-than-temporary-impairment for securities in its investment portfolio where there is no intent to sell and it is not more-likely-than-not that it will be required to sell the security before recovery. Factors considered when assessing impairment include: | ||||||||||||||||||||||||||
• | a decline in the market value of a security by 20% or more below amortized cost for a continuous period of at least six months; | |||||||||||||||||||||||||
• | a decline in the market value of a security for a continuous period of 12 months; | |||||||||||||||||||||||||
• | recent credit downgrades of the applicable security or the issuer by rating agencies; | |||||||||||||||||||||||||
• | the financial condition of the applicable issuer; | |||||||||||||||||||||||||
• | whether loss of investment principal is anticipated; | |||||||||||||||||||||||||
• | the impact of foreign exchange rates; | |||||||||||||||||||||||||
• | whether scheduled interest payments are past due; and | |||||||||||||||||||||||||
• | whether the Company has the intent to sell the security prior to its recovery in fair value. | |||||||||||||||||||||||||
The Company assesses the ability to recover the amortized cost by comparing the net present value of projected future cash flows with the amortized cost of the security. If the net present value is less than the amortized cost of the investment, an other-than-temporary impairment is recorded. The net present value is calculated by discounting the Company's best estimate of projected future cash flows at the effective interest rate implicit in the debt security prior to impairment. The Company's estimates of projected future cash flows are driven by assumptions regarding probability of default and estimates regarding timing and amount of recoveries associated with a default. The Company develops these estimates using information based on historical experience, credit analysis and market observable data, such as industry analyst reports and forecasts, sector credit ratings and other relevant data. For mortgage‑backed and asset backed securities, cash flow estimates also include prepayment and other assumptions regarding the underlying collateral including default rates, recoveries and changes in value. The assumptions used in these projections requires the use of significant management judgment. | ||||||||||||||||||||||||||
The Company's assessment of a decline in value included management's current assessment of the factors noted above. The Company also seeks advice from its outside investment managers. If that assessment changes in the future, the Company may ultimately record a loss after having originally concluded that the decline in value was temporary. | ||||||||||||||||||||||||||
Investment Portfolio | ||||||||||||||||||||||||||
Net investment income is a function of the yield that the Company earns on invested assets and the size of the portfolio. The investment yield is a function of market interest rates at the time of investment as well as the type, credit quality and maturity of the invested assets. Income earned on the investment portfolio managed by third parties declined due to lower reinvestment rates. Accrued investment income on fixed maturity securities, short-term investments and assets acquired in refinancing transactions was $93 million and $97 million as of December 31, 2013 and December 31, 2012, respectively. | ||||||||||||||||||||||||||
Net Investment Income | ||||||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||||||
2013 | 2012 | 2011 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Income from fixed maturity securities managed by third parties | $ | 322 | $ | 346 | $ | 359 | ||||||||||||||||||||
Income from internally managed securities: | ||||||||||||||||||||||||||
Fixed maturities | 74 | 60 | 39 | |||||||||||||||||||||||
Other invested assets | 5 | 6 | 6 | |||||||||||||||||||||||
Other | 0 | 1 | 1 | |||||||||||||||||||||||
Gross investment income | 401 | 413 | 405 | |||||||||||||||||||||||
Investment expenses | (8 | ) | (9 | ) | (9 | ) | ||||||||||||||||||||
Net investment income | $ | 393 | $ | 404 | $ | 396 | ||||||||||||||||||||
Net Realized Investment Gains (Losses) | ||||||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||||||
2013 | 2012 | 2011 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Gross realized gains on available-for-sale securities | $ | 73 | $ | 29 | $ | 29 | ||||||||||||||||||||
Gross realized gains on other assets in investment portfolio | 40 | 14 | 8 | |||||||||||||||||||||||
Gross realized losses on available-for-sale securities | (12 | ) | (23 | ) | (6 | ) | ||||||||||||||||||||
Gross realized losses on other assets in investment portfolio | (7 | ) | (2 | ) | (4 | ) | ||||||||||||||||||||
Other-than-temporary impairment | (42 | ) | (17 | ) | (45 | ) | ||||||||||||||||||||
Net realized investment gains (losses) | $ | 52 | $ | 1 | $ | (18 | ) | |||||||||||||||||||
The following table presents the roll-forward of the credit losses of fixed maturity securities for which the Company has recognized an other-than-temporary-impairment and where the portion of the fair value adjustment related to other factors was recognized in OCI. | ||||||||||||||||||||||||||
Roll Forward of Credit Losses | ||||||||||||||||||||||||||
in the Investment Portfolio | ||||||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||||||
2013 | 2012 | 2011 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Balance, beginning of period | $ | 64 | $ | 47 | $ | 27 | ||||||||||||||||||||
Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized | 18 | 14 | 27 | |||||||||||||||||||||||
Eliminations of securities issued by FG VIEs | — | — | (14 | ) | ||||||||||||||||||||||
Reductions for securities sold during the period | (21 | ) | — | (6 | ) | |||||||||||||||||||||
Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized | 19 | 3 | 13 | |||||||||||||||||||||||
Balance, end of period | $ | 80 | $ | 64 | $ | 47 | ||||||||||||||||||||
Fixed Maturity Securities and Short-Term Investments | ||||||||||||||||||||||||||
by Security Type | ||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||
Investment Category | Percent | Amortized | Gross | Gross | Estimated | AOCI(2) | Weighted | |||||||||||||||||||
of | Cost | Unrealized | Unrealized | Fair | Gain | Average | ||||||||||||||||||||
Total(1) | Gains | Losses | Value | (Loss) on | Credit | |||||||||||||||||||||
Securities | Quality | |||||||||||||||||||||||||
with | (3) | |||||||||||||||||||||||||
OTTI | ||||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||
Fixed maturity securities: | ||||||||||||||||||||||||||
Obligations of state and political subdivisions | 47 | % | $ | 4,899 | $ | 219 | $ | (39 | ) | $ | 5,079 | $ | 4 | AA | ||||||||||||
U.S. government and agencies | 7 | 674 | 32 | (6 | ) | 700 | — | AA+ | ||||||||||||||||||
Corporate securities | 13 | 1,314 | 44 | (18 | ) | 1,340 | 0 | A | ||||||||||||||||||
Mortgage-backed securities(4): | 0 | |||||||||||||||||||||||||
RMBS | 11 | 1,160 | 34 | (72 | ) | 1,122 | (43 | ) | A | |||||||||||||||||
CMBS | 5 | 536 | 17 | (4 | ) | 549 | — | AAA | ||||||||||||||||||
Asset-backed securities | 6 | 605 | 10 | (7 | ) | 608 | 2 | BBB+ | ||||||||||||||||||
Foreign government securities | 3 | 300 | 14 | (1 | ) | 313 | — | AA+ | ||||||||||||||||||
Total fixed maturity securities | 91 | 9,488 | 370 | (147 | ) | 9,711 | (37 | ) | AA- | |||||||||||||||||
Short-term investments | 9 | 904 | 0 | 0 | 904 | — | AAA | |||||||||||||||||||
Total investment portfolio | 100 | % | $ | 10,392 | $ | 370 | $ | (147 | ) | $ | 10,615 | $ | (37 | ) | AA- | |||||||||||
Fixed Maturity Securities and Short-Term Investments | ||||||||||||||||||||||||||
by Security Type | ||||||||||||||||||||||||||
As of December 31, 2012 | ||||||||||||||||||||||||||
Investment Category | Percent | Amortized | Gross | Gross | Estimated | AOCI | Weighted | |||||||||||||||||||
of | Cost | Unrealized | Unrealized | Fair | Gain | Average | ||||||||||||||||||||
Total(1) | Gains | Losses | Value | (Loss) on | Credit | |||||||||||||||||||||
Securities | Quality | |||||||||||||||||||||||||
with | (3) | |||||||||||||||||||||||||
OTTI | ||||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||
Fixed maturity securities: | ||||||||||||||||||||||||||
Obligations of state and political subdivisions | 51 | % | $ | 5,153 | $ | 489 | $ | (11 | ) | $ | 5,631 | $ | 9 | AA | ||||||||||||
U.S. government and agencies | 7 | 732 | 62 | 0 | 794 | — | AA+ | |||||||||||||||||||
Corporate securities | 9 | 930 | 80 | 0 | 1,010 | 0 | AA- | |||||||||||||||||||
Mortgage-backed securities(4): | ||||||||||||||||||||||||||
RMBS | 13 | 1,281 | 62 | (77 | ) | 1,266 | (59 | ) | A+ | |||||||||||||||||
CMBS | 5 | 482 | 38 | 0 | 520 | — | AAA | |||||||||||||||||||
Asset-backed securities | 5 | 482 | 59 | (10 | ) | 531 | 43 | BIG | ||||||||||||||||||
Foreign government securities | 2 | 286 | 18 | 0 | 304 | 0 | AAA | |||||||||||||||||||
Total fixed maturity securities | 92 | 9,346 | 808 | (98 | ) | 10,056 | (7 | ) | AA- | |||||||||||||||||
Short-term investments | 8 | 817 | 0 | 0 | 817 | — | AAA | |||||||||||||||||||
Total investment portfolio | 100 | % | $ | 10,163 | $ | 808 | $ | (98 | ) | $ | 10,873 | $ | (7 | ) | AA- | |||||||||||
____________________ | ||||||||||||||||||||||||||
-1 | Based on amortized cost. | |||||||||||||||||||||||||
-2 | Accumulated OCI ("AOCI"). See also Note 21, Other Comprehensive Income. | |||||||||||||||||||||||||
-3 | Ratings in the tables above represent the lower of the Moody’s and S&P classifications except for bonds purchased for loss mitigation or risk management strategies, which use internal ratings classifications. The Company’s portfolio consists primarily of high-quality, liquid instruments. | |||||||||||||||||||||||||
-4 | Government-agency obligations were approximately 50% of mortgage backed securities as of December 31, 2013 and 61% as of December 31, 2012 based on fair value. | |||||||||||||||||||||||||
The Company’s investment portfolio in tax-exempt and taxable municipal securities includes issuances by a wide number of municipal authorities across the U.S. and its territories. Securities rated lower than A-/A3 by S&P or Moody’s are not eligible to be purchased for the Company’s portfolio unless acquired for loss mitigation or risk management strategies. | ||||||||||||||||||||||||||
The following tables present the fair value of the Company’s available-for-sale portfolio of obligations of state and political subdivisions as of December 31, 2013 and December 31, 2012 by state. | ||||||||||||||||||||||||||
Fair Value of Available-for-Sale Portfolio of | ||||||||||||||||||||||||||
Obligations of State and Political Subdivisions | ||||||||||||||||||||||||||
As of December 31, 2013 (1) | ||||||||||||||||||||||||||
State | State | Local | Revenue Bonds | Fair | Amortized | Average | ||||||||||||||||||||
General | General | Value | Cost | Credit | ||||||||||||||||||||||
Obligation | Obligation | Rating | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Texas | $ | 77 | $ | 299 | $ | 277 | $ | 653 | $ | 629 | AA | |||||||||||||||
New York | 12 | 58 | 519 | 589 | 575 | AA | ||||||||||||||||||||
California | 32 | 86 | 354 | 472 | 452 | A+ | ||||||||||||||||||||
Florida | 33 | 59 | 242 | 334 | 318 | AA- | ||||||||||||||||||||
Illinois | 14 | 70 | 156 | 240 | 234 | A+ | ||||||||||||||||||||
Massachusetts | 44 | 16 | 147 | 207 | 200 | AA | ||||||||||||||||||||
Washington | 31 | 19 | 153 | 203 | 199 | AA | ||||||||||||||||||||
Arizona | — | 7 | 166 | 173 | 170 | AA | ||||||||||||||||||||
Michigan | — | 28 | 102 | 130 | 125 | AA- | ||||||||||||||||||||
Georgia | 13 | 18 | 97 | 128 | 128 | A+ | ||||||||||||||||||||
All others | 254 | 228 | 943 | 1,425 | 1,381 | AA- | ||||||||||||||||||||
Total | $ | 510 | $ | 888 | $ | 3,156 | $ | 4,554 | $ | 4,411 | AA- | |||||||||||||||
Fair Value of Available-for-Sale Portfolio of | ||||||||||||||||||||||||||
Obligations of State and Political Subdivisions | ||||||||||||||||||||||||||
As of December 31, 2012 (1) | ||||||||||||||||||||||||||
State | State | Local | Revenue Bonds | Fair | Amortized | Average | ||||||||||||||||||||
General | General | Value | Cost | Credit | ||||||||||||||||||||||
Obligation | Obligation | Rating | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Texas | $ | 88 | $ | 345 | $ | 342 | $ | 775 | $ | 708 | AA | |||||||||||||||
New York | 22 | 58 | 593 | 673 | 620 | AA | ||||||||||||||||||||
California | 23 | 77 | 359 | 459 | 425 | A+ | ||||||||||||||||||||
Florida | 47 | 50 | 259 | 356 | 319 | AA- | ||||||||||||||||||||
Illinois | 15 | 84 | 188 | 287 | 260 | A+ | ||||||||||||||||||||
Massachusetts | 42 | 18 | 165 | 225 | 199 | AA | ||||||||||||||||||||
Washington | 33 | 40 | 145 | 218 | 200 | AA | ||||||||||||||||||||
Arizona | — | 8 | 180 | 188 | 171 | AA | ||||||||||||||||||||
Georgia | 14 | 20 | 108 | 142 | 132 | A+ | ||||||||||||||||||||
Pennsylvania | 68 | 32 | 40 | 140 | 129 | AA- | ||||||||||||||||||||
All others | 229 | 248 | 1,195 | 1,672 | 1,533 | AA | ||||||||||||||||||||
Total | $ | 581 | $ | 980 | $ | 3,574 | $ | 5,135 | $ | 4,696 | AA- | |||||||||||||||
____________________ | ||||||||||||||||||||||||||
-1 | Excludes $525 million and $496 million as of December 31, 2013 and 2012, respectively, of pre-refunded bonds. The credit ratings are based on the underlying ratings and do not include any benefit from bond insurance. | |||||||||||||||||||||||||
The revenue bond portfolio is comprised primarily of essential service revenue bonds issued by transportation authorities and other utilities, water and sewer authorities, universities and healthcare providers. | ||||||||||||||||||||||||||
Revenue Bonds | ||||||||||||||||||||||||||
Sources of Funds | ||||||||||||||||||||||||||
As of December 31, 2013 | As of December 31, 2012 | |||||||||||||||||||||||||
Type | Fair | Amortized | Fair | Amortized | ||||||||||||||||||||||
Value | Cost | Value | Cost | |||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Tax backed | $ | 708 | $ | 686 | $ | 720 | $ | 656 | ||||||||||||||||||
Transportation | 642 | 615 | 717 | 646 | ||||||||||||||||||||||
Municipal utilities | 500 | 482 | 567 | 519 | ||||||||||||||||||||||
Water and sewer | 459 | 453 | 567 | 520 | ||||||||||||||||||||||
Higher education | 358 | 353 | 430 | 389 | ||||||||||||||||||||||
Healthcare | 289 | 281 | 323 | 296 | ||||||||||||||||||||||
All others | 200 | 192 | 250 | 247 | ||||||||||||||||||||||
Total | $ | 3,156 | $ | 3,062 | $ | 3,574 | $ | 3,273 | ||||||||||||||||||
The majority of the investment portfolio is managed by four outside managers. The Company has established detailed guidelines regarding credit quality, exposure to a particular sector and exposure to a particular obligor within a sector. Each of the portfolio managers perform independent analysis on every municipal security they purchase for the Company’s portfolio. The Company meets with each of its portfolio managers quarterly and reviews all investments with a change in credit rating as well as any investments on the manager’s watch list of securities with the potential for downgrade. | ||||||||||||||||||||||||||
The following tables summarize, for all securities in an unrealized loss position, the aggregate fair value and gross unrealized loss by length of time the amounts have continuously been in an unrealized loss position. | ||||||||||||||||||||||||||
Fixed Maturity Securities | ||||||||||||||||||||||||||
Gross Unrealized Loss by Length of Time | ||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||||
Fair | Unrealized | Fair | Unrealized | Fair | Unrealized | |||||||||||||||||||||
value | loss | value | loss | value | loss | |||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||
Obligations of state and political subdivisions | $ | 781 | $ | (39 | ) | $ | 5 | $ | 0 | $ | 786 | $ | (39 | ) | ||||||||||||
U.S. government and agencies | 173 | (6 | ) | — | — | 173 | (6 | ) | ||||||||||||||||||
Corporate securities | 401 | (18 | ) | 3 | 0 | 404 | (18 | ) | ||||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||||
RMBS | 414 | (21 | ) | 186 | (51 | ) | 600 | (72 | ) | |||||||||||||||||
CMBS | 121 | (4 | ) | — | — | 121 | (4 | ) | ||||||||||||||||||
Asset-backed securities | 196 | (2 | ) | 42 | (5 | ) | 238 | (7 | ) | |||||||||||||||||
Foreign government securities | 54 | (1 | ) | 1 | 0 | 55 | (1 | ) | ||||||||||||||||||
Total | $ | 2,140 | $ | (91 | ) | $ | 237 | $ | (56 | ) | $ | 2,377 | $ | (147 | ) | |||||||||||
Number of securities | 425 | 33 | 458 | |||||||||||||||||||||||
Number of securities with OTTI | 13 | 11 | 24 | |||||||||||||||||||||||
Fixed Maturity Securities | ||||||||||||||||||||||||||
Gross Unrealized Loss by Length of Time | ||||||||||||||||||||||||||
As of December 31, 2012 | ||||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||||
Fair | Unrealized | Fair | Unrealized | Fair | Unrealized | |||||||||||||||||||||
value | loss | value | loss | value | loss | |||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||
Obligations of state and political subdivisions | $ | 79 | $ | (11 | ) | $ | — | $ | — | $ | 79 | $ | (11 | ) | ||||||||||||
U.S. government and agencies | 62 | 0 | — | — | 62 | 0 | ||||||||||||||||||||
Corporate securities | 25 | 0 | — | — | 25 | 0 | ||||||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||||
RMBS | 108 | (19 | ) | 121 | (58 | ) | 229 | (77 | ) | |||||||||||||||||
CMBS | 5 | 0 | — | — | 5 | 0 | ||||||||||||||||||||
Asset-backed securities | 16 | 0 | 35 | (10 | ) | 51 | (10 | ) | ||||||||||||||||||
Foreign government securities | 8 | 0 | — | — | 8 | 0 | ||||||||||||||||||||
Total | $ | 303 | $ | (30 | ) | $ | 156 | $ | (68 | ) | $ | 459 | $ | (98 | ) | |||||||||||
Number of securities | 58 | 16 | 74 | |||||||||||||||||||||||
Number of securities with OTTI | 5 | 6 | 11 | |||||||||||||||||||||||
Of the securities in an unrealized loss position for 12 months or more as of December 31, 2013, eleven securities had unrealized losses greater than 10% of book value. The total unrealized loss for these securities as of December 31, 2013 was $52 million. The Company has determined that the unrealized losses recorded as of December 31, 2013 are yield related and not the result of other-than-temporary-impairment. | ||||||||||||||||||||||||||
The amortized cost and estimated fair value of available-for-sale fixed maturity securities by contractual maturity as of December 31, 2013 are shown below. Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. | ||||||||||||||||||||||||||
Distribution of Fixed-Maturity Securities | ||||||||||||||||||||||||||
by Contractual Maturity | ||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||
Amortized | Estimated | |||||||||||||||||||||||||
Cost | Fair Value | |||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Due within one year | $ | 272 | $ | 275 | ||||||||||||||||||||||
Due after one year through five years | 1,662 | 1,734 | ||||||||||||||||||||||||
Due after five years through 10 years | 2,420 | 2,505 | ||||||||||||||||||||||||
Due after 10 years | 3,438 | 3,526 | ||||||||||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||||
RMBS | 1,160 | 1,122 | ||||||||||||||||||||||||
CMBS | 536 | 549 | ||||||||||||||||||||||||
Total | $ | 9,488 | $ | 9,711 | ||||||||||||||||||||||
Under agreements with its cedants and in accordance with statutory requirements, the Company maintains fixed maturity securities and cash in trust accounts for the benefit of reinsured companies, which amounted to $377 million and $368 million as of December 31, 2013 and December 31, 2012, respectively, based on fair value. In addition, to fulfill state licensing requirements, the Company has placed on deposit eligible securities of $19 million and $27 million as of December 31, 2013 and December 31, 2012, respectively, based on fair value. | ||||||||||||||||||||||||||
The fair value of the Company’s pledged securities under credit derivative contracts totaled $677 million and $660 million as of December 31, 2013 and December 31, 2012, respectively. | ||||||||||||||||||||||||||
No material investments of the Company were non-income producing for years ended December 31, 2013 and 2012. | ||||||||||||||||||||||||||
Internally Managed Portfolio | ||||||||||||||||||||||||||
The investment portfolio tables shown above include both assets managed externally and internally. In the table below, more detailed information is provided for the component of the total investment portfolio that is internally managed (excluding short term investments). The internally managed portfolio, as defined below, represents approximately 9% of the investment portfolio, on a fair value basis as of December 31, 2013. The internally managed portfolio consists primarily of the Company's investments in securities for (i) loss mitigation purposes, (ii) other risk management purposes and (iii) where the Company believes a particular security presents an attractive investment opportunity. | ||||||||||||||||||||||||||
One of the Company's strategies for mitigating losses has been to purchase securities it has insured that have expected losses, at discounted prices (assets purchased for loss mitigation purposes). In addition, the Company holds other invested assets that were obtained or purchased as part of negotiated settlements with insured counterparties or under the terms of our financial guaranties (other risk management assets). | ||||||||||||||||||||||||||
The Company also purchases obligations and assets that it believes constitute good investment opportunities (the "trading portfolio"). During 2013, the Company purchased $630 million par amount outstanding of such obligations and sold an amount of par equal to $619 million. During 2012, the Company had purchased $782 million par amount outstanding of such obligations and sold $728 million. As of December 31, 2013 and 2012, the Company held $76 million and $65 million par amount outstanding of such obligations, respectively. | ||||||||||||||||||||||||||
Additional detail about the types and amounts of securities acquired by the Company for loss mitigation, other risk management and in the trading portfolio is set forth in the table below. | ||||||||||||||||||||||||||
Internally Managed Portfolio | ||||||||||||||||||||||||||
Carrying Value | ||||||||||||||||||||||||||
As of December 31, | ||||||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Assets purchased for loss mitigation purposes: | ||||||||||||||||||||||||||
Fixed maturity securities: | ||||||||||||||||||||||||||
Obligations of state and political subdivisions | $ | 28 | $ | 23 | ||||||||||||||||||||||
RMBS | 284 | 213 | ||||||||||||||||||||||||
Asset-backed securities | 127 | 120 | ||||||||||||||||||||||||
Other invested assets | 47 | 72 | ||||||||||||||||||||||||
Other risk management assets: | ||||||||||||||||||||||||||
Fixed maturity securities: | ||||||||||||||||||||||||||
Obligations of state and political subdivisions | 8 | 12 | ||||||||||||||||||||||||
Corporate Securities | 136 | — | ||||||||||||||||||||||||
RMBS | 37 | 6 | ||||||||||||||||||||||||
Asset-backed securities | 141 | 186 | ||||||||||||||||||||||||
Other | 35 | 49 | ||||||||||||||||||||||||
Trading portfolio (other invested assets) | 88 | 91 | ||||||||||||||||||||||||
Total | $ | 931 | $ | 772 | ||||||||||||||||||||||
Insurance_Company_Regulatory_R
Insurance Company Regulatory Requirements | 12 Months Ended | |||||||||||||||||||
Dec. 31, 2013 | ||||||||||||||||||||
Insurance Company Regulatory Requirements [abstract] | ' | |||||||||||||||||||
Insurance Company Regulatory Requirements | ' | |||||||||||||||||||
Insurance Company Regulatory Requirements | ||||||||||||||||||||
Each of the Company's insurance companies' ability to pay dividends depends, among other things, upon their financial condition, results of operations, cash requirements, compliance with rating agency requirements, and is also subject to restrictions contained in the insurance laws and related regulations of their state of domicile and other states. Financial statements prepared in accordance with accounting practices prescribed or permitted by local insurance regulatory authorities differ in certain respects from GAAP. | ||||||||||||||||||||
The Company's U.S. domiciled insurance companies prepare statutory financial statements in accordance with accounting practices prescribed or permitted by the National Association of Insurance Commissioners (“NAIC”) and their respective insurance departments. Prescribed statutory accounting practices are set forth in the NAIC Accounting Practices and Procedures Manual. The Company has no permitted accounting practices on a statutory basis. | ||||||||||||||||||||
AG Re, a Bermuda regulated Class 3B insurer, prepares its statutory financial statements in conformity with the accounting principles set forth in the Insurance Act 1978, amendments thereto and related regulations.GAAP differs in certain significant respects from statutory accounting practices prescribed or permitted by Bermuda insurance regulatory authorities. The principal differences result from the following statutory accounting practices: | ||||||||||||||||||||
• | acquisition costs on upfront premiums are charged to operations as incurred rather than over the period that related premiums are earned; | |||||||||||||||||||
• | certain assets designated as “non-admitted assets” are charged directly to statutory surplus but are reflected as assets under GAAP; | |||||||||||||||||||
• | insured CDS are accounted for as insurance contracts rather than as derivative contracts recorded at fair value; | |||||||||||||||||||
• | loss and loss adjustment expenses include those relating to credit default swaps, which are treated as insurance contracts. Loss reserves on non derivative contracts are net of unearned premium, which is offset by deferred acquisition costs, rather than only unearned premium. Loss reserves on insured CDS are not net of unearned premium. Additionally loss reserves include a statutory reserve which includes a discount safety margin and statutory catastrophe reserve. | |||||||||||||||||||
GAAP differs in certain significant respects from U.S. insurance companies' statutory accounting practices prescribed or permitted by insurance regulatory authorities. The principal differences result from the following statutory accounting practices: | ||||||||||||||||||||
• | upfront premiums are earned when related principal and interest have expired rather than earned over the expected period of coverage; | |||||||||||||||||||
• | acquisition costs are charged to expense as incurred rather than over the period that related premiums are earned; | |||||||||||||||||||
• | a contingency reserve is computed based on statutory requirements; | |||||||||||||||||||
• | certain assets designated as “non-admitted assets” are charged directly to statutory surplus but are reflected as assets under GAAP; | |||||||||||||||||||
• | investments in subsidiaries are carried on the balance sheet on the equity basis, to the extent admissible, rather than consolidated with the parent; | |||||||||||||||||||
• | the amount of deferred tax assets that may be admitted is subject to an adjusted surplus threshold and is generally limited to the lesser of those assets the Company expects to realize within three years of the balance sheet date or fifteen percent of the Company's adjusted surplus. This realization period and surplus percentage is subject to change based on the amount of adjusted surplus; | |||||||||||||||||||
• | insured CDS are accounted for as insurance contracts rather than as derivative contracts recorded at fair value; | |||||||||||||||||||
• | bonds are generally carried at amortized cost rather than fair value; | |||||||||||||||||||
• | VIEs and refinancing vehicles are not consolidated; | |||||||||||||||||||
• | surplus notes are recognized as surplus rather than as a liability and each payment of principal and interest is recorded only upon approval of the insurance regulator; | |||||||||||||||||||
• | push-down acquisition accounting is not applicable under statutory accounting practices; | |||||||||||||||||||
• | present value of expected losses are discounted at 5%, recorded when the loss is deemed probable and recorded without consideration of the deferred premium revenue as opposed to discounted at the risk free rate at the end of each reporting period and only to the extent they exceed deferred premium revenue; | |||||||||||||||||||
• | present value of installment premiums and commissions are not recorded on the balance sheets. | |||||||||||||||||||
Insurance Regulatory Amounts Reported | ||||||||||||||||||||
Policyholders' Surplus | Net Income (Loss) | |||||||||||||||||||
As of December 31, | Year Ended December 31, | |||||||||||||||||||
2013 | 2012 | 2013 | 2012 | 2011 | ||||||||||||||||
(in millions) | ||||||||||||||||||||
U.S. statutory companies: | ||||||||||||||||||||
MAC | $ | 514 | $ | 77 | $ | 26 | $ | 1 | $ | 0 | ||||||||||
AGC | 693 | 905 | 211 | 31 | 230 | |||||||||||||||
AGM: | ||||||||||||||||||||
AGM stand-alone | 1,733 | 1,780 | 340 | 203 | 399 | |||||||||||||||
Assured Guaranty Municipal Insurance Company | — | 791 | — | 58 | 197 | |||||||||||||||
AGM consolidated(1) | 1,746 | 1,785 | 405 | 256 | 632 | |||||||||||||||
Bermuda statutory company: | ||||||||||||||||||||
AG Re | 1,122 | 1,283 | 107 | 117 | 133 | |||||||||||||||
____________________ | ||||||||||||||||||||
-1 | Represents the consolidated amounts of AGM and all of its U.S. and foreign subsidiaries. | |||||||||||||||||||
On July 16, 2013, the Company completed a series of transactions that increased the capitalization of MAC to $800 million on a statutory basis. The Company does not currently anticipate that MAC will distribute any dividends. | ||||||||||||||||||||
AGM and its subsidiaries Assured Guaranty Municipal Insurance Company ("AGMIC") and Assured Guaranty (Bermuda) Ltd. ("AGBM") terminated the reinsurance pooling agreement pursuant to which AGMIC and AGBM had assumed a quota share percentage of the financial guaranty insurance policies issued by AGM, and AGM reassumed such ceded business. Subsequently, AGMIC was merged into AGM, with AGM as the surviving company. | ||||||||||||||||||||
AGBM, which had made a loan of $82.5 million to AGUS, an indirect parent holding company of AGM, received all of the outstanding shares of MAC held by AGUS and cash, in full satisfaction of the principal of and interest on such loan. After AGBM distributed substantially all of its assets, including the MAC shares, to AGM as a dividend, AGM sold AGBM to its affiliate AG Re. Subsequently, AGBM and AG Re merged, with AG Re as the surviving company. The sale of AGBM to, and subsequent merger with, AG Re were each effective as of July 17, 2013. | ||||||||||||||||||||
A new company, MAC Holdings, was formed to own 100% of the outstanding stock of MAC. AGM and its affiliate AGC subscribed for approximately 61% and 39% of the outstanding MAC Holdings common stock, respectively, for which AGM paid $425 million and AGC paid $275 million, as consideration. The consideration consisted of all of MAC's outstanding common stock (in the case of AGM), cash and marketable securities. | ||||||||||||||||||||
MAC Holdings then contributed cash and marketable securities having a fair market value sufficient to increase MAC's policyholders' surplus to approximately $400 million, and purchased a surplus note issued by MAC in the principal amount of $300 million. In addition, AGM purchased a surplus note issued by MAC in the principal amount of $100 million. | ||||||||||||||||||||
Following the increase in MAC's capitalization, AGM ceded par exposure of approximately $87 billion and unearned premiums of approximately $468 million to MAC, and AGC ceded par exposure of approximately $24 billion and unearned premiums of approximately $249 million to MAC. | ||||||||||||||||||||
In addition, on July 15, 2013, AGM and its wholly-owned subsidiary, Assured Guaranty (Europe) Ltd. (together, the "AGM Group") were notified that the New York State Department of Financial Services ("NYSDFS") does not object to the AGM Group reassuming contingency reserves that they had ceded to AG Re and electing to cease ceding future contingency reserves to AG Re under the following circumstances: | ||||||||||||||||||||
• | The AGM Group may reassume 33% of a contingency reserve base of approximately $250 million (the “NY Contingency Reserve Base”) in 2013, after July 16, 2013, the date on which the transactions for the capitalization of MAC were completed (the “Closing Date”). | |||||||||||||||||||
• | The AGM Group may reassume 50% of the NY Contingency Reserve Base in 2014, no earlier than the one year anniversary of the Closing Date, with the prior approval of the NYSDFS. | |||||||||||||||||||
• | The AGM Group may reassume the remaining 17% of the NY Contingency Reserve Base in 2015, no earlier than the two year anniversary of the Closing Date, with the prior approval of the NYSDFS. | |||||||||||||||||||
At the same time, AGC was notified that the Maryland Insurance Administration does not object to AGC reassuming contingency reserves that it had ceded to AG Re and electing to cease ceding future contingency reserves to AG Re under the following circumstances: | ||||||||||||||||||||
• | AGC may reassume 33% of a contingency reserve base of approximately $267 million (the “MD Contingency Reserve Base”) in 2013, after the Closing Date. | |||||||||||||||||||
• | AGC may reassume 50% of the MD Contingency Reserve Base in 2014, no earlier than the one year anniversary of the Closing Date, with the prior approval of the Maryland Insurance Administration (the "MIA") and the NY DFS. | |||||||||||||||||||
• | AGC may reassume the remaining 17% of the MD Contingency Reserve Base in 2015, no earlier than the two year anniversary of the Closing Date, with the prior approval of the MIA and the NYSDFS. | |||||||||||||||||||
The reassumption of the contingency reserves by the AGM Group and AGC have the effect of increasing contingency reserves by the amount reassumed and decreasing their policyholders' surpluses by the same amount; there would be no impact on the statutory or rating agency capital of the AGM Group or AGC. The reassumption of contingency reserves by the AGM Group or AGC permit the release of amounts from the AG Re trust accounts securing AG Re's reinsurance of the AGM Group and AGC. | ||||||||||||||||||||
In accordance with the above approvals, in the third quarter of 2013, AGM and AGC reassumed 33% of their respective contingency reserve bases as discussed above. These reassumptions together permitted the release of assets from the AG Re trust accounts securing AG Re's reinsurance of AGM and AGC by approximately $130 million, after adjusting for increases in the amounts required to be held in such accounts due to changes in asset values, thereby increasing the Company’s liquidity. | ||||||||||||||||||||
Dividend Restrictions and Capital Requirements | ||||||||||||||||||||
AGM is a New York domiciled insurance company. Under New York insurance law, AGM may pay dividends out of "earned surplus", which is the portion of a company's surplus that represents the net earnings, gains or profits (after deduction of all losses) that have not been distributed to shareholders as dividends or transferred to stated capital or capital surplus, or applied to other purposes permitted by law, but does not include unrealized appreciation of assets. AGM may pay an ordinary dividend that, together with all dividends paid in the prior 12 months, does not exceed the lesser of 10% of its policyholders' surplus (as of the last annual or quarterly statement filed) or 100% of its adjusted net investment income during that period. As of December 31, 2013, approximately $10 million was available for distribution of dividends in the first quarter of 2014, after giving effect to dividends paid in the prior 12 months. The maximum amount available during 2014 for AGM to pay dividends to AGMH without regulatory approval, after giving effect to dividends paid in the prior 12 months, will be approximately $173 million. AGM did not declare or pay any dividends in 2011 because in connection with the Company's acquisition of AGMH in 2009, it had committed to the NY DFS that AGM would not pay any dividends for a period of two years without the prior approval of the New York Superintendent. This constraint has expired. | ||||||||||||||||||||
AGC is a Maryland domiciled insurance company. Under Maryland's insurance law, AGC may, with prior notice to the Maryland Insurance Commissioner, pay an ordinary dividend that, together with all dividends paid in the prior 12 months, does not exceed 10% of its policyholders' surplus (as of the prior December 31) or 100% of its adjusted net investment income during that period. As of December 31, 2013, approximately $2 million was available for distribution of dividends in the first quarter of 2014, after giving effect to dividends paid in the prior 12 months. The maximum amount available during 2014 for AGC to pay ordinary dividends to AGUS, after giving effect to dividends paid in the prior 12 months, will be approximately $69 million. | ||||||||||||||||||||
As of December 31, 2013, AG Re had unencumbered assets of $238 million. AG Re maintains unencumbered assets for general corporate purposes, including the payment of dividends and for placing assets in trust for the benefit of cedants to reflect declines in the market value of previously posted assets or additional ceded reserves. Accordingly, the amount of unencumbered assets will fluctuate during a given quarter based upon factors including the market value of previously posted assets and additional ceded reserves, if any. AG Re is an insurance company registered and licensed under the Insurance Act 1978 of Bermuda, amendments thereto and related regulations. Based on regulatory capital requirements, AG Re currently has $600 million in excess capital and surplus. As a Class 3B insurer, AG Re is restricted from paying dividends or distributing capital by the following regulatory requirements: | ||||||||||||||||||||
• | Dividends shall not exceed outstanding statutory surplus, which is $278 million. | |||||||||||||||||||
• | Dividends on an annual basis shall not exceed 25% of its total statutory capital and statutory surplus (as set out in its previous year's financial statements), which is $281 million, unless it files (at least seven days before payment of such dividends) with the Bermuda Monetary Authority an affidavit stating that it will continue to meet the required margins. | |||||||||||||||||||
• | Capital distributions on an annual basis shall not exceed 15% of its total statutory capital (as set out in its previous year's financial statements), which is $126 million, unless approval is granted by the Bermuda Monetary Authority. | |||||||||||||||||||
• | Dividends are limited by requirements that the subject company must at all times (i) maintain the minimum solvency margin and the Company's applicable enhanced capital requirements required under the Insurance Act of 1978 and (ii) have relevant assets in an amount at least equal to 75% of relevant liabilities, both as defined under the Insurance Act of 1978. | |||||||||||||||||||
Dividends and Surplus Notes | ||||||||||||||||||||
By Insurance Company Subsidiaries | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2013 | 2012 | 2011 | ||||||||||||||||||
(in millions) | ||||||||||||||||||||
Dividends paid by AGC to AGUS | $ | 67 | $ | 55 | $ | 30 | ||||||||||||||
Dividends paid by AGM to AGMH | 163 | 30 | — | |||||||||||||||||
Dividends paid by AG Re to AGL | 144 | 151 | 86 | |||||||||||||||||
Repayment of surplus note by AGM to AGMH | 50 | 50 | 50 | |||||||||||||||||
Issuance of surplus notes by MAC to AGM and MAC Holdings | (400 | ) | — | — | ||||||||||||||||
Income_Taxes
Income Taxes | 12 Months Ended | |||||||||||
Dec. 31, 2013 | ||||||||||||
Income Tax Disclosure [Abstract] | ' | |||||||||||
Income Taxes | ' | |||||||||||
Income Taxes | ||||||||||||
Accounting Policy | ||||||||||||
The provision for income taxes consists of an amount for taxes currently payable and an amount for deferred taxes. Deferred income taxes are provided for temporary differences between the financial statement carrying amounts and tax bases of assets and liabilities, using enacted rates in effect for the year in which the differences are expected to reverse. A valuation allowance is recorded to reduce the deferred tax asset to an amount that is more likely than not to be realized. | ||||||||||||
Non-interest‑bearing tax and loss bonds are purchased to prepay the tax benefit that results from deducting contingency reserves as provided under Internal Revenue Code Section 832(e). The Company records the purchase of tax and loss bonds in deferred taxes. | ||||||||||||
The Company recognizes tax benefits only if a tax position is “more likely than not” to prevail. | ||||||||||||
Provision for Income Taxes | ||||||||||||
AGL, and its "Bermuda Subsidiaries," which consist of AG Re, AGRO, and Cedar Personnel Ltd., are not subject to any income, withholding or capital gains taxes under current Bermuda law. The Company has received an assurance from the Minister of Finance in Bermuda that, in the event of any taxes being imposed, AGL and its Bermuda Subsidiaries will be exempt from taxation in Bermuda until March 31, 2035. AGL's U.S. and U.K. subsidiaries are subject to income taxes imposed by U.S. and U.K. authorities, respectively, and file applicable tax returns. In addition, AGRO, a Bermuda domiciled company and Assured Guaranty (Europe) Ltd., a U.K. domiciled company, have elected under Section 953(d) of the U.S. Internal Revenue Code to be taxed as a U.S. domestic corporation. | ||||||||||||
In November 2013, AGL became tax resident in the U.K. although it will remain a Bermuda-based company with its administrative and head office functions in Bermuda. As a company that is not incorporated in the U.K., AGL currently intends to manage the affairs of AGL in such a way as to establish and maintain its status as a company that is tax resident in the U.K. As a U.K. tax resident company, AGL is required to file a corporation tax return with Her Majesty’s Revenue & Customs (“HMRC”). AGL is subject to U.K. corporation tax in respect of its worldwide profits (both income and capital gains), subject to any applicable exemptions. The main rate of corporation tax is 23% currently; such rate will fall to 21% as of April 1, 2014 and to 20% as of April 1, 2015. AGL has also registered in the U.K. to report its Value Added Tax (“VAT”) liability. The current rate of VAT is 20%. Assured Guaranty does not expect that becoming U.K. tax resident will result in any material change in the group’s overall tax charge. Assured Guaranty expects that the dividends AGL receives from its direct subsidiaries will be exempt from U.K. corporation tax due to the exemption in section 931D of the U.K. Corporation Tax Act 2009. In addition, any dividends paid by AGL to its shareholders should not be subject to any withholding tax in the U.K. The U.K. government implemented a new tax regime for “controlled foreign companies” (“CFC regime”) effective January 1, 2013. Assured Guaranty does not expect any profits of non-U.K. resident members of the group to be taxed under the CFC regime and has obtained a clearance from HMRC confirming this on the basis of current facts. | ||||||||||||
For the periods beginning on July 1, 2009 and forward, AGMH files a consolidated federal income tax return with AGUS, AGC, AGFP and AG Analytics Inc. (“AGUS consolidated tax group”). Assured Guaranty Overseas US Holdings Inc. and its subsidiaries AGRO, Assured Guaranty Mortgage Insurance Company and AG Intermediary Inc., have historically filed their own consolidated federal income tax return. In conjunction with the acquisition of MAC (formerly Municipal and Infrastructure Assurance Corporation) on May 31, 2012, MAC has joined the consolidated federal tax group. | ||||||||||||
The effective tax rates reflect the proportion of income recognized by each of the Company’s operating subsidiaries, with U.S. subsidiaries taxed at the U.S. marginal corporate income tax rate of 35%, U.K. subsidiaries taxed at the U.K. blended marginal corporate tax rate of 23.25% unless subject to U.S. tax by election or as a U.S. controlled foreign corporation, and no taxes for the Company’s Bermuda subsidiaries unless subject to U.S. tax by election or as a U.S. controlled foreign corporation. For periods subsequent to April 1, 2013, the U.K. corporation tax rate has been reduced to 23%, for the period April 1, 2012 to April 1, 2013 the U.K. corporation tax rate was 24% resulting in a blended tax rate of 23.25% in 2013, prior to April 1, 2012, the U.K. corporation tax rate was 26% resulting in a blended tax rate of 24.5% in 2012 and prior to April 1, 2011, the U.K. corporation rate was 28% resulting in a blended tax rate of 26.5% in 2011. The Company’s overall corporate effective tax rate fluctuates based on the distribution of income across jurisdictions. | ||||||||||||
A reconciliation of the difference between the provision for income taxes and the expected tax provision at statutory rates in taxable jurisdictions is presented below. | ||||||||||||
Effective Tax Rate Reconciliation | ||||||||||||
Year Ended December 31, | ||||||||||||
2013 | 2012 | 2011 | ||||||||||
(in millions) | ||||||||||||
Expected tax provision (benefit) at statutory rates in taxable jurisdictions | $ | 390 | $ | 76 | $ | 313 | ||||||
Tax-exempt interest | (57 | ) | (61 | ) | (62 | ) | ||||||
Change in liability for uncertain tax positions | (2 | ) | 2 | 2 | ||||||||
Other | 3 | 5 | 3 | |||||||||
Total provision (benefit) for income taxes | $ | 334 | $ | 22 | $ | 256 | ||||||
Effective tax rate | 29.2 | % | 16.5 | % | 24.9 | % | ||||||
The expected tax provision at statutory rates in taxable jurisdictions is calculated as the sum of pretax income in each jurisdiction multiplied by the statutory tax rate of the jurisdiction by which it will be taxed. Pretax income of the Company’s subsidiaries which are not U.S. domiciled but are subject to U.S. tax by election or as controlled foreign corporations are included at the U.S. statutory tax rate. Where there is a pretax loss in one jurisdiction and pretax income in another, the total combined expected tax rate may be higher or lower than any of the individual statutory rates. | ||||||||||||
The following table presents pretax income and revenue by jurisdiction. | ||||||||||||
Pretax Income (Loss) by Tax Jurisdiction | ||||||||||||
Year Ended December 31, | ||||||||||||
2013 | 2012 | 2011 | ||||||||||
(in millions) | ||||||||||||
United States | $ | 1,118 | $ | 218 | $ | 896 | ||||||
Bermuda | 27 | (86 | ) | 133 | ||||||||
U.K. | (3 | ) | 0 | 0 | ||||||||
Total | $ | 1,142 | $ | 132 | $ | 1,029 | ||||||
Revenue by Tax Jurisdiction | ||||||||||||
Year Ended December 31, | ||||||||||||
2013 | 2012 | 2011 | ||||||||||
(in millions) | ||||||||||||
United States | $ | 1,389 | $ | 875 | $ | 1,504 | ||||||
Bermuda | 219 | 79 | 301 | |||||||||
U.K. | 0 | 0 | 0 | |||||||||
Total | $ | 1,608 | $ | 954 | $ | 1,805 | ||||||
Pretax income by jurisdiction may be disproportionate to revenue by jurisdiction to the extent that insurance losses incurred are disproportionate. | ||||||||||||
Components of Net Deferred Tax Assets | ||||||||||||
As of December 31, | ||||||||||||
2013 | 2012 | |||||||||||
(in millions) | ||||||||||||
Deferred tax assets: | ||||||||||||
Unrealized losses on credit derivative financial instruments, net | $ | 402 | $ | 425 | ||||||||
Unearned premium reserves, net | 63 | 109 | ||||||||||
Loss and LAE reserve | 134 | 90 | ||||||||||
Tax and loss bonds | 33 | 15 | ||||||||||
Net operating loss ("NOL") carry forward | 5 | 7 | ||||||||||
Alternative minimum tax credit | 90 | 58 | ||||||||||
Tax basis step-up | 5 | 5 | ||||||||||
Foreign tax credit | 37 | 30 | ||||||||||
FG VIEs | 29 | 179 | ||||||||||
DAC | 40 | 59 | ||||||||||
Investment basis difference | 73 | 82 | ||||||||||
Other | 64 | 48 | ||||||||||
Total deferred income tax assets | 975 | 1,107 | ||||||||||
Deferred tax liabilities: | ||||||||||||
Contingency reserves | 47 | 15 | ||||||||||
Public debt | 98 | 100 | ||||||||||
Unrealized appreciation on investments | 68 | 198 | ||||||||||
Unrealized gains on CCS | 16 | 12 | ||||||||||
Market discount | 24 | 42 | ||||||||||
Other | 34 | 19 | ||||||||||
Total deferred income tax liabilities | 287 | 386 | ||||||||||
Net deferred income tax asset | $ | 688 | $ | 721 | ||||||||
As of December 31, 2013, the Company had foreign tax credits carried forward of $37 million which expire in 2018 through 2021 and had alternative minimum tax credits of $90 million which do not expire. Foreign tax credits of $22 million are from its acquisition of AGMH, the Internal Revenue Code limits the amount of foreign tax credits available that the Company may utilize each year. Management believes sufficient future taxable income exists to realize the full benefit of these tax credits. | ||||||||||||
As of December 31, 2013, AGRO had a stand-alone NOL of $13 million, compared with $20 million as of December 31, 2012, which is available through 2023 to offset its future U.S. taxable income. AGRO's stand alone NOL may not offset the income of any other members of AGRO's consolidated group with very limited exceptions and the Internal Revenue Code limits the amounts of NOL that AGRO may utilize each year. | ||||||||||||
Valuation Allowance | ||||||||||||
The Company came to the conclusion that it is more likely than not that its net deferred tax asset will be fully realized after weighing all positive and negative evidence available as required under GAAP. The positive evidence that was considered included the cumulative operating income the Company has earned over the last three years, and the significant unearned premium income to be included in taxable income. The positive evidence outweighs any negative evidence that exists. As such, the Company believes that no valuation allowance is necessary in connection with this deferred tax asset. The Company will continue to analyze the need for a valuation allowance on a quarterly basis. | ||||||||||||
Audits | ||||||||||||
AGUS has open tax years with the U.S. Internal Revenue Service (“IRS”) for 2009 forward and is currently under audit for the 2009-2011 tax years. The IRS concluded its field work with respect to tax years 2006 through 2008 without adjustment. On February 20, 2013 the IRS notified AGUS that the Joint Committee on Taxation completed its review of the 2006 through 2008 tax years and has accepted the results of the IRS examination without exception. Assured Guaranty Oversees US Holdings Inc. has open tax years of 2009 forward. AGMH and subsidiaries have separate open tax years with the IRS of January 1, 2009 through the July 1, 2009 when they joined the AGUS consolidated group. The IRS concluded its field work with respect to tax year 2008 for AGMH and subsidiaries while members of the Dexia Holdings Inc. consolidated tax group without adjustment. The Company is indemnified by Dexia for any potential liability associated with this audit of any periods prior to the AGMH Acquisition. The Company's U.K. subsidiaries are not currently under examination and have open tax years of 2011 forward. | ||||||||||||
Uncertain Tax Positions | ||||||||||||
The following table provides a reconciliation of the beginning and ending balances of the total liability for unrecognized tax benefits. The Company does not believe it is reasonably possible that this amount will change significantly in the next twelve months. | ||||||||||||
2013 | 2012 | 2011 | ||||||||||
(in millions) | ||||||||||||
Balance as of January 1, | $ | 22 | $ | 20 | $ | 18 | ||||||
True-up from tax return filings | 4 | — | — | |||||||||
Increase in unrecognized tax benefits as a result of position taken during the current period | 3 | 2 | 2 | |||||||||
Decrease due to closing of IRS audit | (9 | ) | — | — | ||||||||
Balance as of December 31, | $ | 20 | $ | 22 | $ | 20 | ||||||
The Company's policy is to recognize interest and penalties related to uncertain tax positions in income tax expense and has accrued $1 million per year from 2011 to 2013. As of December 31, 2013 and December 31, 2012, the Company has accrued $3 million and $3 million of interest, respectively. | ||||||||||||
The total amount of unrecognized tax benefits at December 31, 2013, that would affect the effective tax rate, if recognized, is $20 million. | ||||||||||||
Liability For Tax Basis Step-Up Adjustment | ||||||||||||
In connection with the Company's initial public offering, the Company and ACE Financial Services Inc. (“AFS”), a subsidiary of ACE Limited, entered into a tax allocation agreement, whereby the Company and AFS made a “Section 338 (h)(10)” election that has the effect of increasing the tax basis of certain affected subsidiaries' tangible and intangible assets to fair value. Future tax benefits that the Company derives from the election will be payable to AFS when realized by the Company. | ||||||||||||
As a result of the election, the Company has adjusted its net deferred tax liability, to reflect the new tax basis of the Company's affected assets. The additional basis is expected to result in increased future income tax deductions and, accordingly, may reduce income taxes otherwise payable by the Company. Any tax benefit realized by the Company will be paid to AFS. Such tax benefits will generally be calculated by comparing the Company's affected subsidiaries' actual taxes to the taxes that would have been owed by those subsidiaries had the increase in basis not occurred. After a 15 year period which ends in 2019, to the extent there remains an unrealized tax benefit, the Company and AFS will negotiate a settlement of the unrealized benefit based on the expected realization at that time. | ||||||||||||
As of December 31, 2013 and December 31, 2012, the liability for tax basis step-up adjustment, which is included in the Company's balance sheets in “Other liabilities,” was $5 million and $6 million, respectively. The Company has paid ACE Limited and correspondingly reduced its liability by $1 million in 2013. | ||||||||||||
Tax Treatment of CDS | ||||||||||||
The Company treats the guaranty it provides on CDS as an insurance contract for tax purposes and as such a taxable loss does not occur until the Company expects to make a loss payment to the buyer of credit protection based upon the occurrence of one or more specified credit events with respect to the contractually referenced obligation or entity. The Company holds its CDS to maturity, at which time any unrealized fair value loss in excess of credit-related losses would revert to zero. The tax treatment of CDS is an unsettled area of the law. The uncertainty relates to the IRS determination of the income or potential loss associated with CDS as either subject to capital gain (loss) or ordinary income (loss) treatment. In treating CDS as insurance contracts the Company treats both the receipt of premium and payment of losses as ordinary income and believes it is more likely than not that any CDS credit related losses will be treated as ordinary by the IRS. To the extent the IRS takes the view that the losses are capital losses in the future and the Company incurred actual losses associated with the CDS, the Company would need sufficient taxable income of the same character within the carryback and carryforward period available under the tax law. |
Reinsurance_and_Other_Monoline
Reinsurance and Other Monoline Exposures | 12 Months Ended | |||||||||||||||||||||||||||||||||||||||||||
Dec. 31, 2013 | ||||||||||||||||||||||||||||||||||||||||||||
Reinsurance and Other Monoline Exposures [abstract] | ' | |||||||||||||||||||||||||||||||||||||||||||
Reinsurance and Other Monoline Exposures | ' | |||||||||||||||||||||||||||||||||||||||||||
Reinsurance and Other Monoline Exposures | ||||||||||||||||||||||||||||||||||||||||||||
The Company assumes exposure on insured obligations (“Assumed Business”) and cedes portions of its exposure on obligations it has insured (“Ceded Business”) in exchange for premiums, net of ceding commissions. The Company has historically entered into ceded reinsurance contracts in order to obtain greater business diversification and reduce the net potential loss from large risks. | ||||||||||||||||||||||||||||||||||||||||||||
Accounting Policy | ||||||||||||||||||||||||||||||||||||||||||||
For business assumed and ceded, the accounting model of the underlying direct financial guaranty contract dictates the accounting model used for the reinsurance contract (except for those eliminated as FG VIEs). For any assumed or ceded financial guaranty insurance premiums, the accounting model described in Note 4 is followed, for assumed and ceded financial guaranty insurance losses, the accounting model in Note 7 is followed. For any assumed or ceded credit derivative contracts, the accounting model in Note 9 is followed. | ||||||||||||||||||||||||||||||||||||||||||||
Assumed and Ceded Business | ||||||||||||||||||||||||||||||||||||||||||||
The Company assumes business from other monoline financial guaranty companies. Under these relationships, the Company assumes a portion of the ceding company’s insured risk in exchange for a premium. The Company may be exposed to risk in this portfolio in that the Company may be required to pay losses without a corresponding premium in circumstances where the ceding company is experiencing financial distress and is unable to pay premiums. The Company’s facultative and treaty agreements are generally subject to termination at the option of the ceding company: | ||||||||||||||||||||||||||||||||||||||||||||
• | if the Company fails to meet certain financial and regulatory criteria and to maintain a specified minimum financial strength rating, or | |||||||||||||||||||||||||||||||||||||||||||
• | upon certain changes of control of the Company. | |||||||||||||||||||||||||||||||||||||||||||
Upon termination under these conditions, the Company may be required (under some of its reinsurance agreements) to return to the ceding company unearned premiums (net of ceding commissions) and loss reserves calculated on a statutory basis of accounting, attributable to reinsurance assumed pursuant to such agreements after which the Company would be released from liability with respect to the Assumed Business. | ||||||||||||||||||||||||||||||||||||||||||||
Upon the occurrence of the conditions set forth in the first bullet above, whether or not an agreement is terminated, the Company may be required to obtain a letter of credit or alternative form of security to collateralize its obligation to perform under such agreement or it may be obligated to increase the level of ceding commission paid. | ||||||||||||||||||||||||||||||||||||||||||||
The downgrade of the financial strength ratings of AG Re or of AGC gives certain reinsurance counterparties the right to recapture ceded business, which would lead to a reduction in the Company's unearned premium reserve and related earnings on such reserve. With respect to a significant portion of the Company's in-force financial guaranty assumed business, based on AG Re's and AGC's current ratings and subject to the terms of each reinsurance agreement, the third party ceding company may have the right to recapture assumed business ceded to AG Re and/or AGC, and in connection therewith, to receive payment from the assuming reinsurer of an amount equal to the reinsurer’s statutory unearned premium (net of ceding commissions) and statutory loss reserves (if any) associated with that business, plus, in certain cases, an additional ceding commission. As of December 31, 2013, if each third party company ceding business to AG Re and/or AGC had a right to recapture such business, and chose to exercise such right, the aggregate amounts that AG Re and AGC could be required to pay to all such companies would be approximately $293 million and $61 million, respectively. | ||||||||||||||||||||||||||||||||||||||||||||
The Company has Ceded Business to non-affiliated companies to limit its exposure to risk. Under these relationships, the Company cedes a portion of its insured risk in exchange for a premium paid to the reinsurer. The Company remains primarily liable for all risks it directly underwrites and is required to pay all gross claims. It then seeks reimbursement from the reinsurer for its proportionate share of claims. The Company may be exposed to risk for this exposure if it were required to pay the gross claims and not be able to collect ceded claims from an assuming company experiencing financial distress. A number of the financial guaranty insurers to which the Company has ceded par have experienced financial distress and been downgraded by the rating agencies as a result. In addition, state insurance regulators have intervened with respect to some of these insurers. The Company’s ceded contracts generally allow the Company to recapture Ceded Business after certain triggering events, such as reinsurer downgrades. | ||||||||||||||||||||||||||||||||||||||||||||
Over the past several years, the Company has entered into several commutations in order to reassume previously ceded books of business from its reinsurers. The Company has also canceled assumed reinsurance contracts. These commutations of Ceded Business and cancellations of Assumed Business resulted in gains of $2 million, $82 million and $32 million for the years ended December 31, 2013, 2012 and 2011, respectively, which were recorded in other income. | ||||||||||||||||||||||||||||||||||||||||||||
Net Effect of Commutations of Ceded and | ||||||||||||||||||||||||||||||||||||||||||||
Cancellations of Assumed Reinsurance Contracts | ||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||||||||||||||||||||||||
2013 | 2012 | 2011 | ||||||||||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||||||||||
Increase (decrease) in net unearned premium reserve | $ | 11 | $ | 109 | $ | (20 | ) | |||||||||||||||||||||||||||||||||||||
Increase (decrease) in net par outstanding | 151 | 19,173 | (780 | ) | ||||||||||||||||||||||||||||||||||||||||
The following table presents the components of premiums and losses reported in the consolidated statement of operations and the contribution of the Company's Assumed and Ceded Businesses. | ||||||||||||||||||||||||||||||||||||||||||||
Effect of Reinsurance on Statement of Operations | ||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||||||||||||||||||||||||
2013 | 2012 | 2011 | ||||||||||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||||||||||
Premiums Written: | ||||||||||||||||||||||||||||||||||||||||||||
Direct | $ | 106 | $ | 244 | 190 | |||||||||||||||||||||||||||||||||||||||
Assumed(1) | 17 | 9 | (63 | ) | ||||||||||||||||||||||||||||||||||||||||
Ceded(2) | 2 | 51 | 4 | |||||||||||||||||||||||||||||||||||||||||
Net | $ | 125 | $ | 304 | 131 | |||||||||||||||||||||||||||||||||||||||
Premiums Earned: | ||||||||||||||||||||||||||||||||||||||||||||
Direct | $ | 819 | $ | 936 | 997 | |||||||||||||||||||||||||||||||||||||||
Assumed | 40 | 50 | 46 | |||||||||||||||||||||||||||||||||||||||||
Ceded | (107 | ) | (133 | ) | (123 | ) | ||||||||||||||||||||||||||||||||||||||
Net | $ | 752 | $ | 853 | 920 | |||||||||||||||||||||||||||||||||||||||
Loss and LAE: | ||||||||||||||||||||||||||||||||||||||||||||
Direct | $ | 110 | $ | 636 | 564 | |||||||||||||||||||||||||||||||||||||||
Assumed | 73 | (4 | ) | 4 | ||||||||||||||||||||||||||||||||||||||||
Ceded | (29 | ) | (128 | ) | (120 | ) | ||||||||||||||||||||||||||||||||||||||
Net | $ | 154 | $ | 504 | 448 | |||||||||||||||||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||||||||||
-1 | Negative assumed premiums written were due to cancellations and changes in expected Debt Service schedules. | |||||||||||||||||||||||||||||||||||||||||||
-2 | Positive ceded premiums written were due to commutations and changes in expected Debt Service schedules. | |||||||||||||||||||||||||||||||||||||||||||
Reinsurer Exposure | ||||||||||||||||||||||||||||||||||||||||||||
In addition to assumed and ceded reinsurance arrangements, the Company may also have exposure to some financial guaranty reinsurers (i.e., monolines) in other areas. Second-to-pay insured par outstanding represents transactions the Company has insured that were previously insured by other monolines. The Company underwrites such transactions based on the underlying insured obligation without regard to the primary insurer. Another area of exposure is in the investment portfolio where the Company holds fixed-maturity securities that are wrapped by monolines and whose value may decline based on the rating of the monoline. As of December 31, 2013, based on fair value, the Company had $461 million of fixed-maturity securities in its investment portfolio wrapped by National Public Finance Guarantee Corporation, $455 million by Ambac Assurance Corporation ("Ambac") and $27 million by other guarantors. | ||||||||||||||||||||||||||||||||||||||||||||
Exposure by Reinsurer | ||||||||||||||||||||||||||||||||||||||||||||
Ratings at | Par Outstanding | |||||||||||||||||||||||||||||||||||||||||||
February 24, 2014 | As of December 31, 2013 | |||||||||||||||||||||||||||||||||||||||||||
Reinsurer | Moody’s | S&P | Ceded Par | Second-to- | Assumed Par | |||||||||||||||||||||||||||||||||||||||
Reinsurer | Reinsurer | Outstanding(1) | Pay Insured | Outstanding | ||||||||||||||||||||||||||||||||||||||||
Rating | Rating | Par | ||||||||||||||||||||||||||||||||||||||||||
Outstanding | ||||||||||||||||||||||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||||||||||||||||||||
American Overseas Reinsurance Company Limited (f/k/a Ram Re) | WR (2) | WR | $ | 8,331 | $ | — | $ | 30 | ||||||||||||||||||||||||||||||||||||
Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokio”) | Aa3 (3) | AA- (3) | 7,279 | — | — | |||||||||||||||||||||||||||||||||||||||
Radian | Ba1 | B+ | 4,709 | 38 | 1,082 | |||||||||||||||||||||||||||||||||||||||
Syncora Guarantee Inc. | WR | WR | 4,201 | 1,771 | 162 | |||||||||||||||||||||||||||||||||||||||
Mitsui Sumitomo Insurance Co. Ltd. | A1 | A+ (3) | 2,144 | — | — | |||||||||||||||||||||||||||||||||||||||
ACA Financial Guaranty Corp. | NR (5) | WR | 809 | 5 | 9 | |||||||||||||||||||||||||||||||||||||||
Swiss Reinsurance Co. | Aa3 | AA- | 346 | — | — | |||||||||||||||||||||||||||||||||||||||
Ambac (4) | WR | WR | 85 | 6,118 | 17,859 | |||||||||||||||||||||||||||||||||||||||
CIFG Assurance North America Inc. ("CIFG") | WR | WR | 2 | 178 | 5,048 | |||||||||||||||||||||||||||||||||||||||
MBIA Inc. | -4 | -4 | — | 10,292 | 7,386 | |||||||||||||||||||||||||||||||||||||||
Financial Guaranty Insurance Co. | WR | WR | — | 2,329 | 1,315 | |||||||||||||||||||||||||||||||||||||||
Other | Various | Various | 882 | 2,099 | 46 | |||||||||||||||||||||||||||||||||||||||
Total | $ | 28,788 | $ | 22,830 | $ | 32,937 | ||||||||||||||||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||||||||||
-1 | Includes $3,172 million in ceded par outstanding related to insured credit derivatives. | |||||||||||||||||||||||||||||||||||||||||||
(2) Represents “Withdrawn Rating.” | ||||||||||||||||||||||||||||||||||||||||||||
(3) The Company has structural collateral agreements satisfying the triple-A credit requirement of S&P and/or Moody’s. | ||||||||||||||||||||||||||||||||||||||||||||
-4 | MBIA Inc. includes various subsidiaries which are rated A and B by S&P and Baa1, B1 and B3 by Moody’s. Ambac includes policies in their general and segregated account. | |||||||||||||||||||||||||||||||||||||||||||
-5 | Represents “Not Rated.” | |||||||||||||||||||||||||||||||||||||||||||
Ceded Par Outstanding by Reinsurer and Credit Rating | ||||||||||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||||||||||
Internal Credit Rating | ||||||||||||||||||||||||||||||||||||||||||||
Reinsurer | AAA | AA | A | BBB | BIG | Total | ||||||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||||||||||
American Overseas Reinsurance Company Limited (f/k/a Ram Re) | $ | 967 | $ | 2,871 | $ | 2,605 | $ | 1,327 | $ | 561 | $ | 8,331 | ||||||||||||||||||||||||||||||||
Tokio | 1,127 | 1,122 | 2,291 | 1,793 | 946 | 7,279 | ||||||||||||||||||||||||||||||||||||||
Radian | 235 | 296 | 2,365 | 1,241 | 572 | 4,709 | ||||||||||||||||||||||||||||||||||||||
Syncora Guarantee Inc. | — | 223 | 764 | 2,334 | 880 | 4,201 | ||||||||||||||||||||||||||||||||||||||
Mitsui Sumitomo Insurance Co. Ltd. | 146 | 692 | 868 | 232 | 206 | 2,144 | ||||||||||||||||||||||||||||||||||||||
ACA Financial Guaranty Corp | — | 465 | 324 | 20 | — | 809 | ||||||||||||||||||||||||||||||||||||||
Swiss Reinsurance Co. | — | 2 | 241 | 27 | 76 | 346 | ||||||||||||||||||||||||||||||||||||||
Ambac | — | — | 85 | — | — | 85 | ||||||||||||||||||||||||||||||||||||||
CIFG | — | — | — | 2 | — | 2 | ||||||||||||||||||||||||||||||||||||||
Other | — | 93 | 751 | 38 | — | 882 | ||||||||||||||||||||||||||||||||||||||
Total | $ | 2,475 | $ | 5,764 | $ | 10,294 | $ | 7,014 | $ | 3,241 | $ | 28,788 | ||||||||||||||||||||||||||||||||
In accordance with U.S. statutory accounting requirements and U.S. insurance laws and regulations, in order for the Company to receive credit for liabilities ceded to reinsurers domiciled outside of the U.S., such reinsurers must secure their liabilities to the Company. All of the unauthorized reinsurers in the table above post collateral for the benefit of the Company in an amount at least equal to the sum of their ceded unearned premium reserve, loss reserves and contingency reserves all calculated on a statutory basis of accounting. In addition, certain authorized reinsurers in the table above post collateral on terms negotiated with the Company. Collateral may be in the form of letters of credit or trust accounts. The total collateral posted by all non-affiliated reinsurers as of December 31, 2013 is approximately $658 million. | ||||||||||||||||||||||||||||||||||||||||||||
Second-to-Pay | ||||||||||||||||||||||||||||||||||||||||||||
Insured Par Outstanding by Internal Rating | ||||||||||||||||||||||||||||||||||||||||||||
As of December 31, 2013(1) | ||||||||||||||||||||||||||||||||||||||||||||
Public Finance | Structured Finance | |||||||||||||||||||||||||||||||||||||||||||
AAA | AA | A | BBB | BIG | AAA | AA | A | BBB | BIG | Total | ||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||||||||||
Radian | $ | — | $ | — | $ | 13 | $ | 17 | $ | 8 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 38 | ||||||||||||||||||||||
Syncora Guarantee Inc. | — | 25 | 369 | 771 | 301 | 77 | 56 | — | — | 172 | 1,771 | |||||||||||||||||||||||||||||||||
ACA Financial Guaranty Corp. | — | 3 | — | 2 | — | — | — | — | — | — | 5 | |||||||||||||||||||||||||||||||||
Ambac | 30 | 1,366 | 3,157 | 1,020 | 81 | 2 | 43 | 71 | 209 | 139 | 6,118 | |||||||||||||||||||||||||||||||||
CIFG | — | 11 | 69 | 22 | 76 | — | — | — | — | — | 178 | |||||||||||||||||||||||||||||||||
MBIA Inc. | 225 | 2,346 | 4,250 | 1,425 | — | — | 1,589 | 24 | 199 | 234 | 10,292 | |||||||||||||||||||||||||||||||||
Financial Guaranty Insurance Co. | — | 77 | 990 | 296 | 328 | 518 | — | 73 | — | 47 | 2,329 | |||||||||||||||||||||||||||||||||
Other | — | — | 2,099 | — | — | — | — | — | — | — | 2,099 | |||||||||||||||||||||||||||||||||
Total | $ | 255 | $ | 3,828 | $ | 10,947 | $ | 3,553 | $ | 794 | $ | 597 | $ | 1,688 | $ | 168 | $ | 408 | $ | 592 | $ | 22,830 | ||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||||||||||
-1 | Assured Guaranty’s internal rating. | |||||||||||||||||||||||||||||||||||||||||||
Amounts Due (To) From Reinsurers | ||||||||||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||||||||||
Assumed | Ceded | Assumed | Ceded | |||||||||||||||||||||||||||||||||||||||||
Premium, net | Premium, net | Expected | Expected | |||||||||||||||||||||||||||||||||||||||||
of Commissions | of Commissions | Loss and LAE | Loss and LAE | |||||||||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||||||||||
American Overseas Reinsurance Company Limited (f/k/a Ram Re) | $ | — | $ | (9 | ) | $ | — | $ | 9 | |||||||||||||||||||||||||||||||||||
Tokio | — | (19 | ) | — | 20 | |||||||||||||||||||||||||||||||||||||||
Radian | — | (17 | ) | — | 16 | |||||||||||||||||||||||||||||||||||||||
Syncora Guarantee Inc. | — | (40 | ) | — | 1 | |||||||||||||||||||||||||||||||||||||||
Mitsui Sumitomo Insurance Co. Ltd. | — | — | — | 2 | ||||||||||||||||||||||||||||||||||||||||
Swiss Reinsurance Co. | — | — | — | 1 | ||||||||||||||||||||||||||||||||||||||||
Ambac | 67 | — | (79 | ) | — | |||||||||||||||||||||||||||||||||||||||
CIFG | — | — | (6 | ) | 2 | |||||||||||||||||||||||||||||||||||||||
MBIA Inc. | 13 | — | (11 | ) | — | |||||||||||||||||||||||||||||||||||||||
Financial Guaranty Insurance Co. | 7 | — | (103 | ) | — | |||||||||||||||||||||||||||||||||||||||
Other | — | (43 | ) | — | — | |||||||||||||||||||||||||||||||||||||||
Total | $ | 87 | $ | (128 | ) | $ | (199 | ) | $ | 51 | ||||||||||||||||||||||||||||||||||
Excess of Loss Reinsurance Facility | ||||||||||||||||||||||||||||||||||||||||||||
AGC, AGM and MAC entered into an aggregate excess of loss reinsurance facility with a number of reinsurers, effective as of January 1, 2014. The facility covers losses occurring either from January 1, 2014 through December 31, 2021, or January 1, 2015 through December 31, 2022, at the option of AGC, AGM and MAC. It terminates on January 1, 2016, unless AGC, AGM and MAC choose to extend it. The facility covers certain U.S. public finance credits insured or reinsured by AGC, AGM and MAC as of September 30, 2013, excluding credits that were rated non-investment grade as of December 31, 2013 by Moody’s or S&P or internally by AGC, AGM or MAC and is subject to certain per credit limits. Among the credits excluded are those associated with the Commonwealth of Puerto Rico and its related authorities and public corporations. The facility attaches when AGC’s, AGM’s and MAC’s net losses (net of AGC’s and AGM's reinsurance (including from affiliates) and net of recoveries) exceed $1.5 billion in the aggregate. The facility covers a portion of the next $500 million of losses, with the reinsurers assuming pro rata in the aggregate $450 million of the $500 million of losses and AGC, AGM and MAC jointly retaining the remaining $50 million of losses. The reinsurers are required to be rated at least AA- or to post collateral sufficient to provide AGM, AGC and MAC with the same reinsurance credit as reinsurers rated AA-. AGM, AGC and MAC are obligated to pay the reinsurers their share of recoveries relating to losses during the coverage period in the covered portfolio. AGC, AGM and MAC have paid approximately $19 million of premiums during 2014 for the term January 1, 2014 through December 31, 2014 and deposited approximately $19 million of securities into trust accounts for the benefit of the reinsurers to be used to pay the premium for January 1, 2015 through December 31, 2015. This facility replaces the $435 million aggregate excess of loss reinsurance facility that AGC and AGM had entered into on January 22, 2012. | ||||||||||||||||||||||||||||||||||||||||||||
Re-Assumption and Reinsurance Agreements with Radian Asset Assurance Inc. | ||||||||||||||||||||||||||||||||||||||||||||
On January 24, 2012, AGM reassumed $12.9 billion of par it had previously ceded to Radian and AGC reinsured approximately $1.8 billion of U.S. public finance par from Radian. The Company received a payment of $86 million from Radian for the re-assumption, which consisted 96% of public finance exposure and 4% of structured finance credits. In connection with the reinsurance assumption, the Company received a payment of $22 million. Both the reassumed and reinsured portfolios were composed entirely of selected credits that met the Company’s underwriting standards. | ||||||||||||||||||||||||||||||||||||||||||||
Tokio Marine & Nichido Fire Insurance Co., Ltd. Agreement | ||||||||||||||||||||||||||||||||||||||||||||
Effective as of March 1, 2012, AGM and Tokio entered into a Commutation, Reassumption and Release Agreement for a portfolio consisting of approximately $6.2 billion in par of U.S. public finance exposures outstanding as of February 29, 2012. Tokio paid AGM the statutory unearned premium outstanding as of February 29, 2012 plus a commutation premium. |
Related_Party_Transactions
Related Party Transactions | 12 Months Ended |
Dec. 31, 2013 | |
Related Party Transactions [Abstract] | ' |
Related Party Transactions | ' |
Related Party Transactions | |
The Company was party to transactions with entities that are affiliated with Wilbur L. Ross, Jr., a director of the Company, and funds under his control, which in the aggregate owned approximately 8.2% of the common shares of AGL as of December 31, 2013, 10.2% as of December 31, 2012 and 10.9% as of December 31, 2011. In addition, the Company retains Wellington Management Company, LLP, as investment manager for a portion of the Company's investment portfolio. Wellington Company LLP owned approximately 6.6% of the common shares of AGL as of December 31, 2013, 8.6% as of December 31, 2012 and 9.6% as of December 31, 2011. The net expenses from transactions with these related parties were approximately $2.5 million in 2013, with no individual related party expense item exceeding $1.9 million, $3.4 million in 2012, with no individual related party expense item exceeding $2.0 million, and $2.6 million in 2011, with no related party expense item exceeding $1.9 million. As of December 31, 2013, 2012 and 2011 there were no significant amounts payable to or amounts receivable from related parties. In addition, please refer to Note 19, Shareholders' Equity, for a description of the transaction under which the Company purchased common shares from funds associated with WL Ross & Co. LLC and its affiliates and from Mr. Ross. |
Commitments_and_Contingencies
Commitments and Contingencies | 12 Months Ended | ||||
Dec. 31, 2013 | |||||
Commitments and Contingencies Disclosure [Abstract] | ' | ||||
Commitments and Contingencies | ' | ||||
Commitments and Contingencies | |||||
Leases | |||||
AGL and its subsidiaries are party to various lease agreements accounted for as operating leases. The Company leases and occupies space in New York City through April 2026. In addition, AGL and its subsidiaries lease additional office space in various locations under non-cancelable operating leases which expire at various dates through 2016. Rent expense was $9.9 million in 2013, $10.0 million in 2012 and $10.7 million in 2011. | |||||
Future Minimum Rental Payments | |||||
Year | (in millions) | ||||
2014 | $ | 8 | |||
2015 | 8 | ||||
2016 | 8 | ||||
2017 | 7 | ||||
2018 | 8 | ||||
Thereafter | 59 | ||||
Total | $ | 98 | |||
Legal Proceedings | |||||
Litigation | |||||
Lawsuits arise in the ordinary course of the Company’s business. It is the opinion of the Company’s management, based upon the information available, that the expected outcome of litigation against the Company, individually or in the aggregate, will not have a material adverse effect on the Company’s financial position or liquidity, although an adverse resolution of litigation against the Company in a fiscal quarter or year could have a material adverse effect on the Company’s results of operations in a particular quarter or year. | |||||
The Company establishes accruals for litigation and regulatory matters to the extent it is probable that a loss has been incurred and the amount of that loss can be reasonably estimated. For litigation and regulatory matters where a loss may be reasonably possible, but not probable, or is probable but not reasonably estimable, no accrual is established, but if the matter is material, it is disclosed, including matters discussed below. The Company reviews relevant information with respect to its litigation and regulatory matters on a quarterly, and annual basis and updates its accruals, disclosures and estimates of reasonably possible loss based on such reviews. | |||||
In addition, in the ordinary course of their respective businesses, certain of the Company’s subsidiaries assert claims in legal proceedings against third parties to recover losses paid in prior periods. For example, as described in the "Recovery Litigation" section of Note 6, Expected Loss to be Paid, as of the date of this filing, AGC and AGM have filed complaints against certain sponsors and underwriters of RMBS securities that AGC or AGM had insured, alleging, among other claims, that such persons had breached R&W in the transaction documents, failed to cure or repurchase defective loans and/or violated state securities laws. The amounts, if any, the Company will recover in proceedings to recover losses are uncertain, and recoveries, or failure to obtain recoveries, in any one or more of these proceedings during any quarter or year could be material to the Company’s results of operations in that particular quarter or year. | |||||
Proceedings Relating to the Company’s Financial Guaranty Business | |||||
The Company receives subpoenas duces tecum and interrogatories from regulators from time to time. | |||||
Beginning in July 2008, AGM and various other financial guarantors were named in complaints filed in the Superior Court for the State of California, City and County of San Francisco by a number of plaintiffs. Subsequently, plaintiffs' counsel filed amended complaints against AGM and AGC and added additional plaintiffs. These complaints alleged that the financial guaranty insurer defendants (i) participated in a conspiracy in violation of California's antitrust laws to maintain a dual credit rating scale that misstated the credit default risk of municipal bond issuers and created market demand for municipal bond insurance, (ii) participated in risky financial transactions in other lines of business that damaged each insurer's financial condition (thereby undermining the value of each of their guaranties), and (iii) failed to adequately disclose the impact of those transactions on their financial condition. In addition to their antitrust claims, various plaintiffs asserted claims for breach of the covenant of good faith and fair dealing, fraud, unjust enrichment, negligence, and negligent misrepresentation. At hearings held in July and October 2011 relating to AGM, AGC and the other defendants' demurrer, the court overruled the demurrer on the following claims: breach of contract, violation of California's antitrust statute and of its unfair business practices law, and fraud. The remaining claims were dismissed. On December 2, 2011, AGM, AGC and the other bond insurer defendants filed an anti-SLAPP ("Strategic Lawsuit Against Public Participation") motion to strike the complaints under California's Code of Civil Procedure. On July 9, 2013, the court entered its order denying in part and granting in part the bond insurers' motion to strike. As a result of the order, the causes of action that remain against AGM and AGC are: claims of breach of contract and fraud, brought by the City of San Jose, the City of Stockton, East Bay Municipal Utility District and Sacramento Suburban Water District, relating to the failure to disclose the impact of risky financial transactions on their financial condition; and a claim of breach of the unfair business practices law brought by The Jewish Community Center of San Francisco. On September 9, 2013, plaintiffs filed an appeal of the anti-SLAPP ruling on the California antitrust statute. On September 30, 2013, AGC, AGM and the other bond insurer defendants filed a notice of cross-appeal. The complaints generally seek unspecified monetary damages, interest, attorneys' fees, costs and other expenses. The Company cannot reasonably estimate the possible loss or range of loss, if any, that may arise from these lawsuits. | |||||
On November 28, 2011, Lehman Brothers International (Europe) (in administration) (“LBIE”) sued AGFP, an affiliate of AGC which in the past had provided credit protection to counterparties under credit default swaps. AGC acts as the credit support provider of AGFP under these credit default swaps. LBIE’s complaint, which was filed in the Supreme Court of the State of New York, alleged that AGFP improperly terminated nine credit derivative transactions between LBIE and AGFP and improperly calculated the termination payment in connection with the termination of 28 other credit derivative transactions between LBIE and AGFP. With respect to the 28 credit derivative transactions, AGFP calculated that LBIE owes AGFP approximately $25 million, whereas LBIE asserted in the complaint that AGFP owes LBIE a termination payment of approximately $1.4 billion. LBIE is seeking unspecified damages. On February 3, 2012, AGFP filed a motion to dismiss certain of the counts in the complaint, and on March 15, 2013, the court granted AGFP's motion to dismiss the count relating to improper termination of the nine credit derivative transactions and denied AGFP's motion to dismiss the count relating to the remaining transactions. The Company cannot reasonably estimate the possible loss, if any, that may arise from this lawsuit. | |||||
On November 19, 2012, Lehman Brothers Holdings Inc. (“LBHI”) and Lehman Brothers Special Financing Inc. (“LBSF") commenced an adversary complaint and claim objection in the United States Bankruptcy Court for the Southern District of New York against Credit Protection Trust 283 (“CPT 283”), FSA Administrative Services, LLC, as trustee for CPT 283, and AGM, in connection with CPT 283's termination of a CDS between LBSF and CPT 283. CPT 283 terminated the CDS as a consequence of LBSF failing to make a scheduled payment owed to CPT 283, which termination occurred after LBHI filed for bankruptcy but before LBSF filed for bankruptcy. The CDS provided that CPT 283 was entitled to receive from LBSF a termination payment in that circumstance of approximately $43.8 million (representing the economic equivalent of the future fixed payments CPT 283 would have been entitled to receive from LBSF had the CDS not been terminated), and CPT 283 filed proofs of claim against LBSF and LBHI (as LBSF's credit support provider) for such amount. LBHI and LBSF seek to disallow and expunge (as impermissible and unenforceable penalties) CPT 283's proofs of claim against LBHI and LBSF and recover approximately $67.3 million, which LBHI and LBSF allege was the mark-to-market value of the CDS to LBSF (less unpaid amounts) on the day CPT 283 terminated the CDS, plus interest, attorney's fees, costs and other expenses. On the same day, LBHI and LBSF also commenced an adversary complaint and claim objection against Credit Protection Trust 207 (“CPT 207”), FSA Administrative Services, LLC, as trustee for CPT 207, and AGM, in connection with CPT 207's termination of a CDS between LBSF and CPT 207. Similarly, the CDS provided that CPT 207 was entitled to receive from LBSF a termination payment in that circumstance of $492,555. LBHI and LBSF seek to disallow and expunge CPT 207's proofs of claim against LBHI and LBSF and recover approximately $1.5 million. AGM believes the terminations of the CDS and the calculation of the termination payment amounts were consistent with the terms of the ISDA master agreements between the parties. The Company cannot reasonably estimate the possible loss, if any, that may arise from this lawsuit. | |||||
On September 25, 2013, Wells Fargo Bank, N.A., as trust administrator, filed an interpleader complaint in the U.S. District Court for the Southern District of New York against AGM, among others, relating to the right of AGM to be reimbursed from certain cashflows for principal claims paid on insured certificates issued in the MASTR Adjustable Rate Mortgages Trust 2007-3 securitization. The Company estimates that an adverse outcome to the interpleader proceeding could increase losses on the transaction by approximately $10 - $20 million, net of expected settlement payments and reinsurance in force. | |||||
Previously, AGM, together with other financial institutions and other parties, including bond insurers, had been named as defendants in a civil action brought in the circuit court of Jefferson County, Alabama relating to the County's problems meeting its sewer debt obligations: Charles E. Wilson vs. JPMorgan Chase & Co et al (filed in the Circuit Court of Jefferson County, Alabama), Case No. 01-CV-2008-901907.00. The action was brought in August 2008 on behalf of rate payers, tax payers and citizens residing in Jefferson County, and alleged conspiracy and fraud in connection with the issuance of the County's debt. The complaint sought equitable relief, unspecified monetary damages, interest, attorneys' fees and other costs. In January 2011, the circuit court issued an order denying a motion by the bond insurers and other defendants to dismiss the action. The defendants, including the bond insurers, petitioned the Alabama Supreme Court for a writ of mandamus to the circuit court vacating such order and directing the dismissal with prejudice of plaintiffs' claims for lack of standing. While awaiting a ruling from the Alabama Supreme Court, Jefferson County filed for bankruptcy and the Alabama Supreme Court entered a stay pending the resolution of the bankruptcy. In November 2013, the United States Bankruptcy Court approved a bankruptcy plan that included dismissal of the pending claims in state court. On January 13, 2014, the circuit court entered an order dismissing the claims against AGM and the other defendants and on January 17, 2014, the Supreme Court of Alabama entered an order dismissing the petition for writ of mandamus. | |||||
Proceedings Related to AGMH’s Former Financial Products Business | |||||
The following is a description of legal proceedings involving AGMH’s former Financial Products Business. Although the Company did not acquire AGMH’s former Financial Products Business, which included AGMH’s former GIC business, medium term notes business and portions of the leveraged lease businesses, certain legal proceedings relating to those businesses are against entities that the Company did acquire. While Dexia SA and Dexia Crédit Local S.A. (“DCL”), jointly and severally, have agreed to indemnify the Company against liability arising out of the proceedings described below in the “—Proceedings Related to AGMH’s Former Financial Products Business” section, such indemnification might not be sufficient to fully hold the Company harmless against any injunctive relief or civil or criminal sanction that is imposed against AGMH or its subsidiaries. | |||||
Governmental Investigations into Former Financial Products Business | |||||
AGMH and/or AGM have received subpoenas duces tecum and interrogatories or civil investigative demands from the Attorneys General of the States of Connecticut, Florida, Illinois, Massachusetts, Missouri, New York, Texas and West Virginia relating to their investigations of alleged bid rigging of municipal GICs. AGMH is responding to such requests. AGMH may receive additional inquiries from these or other regulators and expects to provide additional information to such regulators regarding their inquiries in the future. In addition, | |||||
• | AGMH received a subpoena from the Antitrust Division of the Department of Justice in November 2006 issued in connection with an ongoing criminal investigation of bid rigging of awards of municipal GICs and other municipal derivatives; and | ||||
• | AGM received a subpoena from the SEC in November 2006 related to an ongoing industry-wide investigation concerning the bidding of municipal GICs and other municipal derivatives. | ||||
Pursuant to the subpoenas, AGMH has furnished to the Department of Justice and SEC records and other information with respect to AGMH’s municipal GIC business. The ultimate loss that may arise from these investigations remains uncertain. | |||||
In addition AGMH had received a “Wells Notice” from the staff of the Philadelphia Regional Office of the SEC in February 2008 relating to the investigation concerning the bidding of municipal GICs and other municipal derivatives. The Wells Notice indicated that the SEC staff was considering recommending that the SEC authorize the staff to bring a civil injunctive action and/or institute administrative proceedings against AGMH, alleging violations of Section 10(b) of the Exchange Act and Rule 10b-5 thereunder and Section 17(a) of the Securities Act. On January 8, 2014, the SEC issued a letter stating that it had concluded the investigation as to AGMH and, based on the information it had as of such date, it did not intend to recommend an enforcement action by the SEC against AGMH. | |||||
In July 2010, a former employee of AGM who had been involved in AGMH's former Financial Products Business was indicted along with two other persons with whom he had worked at Financial Guaranty Insurance Company. Such former employee and the other two persons were convicted on fraud conspiracy counts. After appeal, their convictions were reversed by a three-judge panel of the U.S. Court of Appeals for the Second Circuit in November 2013. In January 2014, the Department of Justice petitioned the U.S. Court of Appeals for the Second Circuit for a panel rehearing and a rehearing en banc of the appeal. | |||||
Lawsuits Relating to Former Financial Products Business | |||||
During 2008, nine putative class action lawsuits were filed in federal court alleging federal antitrust violations in the municipal derivatives industry, seeking damages and alleging, among other things, a conspiracy to fix the pricing of, and manipulate bids for, municipal derivatives, including GICs. These cases have been coordinated and consolidated for pretrial proceedings in the U.S. District Court for the Southern District of New York as MDL 1950, In re Municipal Derivatives Antitrust Litigation, Case No. 1:08-cv-2516 (“MDL 1950”). | |||||
Five of these cases named both AGMH and AGM: (a) Hinds County, Mississippi v. Wachovia Bank, N.A.; (b) Fairfax County, Virginia v. Wachovia Bank, N.A.; (c) Central Bucks School District, Pennsylvania v. Wachovia Bank, N.A.; (d) Mayor and City Council of Baltimore, Maryland v. Wachovia Bank, N.A.; and (e) Washington County, Tennessee v. Wachovia Bank, N.A. In April 2009, the MDL 1950 court granted the defendants’ motion to dismiss on the federal claims, but granted leave for the plaintiffs to file an amended complaint. The Corrected Third Consolidated Amended Class Action Complaint, filed on October 9, 2013, lists neither AGM nor AGMH as a named defendant or a co-conspirator. The complaints in these lawsuits generally seek unspecified monetary damages, interest, attorneys’ fees and other costs. The Company cannot reasonably estimate the possible loss, if any, or range of loss that may arise from these lawsuits. | |||||
Four of the cases named AGMH (but not AGM) and also alleged that the defendants violated California state antitrust law and common law by engaging in illegal bid-rigging and market allocation, thereby depriving the cities or municipalities of competition in the awarding of GICs and ultimately resulting in the cities paying higher fees for these products: (f) City of Oakland, California v. AIG Financial Products Corp.; (g) County of Alameda, California v. AIG Financial Products Corp.; (h) City of Fresno, California v. AIG Financial Products Corp.; and (i) Fresno County Financing Authority v. AIG Financial Products Corp. When the four plaintiffs filed a consolidated complaint in September 2009, the plaintiffs did not name AGMH as a defendant. However, the complaint does describe some of AGMH’s and AGM’s activities. The consolidated complaint generally seeks unspecified monetary damages, interest, attorneys’ fees and other costs. In April 2010, the MDL 1950 court granted in part and denied in part the named defendants’ motions to dismiss this consolidated complaint. | |||||
In 2008, AGMH and AGM also were named in five non-class action lawsuits originally filed in the California Superior Courts alleging violations of California law related to the municipal derivatives industry: (a) City of Los Angeles, California v. Bank of America, N.A.; (b) City of Stockton, California v. Bank of America, N.A.; (c) County of San Diego, California v. Bank of America, N.A.; (d) County of San Mateo, California v. Bank of America, N.A.; and (e) County of Contra Costa, California v. Bank of America, N.A. Amended complaints in these actions were filed in September 2009, adding a federal antitrust claim and naming AGM (but not AGMH) and AGUS, among other defendants. These cases have been transferred to the Southern District of New York and consolidated with MDL 1950 for pretrial proceedings. | |||||
In late 2009, AGM and AGUS, among other defendants, were named in six additional non-class action cases filed in federal court, which also have been coordinated and consolidated for pretrial proceedings with MDL 1950: (f) City of Riverside, California v. Bank of America, N.A.; (g) Sacramento Municipal Utility District v. Bank of America, N.A.; (h) Los Angeles World Airports v. Bank of America, N.A.; (i) Redevelopment Agency of the City of Stockton v. Bank of America, N.A.; (j) Sacramento Suburban Water District v. Bank of America, N.A.; and (k) County of Tulare, California v. Bank of America, N.A. | |||||
The MDL 1950 court denied AGM and AGUS’s motions to dismiss these eleven complaints in April 2010. Amended complaints were filed in May 2010. On October 29, 2010, AGM and AGUS were voluntarily dismissed with prejudice from the Sacramento Municipal Utility District case only. The complaints in these lawsuits generally seek or sought unspecified monetary damages, interest, attorneys’ fees, costs and other expenses. The Company cannot reasonably estimate the possible loss, if any, or range of loss that may arise from the remaining lawsuits. | |||||
In May 2010, AGM and AGUS, among other defendants, were named in five additional non-class action cases filed in federal court in California: (a) City of Richmond, California v. Bank of America, N.A. (filed on May 18, 2010, N.D. California); (b) City of Redwood City, California v. Bank of America, N.A. (filed on May 18, 2010, N.D. California); (c) Redevelopment Agency of the City and County of San Francisco, California v. Bank of America, N.A. (filed on May 21, 2010, N.D. California); (d) East Bay Municipal Utility District, California v. Bank of America, N.A. (filed on May 18, 2010, N.D. California); and (e) City of San Jose and the San Jose Redevelopment Agency, California v. Bank of America, N.A (filed on May 18, 2010, N.D. California). These cases have also been transferred to the Southern District of New York and consolidated with MDL 1950 for pretrial proceedings. In September 2010, AGM and AGUS, among other defendants, were named in a sixth additional non-class action filed in federal court in New York, but which alleges violation of New York’s Donnelly Act in addition to federal antitrust law: Active Retirement Community, Inc. d/b/a Jefferson’s Ferry v. Bank of America, N.A. (filed on September 21, 2010, E.D. New York), which has also been transferred to the Southern District of New York and consolidated with MDL 1950 for pretrial proceedings. In December 2010, AGM and AGUS, among other defendants, were named in a seventh additional non-class action filed in federal court in the Central District of California, Los Angeles Unified School District v. Bank of America, N.A., and in an eighth additional non-class action filed in federal court in the Southern District of New York, Kendal on Hudson, Inc. v. Bank of America, N.A. These cases also have been consolidated with MDL 1950 for pretrial proceedings. The complaints in these lawsuits generally seek unspecified monetary damages, interest, attorneys’ fees, costs and other expenses. The Company cannot reasonably estimate the possible loss, if any, or range of loss that may arise from these lawsuits. | |||||
In January 2011, AGM and AGUS, among other defendants, were named in an additional non-class action case filed in federal court in New York, which alleges violation of New York’s Donnelly Act in addition to federal antitrust law: Peconic Landing at Southold, Inc. v. Bank of America, N.A. This case has been consolidated with MDL 1950 for pretrial proceedings. The complaint in this lawsuit generally seeks unspecified monetary damages, interest, attorneys’ fees, costs and other expenses. The Company cannot reasonably estimate the possible loss, if any, or range of loss that may arise from this lawsuit. | |||||
In September 2009, the Attorney General of the State of West Virginia filed a lawsuit (Circuit Ct. Mason County, W. Va.) against Bank of America, N.A. alleging West Virginia state antitrust violations in the municipal derivatives industry, seeking damages and alleging, among other things, a conspiracy to fix the pricing of, and manipulate bids for, municipal derivatives, including GICs. An amended complaint in this action was filed in June 2010, adding a federal antitrust claim and naming AGM (but not AGMH) and AGUS, among other defendants. This case has been removed to federal court as well as transferred to the S.D.N.Y. and consolidated with MDL 1950 for pretrial proceedings. AGM and AGUS answered West Virginia's Second Amended Complaint on November 11, 2013. The complaint in this lawsuit generally seeks civil penalties, unspecified monetary damages, interest, attorneys’ fees, costs and other expenses. The Company cannot reasonably estimate the possible loss, if any, or range of loss that may arise from this lawsuit. |
LongTerm_Debt_and_Credit_Facil
Long-Term Debt and Credit Facilities | 12 Months Ended | ||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||
Debt Disclosure [Abstract] | ' | ||||||||||||||||
Long-Term Debt and Credit Facilities | ' | ||||||||||||||||
Long-Term Debt and Credit Facilities | |||||||||||||||||
The Company has outstanding long-term debt issued by AGUS and AGMH. AGUS has issued 7.0% Senior Notes and Series A, Enhanced Junior Subordinated Debentures. AGMH has issued 6 7/8% Quarterly Income Bonds Securities (“QUIBS”), 6.25% Notes and 5.60% Notes, as well $300 million Junior Subordinated Debentures. All of such debt is fully and unconditionally guaranteed by AGL. | |||||||||||||||||
In addition, refinancing vehicles consolidated by AGM issued notes payable to the Financial Products Companies now owned by Dexia; the refinancing vehicles borrowed the funds in order to purchase assets underlying obligations insured by AGM. See Note 11, Investments and Cash. | |||||||||||||||||
Accounting Policy | |||||||||||||||||
Long-term debt is recorded at principal amounts net of any unamortized original issue discount or premium and unamortized fair value adjustment for AGMH debt. Discount is accreted into interest expense over the life of the applicable debt. | |||||||||||||||||
Debt Issued by AGUS | |||||||||||||||||
7.0% Senior Notes. On May 18, 2004, AGUS issued $200 million of 7.0% senior notes due 2034 (“7.0% Senior Notes”) for net proceeds of $197 million. Although the coupon on the Senior Notes is 7.0%, the effective rate is approximately 6.4%, taking into account the effect of a cash flow hedge executed by the Company in March 2004. | |||||||||||||||||
8.5% Senior Notes. On June 24, 2009, AGL issued 3,450,000 equity units for net proceeds of approximately $167 million in a registered public offering. The net proceeds of the offering were used to pay a portion of the consideration for the AGMH Acquisition. Each equity unit consisted of (i) a 5.0% undivided beneficial ownership interest in $1,000 principal amount of 8.5% senior notes due 2014 issued by AGUS and (ii) a forward purchase contract obligating the holders to purchase $50 of AGL common shares in June 2012. On June 1, 2012, the Company completed the remarketing of the $173 million aggregate principal amount of 8.5% Senior Notes; AGUS purchased all of the Senior Notes in the remarketing at a price of 100% of the principal amount thereof, and retired all of such notes on June 1, 2012. The proceeds from the remarketing were used to satisfy the obligations of the holders of the Equity Units to purchase AGL common shares pursuant to the forward purchase contract. Accordingly, on June 1, 2012, AGL issued 3.8924 common shares to holders of each Equity Unit, which represented a settlement rate of 3.8685 common shares plus certain anti-dilution adjustments, or an aggregate of 13,428,770 common shares at approximately $12.85 per share. The Equity Units ceased to exist when the forward purchase contracts were settled on June 1, 2012. | |||||||||||||||||
Series A Enhanced Junior Subordinated Debentures. On December 20, 2006, AGUS issued $150 million of the Debentures due 2066. The Debentures pay a fixed 6.40% rate of interest until December 15, 2016, and thereafter pay a floating rate of interest, reset quarterly, at a rate equal to three month LIBOR plus a margin equal to 2.38%. AGUS may select at one or more times to defer payment of interest for one or more consecutive periods for up to ten years. Any unpaid interest bears interest at the then applicable rate. AGUS may not defer interest past the maturity date. | |||||||||||||||||
Debt Issued by AGMH | |||||||||||||||||
6 7/8% QUIBS. On December 19, 2001, AGMH issued $100 million face amount of 6 7/8% QUIBS due December 15, 2101, which are callable without premium or penalty. | |||||||||||||||||
6.25% Notes. On November 26, 2002, AGMH issued $230 million face amount of 6.25% Notes due November 1, 2102, which are callable without premium or penalty in whole or in part. | |||||||||||||||||
5.60% Notes. On July 31, 2003, AGMH issued $100 million face amount of 5.60% Notes due July 15, 2103, which are callable without premium or penalty in whole or in part. | |||||||||||||||||
Junior Subordinated Debentures. On November 22, 2006, AGMH issued $300 million face amount of Junior Subordinated Debentures with a scheduled maturity date of December 15, 2036 and a final repayment date of December 15, 2066. The final repayment date of December 15, 2066 may be automatically extended up to four times in five-year increments provided certain conditions are met. The debentures are redeemable, in whole or in part, at any time prior to December 15, 2036 at their principal amount plus accrued and unpaid interest to the date of redemption or, if greater, the make-whole redemption price. Interest on the debentures will accrue from November 22, 2006 to December 15, 2036 at the annual rate of 6.40%. If any amount of the debentures remains outstanding after December 15, 2036, then the principal amount of the outstanding debentures will bear interest at a floating interest rate equal to one-month LIBOR plus 2.215%% until repaid. AGMH may elect at one or more times to defer payment of interest on the debentures for one or more consecutive interest periods that do not exceed ten years. In connection with the completion of this offering, AGMH entered into a replacement capital covenant for the benefit of persons that buy, hold or sell a specified series of AGMH long-term indebtedness ranking senior to the debentures. Under the covenant, the debentures will not be repaid, redeemed, repurchased or defeased by AGMH or any of its subsidiaries on or before the date that is 20 years prior to the final repayment date, except to the extent that AGMH has received proceeds from the sale of replacement capital securities. The proceeds from this offering were used to pay a dividend to the shareholders of AGMH. | |||||||||||||||||
Debt Issued by AGM | |||||||||||||||||
In order to mitigate certain financial guaranty insurance losses, special purpose entities that AGM consolidates ("refinancing vehicles") borrowed funds from the former AGMH subsidiaries that conducted AGMH’s Financial Products Business (the “Financial Products Companies”). The Company refers to such debt as the "Notes Payable." The Financial Products Companies issued GICs that AGM insured, and loaned the proceeds to the refinancing vehicles. The refinancing vehicles used the proceeds from the Notes Payable to purchase certain obligations insured by AGM or collateral underlying such obligations and reimbursed AGM for its claim payments, in exchange for AGM assigning to the refinancing vehicles certain of its rights against the trusts in the applicable transactions. | |||||||||||||||||
The principal and carrying values of the Company’s long-term debt are presented in the table below. | |||||||||||||||||
Principal and Carrying Amounts of Debt | |||||||||||||||||
As of December 31, 2013 | As of December 31, 2012 | ||||||||||||||||
Principal | Carrying | Principal | Carrying | ||||||||||||||
Value | Value | ||||||||||||||||
(in millions) | |||||||||||||||||
AGUS: | |||||||||||||||||
7.0% Senior Notes | $ | 200 | $ | 198 | $ | 200 | $ | 197 | |||||||||
8.50% Senior Notes | — | — | — | — | |||||||||||||
Series A Enhanced Junior Subordinated Debentures | 150 | 150 | 150 | 150 | |||||||||||||
Total AGUS | 350 | 348 | 350 | 347 | |||||||||||||
AGMH: | |||||||||||||||||
67/8% QUIBS | 100 | 68 | 100 | 68 | |||||||||||||
6.25% Notes | 230 | 138 | 230 | 137 | |||||||||||||
5.60% Notes | 100 | 55 | 100 | 54 | |||||||||||||
Junior Subordinated Debentures | 300 | 169 | 300 | 164 | |||||||||||||
Total AGMH | 730 | 430 | 730 | 423 | |||||||||||||
AGM: | |||||||||||||||||
Notes Payable | 34 | 38 | 61 | 66 | |||||||||||||
Total AGM | 34 | 38 | 61 | 66 | |||||||||||||
Total | $ | 1,114 | $ | 816 | $ | 1,141 | $ | 836 | |||||||||
Principal payments due under the long-term debt are as follows: | |||||||||||||||||
Expected Maturity Schedule of Debt | |||||||||||||||||
Expected Withdrawal Date | AGUS | AGMH | AGM | Total | |||||||||||||
(in millions) | |||||||||||||||||
2014 | $ | — | $ | — | $ | 10 | $ | 10 | |||||||||
2015 | — | — | 9 | 9 | |||||||||||||
2016 | — | — | 4 | 4 | |||||||||||||
2017 | — | — | 10 | 10 | |||||||||||||
2018 | — | — | 1 | 1 | |||||||||||||
2019-2038 | 200 | — | 0 | 200 | |||||||||||||
2039-2058 | — | — | — | — | |||||||||||||
2059-2078 | 150 | 300 | — | 450 | |||||||||||||
Thereafter | — | 430 | — | 430 | |||||||||||||
Total | $ | 350 | $ | 730 | $ | 34 | $ | 1,114 | |||||||||
Interest Expense | |||||||||||||||||
Year Ended December 31, | |||||||||||||||||
2013 | 2012 | 2011 | |||||||||||||||
(in millions) | |||||||||||||||||
AGUS: | |||||||||||||||||
7.0% Senior Notes | $ | 13 | $ | 13 | $ | 13 | |||||||||||
8.50% Senior Notes | — | 8 | 16 | ||||||||||||||
Series A Enhanced Junior Subordinated Debentures | 10 | 10 | 10 | ||||||||||||||
Total AGUS | 23 | 31 | 39 | ||||||||||||||
AGMH: | |||||||||||||||||
67/8% QUIBS | 7 | 7 | 7 | ||||||||||||||
6.25% Notes | 16 | 16 | 16 | ||||||||||||||
5.60% Notes | 6 | 6 | 6 | ||||||||||||||
Junior Subordinated Debentures | 25 | 25 | 25 | ||||||||||||||
Total AGMH | 54 | 54 | 54 | ||||||||||||||
AGM: | |||||||||||||||||
Notes Payable | 5 | 7 | 6 | ||||||||||||||
Total AGM | 5 | 7 | 6 | ||||||||||||||
Total | $ | 82 | $ | 92 | $ | 99 | |||||||||||
Recourse Credit Facilities | |||||||||||||||||
2009 Strip Coverage Facility | |||||||||||||||||
In connection with the AGMH Acquisition, AGM agreed to retain the risks relating to the debt and strip policy portions of the leveraged lease business. The liquidity risk to AGM related to the strip policy portion of the leveraged lease business is mitigated by the strip coverage facility described below. | |||||||||||||||||
In a leveraged lease transaction, a tax-exempt entity (such as a transit agency) transfers tax benefits to a tax-paying entity by transferring ownership of a depreciable asset, such as subway cars. The tax-exempt entity then leases the asset back from its new owner. | |||||||||||||||||
If the lease is terminated early, the tax-exempt entity must make an early termination payment to the lessor. A portion of this early termination payment is funded from monies that were pre-funded and invested at the closing of the leveraged lease transaction (along with earnings on those invested funds). The tax-exempt entity is obligated to pay the remaining, unfunded portion of this early termination payment (known as the “strip coverage”) from its own sources. AGM issued financial guaranty insurance policies (known as “strip policies”) that guaranteed the payment of these unfunded strip coverage amounts to the lessor, in the event that a tax-exempt entity defaulted on its obligation to pay this portion of its early termination payment. AGM can then seek reimbursement of its strip policy payments from the tax-exempt entity, and can also sell the transferred depreciable asset and reimburse itself from the sale proceeds. | |||||||||||||||||
Currently, all the leveraged lease transactions in which AGM acts as strip coverage provider are breaching a rating trigger related to AGM and are subject to early termination. However, early termination of a lease does not result in a draw on the AGM policy if the tax-exempt entity makes the required termination payment. If all the leases were to terminate early and the tax-exempt entities do not make the required early termination payments, then AGM would be exposed to possible liquidity claims on gross exposure of approximately $1.5 billion as of December 31, 2013. To date, none of the leveraged lease transactions that involve AGM has experienced an early termination due to a lease default and a claim on the AGM policy. It is difficult to determine the probability that AGM will have to pay strip provider claims or the likely aggregate amount of such claims. At December 31, 2013, approximately $1.2 billion of cumulative strip par exposure had been terminated since 2008 on a consensual basis. The consensual terminations have resulted in no claims on AGM. | |||||||||||||||||
On July 1, 2009, AGM and DCL, acting through its New York Branch (“Dexia Crédit Local (NY)”), entered into a credit facility (the “Strip Coverage Facility”). Under the Strip Coverage Facility, Dexia Crédit Local (NY) agreed to make loans to AGM to finance all draws made by lessors on AGM strip policies that were outstanding as of November 13, 2008, up to the commitment amount. The commitment amount of the Strip Coverage Facility was $1 billion at closing of the AGMH Acquisition but is scheduled to amortize over time. The maximum commitment amount of the Strip Coverage Facility had amortized to approximately $968 million as of December 31, 2013 and to approximately $960 million as of February 1, 2014. On February 7, 2014, AGM reduced the maximum commitment amount by $460 million to approximately $500 million, after taking into account its experience with its exposure to leveraged lease transactions to date. | |||||||||||||||||
Fundings under this facility are subject to certain conditions precedent, and their repayment is collateralized by a security interest that AGM granted to Dexia Crédit Local (NY) in amounts that AGM recovers—from the tax-exempt entity, or from asset sale proceeds—following its payment of strip policy claims. The Strip Coverage Facility will terminate upon the earliest to occur of an AGM change of control, the reduction of the commitment amount to $0, and January 31, 2042. | |||||||||||||||||
The Strip Coverage Facility’s financial covenants require that AGM and its subsidiaries maintain a maximum debt-to-capital ratio of 30% and maintain a minimum net worth of 75% of consolidated net worth as of July 1, 2009, plus, starting July 1, 2014, (i) 25% of the aggregate consolidated net income (or loss) for the period beginning July 1, 2009 and ending on June 30, 2014 or, (2) zero, if the commitment amount has been reduced to $750 million as described above. The Company is in compliance with all financial covenants as of December 31, 2013. | |||||||||||||||||
The Strip Coverage Facility contains restrictions on AGM, including, among other things, in respect of its ability to incur debt, permit liens, pay dividends or make distributions, dissolve or become party to a merger or consolidation. Most of these restrictions are subject to exceptions. The Strip Coverage Facility has customary events of default, including (subject to certain materiality thresholds and grace periods) payment default, bankruptcy or insolvency proceedings and cross-default to other debt agreements. | |||||||||||||||||
As of December 31, 2013, no amounts were outstanding under this facility, nor have there been any borrowings during the life of this facility. | |||||||||||||||||
Intercompany Credit Facility | |||||||||||||||||
On October 25, 2013, AGL, as borrower, and AGUS, as lender, entered into a revolving credit facility pursuant to which AGL may, from time to time, borrow for general corporate purposes. Under the credit facility, AGUS committed to lend a principal amount not exceeding $225 million in the aggregate. Such commitment terminates on October 25, 2018 (the “loan termination date”). The unpaid principal amount of each loan will bear interest at a fixed rate equal to 100% of the then applicable Federal short-term or mid-term interest rate, as the case may be, as determined under Internal Revenue Code Sec. 1274(d), and interest on all loans will be computed for the actual number of days elapsed on the basis of a year consisting of 360 days. Accrued interest on all loans will be paid on the last day of each June and December, beginning on December 31, 2013, and at maturity. AGL must repay the then unpaid principal amounts of the loans by the third anniversary of the loan termination date. No amounts are currently outstanding under the credit facility. | |||||||||||||||||
Limited Recourse Credit Facilities | |||||||||||||||||
AG Re Credit Facility | |||||||||||||||||
AG Re had a $200 million limited recourse credit facility for the payment of losses in respect of cumulative municipal losses (net of any recoveries) in excess of the greater of $260 million or the average annual Debt Service of the covered portfolio multiplied by 4.5%. The obligation to repay loans under this agreement is a limited recourse obligation payable solely from, and collateralized by, a pledge of recoveries realized on defaulted insured obligations in the covered portfolio, including certain installment premiums and other collateral. AG Re terminated this credit facility effective March 3, 2013. | |||||||||||||||||
Committed Capital Securities | |||||||||||||||||
On April 8, 2005, AGC entered into separate agreements (the “Put Agreements”) with four custodial trusts (each, a “Custodial Trust”) pursuant to which AGC may, at its option, cause each of the Custodial Trusts to purchase up to $50 million of perpetual preferred stock of AGC (the “AGC Preferred Stock”). The custodial trusts were created as a vehicle for providing capital support to AGC by allowing AGC to obtain immediate access to new capital at its sole discretion at any time through the exercise of the put option. If the put options were exercised, AGC would receive $200 million in return for the issuance of its own perpetual preferred stock, the proceeds of which may be used for any purpose, including the payment of claims. The put options have not been exercised through the date of this filing. | |||||||||||||||||
Distributions on the AGC CCS are determined pursuant to an auction process. On April 7, 2008 this auction process failed, thereby increasing the annualized rate on the AGC CCS to one-month LIBOR plus 250 basis points. Distributions on the AGC preferred stock will be determined pursuant to the same process. | |||||||||||||||||
In June 2003, $200 million of “AGM CPS”, money market preferred trust securities, were issued by trusts created for the primary purpose of issuing the AGM CPS, investing the proceeds in high-quality commercial paper and selling put options to AGM, allowing AGM to issue the trusts non-cumulative redeemable perpetual preferred stock (the “AGM Preferred Stock”) of AGM in exchange for cash. There are four trusts, each with an initial aggregate face amount of $50 million. These trusts hold auctions every 28 days, at which time investors submit bid orders to purchase AGM CPS. If AGM were to exercise a put option, the applicable trust would transfer the portion of the proceeds attributable to principal received upon maturity of its assets, net of expenses, to AGM in exchange for AGM Preferred Stock. AGM pays a floating put premium to the trusts, which represents the difference between the commercial paper yield and the winning auction rate (plus all fees and expenses of the trust). If an auction does not attract sufficient clearing bids, however, the auction rate is subject to a maximum rate of one-month LIBOR plus 200 basis points for the next succeeding distribution period. Beginning in August 2007, the AGM CPS required the maximum rate for each of the relevant trusts. AGM continues to have the ability to exercise its put option and cause the related trusts to purchase AGM Preferred Stock. The trusts provide AGM access to new capital at its sole discretion through the exercise of the put options. As of December 31, 2013 the put option had not been exercised. The Company does not consider itself to be the primary beneficiary of the trusts. See Note 8, Fair Value Measurement, –Other Assets–Committed Capital Securities, for a fair value measurement discussion. |
Earnings_Per_Share
Earnings Per Share | 12 Months Ended | |||||||||||
Dec. 31, 2013 | ||||||||||||
Earnings Per Share [Abstract] | ' | |||||||||||
Earnings Per Share | ' | |||||||||||
Earnings Per Share | ||||||||||||
Accounting Policy | ||||||||||||
The Company computes earnings per share ("EPS") using a two-class method by including participating securities which entitle their holders to receive nonforfeitable dividends or dividend equivalents before vesting. Restricted stock awards and share units under the AGC supplemental employee retirement plan ("SERP") plan are considered participating securities as they received non-forfeitable rights to dividends at the same rate as common stock. | ||||||||||||
The two-class method of computing EPS is an earnings allocation formula that determines EPS for each class of common stock and participating security according to dividends declared (or accumulated) and participation rights in undistributed earnings. Basic EPS is then calculated by dividing net (loss) income available to common shareholders of Assured Guaranty by the weighted‑average number of common shares outstanding during the period. Diluted EPS adjusts basic EPS for the effects of restricted stock, stock options, equity units and other potentially dilutive financial instruments (“dilutive securities”), only in the periods in which such effect is dilutive. The effect of the dilutive securities is reflected in diluted EPS by application of the more dilutive of (1) the treasury stock method or (2) the two-class method assuming nonvested shares are not converted into common shares. With respect to the equity units, which were settled on June 1, 2012 (see Note 17, Long-Term Debt and Credit Facilities), the Company used the treasury stock method in computing diluted EPS. Equity forwards were included in the calculation of basic EPS when such forward contracts were satisfied and the holders thereof became common stock holders. The Company has a single class of common stock. | ||||||||||||
Computation of Earnings Per Share | ||||||||||||
Year Ended December 31, | ||||||||||||
2013 | 2012 | 2011 | ||||||||||
(in millions, except per share amounts) | ||||||||||||
Basic EPS: | ||||||||||||
Net income (loss) attributable to AGL | $ | 808 | $ | 110 | 773 | |||||||
Less: Distributed and undistributed income (loss) available to nonvested shareholders | 1 | 0 | 1 | |||||||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | $ | 807 | $ | 110 | 772 | |||||||
Basic shares | 186.6 | 189.2 | 183.4 | |||||||||
Basic EPS | $ | 4.32 | $ | 0.58 | $ | 4.21 | ||||||
Diluted EPS: | ||||||||||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | $ | 807 | $ | 110 | $ | 772 | ||||||
Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries | 0 | 0 | 0 | |||||||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted | $ | 807 | $ | 110 | $ | 772 | ||||||
Basic shares | 186.6 | 189.2 | 183.4 | |||||||||
Effect of dilutive securities: | ||||||||||||
Options and restricted stock awards | 1 | 0.8 | 0.9 | |||||||||
Equity units | — | 0.7 | 1.2 | |||||||||
Diluted shares | 187.6 | 190.7 | 185.5 | |||||||||
Diluted EPS | $ | 4.3 | $ | 0.57 | $ | 4.16 | ||||||
Potentially dilutive securities excluded from computation of EPS because of antidilutive effect | 2.7 | 9.9 | 7.2 | |||||||||
Shareholders_Equity
Shareholders' Equity | 12 Months Ended | ||||||||||||||
Dec. 31, 2013 | |||||||||||||||
Shareholders' Equity [Abstract] | ' | ||||||||||||||
Shareholders' Equity | ' | ||||||||||||||
Shareholders' Equity | |||||||||||||||
Share Issuances | |||||||||||||||
AGL has authorized share capital of $5 million divided into 500,000,000 shares, par value $0.01 per share. Except as described below, AGL's common shares have no preemptive rights or other rights to subscribe for additional common shares, no rights of redemption, conversion or exchange and no sinking fund rights. In the event of liquidation, dissolution or winding-up, the holders of AGL's common shares are entitled to share equally, in proportion to the number of common shares held by such holder, in AGL's assets, if any remain after the payment of all its liabilities and the liquidation preference of any outstanding preferred shares. Under certain circumstances, AGL has the right to purchase all or a portion of the shares held by a shareholder at fair market value. All of the common shares are fully paid and non assessable. Holders of AGL's common shares are entitled to receive dividends as lawfully may be declared from time to time by AGL's Board of Directors. | |||||||||||||||
In general, and except as provided below, shareholders have one vote for each common share held by them and are entitled to vote with respect to their fully paid shares at all meetings of shareholders. However, if, and so long as, the common shares (and other of AGL's shares) of a shareholder are treated as "controlled shares" (as determined pursuant to section 958 of the Code) of any U.S. Person and such controlled shares constitute 9.5% or more of the votes conferred by AGL's issued and outstanding shares, the voting rights with respect to the controlled shares owned by such U.S. Person shall be limited, in the aggregate, to a voting power of less than 9.5% of the voting power of all issued and outstanding shares, under a formula specified in AGL's Bye-laws. The formula is applied repeatedly until there is no U.S. Person whose controlled shares constitute 9.5% or more of the voting power of all issued and outstanding shares and who generally would be required to recognize income with respect to AGL under the Code if AGL were a controlled foreign corporation as defined in the Code and if the ownership threshold under the Code were 9.5% (as defined in AGL's Bye-Laws as a "9.5% U.S. Shareholder"). | |||||||||||||||
Subject to AGL's Bye-Laws and Bermuda law, AGL's Board of Directors has the power to issue any of AGL's unissued shares as it determines, including the issuance of any shares or class of shares with preferred, deferred or other special rights. | |||||||||||||||
Issuance of Shares | |||||||||||||||
Number of | Price per | Proceeds | Net | ||||||||||||
Shares | Share | Proceeds | |||||||||||||
(in millions, except share and per share amounts) | |||||||||||||||
June 1, 2012(1) | 13,428,770 | $ | 12.85 | $ | 173 | $ | 173 | ||||||||
____________________ | |||||||||||||||
-1 | Relates to the settlement of forward purchase contracts. See Note 17, Long-Term Debt and Credit Facilities. | ||||||||||||||
Under AGL's Bye-Laws and subject to Bermuda law, if AGL's Board of Directors determines that any ownership of AGL's shares may result in adverse tax, legal or regulatory consequences to the Company, any of the Company's subsidiaries or any of its shareholders or indirect holders of shares or its Affiliates (other than such as AGL's Board of Directors considers de minimis), the Company has the option, but not the obligation, to require such shareholder to sell to AGL or to a third party to whom AGL assigns the repurchase right the minimum number of common shares necessary to avoid or cure any such adverse consequences at a price determined in the discretion of the Board of Directors to represent the shares' fair market value (as defined in AGL's Bye-Laws). In addition, AGL's Board of Directors may determine that shares held carry different voting rights when it deems it appropriate to do so to (i) avoid the existence of any 9.5% U.S. Shareholder; and (ii) avoid adverse tax, legal or regulatory consequences to AGL or any of its subsidiaries or any direct or indirect holder of shares or its affiliates. "Controlled shares" includes, among other things, all shares of AGL that such U.S. Person is deemed to own directly, indirectly or constructively (within the meaning of section 958 of the Code). Further, these provisions do not apply in the event one shareholder owns greater than 75% of the voting power of all issued and outstanding shares. | |||||||||||||||
Under these provisions, certain shareholders may have their voting rights limited to less than one vote per share, while other shareholders may have voting rights in excess of one vote per share. Moreover, these provisions could have the effect of reducing the votes of certain shareholders who would not otherwise be subject to the 9.5% limitation by virtue of their direct share ownership. AGL's Bye-laws provide that it will use its best efforts to notify shareholders of their voting interests prior to any vote to be taken by them. | |||||||||||||||
Share Repurchases | |||||||||||||||
As of December 31, 2013, the Company's share repurchase authorization was $400 million. The Company expects the repurchases to be made from time to time in the open market or in privately negotiated transactions. The timing, form and amount of the share repurchases under the program are at the discretion of management and will depend on a variety of factors, including availability of funds at the holding companies, market conditions, the Company's capital position, legal requirements and other factors. The repurchase program may be modified, extended or terminated by the Board of Directors at any time. It does not have an expiration date. In 2013, the Company had repurchased a total of 12.5 million common shares for approximately $264 million at an average price of $21.12 per share. This included 5.0 million common shares purchased on June 5, 2013 from funds associated with WL Ross & Co. LLC and its affiliates (collectively, the “WLR Funds”) and Wilbur L. Ross, Jr., a director of the Company, for $109.7 million. Such share purchase reduced the WLR Funds’ and Mr. Ross’s ownership of AGL's common shares to approximately 14.9 million common shares, or to approximately 8% of its total common shares outstanding, from approximately 10.5% of such outstanding common shares. | |||||||||||||||
Share Repurchases | |||||||||||||||
Year | Number of Shares Repurchased | Total Payments | |||||||||||||
(in millions) | |||||||||||||||
2013 | 12,512,759 | $ | 264 | ||||||||||||
2012 | 2,066,759 | 24 | |||||||||||||
2011 | 2,000,000 | 23 | |||||||||||||
Deferred Compensation | |||||||||||||||
Each of the Chief Executive Officer and the General Counsel of the Company has elected to invest a portion of his Company SERP account in the employer stock fund within the SERP. Each unit in the employer stock fund represents the right to receive one AGL common share upon a distribution from the SERP. Each unit equals the number of AGL common shares which could have been purchased with the value of the account deemed invested in the employer stock fund as of the date of such election. The election to invest in the employer stock fund is irrevocable (i.e., any portion of a SERP account allocated to the employer stock fund and invested in units shall remain allocated to the employer stock fund until the participant receives a distribution from SERP). At the same time such investment elections were made, the Company purchased AGL common shares and placed such shares in trust to be distributed to the Chief Executive Officer and the General Counsel upon a distribution from the SERP in settlement of their units invested in the employer stock fund. As of December 31, 2013 and 2012, the Company had 320,193 and 320,193 shares, respectively, in the trust. The Company recorded the purchase of such shares in “deferred equity compensation” in the consolidated balance sheet. | |||||||||||||||
Certain executives of the Company elected to invest a portion of their Assured Guaranty Corp. supplemental employee retirement plan (“AGC SERP”) accounts in the employer stock fund in the AGC SERP. Each unit in the employer stock fund represents the right to receive one AGL common share upon a distribution from the AGC SERP. Each unit equals the number of AGL common shares which could have been purchased with the value of the account deemed invested in the employer stock fund as of the date of such election. As of December 31, 2013 and 2012, there were 74,309 and 68,181 units, respectively, in the AGC SERP. See Note 20, Employee Benefit Plans. | |||||||||||||||
Dividends | |||||||||||||||
Any determination to pay cash dividends is at the discretion of the Company's Board of Directors, and depends upon the Company's results of operations and operating cash flows, its financial position and capital requirements, general business conditions, legal, tax, regulatory, rating agency and contractual restrictions on the payment of dividends, and any other factors the Company's Board of Directors deems relevant. For more information concerning regulatory constraints that affect the Company's ability to pay dividends, see Note 12, Insurance Company Regulatory Requirements. | |||||||||||||||
On February 5, 2014, the Company declared a quarterly dividend of $0.11 per common share, an increase of 10% from a quarterly dividend of $0.10 per common share paid in 2013. On February 7, 2013, the Company declared a quarterly dividend of $0.10 per common share, an increase of 11% from a quarterly dividend of $0.09 per common share paid in 2012. On February 9, 2012, the Company declared a quarterly dividend of $0.09 per common share, an increase of 100% from a quarterly dividend of $0.045 per common share paid in 2011 and 2010. |
Employee_Benefit_Plans
Employee Benefit Plans | 12 Months Ended | |||||||||||||||
Dec. 31, 2013 | ||||||||||||||||
Compensation Related Costs [Abstract] | ' | |||||||||||||||
Employee Benefit Plans | ' | |||||||||||||||
Employee Benefit Plans | ||||||||||||||||
Accounting Policy | ||||||||||||||||
The expense for Performance Retention Plan awards is recognized straight-line over the requisite service period, with the exception of retirement eligible employees. For retirement eligible employees, the expense is recognized immediately. | ||||||||||||||||
Share-based compensation expense is based on the grant date fair value using grant date closing price, the lattice, Monte Carlo or Black-Scholes pricing models. The Company amortizes the fair value of share-based awards on a straight-line basis over the requisite service periods of the awards, which are generally the vesting periods, with the exception of retirement‑eligible employees. For retirement-eligible employees, certain awards contain retirement provisions and therefore are amortized over the period through the date the employee first becomes eligible to retire and is no longer required to provide service to earn part or all of the award. | ||||||||||||||||
The fair value of each award under the Assured Guaranty Ltd. Employee Stock Purchase Plan (the “Stock Purchase Plan”) is estimated at the beginning of each offering period using the Black-Scholes option valuation model. | ||||||||||||||||
Assured Guaranty Ltd. 2004 Long-Term Incentive Plan | ||||||||||||||||
Under the Assured Guaranty Ltd. 2004 Long-Term Incentive Plan, as amended (the “Incentive Plan”), the number of AGL common shares that may be delivered under the Incentive Plan may not exceed 10,970,000. In the event of certain transactions affecting AGL's common shares, the number or type of shares subject to the Incentive Plan, the number and type of shares subject to outstanding awards under the Incentive Plan, and the exercise price of awards under the Incentive Plan, may be adjusted. | ||||||||||||||||
The Incentive Plan authorizes the grant of incentive stock options, non-qualified stock options, stock appreciation rights, and full value awards that are based on AGL's common shares. The grant of full value awards may be in return for a participant's previously performed services, or in return for the participant surrendering other compensation that may be due, or may be contingent on the achievement of performance or other objectives during a specified period, or may be subject to a risk of forfeiture or other restrictions that will lapse upon the achievement of one or more goals relating to completion of service by the participant, or achievement of performance or other objectives. Awards under the Incentive Plan may accelerate and become vested upon a change in control of AGL. | ||||||||||||||||
The Incentive Plan is administered by a committee of the Board of Directors. The Compensation Committee of the Board serves as this committee except as otherwise determined by the Board. The Board may amend or terminate the Incentive Plan. As of December 31, 2013, 3,189,396 common shares were available for grant under the Incentive Plan. | ||||||||||||||||
Time Vested Stock Options | ||||||||||||||||
Nonqualified or incentive stock options may be granted to employees and directors of the Company. Stock options are generally granted once a year with exercise prices equal to the closing price on the date of grant. To date, the Company has only issued nonqualified stock options. All stock options, except for performance stock options, granted to employees vest in equal annual installments over a three-year period and expire seven years or ten years from the date of grant. Stock options granted to directors vest over one year and expire in seven years or ten years from grant date. None of the Company's options, except for performance stock options, have a performance or market condition. | ||||||||||||||||
Time Vested Stock Options | ||||||||||||||||
Options for | Weighted | Weighted | Number of | Year of | ||||||||||||
Common Shares | Average | Average Grant | Exercisable | Expiration | ||||||||||||
Exercise Price | Date Fair Value | Options | ||||||||||||||
Per Share | ||||||||||||||||
Balance as of December 31, 2012 | 4,229,555 | $ | 20.1 | 4,047,374 | ||||||||||||
Options granted | 102,355 | 19.36 | $ | 8.94 | 2020 | |||||||||||
Options exercised | (1,199,339 | ) | 17.75 | |||||||||||||
Options forfeited/expired | (3,320 | ) | 24.21 | |||||||||||||
Balance as of December 31, 2013 | 3,129,251 | $ | 20.97 | 2,987,088 | ||||||||||||
As of December 31, 2013, the aggregate intrinsic value and weighted average remaining contractual term of stock options outstanding were $11 million and 3.5 years, respectively. As of December 31, 2013, the aggregate intrinsic value and weighted average remaining contractual term of exercisable stock options were $10 million and 3.4 years, respectively. | ||||||||||||||||
As of December 31, 2013 the total unrecognized compensation expense related to outstanding nonvested stock options was $1 million, which will be adjusted in the future for the difference between estimated and actual forfeitures. The Company expects to recognize that expense over the weighted average remaining service period of 1.4 years. | ||||||||||||||||
Lattice Option Pricing | ||||||||||||||||
Weighted Average Assumptions(1) | ||||||||||||||||
2013 | 2012 | |||||||||||||||
Dividend yield | 2.07 | % | 2.06 | % | ||||||||||||
Expected volatility | 53.41 | % | 58.89 | % | ||||||||||||
Risk free interest rate | 1.35 | % | 1.45 | % | ||||||||||||
Expected life | 6.6 years | 6.6 years | ||||||||||||||
Forfeiture rate | 4.5 | % | 4.5 | % | ||||||||||||
Weighted average grant date fair value | $ | 8.94 | 8.62 | |||||||||||||
____________________ | ||||||||||||||||
-1 | No options were granted in 2011. | |||||||||||||||
The expected dividend yield is based on the current expected annual dividend and share price on the grant date. The expected volatility is estimated at the date of grant based on an average of the 7-year historical share price volatility and implied volatilities of certain at-the-money actively traded call options in the Company. The risk-free interest rate is the implied 7-year yield currently available on U.S. Treasury zero-coupon issues at the date of grant. The forfeiture rate is based on the historical employee termination information. | ||||||||||||||||
The total intrinsic value of stock options exercised during the years ended December 31, 2013, 2012 and 2011 was $7.5 million, $0.1 million and $0.3 million, respectively. During the years ended December 31, 2013, 2012 and 2011, $2.6 million, $44 thousand and $0.6 million, respectively, was received from the exercise of stock options. In order to satisfy stock option exercises, the Company issues new shares. | ||||||||||||||||
Performance Stock Options | ||||||||||||||||
In 2012 and 2013, the Company granted performance stock options under the Incentive Plan. These awards are non-qualified stock options with exercise prices equal to the closing price an AGL common share on the applicable date of grant. These awards vest 35%, 50% or 100%, if the price of AGL's common shares using the highest 40-day average share price during the relevant performance period reaches certain hurdles. If the share price is between the specified levels, the vesting level will be interpolated accordingly. These awards expire seven years from the date of grant. | ||||||||||||||||
Performance Stock Options | ||||||||||||||||
Options for | Weighted | Weighted | Number of | Year of | ||||||||||||
Common Shares | Average | Average Grant | Exercisable | Expiration | ||||||||||||
Exercise Price | Date Fair Value | Options | ||||||||||||||
Per Share | ||||||||||||||||
Balance as of December 31, 2012 | 293,077 | $ | 17.44 | 0 | ||||||||||||
Options granted | 72,640 | 19.24 | $ | 8.17 | 2020 | |||||||||||
Options exercised | — | — | ||||||||||||||
Options forfeited/expired | — | — | ||||||||||||||
Balance as of December 31, 2013 | 365,717 | $ | 17.8 | 0 | ||||||||||||
In order to satisfy stock option exercises, the Company issues new shares. | ||||||||||||||||
As of December 31, 2013, the aggregate intrinsic value and weighted average remaining contractual term of performance stock options outstanding were $2 million and 5.3 years, respectively. As of December 31, 2013, no performance options were exercisable. | ||||||||||||||||
As of December 31, 2013 the total unrecognized compensation expense related to outstanding nonvested performance stock options was $1 million, which will be adjusted in the future for the difference between estimated and actual forfeitures. The Company expects to recognize that expense over the weighted average remaining service period of 1.4 years. | ||||||||||||||||
Monte Carlo and Lattice Option Pricing | ||||||||||||||||
Weighted Average Assumptions | ||||||||||||||||
2013 | 2012 | |||||||||||||||
Dividend yield | 2.07 | % | 2.06 | % | ||||||||||||
Expected volatility | 53.5 | % | 58.89 | % | ||||||||||||
Risk free interest rate | 1.36 | % | 1.45 | % | ||||||||||||
Expected life | 6.3 years | 6.3 years | ||||||||||||||
Forfeiture rate | 4.5 | % | 4.5 | % | ||||||||||||
Weighted average grant date fair value | $ | 8.17 | $ | 7.84 | ||||||||||||
The expected dividend yield is based on the current expected annual dividend and share price on the grant date. The expected volatility is estimated at the date of grant based on an average of the 7-year historical share price volatility and implied volatilities of certain at-the-money actively traded call options in the Company. The risk-free interest rate is the implied 7-year yield currently available on U.S. Treasury zero-coupon issues at the date of grant. The forfeiture rate is based on the historical employee termination information. | ||||||||||||||||
Restricted Stock Awards | ||||||||||||||||
Restricted stock awards to employees generally vest in equal annual installments over a four-year period and restricted stock awards to outside directors vest in full in one year. Restricted stock awards are amortized on a straight-line basis over the requisite service periods of the awards, and restricted stock awards to outside directors are amortized over one year, which are generally the vesting periods, with the exception of retirement‑eligible employees, discussed above. | ||||||||||||||||
Restricted Stock Award Activity | ||||||||||||||||
Nonvested Shares | Number of | Weighted | ||||||||||||||
Shares | Average Grant | |||||||||||||||
Date Fair Value | ||||||||||||||||
Per Share | ||||||||||||||||
Nonvested at December 31, 2012 | 88,549 | $ | 12.93 | |||||||||||||
Granted | 48,273 | 23.2 | ||||||||||||||
Vested | (88,549 | ) | 12.93 | |||||||||||||
Forfeited | — | — | ||||||||||||||
Nonvested at December 31, 2013 | 48,273 | $ | 23.2 | |||||||||||||
As of December 31, 2013 the total unrecognized compensation cost related to outstanding nonvested restricted stock awards was $0.4 million, which the Company expects to recognize over the weighted‑average remaining service period of 0.4 years. The total fair value of shares vested during the years ended December 31, 2013, 2012 and 2011 was $1 million, $1 million and $4 million, respectively. | ||||||||||||||||
Restricted Stock Units | ||||||||||||||||
Restricted stock units are valued based on the closing price of the underlying shares at the date of grant. Restricted stock units awarded to employees have vesting terms similar to those of the restricted stock awards and are delivered on the vesting date. The Company has granted restricted stock units to directors of the Company. Restricted stock units awarded to directors vest over a one-year period and are delivered after directors terminate from the board of directors. | ||||||||||||||||
Restricted Stock Unit Activity | ||||||||||||||||
(Excluding Dividend Equivalents) | ||||||||||||||||
Nonvested Stock Units | Number of | Weighted | ||||||||||||||
Stock Units | Average Grant | |||||||||||||||
Date Fair Value | ||||||||||||||||
Per Share | ||||||||||||||||
Nonvested at December 31, 2012 | 1,006,411 | $ | 16.78 | |||||||||||||
Granted | 93,580 | 19.29 | ||||||||||||||
Delivered | (361,157 | ) | 15.04 | |||||||||||||
Forfeited | (2,425 | ) | 17.85 | |||||||||||||
Nonvested at December 31, 2013 | 736,409 | $ | 17.63 | |||||||||||||
As of December 31, 2013, the total unrecognized compensation cost related to outstanding nonvested restricted stock units was $4 million, which the Company expects to recognize over the weighted‑average remaining service period of 1.5 years. The total fair value of restricted stock units delivered during the years ended December 31, 2013, 2012 and 2011 was $5 million, $6 million and $5 million, respectively. | ||||||||||||||||
Performance Restricted Stock Units | ||||||||||||||||
Beginning in 2012, the Company has granted performance restricted stock units under the Incentive Plan. These awards vest 35%, 100%, or 200%, if the price of AGL's common shares using the highest 40-day average share price during the relevant performance period reaches certain hurdles. If the share price is between the specified levels, the vesting level will be interpolated accordingly. | ||||||||||||||||
Performance Restricted Stock Unit Activity | ||||||||||||||||
Performance Restricted Stock Units | Number of | Weighted | ||||||||||||||
Performance Share Units | Average Grant | |||||||||||||||
Date Fair Value | ||||||||||||||||
Per Share | ||||||||||||||||
Nonvested at December 31, 2012 | 178,970 | $ | 27.35 | |||||||||||||
Granted | 44,440 | 29.54 | ||||||||||||||
Delivered | — | — | ||||||||||||||
Forfeited | — | — | ||||||||||||||
Nonvested at December 31, 2013 | 223,410 | $ | 27.79 | |||||||||||||
As of December 31, 2013, the total unrecognized compensation cost related to outstanding nonvested performance share units was $3 million, which the Company expects to recognize over the weighted‑average remaining service period of 1.4 years. | ||||||||||||||||
Employee Stock Purchase Plan | ||||||||||||||||
The Company established the AGL Employee Stock Purchase Plan ("Stock Purchase Plan") in accordance with Internal Revenue Code Section 423, and participation is available to all eligible employees. Maximum annual purchases by participants are limited to the number of whole shares that can be purchased by an amount equal to 10% of the participant's compensation or, if less, shares having a value of $25,000. Participants may purchase shares at a purchase price equal to 85% of the lesser of the fair market value of the stock on the first day or the last day of the subscription period. The Company has reserved for issuance and purchases under the Stock Purchase Plan 600,000 Assured Guaranty Ltd. common shares. | ||||||||||||||||
The fair value of each award under the Stock Purchase Plan is estimated at the beginning of each offering period using the Black‑Scholes option‑pricing model and the following assumptions: a) the expected dividend yield is based on the current expected annual dividend and share price on the grant date; b) the expected volatility is estimated at the date of grant based on the historical share price volatility, calculated on a daily basis; c) the risk-free rate for periods within the contractual life of the option is based on the U.S. Treasury yield curve in effect at the time of grant; and d) the expected life is based on the term of the offering period. | ||||||||||||||||
Stock Purchase Plan | ||||||||||||||||
Year Ended December 31, | ||||||||||||||||
2013 | 2012 | 2011 | ||||||||||||||
(dollars in millions) | ||||||||||||||||
Proceeds from purchase of shares by employees | $ | 0.9 | $ | 0.6 | $ | 0.7 | ||||||||||
Number of shares issued by the Company | 57,980 | 54,612 | 50,523 | |||||||||||||
Recorded in share-based compensation, after the effects of DAC | $ | 0.3 | $ | 0.2 | $ | 0.2 | ||||||||||
Share‑Based Compensation Expense | ||||||||||||||||
The following table presents stock based compensation costs by type of award and the effect of deferring such costs as policy acquisition costs, pre-tax. Amortization of previously deferred stock compensation costs is not shown in the table below. | ||||||||||||||||
Share‑Based Compensation Expense Summary | ||||||||||||||||
Year Ended December 31, | ||||||||||||||||
2013 | 2012 | 2011 | ||||||||||||||
(in millions) | ||||||||||||||||
Share‑Based Employee Cost: | ||||||||||||||||
Recurring amortization | $ | 7 | $ | 6 | $ | 5 | ||||||||||
Accelerated amortization for retirement eligible employees | — | 1 | 5 | |||||||||||||
Subtotal | 7 | 7 | 10 | |||||||||||||
ESPP | — | — | — | |||||||||||||
Total Share‑Based Employee Cost | 7 | 7 | 10 | |||||||||||||
Total Share‑Based Directors Cost | 1 | 1 | 1 | |||||||||||||
Total Share‑Based Cost | 8 | 8 | 11 | |||||||||||||
Less: Share‑based compensation capitalized as DAC | — | 1 | 3 | |||||||||||||
Share‑based compensation expense | $ | 8 | $ | 7 | $ | 8 | ||||||||||
Income tax benefit | $ | 2 | $ | 2 | $ | 2 | ||||||||||
Defined Contribution Plan | ||||||||||||||||
The Company maintains a savings incentive plan, which is qualified under Section 401(a) of the Internal Revenue Code for U.S. employees. The savings incentive plan is available to eligible full-time employees upon hire. Eligible participants could contribute a percentage of their salary subject to a maximum of $17,500 for 2013. Contributions are matched by the Company at a rate of 100% up to 6% of participant's compensation, subject to IRS limitations. Any amounts over the IRS limits are contributed to and matched by the Company into a nonqualified supplemental executive retirement plan for employees eligible to participate in such nonqualified plan. The Company also makes a core contribution of 6% of the participant's compensation to the qualified plan, subject to IRS limitations, and the nonqualified supplemental executive retirement plan for eligible employees, regardless of whether the employee contributes to the plan(s). Employees become fully vested in Company contributions after one year of service, as defined in the plan. Plan eligibility is immediate upon hire. The Company also maintains similar non-qualified plans for non-U.S. employees. | ||||||||||||||||
The Company recognized defined contribution expenses of $10 million, $9 million and $10 million for the years ended December 31, 2013, 2012 and 2011, respectively. | ||||||||||||||||
Cash-Based Compensation | ||||||||||||||||
Performance Retention Plan | ||||||||||||||||
The Company has established the Assured Guaranty Ltd. Performance Retention Plan (“PRP”) which permits the grant of cash based awards to selected employees. PRP awards may be treated as nonqualified deferred compensation subject to the rules of Internal Revenue Code Section 409A. The PRP is a sub-plan under the Company's Long-Term Incentive Plan (enabling awards under the plan to be performance based compensation exempt from the $1 million limit on tax deductible compensation). | ||||||||||||||||
Generally, each PRP award is divided into three installments, with 25% of the award allocated to a performance period that includes the year of the award and the next year, 25% of the award allocated to a performance period that includes the year of the award and the next two years, and 50% of the award allocated to a performance period that includes the year of the award and the next three years. Each installment of an award vests if the participant remains employed through the end of the performance period for that installment. Awards may vest upon the occurrence of other events as set forth in the plan documents. Payment for each performance period is made at the end of that performance period. One half of each installment is increased or decreased in proportion to the increase or decrease of per share adjusted book value during the performance period, and one half of each installment is increased or decreased in proportion to the operating return on equity during the performance period. Operating return on equity and adjusted book value are defined in each PRP award agreement. | ||||||||||||||||
A payment otherwise subject to the $1 million limit on tax deductible compensation, will not be made unless performance satisfies a minimum threshold. | ||||||||||||||||
As described above, the performance measures used to determine the amounts distributable under the PRP are based on the Company's operating return on equity and growth in per share adjusted book value, as defined. Adjustments may be made by the AGL Compensation Committee at any time before distribution, except that, for certain senior executive officers, any adjustment made after the grant of the award may decrease but may not increase the amount of the distribution. | ||||||||||||||||
In the event of a corporate transaction involving the Company, including, without limitation, any share dividend, share split, extraordinary cash dividend, recapitalization, reorganization, merger, amalgamation, consolidation, split-up, spin-off, sale of assets or subsidiaries, combination or exchange of shares, the Compensation Committee may adjust the calculation of the Company's adjusted book value and operating return on equity as the Compensation Committee deems necessary or desirable in order to preserve the benefits or potential benefits of PRP awards. | ||||||||||||||||
The Company recognized performance retention plan expenses of $17 million, $13 million and $8 million for the years ended December 31, 2013, 2012 and 2011, respectively. |
Other_Comprehensive_Income
Other Comprehensive Income | 12 Months Ended | |||||||||||||||||||
Dec. 31, 2013 | ||||||||||||||||||||
Comprehensive Income (Loss), Net of Tax, Attributable to Parent [Abstract] | ' | |||||||||||||||||||
Other Comprehensive Income | ' | |||||||||||||||||||
Other Comprehensive Income | ||||||||||||||||||||
The following tables present the changes in the balances of each component of accumulated other comprehensive income and the effect of significant reclassifications out of AOCI on the respective line items in net income. | ||||||||||||||||||||
Changes in Accumulated Other Comprehensive Income by Component | ||||||||||||||||||||
Year Ended December 31, 2013 | ||||||||||||||||||||
Net Unrealized | Net Unrealized | Cumulative | Cash Flow Hedge | Total Accumulated | ||||||||||||||||
Gains (Losses) on | Gains (Losses) on | Translation | Other | |||||||||||||||||
Investments with no OTTI | Investments with OTTI | Adjustment | Comprehensive | |||||||||||||||||
Income | ||||||||||||||||||||
(in millions) | ||||||||||||||||||||
Balance, December 31, 2012 | $ | 517 | $ | (5 | ) | $ | (6 | ) | $ | 9 | $ | 515 | ||||||||
Other comprehensive income (loss) before reclassified | (309 | ) | (35 | ) | 3 | — | (341 | ) | ||||||||||||
Amounts reclassified from AOCI to: | ||||||||||||||||||||
Other net realized investment gain (losses) | (43 | ) | 24 | — | — | (19 | ) | |||||||||||||
Interest expense | — | — | — | (1 | ) | (1 | ) | |||||||||||||
Total before tax | (43 | ) | 24 | — | (1 | ) | (20 | ) | ||||||||||||
Tax (provision) benefit | $ | 13 | $ | (8 | ) | $ | — | $ | 1 | 6 | ||||||||||
Total amount reclassified from AOCI, net of tax | (30 | ) | 16 | — | 0 | (14 | ) | |||||||||||||
Net current period other comprehensive income (loss) | (339 | ) | (19 | ) | 3 | 0 | (355 | ) | ||||||||||||
Balance, December 31, 2013 | $ | 178 | $ | (24 | ) | $ | (3 | ) | $ | 9 | $ | 160 | ||||||||
Year Ended December 31, 2012 | ||||||||||||||||||||
Net Unrealized | Net Unrealized | Cumulative | Cash Flow Hedge | Total Accumulated | ||||||||||||||||
Gains (Losses) on | Gains (Losses) on | Translation | Other | |||||||||||||||||
Investments with no OTTI | Investments with OTTI | Adjustment | Comprehensive | |||||||||||||||||
Income | ||||||||||||||||||||
(in millions) | ||||||||||||||||||||
Balance, December 31, 2011 | $ | 365 | $ | 2 | $ | (8 | ) | $ | 9 | $ | 368 | |||||||||
Other comprehensive income (loss) | 152 | (7 | ) | 2 | 0 | 147 | ||||||||||||||
Balance, December 31, 2012 | $ | 517 | $ | (5 | ) | $ | (6 | ) | $ | 9 | $ | 515 | ||||||||
Year Ended December 31, 2011 | ||||||||||||||||||||
Net Unrealized | Net Unrealized | Cumulative | Cash Flow Hedge | Total Accumulated | ||||||||||||||||
Gains (Losses) on | Gains (Losses) on | Translation | Other | |||||||||||||||||
Investments with no OTTI | Investments with OTTI | Adjustment | Comprehensive | |||||||||||||||||
Income | ||||||||||||||||||||
(in millions) | ||||||||||||||||||||
Balance, December 31, 2010 | $ | 116 | $ | (6 | ) | $ | (8 | ) | $ | 10 | $ | 112 | ||||||||
Other comprehensive income (loss) | 249 | 8 | 0 | (1 | ) | 256 | ||||||||||||||
Balance, December 31, 2011 | $ | 365 | $ | 2 | $ | (8 | ) | $ | 9 | $ | 368 | |||||||||
Subsidiary_Information
Subsidiary Information | 12 Months Ended | |||||||||||||||||||||||
Dec. 31, 2013 | ||||||||||||||||||||||||
Subsidiary Information [abstract] | ' | |||||||||||||||||||||||
Subsidiary Information | ' | |||||||||||||||||||||||
Subsidiary Information | ||||||||||||||||||||||||
The following tables present the condensed consolidating financial information for AGUS and AGMH, wholly-owned subsidiaries of AGL, which have issued publicly traded debt securities (see Note 17, Long-Term Debt and Credit Facilities, for the full description of AGUS and AGMH debt and the related AGL guarantees for such debt) as of December 31, 2013 and December 31, 2012 and for the years ended December 31, 2013, 2012 and 2011. The information for AGUS and AGMH presents its subsidiaries on the equity method of accounting. | ||||||||||||||||||||||||
CONDENSED CONSOLIDATING BALANCE SHEET | ||||||||||||||||||||||||
AS OF DECEMBER 31, 2013 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Assured | AGUS | AGMH | Other | Consolidating | Assured | |||||||||||||||||||
Guaranty Ltd. | (Issuer) | (Issuer) | Entities | Adjustments | Guaranty Ltd. | |||||||||||||||||||
(Parent) | (Consolidated) | |||||||||||||||||||||||
ASSETS | ||||||||||||||||||||||||
Total investment portfolio and cash | $ | 33 | $ | 186 | $ | 42 | $ | 11,008 | $ | (300 | ) | $ | 10,969 | |||||||||||
Investment in subsidiaries | 5,066 | 4,191 | 3,574 | 289 | (13,120 | ) | — | |||||||||||||||||
Premiums receivable, net of commissions payable | — | — | — | 1,025 | (149 | ) | 876 | |||||||||||||||||
Ceded unearned premium reserve | — | — | — | 1,598 | (1,146 | ) | 452 | |||||||||||||||||
Deferred acquisition costs | — | — | — | 198 | (74 | ) | 124 | |||||||||||||||||
Reinsurance recoverable on unpaid losses | — | — | — | 170 | (134 | ) | 36 | |||||||||||||||||
Credit derivative assets | — | — | — | 482 | (388 | ) | 94 | |||||||||||||||||
Deferred tax asset, net | — | 97 | — | 681 | (90 | ) | 688 | |||||||||||||||||
Intercompany receivable | — | — | — | 90 | (90 | ) | — | |||||||||||||||||
Financial guaranty variable interest entities’ assets, at fair value | — | — | — | 2,565 | — | 2,565 | ||||||||||||||||||
Other | 23 | 17 | 31 | 638 | (226 | ) | 483 | |||||||||||||||||
TOTAL ASSETS | $ | 5,122 | $ | 4,491 | $ | 3,647 | $ | 18,744 | $ | (15,717 | ) | $ | 16,287 | |||||||||||
LIABILITIES AND SHAREHOLDERS’ EQUITY | ||||||||||||||||||||||||
Unearned premium reserves | $ | — | $ | — | $ | — | $ | 5,720 | $ | (1,125 | ) | $ | 4,595 | |||||||||||
Loss and LAE reserve | — | — | — | 733 | (141 | ) | 592 | |||||||||||||||||
Long-term debt | — | 348 | 430 | 38 | — | 816 | ||||||||||||||||||
Intercompany payable | — | 90 | — | 300 | (390 | ) | — | |||||||||||||||||
Credit derivative liabilities | — | — | — | 2,175 | (388 | ) | 1,787 | |||||||||||||||||
Deferred tax liabilities, net | — | — | 95 | — | (95 | ) | — | |||||||||||||||||
Financial guaranty variable interest entities’ liabilities, at fair value | — | — | — | 2,871 | — | 2,871 | ||||||||||||||||||
Other | 7 | 7 | 16 | 853 | (372 | ) | 511 | |||||||||||||||||
TOTAL LIABILITIES | 7 | 445 | 541 | 12,690 | (2,511 | ) | 11,172 | |||||||||||||||||
TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. | 5,115 | 4,046 | 3,106 | 5,765 | (12,917 | ) | 5,115 | |||||||||||||||||
Noncontrolling interest | — | — | — | 289 | (289 | ) | — | |||||||||||||||||
TOTAL SHAREHOLDERS’ EQUITY | 5,115 | 4,046 | 3,106 | 6,054 | (13,206 | ) | 5,115 | |||||||||||||||||
TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY | $ | 5,122 | $ | 4,491 | $ | 3,647 | $ | 18,744 | $ | (15,717 | ) | $ | 16,287 | |||||||||||
CONDENSED CONSOLIDATING BALANCE SHEET | ||||||||||||||||||||||||
AS OF DECEMBER 31, 2012 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Assured | AGUS | AGMH | Other | Consolidating | Assured | |||||||||||||||||||
Guaranty Ltd. | (Issuer) | (Issuer) | Entities | Adjustments | Guaranty Ltd. | |||||||||||||||||||
(Parent) | (Consolidated) | |||||||||||||||||||||||
ASSETS | ||||||||||||||||||||||||
Total investment portfolio and cash | $ | 245 | $ | 15 | $ | 30 | $ | 11,233 | $ | (300 | ) | $ | 11,223 | |||||||||||
Investment in subsidiaries | 4,734 | 3,958 | 3,225 | 3,524 | (15,441 | ) | — | |||||||||||||||||
Premiums receivable, net of commissions payable | — | — | — | 1,147 | (142 | ) | 1,005 | |||||||||||||||||
Ceded unearned premium reserve | — | — | — | 1,550 | (989 | ) | 561 | |||||||||||||||||
Deferred acquisition costs | — | — | — | 190 | (74 | ) | 116 | |||||||||||||||||
Reinsurance recoverable on unpaid losses | — | — | — | 223 | (165 | ) | 58 | |||||||||||||||||
Credit derivative assets | — | — | — | 553 | (412 | ) | 141 | |||||||||||||||||
Deferred tax asset, net | — | 48 | (94 | ) | 789 | (22 | ) | 721 | ||||||||||||||||
Intercompany receivable | — | — | — | 173 | (173 | ) | — | |||||||||||||||||
Financial guaranty variable interest entities’ assets, at fair value | — | — | — | 2,688 | — | 2,688 | ||||||||||||||||||
Other | 23 | 29 | 26 | 816 | (165 | ) | 729 | |||||||||||||||||
TOTAL ASSETS | $ | 5,002 | $ | 4,050 | $ | 3,187 | $ | 22,886 | $ | (17,883 | ) | $ | 17,242 | |||||||||||
LIABILITIES AND SHAREHOLDERS’ EQUITY | ||||||||||||||||||||||||
Unearned premium reserves | $ | — | $ | — | $ | — | $ | 6,168 | $ | (961 | ) | $ | 5,207 | |||||||||||
Loss and LAE reserve | — | — | — | 778 | (177 | ) | 601 | |||||||||||||||||
Long-term debt | — | 347 | 423 | 66 | — | 836 | ||||||||||||||||||
Intercompany payable | — | 173 | — | 300 | (473 | ) | — | |||||||||||||||||
Credit derivative liabilities | — | 0 | — | 2,346 | (412 | ) | 1,934 | |||||||||||||||||
Financial guaranty variable interest entities’ liabilities, at fair value | — | — | — | 3,141 | — | 3,141 | ||||||||||||||||||
Other | 8 | 6 | 15 | 803 | (303 | ) | 529 | |||||||||||||||||
TOTAL LIABILITIES | 8 | 526 | 438 | 13,602 | (2,326 | ) | 12,248 | |||||||||||||||||
TOTAL SHAREHOLDERS’ EQUITY | 4,994 | 3,524 | 2,749 | 9,284 | (15,557 | ) | 4,994 | |||||||||||||||||
TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY | $ | 5,002 | $ | 4,050 | $ | 3,187 | $ | 22,886 | $ | (17,883 | ) | $ | 17,242 | |||||||||||
CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS | ||||||||||||||||||||||||
AND COMPREHENSIVE INCOME | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Assured | AGUS | AGMH | Other | Consolidating | Assured | |||||||||||||||||||
Guaranty Ltd. | (Issuer) | (Issuer) | Entities | Adjustments | Guaranty Ltd. | |||||||||||||||||||
(Parent) | (Consolidated) | |||||||||||||||||||||||
REVENUES | ||||||||||||||||||||||||
Net earned premiums | $ | — | $ | — | $ | — | $ | 740 | $ | 12 | $ | 752 | ||||||||||||
Net investment income | 0 | 0 | 1 | 408 | (16 | ) | 393 | |||||||||||||||||
Net realized investment gains (losses) | 0 | 0 | 0 | 87 | (35 | ) | 52 | |||||||||||||||||
Net change in fair value of credit derivatives: | ||||||||||||||||||||||||
Realized gains (losses) and other settlements | — | — | — | (42 | ) | — | (42 | ) | ||||||||||||||||
Net unrealized gains (losses) | — | — | — | 107 | — | 107 | ||||||||||||||||||
Net change in fair value of credit derivatives | — | — | — | 65 | — | 65 | ||||||||||||||||||
Other | — | — | — | 348 | (2 | ) | 346 | |||||||||||||||||
TOTAL REVENUES | 0 | 0 | 1 | 1,648 | (41 | ) | 1,608 | |||||||||||||||||
EXPENSES | ||||||||||||||||||||||||
Loss and LAE | — | — | — | 144 | 10 | 154 | ||||||||||||||||||
Amortization of deferred acquisition costs | — | — | — | 12 | 0 | 12 | ||||||||||||||||||
Interest expense | — | 28 | 54 | 20 | (20 | ) | 82 | |||||||||||||||||
Other operating expenses | 22 | 1 | 1 | 199 | (5 | ) | 218 | |||||||||||||||||
TOTAL EXPENSES | 22 | 29 | 55 | 375 | (15 | ) | 466 | |||||||||||||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES | (22 | ) | (29 | ) | (54 | ) | 1,273 | (26 | ) | 1,142 | ||||||||||||||
Total (provision) benefit for income taxes | — | 9 | 17 | (387 | ) | 27 | (334 | ) | ||||||||||||||||
Equity in earnings of subsidiaries | $ | 830 | $ | 768 | $ | 701 | $ | 19 | $ | (2,318 | ) | — | ||||||||||||
NET INCOME (LOSS) | 808 | 748 | 664 | 905 | (2,317 | ) | 808 | |||||||||||||||||
Less: noncontrolling interest | — | — | — | 19 | (19 | ) | — | |||||||||||||||||
NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. | $ | 808 | $ | 748 | $ | 664 | $ | 886 | $ | (2,298 | ) | $ | 808 | |||||||||||
COMPREHENSIVE INCOME (LOSS) | $ | 453 | $ | 522 | $ | 515 | $ | 309 | $ | (1,346 | ) | $ | 453 | |||||||||||
CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS | ||||||||||||||||||||||||
AND COMPREHENSIVE INCOME | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Assured | AGUS | AGMH | Other | Consolidating | Assured | |||||||||||||||||||
Guaranty Ltd. | (Issuer) | (Issuer) | Entities | Adjustments | Guaranty Ltd. | |||||||||||||||||||
(Parent) | (Consolidated) | |||||||||||||||||||||||
REVENUES | ||||||||||||||||||||||||
Net earned premiums | $ | — | $ | — | $ | — | $ | 833 | $ | 20 | $ | 853 | ||||||||||||
Net investment income | 0 | — | 1 | 422 | (19 | ) | 404 | |||||||||||||||||
Net realized investment gains (losses) | — | — | — | 1 | — | 1 | ||||||||||||||||||
Net change in fair value of credit derivatives: | ||||||||||||||||||||||||
Realized gains (losses) and other settlements | — | — | — | (108 | ) | — | (108 | ) | ||||||||||||||||
Net unrealized gains (losses) | — | — | — | (477 | ) | — | (477 | ) | ||||||||||||||||
Net change in fair value of credit derivatives | — | — | — | (585 | ) | — | (585 | ) | ||||||||||||||||
Other | — | — | — | 284 | (3 | ) | 281 | |||||||||||||||||
TOTAL REVENUES | 0 | — | 1 | 955 | (2 | ) | 954 | |||||||||||||||||
EXPENSES | ||||||||||||||||||||||||
Loss and LAE | — | — | — | 509 | (5 | ) | 504 | |||||||||||||||||
Amortization of deferred acquisition costs | — | — | — | 28 | (14 | ) | 14 | |||||||||||||||||
Interest expense | — | 35 | 54 | 22 | (19 | ) | 92 | |||||||||||||||||
Other operating expenses | 21 | 2 | 1 | 194 | (6 | ) | 212 | |||||||||||||||||
TOTAL EXPENSES | 21 | 37 | 55 | 753 | (44 | ) | 822 | |||||||||||||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES | (21 | ) | (37 | ) | (54 | ) | 202 | 42 | 132 | |||||||||||||||
Total (provision) benefit for income taxes | — | 13 | 19 | (38 | ) | (16 | ) | (22 | ) | |||||||||||||||
Equity in earnings of subsidiaries | 131 | 177 | 424 | 153 | (885 | ) | — | |||||||||||||||||
NET INCOME (LOSS) | $ | 110 | $ | 153 | $ | 389 | $ | 317 | $ | (859 | ) | $ | 110 | |||||||||||
COMPREHENSIVE INCOME (LOSS) | $ | 257 | $ | 266 | $ | 465 | $ | 577 | $ | (1,308 | ) | $ | 257 | |||||||||||
CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS | ||||||||||||||||||||||||
AND COMPREHENSIVE INCOME | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Assured | AGUS | AGMH | Other | Consolidating | Assured | |||||||||||||||||||
Guaranty Ltd. | (Issuer) | (Issuer) | Entities | Adjustments | Guaranty Ltd. | |||||||||||||||||||
(Parent) | (Consolidated) | |||||||||||||||||||||||
REVENUES | ||||||||||||||||||||||||
Net earned premiums | $ | — | $ | — | $ | — | $ | 904 | $ | 16 | $ | 920 | ||||||||||||
Net investment income | — | — | 1 | 410 | (15 | ) | 396 | |||||||||||||||||
Net realized investment gains (losses) | — | — | — | (18 | ) | — | (18 | ) | ||||||||||||||||
Net change in fair value of credit derivatives: | ||||||||||||||||||||||||
Realized gains (losses) and other settlements | — | — | — | 6 | — | 6 | ||||||||||||||||||
Net unrealized gains (losses) | — | — | — | 554 | — | 554 | ||||||||||||||||||
Net change in fair value of credit derivatives | — | — | — | 560 | — | 560 | ||||||||||||||||||
Other | — | — | — | (48 | ) | (5 | ) | (53 | ) | |||||||||||||||
TOTAL REVENUES | — | — | 1 | 1,808 | (4 | ) | 1,805 | |||||||||||||||||
EXPENSES | ||||||||||||||||||||||||
Loss and LAE | — | — | — | 440 | 8 | 448 | ||||||||||||||||||
Amortization of deferred acquisition costs | — | — | — | 37 | (20 | ) | 17 | |||||||||||||||||
Interest expense | — | 39 | 54 | 21 | (15 | ) | 99 | |||||||||||||||||
Other operating expenses | 25 | 1 | 1 | 194 | (9 | ) | 212 | |||||||||||||||||
TOTAL EXPENSES | 25 | 40 | 55 | 692 | (36 | ) | 776 | |||||||||||||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES | (25 | ) | (40 | ) | (54 | ) | 1,116 | 32 | 1,029 | |||||||||||||||
Total (provision) benefit for income taxes | — | 14 | 19 | (277 | ) | (12 | ) | (256 | ) | |||||||||||||||
Equity in earnings of subsidiaries | 798 | 640 | 398 | 614 | (2,450 | ) | — | |||||||||||||||||
NET INCOME (LOSS) | $ | 773 | $ | 614 | $ | 363 | $ | 1,453 | $ | (2,430 | ) | $ | 773 | |||||||||||
COMPREHENSIVE INCOME (LOSS) | $ | 1,029 | $ | 824 | $ | 507 | $ | 1,918 | $ | (3,249 | ) | $ | 1,029 | |||||||||||
CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Assured | AGUS | AGMH | Other | Consolidating | Assured | |||||||||||||||||||
Guaranty Ltd. | (Issuer) | (Issuer) | Entities | Adjustments | Guaranty Ltd. | |||||||||||||||||||
(Parent) | (Consolidated) | |||||||||||||||||||||||
Net cash flows provided by (used in) operating activities | $ | 128 | $ | 178 | $ | 133 | $ | 347 | $ | (542 | ) | $ | 244 | |||||||||||
Cash flows from investing activities | ||||||||||||||||||||||||
Fixed-maturity securities: | ||||||||||||||||||||||||
Purchases | — | (93 | ) | (26 | ) | (1,832 | ) | 65 | (1,886 | ) | ||||||||||||||
Sales | 176 | 1 | 25 | 892 | (65 | ) | 1,029 | |||||||||||||||||
Maturities | 29 | 3 | 2 | 849 | — | 883 | ||||||||||||||||||
Sales (purchases) of short-term investments, net | 7 | (28 | ) | (15 | ) | (51 | ) | — | (87 | ) | ||||||||||||||
Net proceeds from financial guaranty variable entities’ assets | — | — | — | 663 | — | 663 | ||||||||||||||||||
Intercompany debt | — | — | — | 7 | (7 | ) | — | |||||||||||||||||
Investment in subsidiary | — | 0 | 49 | — | (49 | ) | — | |||||||||||||||||
Other | — | — | — | 79 | — | 79 | ||||||||||||||||||
Net cash flows provided by (used in) investing activities | 212 | (117 | ) | 35 | 607 | (56 | ) | 681 | ||||||||||||||||
Cash flows from financing activities | ||||||||||||||||||||||||
Return of capital | — | — | — | (50 | ) | 50 | — | |||||||||||||||||
Capital contribution from parent | — | — | — | 1 | (1 | ) | — | |||||||||||||||||
Dividends paid | (75 | ) | — | (168 | ) | (374 | ) | 542 | (75 | ) | ||||||||||||||
Repurchases of common stock | (264 | ) | — | — | — | — | (264 | ) | ||||||||||||||||
Share activity under option and incentive plans | (1 | ) | — | — | — | — | (1 | ) | ||||||||||||||||
Net paydowns of financial guaranty variable entities’ liabilities | — | — | — | (511 | ) | — | (511 | ) | ||||||||||||||||
Payment of long-term debt | — | — | — | (27 | ) | — | (27 | ) | ||||||||||||||||
Intercompany debt | — | (7 | ) | — | — | 7 | — | |||||||||||||||||
Net cash flows provided by (used in) financing activities | (340 | ) | (7 | ) | (168 | ) | (961 | ) | 598 | (878 | ) | |||||||||||||
Effect of exchange rate changes | — | — | — | (1 | ) | — | (1 | ) | ||||||||||||||||
Increase (decrease) in cash | 0 | 54 | — | (8 | ) | — | 46 | |||||||||||||||||
Cash at beginning of period | — | 13 | 0 | 125 | — | 138 | ||||||||||||||||||
Cash at end of period | $ | 0 | $ | 67 | $ | 0 | $ | 117 | $ | — | $ | 184 | ||||||||||||
CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Assured | AGUS | AGMH | Other | Consolidating | Assured | |||||||||||||||||||
Guaranty Ltd. | (Issuer) | (Issuer) | Entities | Adjustments | Guaranty Ltd. | |||||||||||||||||||
(Parent) | (Consolidated) | |||||||||||||||||||||||
Net cash flows provided by (used in) operating activities | $ | 138 | $ | 6 | $ | 20 | $ | 5 | $ | (334 | ) | $ | (165 | ) | ||||||||||
Cash flows from investing activities | ||||||||||||||||||||||||
Fixed-maturity securities: | ||||||||||||||||||||||||
Purchases | (211 | ) | (1 | ) | (13 | ) | (1,424 | ) | — | (1,649 | ) | |||||||||||||
Sales | — | — | 13 | 899 | — | 912 | ||||||||||||||||||
Maturities | 3 | — | 6 | 1,096 | — | 1,105 | ||||||||||||||||||
Sales (purchases) of short-term investments, net | (7 | ) | 27 | 26 | (17 | ) | — | 29 | ||||||||||||||||
Net proceeds from financial guaranty variable entities’ assets | — | — | — | 545 | — | 545 | ||||||||||||||||||
Acquisition of MAC | — | (91 | ) | — | — | — | (91 | ) | ||||||||||||||||
Intercompany debt | — | — | — | (173 | ) | 173 | — | |||||||||||||||||
Investment in subsidiary | — | — | 46 | — | (46 | ) | — | |||||||||||||||||
Other | — | — | — | 92 | — | 92 | ||||||||||||||||||
Net cash flows provided by (used in) investing activities | (215 | ) | (65 | ) | 78 | 1,018 | 127 | 943 | ||||||||||||||||
Cash flows from financing activities | — | |||||||||||||||||||||||
Issuance of common stock | 173 | — | — | — | — | 173 | ||||||||||||||||||
Return of capital | — | — | — | (50 | ) | 50 | — | |||||||||||||||||
Capital contribution from parent | — | — | — | 4 | (4 | ) | — | |||||||||||||||||
Dividends paid | (69 | ) | — | (98 | ) | (236 | ) | 334 | (69 | ) | ||||||||||||||
Repurchases of common stock | (24 | ) | — | — | — | — | (24 | ) | ||||||||||||||||
Share activity under option and incentive plans | (3 | ) | — | — | — | — | (3 | ) | ||||||||||||||||
Net paydowns of financial guaranty variable entities’ liabilities | — | — | — | (724 | ) | — | (724 | ) | ||||||||||||||||
Payment of long-term debt | — | (173 | ) | — | (36 | ) | — | (209 | ) | |||||||||||||||
Intercompany debt | — | 173 | — | — | (173 | ) | — | |||||||||||||||||
Net cash flows provided by (used in) financing activities | 77 | — | (98 | ) | (1,042 | ) | 207 | (856 | ) | |||||||||||||||
Effect of exchange rate changes | — | — | — | 1 | — | 1 | ||||||||||||||||||
Increase (decrease) in cash | — | (59 | ) | — | (18 | ) | — | (77 | ) | |||||||||||||||
Cash at beginning of period | — | 72 | 0 | 143 | — | 215 | ||||||||||||||||||
Cash at end of period | $ | — | $ | 13 | $ | — | $ | 125 | $ | — | $ | 138 | ||||||||||||
CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Assured | AGUS | AGMH | Other | Consolidating | Assured | |||||||||||||||||||
Guaranty Ltd. | (Issuer) | (Issuer) | Entities | Adjustments | Guaranty Ltd. | |||||||||||||||||||
(Parent) | (Consolidated) | |||||||||||||||||||||||
Net cash flows provided by (used in) operating activities | $ | 68 | $ | 84 | $ | (36 | ) | $ | 676 | $ | (116 | ) | $ | 676 | ||||||||||
Cash flows from investing activities | ||||||||||||||||||||||||
Fixed-maturity securities: | ||||||||||||||||||||||||
Purchases | — | — | (14 | ) | (2,294 | ) | — | (2,308 | ) | |||||||||||||||
Sales | — | — | — | 1,107 | — | 1,107 | ||||||||||||||||||
Maturities | — | — | 1 | 662 | — | 663 | ||||||||||||||||||
Sales (purchases) of short-term investments, net | (11 | ) | (25 | ) | (1 | ) | 357 | — | 320 | |||||||||||||||
Net proceeds from financial guaranty variable entities’ assets | — | — | — | 760 | — | 760 | ||||||||||||||||||
Investment in subsidiary | — | — | 50 | — | (50 | ) | — | |||||||||||||||||
Other | — | — | — | 19 | — | 19 | ||||||||||||||||||
Net cash flows provided by (used in) investing activities | (11 | ) | (25 | ) | 36 | 611 | (50 | ) | 561 | |||||||||||||||
Cash flows from financing activities | ||||||||||||||||||||||||
Return of capital | — | — | — | (50 | ) | 50 | — | |||||||||||||||||
Dividends paid | (33 | ) | — | — | (116 | ) | 116 | (33 | ) | |||||||||||||||
Repurchases of common stock | (23 | ) | — | — | — | — | (23 | ) | ||||||||||||||||
Share activity under option and incentive plans | (1 | ) | — | — | — | — | (1 | ) | ||||||||||||||||
Net paydowns of financial guaranty variable entities’ liabilities | — | — | — | (1,053 | ) | — | (1,053 | ) | ||||||||||||||||
Payment of long-term debt | — | — | — | (22 | ) | — | (22 | ) | ||||||||||||||||
Net cash flows provided by (used in) financing activities | (57 | ) | — | — | (1,241 | ) | 166 | (1,132 | ) | |||||||||||||||
Effect of exchange rate changes | — | — | — | 2 | — | 2 | ||||||||||||||||||
Increase (decrease) in cash | — | 59 | — | 48 | — | 107 | ||||||||||||||||||
Cash at beginning of period | — | 13 | — | 95 | — | 108 | ||||||||||||||||||
Cash at end of period | $ | — | $ | 72 | $ | — | $ | 143 | $ | — | $ | 215 | ||||||||||||
Quarterly_Financial_Informatio
Quarterly Financial Information (Unaudited) | 12 Months Ended | ||||||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||||||
Quarterly Financial Information Disclosure [Abstract] | ' | ||||||||||||||||||||
Quarterly Financial Information (Unaudited) | ' | ||||||||||||||||||||
Quarterly Financial Information (Unaudited) | |||||||||||||||||||||
A summary of selected quarterly information follows: | |||||||||||||||||||||
2013 | First | Second | Third | Fourth | Full | ||||||||||||||||
Quarter | Quarter | Quarter | Quarter | Year | |||||||||||||||||
(dollars in millions, except per share data) | |||||||||||||||||||||
Revenues | |||||||||||||||||||||
Net earned premiums | $ | 248 | $ | 163 | $ | 159 | $ | 182 | $ | 752 | |||||||||||
Net investment income | 94 | 93 | 99 | 107 | 393 | ||||||||||||||||
Net realized investment gains (losses) | 28 | 2 | (7 | ) | 29 | 52 | |||||||||||||||
Net change in fair value of credit derivatives | (592 | ) | 74 | 354 | 229 | 65 | |||||||||||||||
Fair value gains (losses) on CCS | (10 | ) | (3 | ) | 9 | 14 | 10 | ||||||||||||||
Fair value gains (losses) on FG VIEs | 70 | 143 | 40 | 93 | 346 | ||||||||||||||||
Other income (loss) | (14 | ) | (7 | ) | 16 | (5 | ) | (10 | ) | ||||||||||||
Expenses | |||||||||||||||||||||
Loss and LAE | (48 | ) | 62 | 55 | 85 | 154 | |||||||||||||||
Amortization of DAC | 3 | 1 | 4 | 4 | 12 | ||||||||||||||||
Interest expense | 21 | 21 | 21 | 19 | 82 | ||||||||||||||||
Other operating expenses | 60 | 52 | 54 | 52 | 218 | ||||||||||||||||
Income (loss) before provision for income taxes | (212 | ) | 329 | 536 | 489 | 1,142 | |||||||||||||||
Provision (benefit) for income taxes | (68 | ) | 110 | 152 | 140 | 334 | |||||||||||||||
Net income (loss) | (144 | ) | 219 | 384 | 349 | 808 | |||||||||||||||
Earnings (loss) per share(1): | |||||||||||||||||||||
Basic | $ | (0.74 | ) | $ | 1.17 | $ | 2.1 | $ | 1.91 | $ | 4.32 | ||||||||||
Diluted | $ | (0.74 | ) | $ | 1.16 | $ | 2.09 | $ | 1.9 | $ | 4.3 | ||||||||||
Dividends per share | $ | 0.1 | $ | 0.1 | $ | 0.1 | $ | 0.1 | $ | 0.4 | |||||||||||
2012 | First | Second | Third | Fourth | Full | ||||||||||||||||
Quarter | Quarter | Quarter | Quarter | Year | |||||||||||||||||
(dollars in millions, except per share data) | |||||||||||||||||||||
Revenues | |||||||||||||||||||||
Net earned premiums | $ | 194 | $ | 219 | $ | 222 | $ | 218 | $ | 853 | |||||||||||
Net investment income | 98 | 101 | 102 | 103 | 404 | ||||||||||||||||
Net realized investment gains (losses) | 1 | (3 | ) | 2 | 1 | 1 | |||||||||||||||
Net change in fair value of credit derivatives | (691 | ) | 261 | (36 | ) | (119 | ) | (585 | ) | ||||||||||||
Fair value gains (losses) on CCS | (14 | ) | 4 | (2 | ) | (6 | ) | (18 | ) | ||||||||||||
Fair value gains (losses) on FG VIEs | (41 | ) | 168 | 34 | 30 | 191 | |||||||||||||||
Other income (loss) | 91 | 5 | 16 | (4 | ) | 108 | |||||||||||||||
Expenses | |||||||||||||||||||||
Loss and LAE | 242 | 118 | 86 | 58 | 504 | ||||||||||||||||
Amortization of DAC | 5 | 5 | 4 | 0 | 14 | ||||||||||||||||
Interest expense | 25 | 25 | 21 | 21 | 92 | ||||||||||||||||
Other operating expenses | 62 | 53 | 48 | 49 | 212 | ||||||||||||||||
Income (loss) before provision for income taxes | (696 | ) | 554 | 179 | 95 | 132 | |||||||||||||||
Provision (benefit) for income taxes | (213 | ) | 177 | 37 | 21 | 22 | |||||||||||||||
Net income (loss) | (483 | ) | 377 | 142 | 74 | 110 | |||||||||||||||
Earnings (loss) per share(1): | |||||||||||||||||||||
Basic | $ | (2.65 | ) | $ | 2.02 | $ | 0.73 | $ | 0.38 | $ | 0.58 | ||||||||||
Diluted | $ | (2.65 | ) | $ | 2.01 | $ | 0.73 | $ | 0.38 | $ | 0.57 | ||||||||||
Dividends per share | $ | 0.09 | $ | 0.09 | $ | 0.09 | $ | 0.09 | $ | 0.36 | |||||||||||
____________________ | |||||||||||||||||||||
-1 | Per share amounts for the quarters and the full years have each been calculated separately. Accordingly, quarterly amounts may not sum up to the annual amounts because of differences in the average common shares outstanding during each period and, with regard to diluted per share amounts only, because of the inclusion of the effect of potentially dilutive securities only in the periods in which such effect would have been dilutive. |
Business_and_Basis_of_Presenta1
Business and Basis of Presentation (Policies) | 12 Months Ended | |
Dec. 31, 2013 | ||
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ' | |
Basis of Presentation and Significant Accounting Policies | ' | |
The consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (“GAAP”) and, in the opinion of management, reflect all adjustments that are of a normal recurring nature, necessary for a fair statement of the financial condition, results of operations and cash flows of the Company and its consolidated financial guaranty variable interest entities (“FG VIEs”) for the periods presented. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. | ||
Significant Accounting Policies | ||
The Company revalues assets, liabilities, revenue and expenses denominated in non-U.S. currencies into U.S. dollars using applicable exchange rates. Gains and losses relating to translating foreign functional currency financial statements for U.S. GAAP reporting are recorded in other comprehensive income (loss) ("OCI") within shareholders' equity. Gains and losses relating to transactions in foreign denominations in subsidiaries where the functional currency is the U.S. dollar, are reported in the consolidated statement of operations. | ||
The chief operating decision maker manages the operations of the Company at a consolidated level. Therefore, all results of operations are reported as one segment. | ||
Other significant accounting policies are included in the following notes. | ||
Significant Accounting Policies | ||
Premium revenue recognition | Note 4 | |
Policy acquisition cost | Note 5 | |
Expected loss to be paid (Insurance, Credit Derivatives and FG VIE contracts) | Note 6 | |
Loss and loss adjustment expense (Insurance Contracts) | Note 7 | |
Fair value measurement | Note 8 | |
Credit derivatives (at Fair Value) | Note 9 | |
Variable interest entities (at Fair Value) | Note 10 | |
Investments and Cash | Note 11 | |
Income Taxes | Note 13 | |
Earnings per share | Note 18 | |
Stock based compensation | Note 20 | |
Foreign Currency Transactions and Translations | ' | |
The Company revalues assets, liabilities, revenue and expenses denominated in non-U.S. currencies into U.S. dollars using applicable exchange rates. Gains and losses relating to translating foreign functional currency financial statements for U.S. GAAP reporting are recorded in other comprehensive income (loss) ("OCI") within shareholders' equity. Gains and losses relating to transactions in foreign denominations in subsidiaries where the functional currency is the U.S. dollar, are reported in the consolidated statement of operations. | ||
Loss and Loss Adjustment Expense Reserve | ' | |
Loss and LAE reserve reported on the balance sheet relates only to direct and assumed reinsurance contracts that are accounted for as insurance, substantially all of which are financial guaranty insurance contracts. The corresponding reserve ceded to reinsurers is reported as reinsurance recoverable on unpaid losses. As discussed in Note 8, Fair Value Measurement, contracts that meet the definition of a derivative, as well as consolidated FG VIE assets and liabilities, are recorded separately at fair value. Any expected losses related to consolidated FG VIEs are eliminated upon consolidation. Any expected losses on credit derivatives are not recorded as loss and LAE reserve on the consolidated balance sheet. | ||
Under financial guaranty insurance accounting, the sum of unearned premium reserve (deferred premium revenue, less claim payments that have not yet been expensed or "contra-paid"), and loss and LAE reserve represents the Company's stand‑ready obligation. At contract inception, the entire stand-ready obligation is represented by unearned premium reserve. A loss and LAE reserve for an insurance contract is only recorded when the expected loss to be paid plus contra-paid (“total losses”) exceed the deferred premium revenue, on a contract by contract basis. | ||
When a claim payment is made on a contract, it first reduces any recorded loss and LAE reserve. To the extent there is no loss and LAE reserve on a contract, which occurs when total losses are less than deferred premium revenue, or to the extent loss and LAE reserve is not sufficient to cover a claim payment, then such claim payment is recorded as “contra-paid,” which reduces the unearned premium reserve. The contra-paid is recognized in the line item “loss and LAE” in the consolidated statement of operations when and for the amount that total losses exceed the remaining deferred premium revenue on the insurance contract. Loss and LAE in the consolidated statement of operations is presented net of cessions to reinsurers. | ||
Revenue Recognition, Deferred Revenue | ' | |
Unearned premium reserve represents deferred premium revenue, net of paid claims that have not yet been expensed (“contra-paid”). The following discussion relates to the deferred premium revenue component of the unearned premium reserve, while the contra-paid is discussed in Note 7, Financial Guaranty Insurance Losses. | ||
The amount of deferred premium revenue at contract inception is determined as follows: | ||
• | For premiums received upfront on financial guaranty insurance contracts that were originally underwritten by the Company, deferred premium revenue is equal to the amount of cash received. Upfront premiums typically relate to public finance transactions. | |
• | For premiums received in installments on financial guaranty insurance contracts that were originally underwritten by the Company, deferred premium revenue is the present value of either (1) contractual premiums due or (2) in cases where the underlying collateral is comprised of homogeneous pools of assets, the expected premiums to be collected over the life of the contract. To be considered a homogeneous pool of assets, prepayments must be contractually prepayable, the amount of prepayments must be probable, and the timing and amount of prepayments must be reasonably estimable. When the Company adjusts prepayment assumptions or expected premium collections, an adjustment is recorded to the deferred premium revenue, with a corresponding adjustment to the premium receivable, and prospective changes are recognized in premium revenues. Premiums receivable are discounted at the risk-free rate at inception and such discount rate is updated only when changes to prepayment assumptions are made that change the expected date of final maturity. Installment premiums typically relate to structured finance transactions, where the insurance premium rate is determined at the inception of the contract but the insured par is subject to prepayment throughout the life of the transaction. | |
• | For financial guaranty insurance contracts acquired in a business combination, deferred premium revenue is equal to the fair value of the insurance contract at the date of acquisition based on what a hypothetical similarly rated financial guaranty insurer would have charged for the contract at that date and not the actual cash flows under the insurance contract. The amount of deferred premium revenue may differ significantly from cash collections due primarily to fair value adjustments recorded in connection with a business combination. | |
The Company recognizes deferred premium revenue as earned premium over the contractual period or expected period of the contract in proportion to the amount of insurance protection provided. As premium revenue is recognized, a corresponding decrease to the deferred premium revenue is recorded. The amount of insurance protection provided is a function of the insured principal amount outstanding. Accordingly, the proportionate share of premium revenue recognized in a given reporting period is a constant rate calculated based on the relationship between the insured principal amounts outstanding in the reporting period compared with the sum of each of the insured principal amounts outstanding for all periods. When an insured financial obligation is retired before its maturity, the financial guaranty insurance contract is extinguished. Any nonrefundable deferred premium revenue related to that contract is accelerated and recognized as premium revenue. When a premium receivable balance is deemed uncollectible, it is written off to bad debt expense. | ||
For reinsurance assumed contracts, earned premiums reported in the Company's consolidated statements of operations are calculated based upon data received from ceding companies, however, some ceding companies report premium data between 30 and 90 days after the end of the reporting period. The Company estimates earned premiums for the lag period. Differences between such estimates and actual amounts are recorded in the period in which the actual amounts are determined. When installment premiums are related to reinsurance assumed contracts, the Company assesses the credit quality and liquidity of the ceding companies and the impact of any potential regulatory constraints to determine the collectability of such amounts. | ||
Deferred premium revenue ceded to reinsurers (ceded unearned premium reserve) is recorded as an asset. Direct, assumed and ceded earned premium revenue are presented together as net earned premiums in the statement of operations. | ||
Expected Losses to be Paid | ' | |
The insured portfolio includes policies accounted for under three separate accounting models depending on the characteristics of the contract and the Company's control rights. The Company has paid and expects to pay future losses on policies which fall under each of the three accounting models. The following provides a summarized description of the three accounting models, with references to additional information provided throughout this report. The three models are insurance, derivative and VIE consolidation. | ||
In order to effectively evaluate and manage the economics and liquidity of the entire insured portfolio, management compiles and analyzes loss information for all policies on a consistent basis. The Company monitors and assigns ratings and calculates expected losses in the same manner for all its exposures regardless of form or differing accounting models. | ||
The discussion of expected loss to be paid within this note encompasses all policies in the insured portfolio. Net expected loss to be paid in the tables below consists of the present value of future: expected claim and LAE payments, expected recoveries of excess spread in the transaction structures, cessions to reinsurers, and expected recoveries for breaches of representations and warranties ("R&W") and other loss mitigation strategies. | ||
Policy Acquisition Costs | ' | |
Policy acquisition costs that are directly related and essential to successful insurance contract acquisition are deferred for contracts accounted for as insurance. Amortization of deferred policy acquisition costs includes the accretion of discount on ceding commission income and expense. Acquisition costs associated with derivative contracts are not deferred. | ||
Direct costs related to the acquisition of new and renewal contracts that result directly from and are essential to the contract transaction are capitalized. These costs include expenses such as ceding commissions and the cost of underwriting personnel. Ceding commission expense on assumed reinsurance contracts and ceding commission income on ceded reinsurance contracts that are associated with premiums received in installments are calculated at their contractually defined rates and included in deferred acquisition costs ("DAC"), with a corresponding offset to net premiums receivable or reinsurance balances payable. Management uses its judgment in determining the type and amount of costs to be deferred. The Company conducts an annual study to determine which operating costs qualify for deferral. Costs incurred by the insurer for soliciting potential customers, market research, training, administration, unsuccessful acquisition efforts, and product development as well as all overhead type costs are charged to expense as incurred. DAC are amortized in proportion to net earned premiums. When an insured obligation is retired early, the remaining related DAC is expensed at that time. | ||
Expected losses, which include loss adjustment expenses (“LAE”), investment income, and the remaining costs of servicing the insured or reinsured business, are considered in determining the recoverability of DAC. | ||
Fair Value of Financial Instruments | ' | |
The Company carries a significant portion of its assets and liabilities at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., exit price). The price represents the price available in the principal market for the asset or liability. If there is no principal market, then the price is based on a hypothetical market that maximizes the value received for an asset or minimizes the amount paid for a liability (i.e., the most advantageous market). | ||
Fair value is based on quoted market prices, where available. If listed prices or quotes are not available, fair value is based on either internally developed models that primarily use, as inputs, market-based or independently sourced market parameters, including but not limited to yield curves, interest rates and debt prices or with the assistance of an independent third-party using a discounted cash flow approach and the third party’s proprietary pricing models. In addition to market information, models also incorporate transaction details, such as maturity of the instrument and contractual features designed to reduce the Company’s credit exposure, such as collateral rights as applicable. | ||
Valuation adjustments may be made to ensure that financial instruments are recorded at fair value. These adjustments include amounts to reflect counterparty credit quality, the Company’s creditworthiness and constraints on liquidity. As markets and products develop and the pricing for certain products becomes more or less transparent, the Company may refine its methodologies and assumptions. During 2013, no changes were made to the Company’s valuation models that had or are expected to have, a material impact on the Company’s consolidated balance sheets or statements of operations and comprehensive income. | ||
The Company’s methods for calculating fair value produce a fair value calculation that may not be indicative of net realizable value or reflective of future fair values. The use of different methodologies or assumptions to determine fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. | ||
The fair value hierarchy is determined based on whether the inputs to valuation techniques used to measure fair value are observable or unobservable. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect Company estimates of market assumptions. The fair value hierarchy prioritizes model inputs into three broad levels as follows, with Level 1 being the highest and Level 3 the lowest. An asset or liability’s categorization within the fair value hierarchy is based on the lowest level of significant input to its valuation. | ||
Level 1—Quoted prices for identical instruments in active markets. The Company generally defines an active market as a market in which trading occurs at significant volumes. Active markets generally are more liquid and have a lower bid-ask spread than an inactive market. | ||
Level 2—Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and observable inputs other than quoted prices, such as interest rates or yield curves and other inputs derived from or corroborated by observable market inputs. | ||
Level 3—Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. Financial instruments are considered Level 3 when their values are determined using pricing models, discounted cash flow methodologies or similar techniques and at least one significant model assumption or input is unobservable. Level 3 financial instruments also include those for which the determination of fair value requires significant management judgment or estimation. | ||
Transfers between Levels 1, 2 and 3 are recognized at the end of the period when the transfer occurs. The Company reviews the classification between Levels 1, 2 and 3 quarterly to determine whether a transfer is necessary. During the periods presented, there were no transfers between Level 1, 2 and 3. | ||
Salvage and Subrogation Recoverable | ' | |
When the Company becomes entitled to the cash flow from the underlying collateral of an insured credit under salvage and subrogation rights as a result of a claim payment or estimated future claim payment, it reduces the expected loss to be paid on the contract. Such reduction in expected loss to be paid can result in one of the following: | ||
• | a reduction in the corresponding loss and LAE reserve with a benefit to the income statement, | |
• | no entry recorded, if “total loss” is not in excess of deferred premium revenue, or | |
• | the recording of a salvage asset with a benefit to the income statement if the transaction is in a net recovery position at the reporting date. | |
The Company recognizes the expected recovery of claim payments (including recoveries from settlement with R&W providers) made by an acquired subsidiary prior to the date of acquisition, consistent with its policy for recognizing recoveries on all financial guaranty insurance contracts. To the extent that the estimated amount of recoveries increases or decreases, due to changes in facts and circumstances, including the examination of additional loan files and our experience in recovering loans put back to the originator, the Company would recognize a benefit or expense consistent with how changes in the expected recovery of all other claim payments are recorded. The ceded component of salvage and subrogation recoverable is recorded in the line item reinsurance balances payable. | ||
Expected Loss to be Expensed | ' | |
Expected loss to be expensed represents past or expected future net claim payments that have not yet been expensed. Such amounts will be expensed in future periods as deferred premium revenue amortizes into income on financial guaranty insurance policies. Expected loss to be expensed is the Company's projection of incurred losses that will be recognized in future periods, excluding accretion of discount. | ||
Credit Derivatives | ' | |
Credit derivatives are recorded at fair value. Changes in fair value are recorded in “net change in fair value of credit derivatives” on the consolidated statement of operations. Realized gains and other settlements on credit derivatives include credit derivative premiums received and receivable for credit protection the Company has sold under its insured CDS contracts, premiums paid and payable for credit protection the Company has purchased, contractual claims paid and payable and received and receivable related to insured credit events under these contracts, ceding commissions expense or income and realized gains or losses related to their early termination. Net unrealized gains and losses on credit derivatives represent the adjustments for changes in fair value in excess of realized gains and other settlements. Fair value of credit derivatives is reflected as either net assets or net liabilities determined on a contract by contract basis in the Company's consolidated balance sheets. See Note 8, Fair Value Measurement, for a discussion on the fair value methodology for credit derivatives. | ||
Consolidation, Variable Interest Entity | ' | |
For all years presented, the Company has evaluated whether it was the primary beneficiary of its VIEs. If the Company concludes that it is the primary beneficiary it is required to consolidate the entire VIE in the Company's financial statements and eliminate the effects of the financial guaranty insurance contracts issued by AGM and AGC on the consolidated FG VIEs debt obligations. | ||
The primary beneficiary of a VIE is the enterprise that has both 1) the power to direct the activities of a VIE that most significantly impact the entity's economic performance; and 2) the obligation to absorb losses of the entity that could potentially be significant to the VIE or the right to receive benefits from the entity that could potentially be significant to the VIE. The Company reassesses whether the Company is the primary beneficiary of a VIE on a quarterly basis. | ||
As part of the terms of its financial guaranty contracts, the Company obtains certain protective rights with respect to the VIE that are triggered by the occurrence of certain events, such as failure to be in compliance with a covenant due to poor deal performance or a deterioration in a servicer or collateral manager's financial condition. At deal inception, the Company typically is not deemed to control a VIE; however, once a trigger event occurs, the Company's control of the VIE typically increases. The Company continuously evaluates its power to direct the activities that most significantly impact the economic performance of VIEs that have debt obligations insured by the Company and, accordingly, where the Company is obligated to absorb VIE losses or receive benefits that could potentially be significant to the VIE. The Company obtains protective rights under its insurance contracts that give the Company additional controls over a VIE if there is either deterioration of deal performance or in the financial health of the deal servicer. The Company is deemed to be the control party under GAAP, typically when its protective rights give it the power to both terminate and replace the deal servicer, which are characteristics specific to the Company's financial guaranty contracts. If the protective rights that could make the Company the control party have not been triggered, then the VIE is not consolidated. As of December 31, 2013, the Company had issued financial guaranty contracts for approximately 1,000 VIEs that it did not consolidate. | ||
The FG VIEs' liabilities that are insured by the Company are considered to be with recourse, because the Company guarantees the payment of principal and interest regardless of the performance of the related FG VIEs' assets. FG VIEs' liabilities that are not insured by the Company are considered to be without recourse, because the payment of principal and interest of these liabilities is wholly dependent on the performance of the FG VIEs' assets. | ||
The Company has limited contractual rights to obtain the financial records of its consolidated FG VIEs. The FG VIEs do not prepare separate GAAP financial statements; therefore, the Company compiles GAAP financial information for them based on trustee reports prepared by and received from third parties. Such trustee reports are not available to the Company until approximately 30 days after the end of any given period. The time required to perform adequate reconciliations and analyses of the information in these trustee reports results in a one quarter lag in reporting the FG VIEs' activities. The Company records the fair value of FG VIE assets and liabilities based on modeled prices. The Company updates the model assumptions each reporting period for the most recent available information, which incorporates the impact of material events that may have occurred since the quarter lag date. Interest income and interest expense are derived from the trustee reports and included in “fair value gains (losses) on FG VIEs” in the consolidated statement of operations. The Company has elected the fair value option for assets and liabilities classified as FG VIEs' assets and liabilities because the carrying amount transition method was not practical. | ||
Investments and Cash | ' | |
The vast majority of the Company's investment portfolio is composed of fixed maturity and short-term investments, classified as available-for-sale at the time of purchase (approximately 98% based on fair value at December 31, 2013), and therefore carried at fair value. Changes in fair value for other-than-temporarily-impaired ("OTTI") securities are bifurcated between credit losses and non-credit changes in fair value. Credit losses on OTTI securities are recorded in the statement of operations and the non-credit component of OTTI securities are recorded in OCI. For securities where the Company has the intent to sell or it is more-likely-than-not that it will be required to sell the security before recovery, declines in fair value are recorded in the consolidated statements of operations. | ||
Credit losses reduce the amortized cost of impaired securities. The amortized cost basis is adjusted for accretion and amortization (using the effective interest method) with a corresponding entry recorded in net investment income. | ||
Realized gains and losses on sales of investments are determined using the specific identification method. Realized loss includes amounts recorded for other-than-temporary impairments on debt securities and the declines in fair value of securities for which the Company has the intent to sell the security or inability to hold until recovery of amortized cost. | ||
For mortgage‑backed securities, and any other holdings for which there is prepayment risk, prepayment assumptions are evaluated and revised as necessary. Any necessary adjustments due to changes in effective yields and maturities are recognized in net investment income. | ||
The Company purchases securities that it has insured, and for which it has expected losses to be paid, in order to mitigate the economic effect of insured losses ("loss mitigation bonds"). These securities were purchased at a discount and are accounted for excluding the effects of the Company’s insurance. | ||
Short-term investments, which are those investments with a maturity of less than one year at time of purchase, are carried at fair value and include amounts deposited in money market funds. | ||
Other invested assets primarily includes: | ||
• | assets acquired in refinancing transactions which are primarily comprised of franchise loans that are evaluated for impairment by assessing the probability of collecting expected cash flows with any impairment recorded in realized gain (loss) on investments and any subsequent increases in expected cash flows recorded as an increase in yield over the remaining life, | |
• | trading securities, which are carried at fair value with unrealized gains and losses recorded in net income, | |
• | a 50% equity investment acquired in a restructuring of an insured CDS carried at its proportionate share of the underlying entity's U.S. GAAP equity value. | |
Cash consists of cash on hand and demand deposits. As a result of the lag in reporting FG VIEs, cash and short-term investments do not reflect cash outflow to the holders of the debt issued by the FG VIEs for claim payments made by the Company's insurance subsidiaries to the consolidated FG VIEs until the subsequent reporting period. | ||
Income Tax | ' | |
The provision for income taxes consists of an amount for taxes currently payable and an amount for deferred taxes. Deferred income taxes are provided for temporary differences between the financial statement carrying amounts and tax bases of assets and liabilities, using enacted rates in effect for the year in which the differences are expected to reverse. A valuation allowance is recorded to reduce the deferred tax asset to an amount that is more likely than not to be realized. | ||
Non-interest‑bearing tax and loss bonds are purchased to prepay the tax benefit that results from deducting contingency reserves as provided under Internal Revenue Code Section 832(e). The Company records the purchase of tax and loss bonds in deferred taxes. | ||
The Company recognizes tax benefits only if a tax position is “more likely than not” to prevail. | ||
Reinsurance Accounting | ' | |
For business assumed and ceded, the accounting model of the underlying direct financial guaranty contract dictates the accounting model used for the reinsurance contract (except for those eliminated as FG VIEs). For any assumed or ceded financial guaranty insurance premiums, the accounting model described in Note 4 is followed, for assumed and ceded financial guaranty insurance losses, the accounting model in Note 7 is followed. For any assumed or ceded credit derivative contracts, the accounting model in Note 9 is followed. | ||
Debt | ' | |
Long-term debt is recorded at principal amounts net of any unamortized original issue discount or premium and unamortized fair value adjustment for AGMH debt. Discount is accreted into interest expense over the life of the applicable debt. | ||
Earnings Per Share | ' | |
The Company computes earnings per share ("EPS") using a two-class method by including participating securities which entitle their holders to receive nonforfeitable dividends or dividend equivalents before vesting. Restricted stock awards and share units under the AGC supplemental employee retirement plan ("SERP") plan are considered participating securities as they received non-forfeitable rights to dividends at the same rate as common stock. | ||
The two-class method of computing EPS is an earnings allocation formula that determines EPS for each class of common stock and participating security according to dividends declared (or accumulated) and participation rights in undistributed earnings. Basic EPS is then calculated by dividing net (loss) income available to common shareholders of Assured Guaranty by the weighted‑average number of common shares outstanding during the period. Diluted EPS adjusts basic EPS for the effects of restricted stock, stock options, equity units and other potentially dilutive financial instruments (“dilutive securities”), only in the periods in which such effect is dilutive. The effect of the dilutive securities is reflected in diluted EPS by application of the more dilutive of (1) the treasury stock method or (2) the two-class method assuming nonvested shares are not converted into common shares. With respect to the equity units, which were settled on June 1, 2012 (see Note 17, Long-Term Debt and Credit Facilities), the Company used the treasury stock method in computing diluted EPS. Equity forwards were included in the calculation of basic EPS when such forward contracts were satisfied and the holders thereof became common stock holders. The Company has a single class of common stock. | ||
Share-based Compensation | ' | |
The expense for Performance Retention Plan awards is recognized straight-line over the requisite service period, with the exception of retirement eligible employees. For retirement eligible employees, the expense is recognized immediately. | ||
Share-based compensation expense is based on the grant date fair value using grant date closing price, the lattice, Monte Carlo or Black-Scholes pricing models. The Company amortizes the fair value of share-based awards on a straight-line basis over the requisite service periods of the awards, which are generally the vesting periods, with the exception of retirement‑eligible employees. For retirement-eligible employees, certain awards contain retirement provisions and therefore are amortized over the period through the date the employee first becomes eligible to retire and is no longer required to provide service to earn part or all of the award. | ||
The fair value of each award under the Assured Guaranty Ltd. Employee Stock Purchase Plan (the “Stock Purchase Plan”) is estimated at the beginning of each offering period using the Black-Scholes option valuation model. |
Business_and_Basis_of_Presenta2
Business and Basis of Presentation (Tables) | 12 Months Ended | |
Dec. 31, 2013 | ||
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ' | |
Location of Significant Accounting Policies | ' | |
Significant Accounting Policies | ||
Premium revenue recognition | Note 4 | |
Policy acquisition cost | Note 5 | |
Expected loss to be paid (Insurance, Credit Derivatives and FG VIE contracts) | Note 6 | |
Loss and loss adjustment expense (Insurance Contracts) | Note 7 | |
Fair value measurement | Note 8 | |
Credit derivatives (at Fair Value) | Note 9 | |
Variable interest entities (at Fair Value) | Note 10 | |
Investments and Cash | Note 11 | |
Income Taxes | Note 13 | |
Earnings per share | Note 18 | |
Stock based compensation | Note 20 |
Business_Changes_and_Developme1
Business Changes and Developments 1 (Tables) | 12 Months Ended | |||||
Dec. 31, 2013 | ||||||
Business Changes, Risks, Uncertainties and Accounting Developments [Abstract] | ' | |||||
Financial Strength Ratings of the Company's Principal Insurance Company Subsidiaries | ' | |||||
Currently, the financial strength ratings of the Company's principal insurance company subsidiaries are: | ||||||
S&P | Moody’s | Kroll Bond Agency | ||||
AGM | AA- (stable outlook) | A2 (stable outlook) | — | |||
AGC | AA- (stable outlook) | A3 (stable outlook) | — | |||
MAC | AA- (stable outlook) | — | AA+ (stable outlook) | |||
Assured Guaranty (Europe) Ltd. | AA- (stable outlook) | A2 (stable outlook) | — | |||
AG Re | AA- (stable outlook) | Baa1 (negative outlook) | — |
Outstanding_Exposure_Tables
Outstanding Exposure (Tables) | 12 Months Ended | |||||||||||||||||||||||||||||||||||
Dec. 31, 2013 | ||||||||||||||||||||||||||||||||||||
Schedule of Financial Guaranty Exposure, Refinement of Approach to Internal Credit Ratings [Line Items] | ' | |||||||||||||||||||||||||||||||||||
Effect of Refinement in Approach to Internal Credit Ratings and Surveillance Categories on Net Par Outstanding | ' | |||||||||||||||||||||||||||||||||||
Effect of Refinement in Approach to | ||||||||||||||||||||||||||||||||||||
Internal Credit Ratings and Surveillance Categories | ||||||||||||||||||||||||||||||||||||
on Net Par Outstanding | ||||||||||||||||||||||||||||||||||||
As of December 31, 2012 | ||||||||||||||||||||||||||||||||||||
Previous Approach | New Approach | Difference | ||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
BIG 1 | $ | 9,254 | $ | 10,820 | $ | 1,566 | ||||||||||||||||||||||||||||||
BIG 2 | 4,617 | 4,617 | — | |||||||||||||||||||||||||||||||||
BIG 3 | 8,451 | 6,860 | (1,591 | ) | ||||||||||||||||||||||||||||||||
Total | $ | 22,322 | $ | 22,297 | $ | (25 | ) | |||||||||||||||||||||||||||||
Components of Ou | ||||||||||||||||||||||||||||||||||||
Debt Service Outstanding | ' | |||||||||||||||||||||||||||||||||||
Debt Service Outstanding | ||||||||||||||||||||||||||||||||||||
Gross Debt Service | Net Debt Service | |||||||||||||||||||||||||||||||||||
Outstanding | Outstanding | |||||||||||||||||||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
Public finance | $ | 650,924 | $ | 722,478 | $ | 610,011 | $ | 677,285 | ||||||||||||||||||||||||||||
Structured finance | 86,456 | 110,620 | 80,524 | 103,071 | ||||||||||||||||||||||||||||||||
Total financial guaranty | $ | 737,380 | $ | 833,098 | $ | 690,535 | $ | 780,356 | ||||||||||||||||||||||||||||
Financial Guaranty Portfolio by Internal Rating | ' | |||||||||||||||||||||||||||||||||||
Financial Guaranty Portfolio by Internal Rating | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
Public Finance | Public Finance | Structured Finance | Structured Finance | Total | ||||||||||||||||||||||||||||||||
U.S. | Non-U.S. | U.S | Non-U.S | |||||||||||||||||||||||||||||||||
Rating | Net Par | % | Net Par | % | Net Par | % | Net Par | % | Net Par | % | ||||||||||||||||||||||||||
Category (1) | Outstanding | Outstanding | Outstanding | Outstanding | Outstanding | |||||||||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||||||||||||
AAA | $ | 4,998 | 1.4 | % | $ | 1,016 | 3 | % | $ | 32,317 | 54.9 | % | $ | 9,684 | 69.1 | % | $ | 48,015 | 10.5 | % | ||||||||||||||||
AA | 107,503 | 30.5 | 422 | 1.2 | 9,431 | 16 | 577 | 4.1 | 117,933 | 25.7 | ||||||||||||||||||||||||||
A | 192,841 | 54.8 | 9,453 | 27.9 | 2,580 | 4.4 | 742 | 5.3 | 205,616 | 44.8 | ||||||||||||||||||||||||||
BBB | 37,745 | 10.7 | 21,499 | 63.2 | 3,815 | 6.4 | 1,946 | 13.9 | 65,005 | 14.1 | ||||||||||||||||||||||||||
BIG | 9,094 | 2.6 | 1,608 | 4.7 | 10,764 | 18.3 | 1,072 | 7.6 | 22,538 | 4.9 | ||||||||||||||||||||||||||
Total net par outstanding (excluding loss mitigation bonds) | $ | 352,181 | 100 | % | $ | 33,998 | 100 | % | $ | 58,907 | 100 | % | $ | 14,021 | 100 | % | $ | 459,107 | 100 | % | ||||||||||||||||
Loss Mitigation Bonds | 32 | — | 1,163 | — | 1,195 | |||||||||||||||||||||||||||||||
Total net par outstanding (including loss mitigation bonds) | $ | 352,213 | $ | 33,998 | $ | 60,070 | $ | 14,021 | $ | 460,302 | ||||||||||||||||||||||||||
Financial Guaranty Portfolio by Internal Rating | ||||||||||||||||||||||||||||||||||||
As of December 31, 2012 | ||||||||||||||||||||||||||||||||||||
Public Finance | Public Finance | Structured Finance | Structured Finance | Total | ||||||||||||||||||||||||||||||||
U.S. | Non-U.S. | U.S | Non-U.S | |||||||||||||||||||||||||||||||||
Rating | Net Par | % | Net Par | % | Net Par | % | Net Par | % | Net Par | % | ||||||||||||||||||||||||||
Category (1) | Outstanding | Outstanding | Outstanding | Outstanding | Outstanding | |||||||||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||||||||||||
AAA | $ | 4,502 | 1.2 | % | $ | 1,706 | 4.5 | % | $ | 42,187 | 56.6 | % | $ | 13,169 | 70.2 | % | $ | 61,564 | 11.9 | % | ||||||||||||||||
AA | 124,525 | 32.1 | 875 | 2.3 | 9,543 | 12.8 | 722 | 3.9 | 135,665 | 26.1 | ||||||||||||||||||||||||||
A | 210,124 | 54.1 | 9,781 | 26.1 | 4,670 | 6.3 | 1,409 | 7.5 | 225,984 | 43.6 | ||||||||||||||||||||||||||
BBB | 44,213 | 11.4 | 22,885 | 61 | 3,737 | 5 | 2,427 | 12.9 | 73,262 | 14.1 | ||||||||||||||||||||||||||
BIG | 4,565 | 1.2 | 2,293 | 6.1 | 14,398 | 19.3 | 1,041 | 5.5 | 22,297 | 4.3 | ||||||||||||||||||||||||||
Total net par outstanding (excluding loss mitigation bonds) | $ | 387,929 | 100 | % | $ | 37,540 | 100 | % | $ | 74,535 | 100 | % | $ | 18,768 | 100 | % | $ | 518,772 | 100 | % | ||||||||||||||||
Loss Mitigation Bonds | 38 | — | 1,083 | — | 1,121 | |||||||||||||||||||||||||||||||
Total net par outstanding (including loss mitigation bonds) | $ | 387,967 | $ | 37,540 | $ | 75,618 | $ | 18,768 | $ | 519,893 | ||||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
-1 | In the third quarter of 2013, the Company adjusted its approach to assigning internal ratings. See "Refinement of Approach to Internal Credit Ratings and Surveillance Categories" above. This approach is reflected in the "Financial Guaranty Portfolio by Internal Rating" tables as of both December 31, 2013 and December 31, 2012. | |||||||||||||||||||||||||||||||||||
Financial Guaranty Portfolio by Asset Class | ' | |||||||||||||||||||||||||||||||||||
Financial Guaranty Portfolio | ||||||||||||||||||||||||||||||||||||
by Sector | ||||||||||||||||||||||||||||||||||||
Gross Par Outstanding | Ceded Par Outstanding | Net Par Outstanding | ||||||||||||||||||||||||||||||||||
Sector | As of December 31, 2013 | As of December 31, 2012 | As of December 31, 2013 | As of December 31, 2012 | As of December 31, 2013 | As of December 31, 2012 | ||||||||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||||||||||||
Public finance: | ||||||||||||||||||||||||||||||||||||
U.S.: | ||||||||||||||||||||||||||||||||||||
General obligation | $ | 160,751 | $ | 175,932 | $ | 5,474 | $ | 5,947 | $ | 155,277 | $ | 169,985 | ||||||||||||||||||||||||
Tax backed | 70,552 | 77,894 | 3,728 | 4,145 | 66,824 | 73,749 | ||||||||||||||||||||||||||||||
Municipal utilities | 57,893 | 63,933 | 1,569 | 1,817 | 56,324 | 62,116 | ||||||||||||||||||||||||||||||
Transportation | 32,514 | 35,624 | 1,684 | 1,825 | 30,830 | 33,799 | ||||||||||||||||||||||||||||||
Healthcare | 17,663 | 19,507 | 1,531 | 1,669 | 16,132 | 17,838 | ||||||||||||||||||||||||||||||
Higher education | 14,470 | 16,244 | 399 | 474 | 14,071 | 15,770 | ||||||||||||||||||||||||||||||
Infrastructure finance | 5,014 | 5,100 | 900 | 890 | 4,114 | 4,210 | ||||||||||||||||||||||||||||||
Housing | 3,518 | 4,792 | 132 | 159 | 3,386 | 4,633 | ||||||||||||||||||||||||||||||
Investor-owned utilities | 992 | 1,070 | 1 | 1 | 991 | 1,069 | ||||||||||||||||||||||||||||||
Other public finance—U.S. | 4,249 | 4,784 | 17 | 24 | 4,232 | 4,760 | ||||||||||||||||||||||||||||||
Total public finance—U.S. | 367,616 | 404,880 | 15,435 | 16,951 | 352,181 | 387,929 | ||||||||||||||||||||||||||||||
Non-U.S.: | ||||||||||||||||||||||||||||||||||||
Infrastructure finance | 17,373 | 18,716 | 2,670 | 2,904 | 14,703 | 15,812 | ||||||||||||||||||||||||||||||
Regulated utilities | 15,502 | 16,861 | 4,297 | 4,367 | 11,205 | 12,494 | ||||||||||||||||||||||||||||||
Pooled infrastructure | 2,754 | 3,430 | 234 | 230 | 2,520 | 3,200 | ||||||||||||||||||||||||||||||
Other public finance—non-U.S. | 6,645 | 7,297 | 1,075 | 1,263 | 5,570 | 6,034 | ||||||||||||||||||||||||||||||
Total public finance—non-U.S. | 42,274 | 46,304 | 8,276 | 8,764 | 33,998 | 37,540 | ||||||||||||||||||||||||||||||
Total public finance | 409,890 | 451,184 | 23,711 | 25,715 | 386,179 | 425,469 | ||||||||||||||||||||||||||||||
Structured finance: | ||||||||||||||||||||||||||||||||||||
U.S.: | ||||||||||||||||||||||||||||||||||||
Pooled corporate obligations | 32,955 | 44,120 | 1,630 | 2,234 | 31,325 | 41,886 | ||||||||||||||||||||||||||||||
RMBS | 14,542 | 18,114 | 821 | 1,079 | 13,721 | 17,035 | ||||||||||||||||||||||||||||||
Commercial mortgage-backed securities ("CMBS") and other commercial real estate related exposures | 3,990 | 4,293 | 38 | 46 | 3,952 | 4,247 | ||||||||||||||||||||||||||||||
Insurance securitizations | 3,082 | 2,991 | 47 | 48 | 3,035 | 2,943 | ||||||||||||||||||||||||||||||
Financial product | 2,709 | 3,653 | — | — | 2,709 | 3,653 | ||||||||||||||||||||||||||||||
Consumer receivables | 2,257 | 2,429 | 59 | 60 | 2,198 | 2,369 | ||||||||||||||||||||||||||||||
Commercial receivables | 918 | 1,033 | 7 | 8 | 911 | 1,025 | ||||||||||||||||||||||||||||||
Structured credit | 71 | 249 | 2 | 51 | 69 | 198 | ||||||||||||||||||||||||||||||
Other structured finance—U.S. | 2,067 | 2,307 | 1,080 | 1,128 | 987 | 1,179 | ||||||||||||||||||||||||||||||
Total structured finance—U.S. | 62,591 | 79,189 | 3,684 | 4,654 | 58,907 | 74,535 | ||||||||||||||||||||||||||||||
Non-U.S.: | ||||||||||||||||||||||||||||||||||||
Pooled corporate obligations | 12,232 | 16,288 | 1,174 | 1,475 | 11,058 | 14,813 | ||||||||||||||||||||||||||||||
Commercial receivables | 1,286 | 1,489 | 23 | 26 | 1,263 | 1,463 | ||||||||||||||||||||||||||||||
RMBS | 1,296 | 1,586 | 150 | 162 | 1,146 | 1,424 | ||||||||||||||||||||||||||||||
Structured credit | 197 | 669 | 21 | 78 | 176 | 591 | ||||||||||||||||||||||||||||||
CMBS and other commercial real estate related exposures | — | 100 | — | — | — | 100 | ||||||||||||||||||||||||||||||
Other structured finance—non-U.S. | 403 | 402 | 25 | 25 | 378 | 377 | ||||||||||||||||||||||||||||||
Total structured finance—non-U.S. | 15,414 | 20,534 | 1,393 | 1,766 | 14,021 | 18,768 | ||||||||||||||||||||||||||||||
Total structured finance | 78,005 | 99,723 | 5,077 | 6,420 | 72,928 | 93,303 | ||||||||||||||||||||||||||||||
Total net par outstanding | $ | 487,895 | $ | 550,907 | $ | 28,788 | $ | 32,135 | $ | 459,107 | $ | 518,772 | ||||||||||||||||||||||||
Expected Amortization of Net Par Outstanding | ' | |||||||||||||||||||||||||||||||||||
Expected Amortization of | ||||||||||||||||||||||||||||||||||||
Net Par Outstanding | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
Public Finance | Structured Finance | Total | ||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
0 to 5 years | $ | 104,223 | $ | 56,783 | $ | 161,006 | ||||||||||||||||||||||||||||||
5 to 10 years | 81,176 | 7,261 | 88,437 | |||||||||||||||||||||||||||||||||
10 to 15 years | 74,775 | 2,965 | 77,740 | |||||||||||||||||||||||||||||||||
15 to 20 years | 56,734 | 2,017 | 58,751 | |||||||||||||||||||||||||||||||||
20 years and above | 69,271 | 3,902 | 73,173 | |||||||||||||||||||||||||||||||||
Total net par outstanding | $ | 386,179 | $ | 72,928 | $ | 459,107 | ||||||||||||||||||||||||||||||
Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form) | ' | |||||||||||||||||||||||||||||||||||
Components of BIG Net Par Outstanding | ||||||||||||||||||||||||||||||||||||
(Insurance and Credit Derivative Form) | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
BIG Net Par Outstanding | Net Par | BIG Net Par as | ||||||||||||||||||||||||||||||||||
a % of Total Net Par | ||||||||||||||||||||||||||||||||||||
BIG 1 | BIG 2 | BIG 3 | Total BIG | Outstanding | Outstanding | |||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
First lien U.S. RMBS: | ||||||||||||||||||||||||||||||||||||
Prime first lien | $ | 52 | $ | 321 | $ | 30 | $ | 403 | $ | 541 | 0.1 | % | ||||||||||||||||||||||||
Alt-A first lien | 656 | 1,137 | 935 | 2,728 | 3,590 | 0.6 | ||||||||||||||||||||||||||||||
Option ARM | 71 | 60 | 467 | 598 | 937 | 0.1 | ||||||||||||||||||||||||||||||
Subprime | 297 | 908 | 740 | 1,945 | 6,130 | 0.4 | ||||||||||||||||||||||||||||||
Second lien U.S. RMBS: | ||||||||||||||||||||||||||||||||||||
Closed end second lien | 8 | 20 | 118 | 146 | 244 | 0 | ||||||||||||||||||||||||||||||
Home equity lines of credit (“HELOCs”) | 1,499 | 20 | 378 | 1,897 | 2,279 | 0.4 | ||||||||||||||||||||||||||||||
Total U.S. RMBS | 2,583 | 2,466 | 2,668 | 7,717 | 13,721 | 1.6 | ||||||||||||||||||||||||||||||
Trust preferred securities (“TruPS”) | 1,587 | 135 | — | 1,722 | 4,970 | 0.4 | ||||||||||||||||||||||||||||||
Other structured finance | 1,367 | 309 | 721 | 2,397 | 54,237 | 0.5 | ||||||||||||||||||||||||||||||
U.S. public finance | 8,205 | 440 | 449 | 9,094 | 352,181 | 2 | ||||||||||||||||||||||||||||||
Non-U.S. public finance | 1,009 | 599 | — | 1,608 | 33,998 | 0.4 | ||||||||||||||||||||||||||||||
Total | $ | 14,751 | $ | 3,949 | $ | 3,838 | $ | 22,538 | $ | 459,107 | 4.9 | % | ||||||||||||||||||||||||
Components of BIG Net Par Outstanding | ||||||||||||||||||||||||||||||||||||
(Insurance and Credit Derivative Form) | ||||||||||||||||||||||||||||||||||||
As of December 31, 2012 | ||||||||||||||||||||||||||||||||||||
BIG Net Par Outstanding | Net Par | BIG Net Par as | ||||||||||||||||||||||||||||||||||
a % of Total Net Par | ||||||||||||||||||||||||||||||||||||
BIG 1 | BIG 2 | BIG 3 | Total BIG | Outstanding | Outstanding | |||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
First lien U.S. RMBS: | ||||||||||||||||||||||||||||||||||||
Prime first lien | $ | 28 | $ | 436 | $ | 11 | $ | 475 | $ | 641 | 0.1 | % | ||||||||||||||||||||||||
Alt-A first lien | 753 | 1,962 | 739 | 3,454 | 4,469 | 0.7 | ||||||||||||||||||||||||||||||
Option ARM | 333 | 392 | 317 | 1,042 | 1,450 | 0.2 | ||||||||||||||||||||||||||||||
Subprime (including net interest margin securities) | 152 | 988 | 921 | 2,061 | 7,048 | 0.4 | ||||||||||||||||||||||||||||||
Second lien U.S. RMBS: | ||||||||||||||||||||||||||||||||||||
Closed end second lien | 97 | 76 | 58 | 231 | 348 | 0 | ||||||||||||||||||||||||||||||
HELOCs | 644 | — | 1,932 | 2,576 | 3,079 | 0.5 | ||||||||||||||||||||||||||||||
Total U.S. RMBS | 2,007 | 3,854 | 3,978 | 9,839 | 17,035 | 1.9 | ||||||||||||||||||||||||||||||
TruPS | 1,920 | — | 953 | 2,873 | 5,694 | 0.6 | ||||||||||||||||||||||||||||||
Other structured finance | 1,310 | 263 | 1,154 | 2,727 | 70,574 | 0.5 | ||||||||||||||||||||||||||||||
U.S. public finance | 3,290 | 500 | 775 | 4,565 | 387,929 | 0.9 | ||||||||||||||||||||||||||||||
Non-U.S. public finance | 2,293 | — | — | 2,293 | 37,540 | 0.4 | ||||||||||||||||||||||||||||||
Total | $ | 10,820 | $ | 4,617 | $ | 6,860 | $ | 22,297 | $ | 518,772 | 4.3 | % | ||||||||||||||||||||||||
BIG Net Par Outstanding and Number of Risks | ' | |||||||||||||||||||||||||||||||||||
BIG Net Par Outstanding | ||||||||||||||||||||||||||||||||||||
and Number of Risks | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
Net Par Outstanding | Number of Risks(2) | |||||||||||||||||||||||||||||||||||
Description | Financial | Credit | Total | Financial | Credit | Total | ||||||||||||||||||||||||||||||
Guaranty | Derivative | Guaranty | Derivative | |||||||||||||||||||||||||||||||||
Insurance(1) | Insurance(1) | |||||||||||||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||||||||||||
BIG: | ||||||||||||||||||||||||||||||||||||
Category 1 | $ | 12,391 | $ | 2,360 | $ | 14,751 | 185 | 25 | 210 | |||||||||||||||||||||||||||
Category 2 | 2,323 | 1,626 | 3,949 | 80 | 21 | 101 | ||||||||||||||||||||||||||||||
Category 3 | 3,031 | 807 | 3,838 | 119 | 27 | 146 | ||||||||||||||||||||||||||||||
Total BIG | $ | 17,745 | $ | 4,793 | $ | 22,538 | 384 | 73 | 457 | |||||||||||||||||||||||||||
BIG Net Par Outstanding | ||||||||||||||||||||||||||||||||||||
and Number of Risks | ||||||||||||||||||||||||||||||||||||
As of December 31, 2012 | ||||||||||||||||||||||||||||||||||||
Net Par Outstanding | Number of Risks(2) | |||||||||||||||||||||||||||||||||||
Description | Financial | Credit | Total | Financial | Credit | Total | ||||||||||||||||||||||||||||||
Guaranty | Derivative | Guaranty | Derivative | |||||||||||||||||||||||||||||||||
Insurance(1) | Insurance(1) | |||||||||||||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||||||||||||
BIG: | ||||||||||||||||||||||||||||||||||||
Category 1 | $ | 7,929 | $ | 2,891 | $ | 10,820 | 163 | 33 | 196 | |||||||||||||||||||||||||||
Category 2 | 2,116 | 2,501 | 4,617 | 76 | 27 | 103 | ||||||||||||||||||||||||||||||
Category 3 | 5,543 | 1,317 | 6,860 | 131 | 29 | 160 | ||||||||||||||||||||||||||||||
Total BIG | $ | 15,588 | $ | 6,709 | $ | 22,297 | 370 | 89 | 459 | |||||||||||||||||||||||||||
_____________________ | ||||||||||||||||||||||||||||||||||||
(1) Includes net par outstanding for 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. | |||||||||||||||||||||||||||||||||||
Schedule of Geographic Exposure of Net Par Outstanding | ' | |||||||||||||||||||||||||||||||||||
Geographic Distribution of | ||||||||||||||||||||||||||||||||||||
Net Par Outstanding | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
Number of Risks | Net Par Outstanding | Percent of Total Net Par Outstanding | ||||||||||||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||||||||||||
U.S.: | ||||||||||||||||||||||||||||||||||||
U.S. Public Finance: | ||||||||||||||||||||||||||||||||||||
California | 1,492 | $ | 52,704 | 11.5 | % | |||||||||||||||||||||||||||||||
New York | 1,035 | 28,582 | 6.2 | |||||||||||||||||||||||||||||||||
Pennsylvania | 1,059 | 28,475 | 6.2 | |||||||||||||||||||||||||||||||||
Texas | 1,269 | 27,249 | 5.9 | |||||||||||||||||||||||||||||||||
Illinois | 881 | 24,138 | 5.3 | |||||||||||||||||||||||||||||||||
Florida | 422 | 21,773 | 4.7 | |||||||||||||||||||||||||||||||||
New Jersey | 656 | 14,462 | 3.2 | |||||||||||||||||||||||||||||||||
Michigan | 713 | 14,250 | 3.1 | |||||||||||||||||||||||||||||||||
Georgia | 204 | 9,364 | 2 | |||||||||||||||||||||||||||||||||
Ohio | 554 | 8,763 | 1.9 | |||||||||||||||||||||||||||||||||
Other states and U.S. territories | 4,517 | 122,421 | 26.7 | |||||||||||||||||||||||||||||||||
Total U.S. public finance | 12,802 | 352,181 | 76.7 | |||||||||||||||||||||||||||||||||
U.S. Structured finance (multiple states) | 963 | 58,907 | 12.8 | |||||||||||||||||||||||||||||||||
Total U.S. | 13,765 | 411,088 | 89.5 | |||||||||||||||||||||||||||||||||
Non-U.S.: | ||||||||||||||||||||||||||||||||||||
United Kingdom | 115 | 21,405 | 4.7 | |||||||||||||||||||||||||||||||||
Australia | 29 | 5,598 | 1.2 | |||||||||||||||||||||||||||||||||
Canada | 10 | 3,851 | 0.8 | |||||||||||||||||||||||||||||||||
France | 21 | 3,614 | 0.8 | |||||||||||||||||||||||||||||||||
Italy | 10 | 1,808 | 0.4 | |||||||||||||||||||||||||||||||||
Other | 100 | 11,743 | 2.6 | |||||||||||||||||||||||||||||||||
Total non-U.S. | 285 | 48,019 | 10.5 | |||||||||||||||||||||||||||||||||
Total | 14,050 | $ | 459,107 | 100 | % | |||||||||||||||||||||||||||||||
Net Direct Economic Exposure to Selected European Countries | ' | |||||||||||||||||||||||||||||||||||
Net Direct Economic Exposure to Selected European Countries(1) | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
Hungary (2) | Ireland | Italy | Portugal (2) | Spain (2) | Total | |||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
Sovereign and sub-sovereign exposure: | ||||||||||||||||||||||||||||||||||||
Non-infrastructure public finance | $ | — | $ | — | $ | 1,024 | $ | 98 | $ | 275 | $ | 1,397 | ||||||||||||||||||||||||
Infrastructure finance | 384 | — | 18 | 12 | 155 | 569 | ||||||||||||||||||||||||||||||
Sub-total | 384 | — | 1,042 | 110 | 430 | 1,966 | ||||||||||||||||||||||||||||||
Non-sovereign exposure: | ||||||||||||||||||||||||||||||||||||
Regulated utilities | — | — | 234 | — | — | 234 | ||||||||||||||||||||||||||||||
RMBS | 224 | 144 | 315 | — | — | 683 | ||||||||||||||||||||||||||||||
Sub-total | 224 | 144 | 549 | — | — | 917 | ||||||||||||||||||||||||||||||
Total | $ | 608 | $ | 144 | $ | 1,591 | $ | 110 | $ | 430 | $ | 2,883 | ||||||||||||||||||||||||
Total BIG | $ | 608 | $ | — | $ | — | $ | 110 | $ | 430 | $ | 1,148 | ||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
-1 | While the Company’s exposures are shown in U.S. dollars, the obligations the Company insures are in various currencies, including U.S. dollars, Euros and British pounds sterling. Included in the table above is $144 million of reinsurance assumed on a 2004 - 2006 pool of Irish residential mortgages that is part of the Company’s remaining legacy mortgage reinsurance business. One of the residential mortgage-backed securities included in the table above includes residential mortgages in both Italy and Germany, and only the portion of the transaction equal to the portion of the original mortgage pool in Italian mortgages is shown in the table. | |||||||||||||||||||||||||||||||||||
(2) | See Note 6, Expected Loss to be Paid. | |||||||||||||||||||||||||||||||||||
Puerto Rico | ' | |||||||||||||||||||||||||||||||||||
Schedule of Financial Guaranty Exposure, Refinement of Approach to Internal Credit Ratings [Line Items] | ' | |||||||||||||||||||||||||||||||||||
Expected Amortization of Net Par and Net Debt Service Outstanding | ' | |||||||||||||||||||||||||||||||||||
BIG Net Par Outstanding | ||||||||||||||||||||||||||||||||||||
and BIG Net Debt Service Outstanding of Puerto Rico | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
Estimated BIG Net Par Amortization | Estimated BIG Net Debt Service Amortization | |||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
2014 | $ | 242 | $ | 501 | ||||||||||||||||||||||||||||||||
2015 | 364 | 608 | ||||||||||||||||||||||||||||||||||
2016 | 289 | 515 | ||||||||||||||||||||||||||||||||||
2017 | 208 | 421 | ||||||||||||||||||||||||||||||||||
2018 | 160 | 363 | ||||||||||||||||||||||||||||||||||
2019-2023 | 921 | 1,780 | ||||||||||||||||||||||||||||||||||
2024-2028 | 979 | 1,622 | ||||||||||||||||||||||||||||||||||
2029-2033 | 706 | 1,141 | ||||||||||||||||||||||||||||||||||
After 2033 | 1,302 | 1,596 | ||||||||||||||||||||||||||||||||||
Total | $ | 5,171 | $ | 8,547 | ||||||||||||||||||||||||||||||||
Financial_Guaranty_Insurance_P1
Financial Guaranty Insurance Premiums (Tables) | 12 Months Ended | |||||||||||||||||||||||
Dec. 31, 2013 | ||||||||||||||||||||||||
Financial Guaranty Insurance Premiums [Abstract] | ' | |||||||||||||||||||||||
Net Earned Premiums | ' | |||||||||||||||||||||||
Net Earned Premiums | ||||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||||
2013 | 2012 | 2011 | ||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Scheduled net earned premiums | $ | 470 | $ | 581 | $ | 765 | ||||||||||||||||||
Acceleration of net earned premiums | 263 | 249 | 125 | |||||||||||||||||||||
Accretion of discount on net premiums receivable | 17 | 22 | 28 | |||||||||||||||||||||
Financial guaranty insurance net earned premiums | 750 | 852 | 918 | |||||||||||||||||||||
Other | 2 | 1 | 2 | |||||||||||||||||||||
Net earned premiums(1) | $ | 752 | $ | 853 | $ | 920 | ||||||||||||||||||
___________________ | ||||||||||||||||||||||||
-1 | Excludes $60 million, $153 million and $75 million for the year ended December 31, 2013, 2012 and 2011, respectively, related to consolidated FG VIEs. | |||||||||||||||||||||||
Components of Unearned Premium Reserve | ' | |||||||||||||||||||||||
Components of | ||||||||||||||||||||||||
Unearned Premium Reserve | ||||||||||||||||||||||||
As of December 31, 2013 | As of December 31, 2012 | |||||||||||||||||||||||
Gross | Ceded | Net(1) | Gross | Ceded | Net(1) | |||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Deferred premium revenue: | ||||||||||||||||||||||||
Financial guaranty insurance | $ | 4,647 | $ | 470 | $ | 4,177 | $ | 5,349 | $ | 586 | $ | 4,763 | ||||||||||||
Other | 5 | — | 5 | 7 | — | 7 | ||||||||||||||||||
Deferred premium revenue | $ | 4,652 | $ | 470 | $ | 4,182 | $ | 5,356 | $ | 586 | $ | 4,770 | ||||||||||||
Contra-paid | (57 | ) | (18 | ) | (39 | ) | (149 | ) | (25 | ) | (124 | ) | ||||||||||||
Unearned premium reserve | $ | 4,595 | $ | 452 | $ | 4,143 | $ | 5,207 | $ | 561 | $ | 4,646 | ||||||||||||
____________________ | ||||||||||||||||||||||||
-1 | Excludes $187 million and $262 million deferred premium revenue and $55 million and $98 million contra-paid related to FG VIEs as of December 31, 2013 and December 31, 2012, respectively. | |||||||||||||||||||||||
Gross Premium Receivable, Net of Commissions on Assumed Business Roll Forward | ' | |||||||||||||||||||||||
Gross Premium Receivable, | ||||||||||||||||||||||||
Net of Commissions on Assumed Business | ||||||||||||||||||||||||
Roll Forward | ||||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||||
2013 | 2012 | 2011 | ||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Beginning of period, December 31 | $ | 1,005 | $ | 1,003 | $ | 1,168 | ||||||||||||||||||
Gross premium written, net of commissions on assumed business | 145 | 211 | 245 | |||||||||||||||||||||
Gross premiums received, net of commissions on assumed business | (259 | ) | (294 | ) | (318 | ) | ||||||||||||||||||
Adjustments: | ||||||||||||||||||||||||
Changes in the expected term | (28 | ) | 44 | (104 | ) | |||||||||||||||||||
Accretion of discount, net of commissions on assumed business | 20 | 36 | 32 | |||||||||||||||||||||
Foreign exchange translation | (1 | ) | 13 | (5 | ) | |||||||||||||||||||
Consolidation of FG VIEs | — | (5 | ) | (10 | ) | |||||||||||||||||||
Other adjustments | (6 | ) | (3 | ) | (5 | ) | ||||||||||||||||||
End of period, December 31 (1) | $ | 876 | $ | 1,005 | $ | 1,003 | ||||||||||||||||||
____________________ | ||||||||||||||||||||||||
-1 | Excludes $21 million, $29 million and $28 million as of December 31, 2013 , 2012 and 2011, respectively, related to consolidated FG VIEs. | |||||||||||||||||||||||
Expected Collections of Gross Premiums Receivable, Net of Ceding Commissions (Undiscounted) | ' | |||||||||||||||||||||||
Expected Collections of | ||||||||||||||||||||||||
Gross Premiums Receivable, | ||||||||||||||||||||||||
Net of Commissions on Assumed Business | ||||||||||||||||||||||||
(Undiscounted) | ||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
2014 (January 1 – March 31) | $ | 47 | ||||||||||||||||||||||
2014 (April 1 – June 30) | 33 | |||||||||||||||||||||||
2014 (July 1 – September 30) | 23 | |||||||||||||||||||||||
2014 (October 1 – December 31) | 25 | |||||||||||||||||||||||
2015 | 91 | |||||||||||||||||||||||
2016 | 85 | |||||||||||||||||||||||
2017 | 78 | |||||||||||||||||||||||
2018 | 70 | |||||||||||||||||||||||
2019-2023 | 279 | |||||||||||||||||||||||
2024-2028 | 173 | |||||||||||||||||||||||
2029-2033 | 121 | |||||||||||||||||||||||
After 2033 | 129 | |||||||||||||||||||||||
Total(1) | $ | 1,154 | ||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||
-1 | Excludes expected cash collections on FG VIEs of $27 million. | |||||||||||||||||||||||
Schedule of Net Earned Premiums | ' | |||||||||||||||||||||||
Scheduled Net Earned Premiums | ||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
2014 (January 1 – March 31) | $ | 108 | ||||||||||||||||||||||
2014 (April 1 – June 30) | 107 | |||||||||||||||||||||||
2014 (July 1 – September 30) | 105 | |||||||||||||||||||||||
2014 (October 1 – December 31) | 102 | |||||||||||||||||||||||
Subtotal 2014 | 422 | |||||||||||||||||||||||
2015 | 372 | |||||||||||||||||||||||
2016 | 328 | |||||||||||||||||||||||
2017 | 294 | |||||||||||||||||||||||
2018 | 269 | |||||||||||||||||||||||
2019-2023 | 1,049 | |||||||||||||||||||||||
2024-2028 | 668 | |||||||||||||||||||||||
2029-2033 | 405 | |||||||||||||||||||||||
After 2033 | 370 | |||||||||||||||||||||||
Total present value basis(1) | 4,177 | |||||||||||||||||||||||
Discount | 240 | |||||||||||||||||||||||
Total future value | $ | 4,417 | ||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||
-1 | Excludes scheduled net earned premiums on consolidated FG VIEs of $187 million. | |||||||||||||||||||||||
Selected Information for Policies Paid in Installments | ' | |||||||||||||||||||||||
Selected Information for | ||||||||||||||||||||||||
Policies Paid in Installments | ||||||||||||||||||||||||
As of | As of | |||||||||||||||||||||||
31-Dec-13 | 31-Dec-12 | |||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||
Premiums receivable, net of ceding commission payable | $ | 876 | $ | 1,005 | ||||||||||||||||||||
Gross deferred premium revenue | 1,576 | 1,908 | ||||||||||||||||||||||
Weighted-average risk-free rate used to discount premiums | 3.4 | % | 3.5 | % | ||||||||||||||||||||
Weighted-average period of premiums receivable (in years) | 9.4 | 9.6 | ||||||||||||||||||||||
Financial_Guaranty_Insurance_A1
Financial Guaranty Insurance Acquisition Costs (Tables) | 12 Months Ended | |||||||||||
Dec. 31, 2013 | ||||||||||||
Insurance [Abstract] | ' | |||||||||||
Rollforward of Deferred Acquisition Costs | ' | |||||||||||
Rollforward of | ||||||||||||
Deferred Acquisition Costs | ||||||||||||
Year Ended December 31, | ||||||||||||
2013 | 2012 | 2011 | ||||||||||
(in millions) | ||||||||||||
Beginning of period | $ | 116 | $ | 132 | $ | 146 | ||||||
Costs deferred during the period: | ||||||||||||
Commissions on assumed and ceded business | 9 | (13 | ) | (13 | ) | |||||||
Premium taxes | 4 | 4 | 7 | |||||||||
Compensation and other acquisition costs | 8 | 10 | 9 | |||||||||
Total | 21 | 1 | 3 | |||||||||
Costs amortized during the period | (13 | ) | (17 | ) | (17 | ) | ||||||
Foreign exchange translation | 0 | 0 | 0 | |||||||||
End of period | $ | 124 | $ | 116 | $ | 132 | ||||||
Expected_Loss_to_be_Paid_Table
Expected Loss to be Paid (Tables) | 12 Months Ended | |||||||||||||||||
Dec. 31, 2013 | ||||||||||||||||||
Expected Losses [Abstract] | ' | |||||||||||||||||
Net Expected Loss to be Paid Before Recoveries for Breaches of R&W Roll Forward by Sector | ' | |||||||||||||||||
Net Expected Loss to be Paid | ||||||||||||||||||
Before Recoveries for Breaches of R&W | ||||||||||||||||||
Roll Forward by Sector | ||||||||||||||||||
Year Ended December 31, 2013 | ||||||||||||||||||
Net Expected | Economic Loss | (Paid) | Net Expected | |||||||||||||||
Loss to be | Development | Recovered | Loss to be | |||||||||||||||
Paid as of | Losses(1) | Paid as of | ||||||||||||||||
December 31, 2012(2) | December 31, 2013(2) | |||||||||||||||||
(in millions) | ||||||||||||||||||
U.S. RMBS: | ||||||||||||||||||
First lien: | ||||||||||||||||||
Prime first lien | $ | 10 | $ | 16 | $ | (1 | ) | $ | 25 | |||||||||
Alt-A first lien | 693 | (40 | ) | (75 | ) | 578 | ||||||||||||
Option ARM | 460 | 63 | (359 | ) | 164 | |||||||||||||
Subprime | 351 | 101 | (30 | ) | 422 | |||||||||||||
Total first lien | 1,514 | 140 | (465 | ) | 1,189 | |||||||||||||
Second lien: | ||||||||||||||||||
Closed-end second lien | 99 | (3 | ) | (9 | ) | 87 | ||||||||||||
HELOCs | 39 | 3 | (113 | ) | (71 | ) | ||||||||||||
Total second lien | 138 | 0 | (122 | ) | 16 | |||||||||||||
Total U.S. RMBS | 1,652 | 140 | (587 | ) | 1,205 | |||||||||||||
TruPS | 27 | 7 | 17 | 51 | ||||||||||||||
Other structured finance | 312 | (41 | ) | (151 | ) | 120 | ||||||||||||
U.S. public finance | 7 | 239 | 18 | 264 | ||||||||||||||
Non-U.S public finance | 52 | 17 | (12 | ) | 57 | |||||||||||||
Other insurance | (3 | ) | (10 | ) | 10 | (3 | ) | |||||||||||
Total | $ | 2,047 | $ | 352 | $ | (705 | ) | $ | 1,694 | |||||||||
Net Expected Loss to be Paid | ||||||||||||||||||
Before Recoveries for Breaches of R&W | ||||||||||||||||||
Roll Forward by Sector | ||||||||||||||||||
Year Ended December 31, 2012 | ||||||||||||||||||
Net Expected | Economic Loss | (Paid) | Expected | |||||||||||||||
Loss to be | Development | Recovered | Loss to be | |||||||||||||||
Paid as of | Losses(1) | Paid as of | ||||||||||||||||
December 31, 2011 | December 31, 2012 | |||||||||||||||||
(in millions) | ||||||||||||||||||
U.S. RMBS: | ||||||||||||||||||
First lien: | ||||||||||||||||||
Prime first lien | $ | 5 | $ | 5 | $ | — | $ | 10 | ||||||||||
Alt-A first lien | 702 | 102 | (111 | ) | 693 | |||||||||||||
Option ARM | 935 | 128 | (603 | ) | 460 | |||||||||||||
Subprime | 342 | 57 | (48 | ) | 351 | |||||||||||||
Total first lien | 1,984 | 292 | (762 | ) | 1,514 | |||||||||||||
Second lien: | ||||||||||||||||||
Closed-end second lien | 138 | (5 | ) | (34 | ) | 99 | ||||||||||||
HELOCs | 159 | 80 | (200 | ) | 39 | |||||||||||||
Total second lien | 297 | 75 | (234 | ) | 138 | |||||||||||||
Total U.S. RMBS | 2,281 | 367 | (996 | ) | 1,652 | |||||||||||||
TruPS | 64 | (30 | ) | (7 | ) | 27 | ||||||||||||
Other structured finance | 342 | 2 | (32 | ) | 312 | |||||||||||||
U.S. public finance | 16 | 74 | (83 | ) | 7 | |||||||||||||
Non-U.S public finance | 51 | 221 | (220 | ) | 52 | |||||||||||||
Other insurance | 2 | (17 | ) | 12 | (3 | ) | ||||||||||||
Total | $ | 2,756 | $ | 617 | $ | (1,326 | ) | $ | 2,047 | |||||||||
____________________ | ||||||||||||||||||
-1 | Net of ceded paid losses, whether or not such amounts have been settled with reinsurers. Ceded paid losses are typically settled 45 days after the end of the reporting period. Such amounts are recorded in reinsurance recoverable on paid losses included in other assets. | |||||||||||||||||
-2 | Includes expected LAE to be paid for mitigating claim liabilities of $34 million as of December 31, 2013 and $39 million as of December 31, 2012. The Company paid $54 million and $47 million in LAE for the years ended December 31, 2013 and 2012, respectively. | |||||||||||||||||
Net Expected Recoveries from Breaches of R&W Rollforward | ' | |||||||||||||||||
Net Expected Recoveries from | ||||||||||||||||||
Breaches of R&W Rollforward | ||||||||||||||||||
Year Ended December 31, 2013 | ||||||||||||||||||
Future Net | R&W Development | R&W Recovered | Future Net | |||||||||||||||
R&W Benefit as of | and Accretion of | During 2013(1) | R&W Benefit as of | |||||||||||||||
December 31, 2012 | Discount | December 31, 2013(2) | ||||||||||||||||
During 2013 | ||||||||||||||||||
(in millions) | ||||||||||||||||||
U.S. RMBS: | ||||||||||||||||||
First lien: | ||||||||||||||||||
Prime first lien | $ | 4 | $ | — | $ | — | $ | 4 | ||||||||||
Alt-A first lien | 378 | 41 | (145 | ) | 274 | |||||||||||||
Option ARM | 591 | 161 | (579 | ) | 173 | |||||||||||||
Subprime | 109 | 9 | — | 118 | ||||||||||||||
Total first lien | 1,082 | 211 | (724 | ) | 569 | |||||||||||||
Second lien: | ||||||||||||||||||
Closed end second lien | 138 | (9 | ) | (31 | ) | 98 | ||||||||||||
HELOC | 150 | 94 | (199 | ) | 45 | |||||||||||||
Total second lien | 288 | 85 | (230 | ) | 143 | |||||||||||||
Total | $ | 1,370 | $ | 296 | $ | (954 | ) | $ | 712 | |||||||||
Net Expected Recoveries from | ||||||||||||||||||
Breaches of R&W Rollforward | ||||||||||||||||||
Year Ended December 31, 2012 | ||||||||||||||||||
Future Net | R&W Development | R&W Recovered | Future Net | |||||||||||||||
R&W Benefit as of | and Accretion of | During 2012(1) | R&W Benefit as of | |||||||||||||||
December 31, 2011 | Discount | December 31, 2012 | ||||||||||||||||
During 2012 | ||||||||||||||||||
(in millions) | ||||||||||||||||||
U.S. RMBS: | ||||||||||||||||||
First lien: | ||||||||||||||||||
Prime first lien | $ | 3 | $ | 1 | $ | — | $ | 4 | ||||||||||
Alt-A first lien | 407 | 40 | (69 | ) | 378 | |||||||||||||
Option ARM | 725 | 89 | (223 | ) | 591 | |||||||||||||
Subprime | 101 | 8 | — | 109 | ||||||||||||||
Total first lien | 1,236 | 138 | (292 | ) | 1,082 | |||||||||||||
Second lien: | ||||||||||||||||||
Closed end second lien | 224 | 5 | (91 | ) | 138 | |||||||||||||
HELOC | 190 | 36 | (76 | ) | 150 | |||||||||||||
Total second lien | 414 | 41 | (167 | ) | 288 | |||||||||||||
Total | $ | 1,650 | $ | 179 | $ | (459 | ) | $ | 1,370 | |||||||||
____________________ | ||||||||||||||||||
-1 | Gross amounts recovered were $986 million and $485 million for years ended December 31, 2013 and 2012, respectively. | |||||||||||||||||
-2 | Includes excess spread that the Company will receive as salvage as a result of a settlement agreement with a R&W provider. | |||||||||||||||||
Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward | ' | |||||||||||||||||
Net Expected Loss to be Paid | ||||||||||||||||||
After Net Expected Recoveries for Breaches of R&W | ||||||||||||||||||
Roll Forward | ||||||||||||||||||
Year Ended December 31, 2013 | ||||||||||||||||||
Net Expected | Economic Loss | (Paid) | Net Expected | |||||||||||||||
Loss to be | Development | Recovered | Loss to be | |||||||||||||||
Paid as of | Losses(1) | Paid as of | ||||||||||||||||
December 31, 2012 | December 31, 2013 | |||||||||||||||||
(in millions) | ||||||||||||||||||
U.S. RMBS: | ||||||||||||||||||
First lien: | ||||||||||||||||||
Prime first lien | $ | 6 | $ | 16 | $ | (1 | ) | $ | 21 | |||||||||
Alt-A first lien | 315 | (81 | ) | 70 | 304 | |||||||||||||
Option ARM | (131 | ) | (98 | ) | 220 | (9 | ) | |||||||||||
Subprime | 242 | 92 | (30 | ) | 304 | |||||||||||||
Total first lien | 432 | (71 | ) | 259 | 620 | |||||||||||||
Second lien: | ||||||||||||||||||
Closed-end second lien | (39 | ) | 6 | 22 | (11 | ) | ||||||||||||
HELOCs | (111 | ) | (91 | ) | 86 | (116 | ) | |||||||||||
Total second lien | (150 | ) | (85 | ) | 108 | (127 | ) | |||||||||||
Total U.S. RMBS | 282 | (156 | ) | 367 | 493 | |||||||||||||
TruPS | 27 | 7 | 17 | 51 | ||||||||||||||
Other structured finance | 312 | (41 | ) | (151 | ) | 120 | ||||||||||||
U.S. public finance | 7 | 239 | 18 | 264 | ||||||||||||||
Non-U.S public finance | 52 | 17 | (12 | ) | 57 | |||||||||||||
Other | (3 | ) | (10 | ) | 10 | (3 | ) | |||||||||||
Total | $ | 677 | $ | 56 | $ | 249 | $ | 982 | ||||||||||
Net Expected Loss to be Paid | ||||||||||||||||||
After Net Expected Recoveries for Breaches of R&W | ||||||||||||||||||
Roll Forward | ||||||||||||||||||
Year Ended December 31, 2012 | ||||||||||||||||||
Net Expected | Economic Loss | (Paid) | Expected | |||||||||||||||
Loss to be | Development | Recovered | Loss to be | |||||||||||||||
Paid as of | Losses(1) | Paid as of | ||||||||||||||||
December 31, 2011 | December 31, 2012 | |||||||||||||||||
(in millions) | ||||||||||||||||||
U.S. RMBS: | ||||||||||||||||||
First lien: | ||||||||||||||||||
Prime first lien | $ | 2 | $ | 4 | $ | — | $ | 6 | ||||||||||
Alt-A first lien | 295 | 62 | (42 | ) | 315 | |||||||||||||
Option ARM | 210 | 39 | (380 | ) | (131 | ) | ||||||||||||
Subprime | 241 | 49 | (48 | ) | 242 | |||||||||||||
Total first lien | 748 | 154 | (470 | ) | 432 | |||||||||||||
Second lien: | ||||||||||||||||||
Closed-end second lien | (86 | ) | (10 | ) | 57 | (39 | ) | |||||||||||
HELOCs | (31 | ) | 44 | (124 | ) | (111 | ) | |||||||||||
Total second lien | (117 | ) | 34 | (67 | ) | (150 | ) | |||||||||||
Total U.S. RMBS | 631 | 188 | (537 | ) | 282 | |||||||||||||
TruPS | 64 | (30 | ) | (7 | ) | 27 | ||||||||||||
Other structured finance | 342 | 2 | (32 | ) | 312 | |||||||||||||
U.S. public finance | 16 | 74 | (83 | ) | 7 | |||||||||||||
Non-U.S public finance | 51 | 221 | (220 | ) | 52 | |||||||||||||
Other | 2 | (17 | ) | 12 | (3 | ) | ||||||||||||
Total | $ | 1,106 | $ | 438 | $ | (867 | ) | $ | 677 | |||||||||
____________________ | ||||||||||||||||||
-1 | Net of ceded paid losses, whether or not such amounts have been settled with reinsurers. Ceded paid losses are typically settled 45 days after the end of the reporting period. Such amounts are recorded in reinsurance recoverable on paid losses included in other assets. | |||||||||||||||||
Net Expected Loss to be Paid By Accounting Model | ' | |||||||||||||||||
Net Expected Loss to be Paid | ||||||||||||||||||
By Accounting Model | ||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||
Financial | FG VIEs(1) | Credit | Total | |||||||||||||||
Guaranty | Derivatives | |||||||||||||||||
Insurance | ||||||||||||||||||
(in millions) | ||||||||||||||||||
US RMBS: | ||||||||||||||||||
First lien: | ||||||||||||||||||
Prime first lien | $ | 3 | $ | — | $ | 18 | $ | 21 | ||||||||||
Alt-A first lien | 199 | 31 | 74 | 304 | ||||||||||||||
Option ARM | (18 | ) | (2 | ) | 11 | (9 | ) | |||||||||||
Subprime | 149 | 81 | 74 | 304 | ||||||||||||||
Total first lien | 333 | 110 | 177 | 620 | ||||||||||||||
Second Lien: | ||||||||||||||||||
Closed-end second lien | (34 | ) | 25 | (2 | ) | (11 | ) | |||||||||||
HELOCs | (41 | ) | (75 | ) | — | (116 | ) | |||||||||||
Total second lien | (75 | ) | (50 | ) | (2 | ) | (127 | ) | ||||||||||
Total U.S. RMBS | 258 | 60 | 175 | 493 | ||||||||||||||
TruPS | 3 | — | 48 | 51 | ||||||||||||||
Other structured finance | 161 | — | (41 | ) | 120 | |||||||||||||
U.S. public finance | 264 | — | — | 264 | ||||||||||||||
Non-U.S. public finance | 55 | — | 2 | 57 | ||||||||||||||
Subtotal | $ | 741 | $ | 60 | $ | 184 | 985 | |||||||||||
Other | (3 | ) | ||||||||||||||||
Total | $ | 982 | ||||||||||||||||
Net Expected Loss to be Paid | ||||||||||||||||||
By Accounting Model | ||||||||||||||||||
As of December 31, 2012 | ||||||||||||||||||
Financial | FG VIEs(1) | Credit | Total | |||||||||||||||
Guaranty | Derivatives | |||||||||||||||||
Insurance | ||||||||||||||||||
(in millions) | ||||||||||||||||||
US RMBS: | ||||||||||||||||||
First lien: | ||||||||||||||||||
Prime first lien | $ | 4 | $ | — | $ | 2 | $ | 6 | ||||||||||
Alt-A first lien | 164 | 27 | 124 | 315 | ||||||||||||||
Option ARM | (114 | ) | (37 | ) | 20 | (131 | ) | |||||||||||
Subprime | 118 | 50 | 74 | 242 | ||||||||||||||
Total first lien | 172 | 40 | 220 | 432 | ||||||||||||||
Second Lien: | ||||||||||||||||||
Closed-end second lien | (60 | ) | 31 | (10 | ) | (39 | ) | |||||||||||
HELOCs | 56 | (167 | ) | — | (111 | ) | ||||||||||||
Total second lien | (4 | ) | (136 | ) | (10 | ) | (150 | ) | ||||||||||
Total U.S. RMBS | 168 | (96 | ) | 210 | 282 | |||||||||||||
TruPS | 1 | — | 26 | 27 | ||||||||||||||
Other structured finance | 224 | — | 88 | 312 | ||||||||||||||
U.S. public finance | 7 | — | — | 7 | ||||||||||||||
Non-U.S. public finance | 51 | — | 1 | 52 | ||||||||||||||
Subtotal | $ | 451 | $ | (96 | ) | $ | 325 | 680 | ||||||||||
Other | (3 | ) | ||||||||||||||||
Total | $ | 677 | ||||||||||||||||
___________________ | ||||||||||||||||||
(1) Refer to Note 10, Consolidation of Variable Interest Entities. | ||||||||||||||||||
Schedule of Net Economic Loss Development | ' | |||||||||||||||||
Net Economic Loss Development | ||||||||||||||||||
By Accounting Model | ||||||||||||||||||
Year Ended December 31, 2013 | ||||||||||||||||||
Financial | FG VIEs(1) | Credit | Total | |||||||||||||||
Guaranty | Derivatives(2) | |||||||||||||||||
Insurance | ||||||||||||||||||
(in millions) | ||||||||||||||||||
US RMBS: | ||||||||||||||||||
First lien: | ||||||||||||||||||
Prime first lien | $ | (1 | ) | $ | — | $ | 17 | $ | 16 | |||||||||
Alt-A first lien | (54 | ) | 5 | (32 | ) | (81 | ) | |||||||||||
Option ARM | (62 | ) | (36 | ) | — | (98 | ) | |||||||||||
Subprime | 48 | 32 | 12 | 92 | ||||||||||||||
Total first lien | (69 | ) | 1 | (3 | ) | (71 | ) | |||||||||||
Second Lien: | ||||||||||||||||||
Closed-end second lien | 30 | (34 | ) | 10 | 6 | |||||||||||||
HELOCs | (91 | ) | (1 | ) | 1 | (91 | ) | |||||||||||
Total second lien | (61 | ) | (35 | ) | 11 | (85 | ) | |||||||||||
Total U.S. RMBS | (130 | ) | (34 | ) | 8 | (156 | ) | |||||||||||
TruPS | — | — | 7 | 7 | ||||||||||||||
Other structured finance | (36 | ) | — | (5 | ) | (41 | ) | |||||||||||
U.S. public finance | 239 | — | — | 239 | ||||||||||||||
Non-U.S. public finance | 16 | — | 1 | 17 | ||||||||||||||
Subtotal | $ | 89 | $ | (34 | ) | $ | 11 | 66 | ||||||||||
Other | (10 | ) | ||||||||||||||||
Total | $ | 56 | ||||||||||||||||
Net Economic Loss Development | ||||||||||||||||||
By Accounting Model | ||||||||||||||||||
Year Ended December 31, 2012 | ||||||||||||||||||
Financial | FG VIEs(1) | Credit | Total | |||||||||||||||
Guaranty | Derivatives(2) | |||||||||||||||||
Insurance | ||||||||||||||||||
(in millions) | ||||||||||||||||||
US RMBS: | ||||||||||||||||||
First lien: | ||||||||||||||||||
Prime first lien | $ | 2 | $ | — | $ | 2 | $ | 4 | ||||||||||
Alt-A first lien | 38 | (10 | ) | 34 | 62 | |||||||||||||
Option ARM | 37 | (8 | ) | 10 | 39 | |||||||||||||
Subprime | 31 | 7 | 11 | 49 | ||||||||||||||
Total first lien | 108 | (11 | ) | 57 | 154 | |||||||||||||
Second Lien: | ||||||||||||||||||
Closed-end second lien | 13 | (23 | ) | — | (10 | ) | ||||||||||||
HELOCs | 37 | 7 | — | 44 | ||||||||||||||
Total second lien | 50 | (16 | ) | — | 34 | |||||||||||||
Total U.S. RMBS | 158 | (27 | ) | 57 | 188 | |||||||||||||
TruPS | (11 | ) | — | (19 | ) | (30 | ) | |||||||||||
Other structured finance | 15 | — | (13 | ) | 2 | |||||||||||||
U.S. public finance | 75 | — | (1 | ) | 74 | |||||||||||||
Non-U.S. public finance | 222 | — | (1 | ) | 221 | |||||||||||||
Subtotal | $ | 459 | $ | (27 | ) | $ | 23 | 455 | ||||||||||
Other | (17 | ) | ||||||||||||||||
Total | $ | 438 | ||||||||||||||||
___________________ | ||||||||||||||||||
(1) Refer to Note 10, Consolidation of Variable Interest Entities. | ||||||||||||||||||
(2) Refer to Note 9, Financial Guaranty Contracts Accounted for as Credit Derivatives. | ||||||||||||||||||
Liquidation Rates and Key Assumptions in Base Case Expected Loss Estimates First Lien RMBS | ' | |||||||||||||||||
Key Assumptions in Base Case Expected Loss Estimates | ||||||||||||||||||
First Lien RMBS(1) | ||||||||||||||||||
As of | As of | As of | ||||||||||||||||
31-Dec-13 | 31-Dec-12 | 31-Dec-11 | ||||||||||||||||
Alt-A First Lien | ||||||||||||||||||
Plateau CDR | 2.8 | % | – | 18.40% | 3.8 | % | – | 23.20% | 2.8 | % | – | 41.30% | ||||||
Intermediate CDR | 0.6 | % | – | 3.70% | 0.8 | % | – | 4.60% | 0.6 | % | – | 8.30% | ||||||
Period until intermediate CDR | 48 months | 36 months | 36 months | |||||||||||||||
Final CDR | 0.1 | % | – | 0.90% | 0.2 | % | – | 1.20% | 0.1 | % | – | 2.10% | ||||||
Initial loss severity | 65% | 65% | 65% | |||||||||||||||
Initial conditional prepayment rate ("CPR") | 0 | % | – | 34.20% | 0 | % | – | 39.40% | 0 | % | – | 37.50% | ||||||
Final CPR | 15% | 15% | 15% | |||||||||||||||
Option ARM | ||||||||||||||||||
Plateau CDR | 4.9 | % | – | 16.80% | 7 | % | – | 26.10% | 9.6 | % | – | 31.50% | ||||||
Intermediate CDR | 1 | % | – | 3.40% | 1.4 | % | – | 5.20% | 1.9 | % | – | 6.30% | ||||||
Period until intermediate CDR | 48 months | 36 months | 36 months | |||||||||||||||
Final CDR | 0.2 | % | – | 0.80% | 0.4 | % | – | 1.30% | 0.5 | % | – | 1.60% | ||||||
Initial loss severity | 65% | 65% | 65% | |||||||||||||||
Initial CPR | 0.4 | % | – | 13.10% | 0 | % | – | 10.70% | 0 | % | – | 29.10% | ||||||
Final CPR | 15% | 15% | 15% | |||||||||||||||
Subprime | ||||||||||||||||||
Plateau CDR | 5.6 | % | – | 16.20% | 7.3 | % | – | 26.20% | 8.3 | % | – | 29.90% | ||||||
Intermediate CDR | 1.1 | % | – | 3.20% | 1.5 | % | – | 5.20% | 1.7 | % | – | 6% | ||||||
Period until intermediate CDR | 48 months | 36 months | 36 months | |||||||||||||||
Final CDR | 0.3 | % | – | 0.80% | 0.4 | % | – | 1.30% | 0.4 | % | – | 1.50% | ||||||
Initial loss severity | 90% | 90% | 90% | |||||||||||||||
Initial CPR | 0 | % | – | 15.70% | 0 | % | – | 17.60% | 0 | % | – | 16.30% | ||||||
Final CPR | 15% | 15% | 15% | |||||||||||||||
____________________ | ||||||||||||||||||
(1) Represents variables for most heavily weighted scenario (the “base case”). | ||||||||||||||||||
First Lien Liquidation Rates | ||||||||||||||||||
31-Dec-13 | 31-Dec-12 | 31-Dec-11 | ||||||||||||||||
Current Loans Modified in Previous 12 Months | ||||||||||||||||||
Alt A and Prime | 35% | N/A | N/A | |||||||||||||||
Option ARM | 35 | N/A | N/A | |||||||||||||||
Subprime | 35 | N/A | N/A | |||||||||||||||
30 – 59 Days Delinquent | ||||||||||||||||||
Alt A and Prime | 50 | 35% | 35% | |||||||||||||||
Option ARM | 50 | 50 | 50 | |||||||||||||||
Subprime | 45 | 30 | 30 | |||||||||||||||
60 – 89 Days Delinquent | ||||||||||||||||||
Alt A and Prime | 60 | 55 | 55 | |||||||||||||||
Option ARM | 65 | 65 | 65 | |||||||||||||||
Subprime | 50 | 45 | 45 | |||||||||||||||
90+ Days Delinquent | ||||||||||||||||||
Alt A and Prime | 75 | 65 | 65 | |||||||||||||||
Option ARM | 70 | 75 | 75 | |||||||||||||||
Subprime | 60 | 60 | 60 | |||||||||||||||
Bankruptcy | ||||||||||||||||||
Alt A and Prime | 60 | 55 | 55 | |||||||||||||||
Option ARM | 60 | 70 | 70 | |||||||||||||||
Subprime | 55 | 50 | 50 | |||||||||||||||
Foreclosure | ||||||||||||||||||
Alt A and Prime | 85 | 85 | 85 | |||||||||||||||
Option ARM | 80 | 85 | 85 | |||||||||||||||
Subprime | 70 | 80 | 80 | |||||||||||||||
Real Estate Owned | ||||||||||||||||||
All | 100 | 100 | 100 | |||||||||||||||
Key Assumptions in Base Case Expected Loss Estimates Second Lien RMBS | ' | |||||||||||||||||
Key Assumptions in Base Case Expected Loss Estimates | ||||||||||||||||||
Second Lien RMBS(1) | ||||||||||||||||||
HELOC key assumptions | As of | As of | As of | |||||||||||||||
31-Dec-13 | 31-Dec-12 | 31-Dec-11 | ||||||||||||||||
Plateau CDR | 2.3 | % | – | 7.70% | 3.8 | % | – | 15.90% | 4 | % | – | 27.40% | ||||||
Final CDR trended down to | 0.4 | % | – | 3.20% | 0.4 | % | – | 3.20% | 0.4 | % | – | 3.20% | ||||||
Period until final CDR | 34 months | 36 months | 36 months | |||||||||||||||
Initial CPR | 2.7 | % | – | 21.50% | 2.9 | % | – | 15.40% | 1.4 | % | – | 25.80% | ||||||
Final CPR | 10% | 10% | 10% | |||||||||||||||
Loss severity | 98% | 98% | 98% | |||||||||||||||
Closed-end second lien key assumptions | As of | As of | As of | |||||||||||||||
31-Dec-13 | 31-Dec-12 | 31-Dec-11 | ||||||||||||||||
Plateau CDR | 7.3 | % | – | 15.10% | 7.3 | % | – | 20.70% | 6.9 | % | – | 29.50% | ||||||
Final CDR trended down to | 3.5 | % | – | 9.10% | 3.5 | % | – | 9.10% | 3.5 | % | – | 9.10% | ||||||
Period until final CDR | 34 months | 36 months | 36 months | |||||||||||||||
Initial CPR | 3.1 | % | – | 12.00% | 1.9 | % | – | 12.50% | 0.9 | % | – | 14.70% | ||||||
Final CPR | 10% | 10% | 10% | |||||||||||||||
Loss severity | 98% | 98% | 98% | |||||||||||||||
____________________ | ||||||||||||||||||
-1 | Represents variables for most heavily weighted scenario (the “base case”). | |||||||||||||||||
R&W Reinsurance Agreements | ' | |||||||||||||||||
(in millions) | ||||||||||||||||||
Agreement amounts already received | $ | 2,608 | ||||||||||||||||
Agreement amounts projected to be received in the future | 425 | |||||||||||||||||
Repurchase amounts paid into the relevant RMBS prior to settlement (1) | 578 | |||||||||||||||||
Total R&W payments, gross of reinsurance | $ | 3,611 | ||||||||||||||||
____________________ | ||||||||||||||||||
-1 | These amounts were paid into the relevant RMBS transactions (rather than to the Company as in most settlements) and distributed in accordance with the priority of payments set out in the relevant transaction documents. Because the Company may insure only a portion of the capital structure of a transaction, such payments will not necessarily directly benefit the Company dollar-for-dollar, especially in first lien transactions. | |||||||||||||||||
R&W Agreements | ' | |||||||||||||||||
Representations and Warranties Agreements (1) | ||||||||||||||||||
Agreement Date | Current Net Par Covered | Receipts to December 31, 2013 (net of reinsurance) | Estimated Future Receipts (net of reinsurance) | Eligible Assets Held in Trust (gross of reinsurance) | ||||||||||||||
(in millions) | ||||||||||||||||||
Bank of America - First Lien | Apr-11 | $ | 1,059 | $ | 474 | $ | 201 | $ | 593 | |||||||||
Bank of America - Second Lien | Apr-11 | 1,387 | 968 | NA | NA | |||||||||||||
Deutsche Bank | May-12 | 1,711 | 179 | 107 | 151 | |||||||||||||
UBS | May-13 | 807 | 394 | 59 | 174 | |||||||||||||
Others | Various | 994 | 385 | 46 | NA | |||||||||||||
Total | $ | 5,958 | $ | 2,400 | $ | 413 | $ | 918 | ||||||||||
____________________ | ||||||||||||||||||
-1 | This table relates to past and projected future recoveries under R&W and related agreements. Excluded is the $299 million of future net recoveries the Company projects receiving from R&W counterparties in transactions with $1,617 million of net par outstanding as of December 31, 2013 not covered by current agreements and $806 million of net par partially covered by agreements but for which the Company projects receiving additional amounts. | |||||||||||||||||
U.S. RMBS Risks with R&W Benefit | ' | |||||||||||||||||
U.S. RMBS Risks with R&W Benefit | ||||||||||||||||||
Number of Risks (1) as of | Debt Service as of | |||||||||||||||||
December 31, 2013 | December 31, 2012 | December 31, 2013 | December 31, 2012 | |||||||||||||||
(dollars in millions) | ||||||||||||||||||
Prime first lien | 1 | 1 | $ | 38 | $ | 44 | ||||||||||||
Alt-A first lien | 19 | 26 | 2,856 | 4,173 | ||||||||||||||
Option ARM | 9 | 10 | 641 | 1,183 | ||||||||||||||
Subprime | 5 | 5 | 998 | 989 | ||||||||||||||
Closed-end second lien | 4 | 4 | 158 | 260 | ||||||||||||||
HELOC | 4 | 7 | 320 | 549 | ||||||||||||||
Total | 42 | 53 | $ | 5,011 | $ | 7,198 | ||||||||||||
____________________ | ||||||||||||||||||
(1) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments.This table shows the full future Debt Service (not just the amount of Debt Service expected to be reimbursed) for risks with projected future R&W benefit, whether pursuant to an agreement or not. | ||||||||||||||||||
Components of Development and Accretion Amounts of Estimated Recoveries | ' | |||||||||||||||||
The following table provides a breakdown of the development and accretion amount in the roll forward of estimated recoveries associated with alleged breaches of R&W. | ||||||||||||||||||
Components of R&W Development | ||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||
2013 | 2012 | |||||||||||||||||
(in millions) | ||||||||||||||||||
Inclusion (removal) of deals with breaches of R&W during period | $ | 6 | $ | (3 | ) | |||||||||||||
Change in recovery assumptions as the result of additional file review and recovery success | (6 | ) | (10 | ) | ||||||||||||||
Estimated increase (decrease) in defaults that will result in additional (lower) breaches | (8 | ) | 63 | |||||||||||||||
Results of settlements | 289 | 120 | ||||||||||||||||
Accretion of discount on balance | 15 | 9 | ||||||||||||||||
Total | $ | 296 | $ | 179 | ||||||||||||||
Financial_Guaranty_Insurance_L1
Financial Guaranty Insurance Losses (Tables) | 12 Months Ended | |||||||||||||||||||||||||||||||||||
Dec. 31, 2013 | ||||||||||||||||||||||||||||||||||||
Financial Guaranty Insurance Losses [Abstract] | ' | |||||||||||||||||||||||||||||||||||
Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance Insurance Contracts | ' | |||||||||||||||||||||||||||||||||||
Loss and LAE Reserve and Salvage and Subrogation Recoverable | ||||||||||||||||||||||||||||||||||||
Net of Reinsurance | ||||||||||||||||||||||||||||||||||||
Insurance Contracts | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | As of December 31, 2012 | |||||||||||||||||||||||||||||||||||
Loss and | Salvage and | Net Reserve (Recoverable) | Loss and | Salvage and | Net Reserve (Recoverable) | |||||||||||||||||||||||||||||||
LAE | Subrogation | LAE | Subrogation | |||||||||||||||||||||||||||||||||
Reserve, net | Recoverable, net | Reserve, net | Recoverable, net | |||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
U.S. RMBS: | ||||||||||||||||||||||||||||||||||||
First lien: | ||||||||||||||||||||||||||||||||||||
Prime first lien | $ | 3 | $ | — | $ | 3 | $ | 3 | $ | — | $ | 3 | ||||||||||||||||||||||||
Alt-A first lien | 108 | — | 108 | 93 | — | 93 | ||||||||||||||||||||||||||||||
Option ARM | 22 | 47 | (25 | ) | 52 | 216 | (164 | ) | ||||||||||||||||||||||||||||
Subprime | 143 | 2 | 141 | 82 | 0 | 82 | ||||||||||||||||||||||||||||||
First lien | 276 | 49 | 227 | 230 | 216 | 14 | ||||||||||||||||||||||||||||||
Second lien: | ||||||||||||||||||||||||||||||||||||
Closed-end second lien | 5 | 45 | (40 | ) | 5 | 72 | (67 | ) | ||||||||||||||||||||||||||||
HELOC | 5 | 127 | (122 | ) | 37 | 196 | (159 | ) | ||||||||||||||||||||||||||||
Second lien | 10 | 172 | (162 | ) | 42 | 268 | (226 | ) | ||||||||||||||||||||||||||||
Total U.S. RMBS | 286 | 221 | 65 | 272 | 484 | (212 | ) | |||||||||||||||||||||||||||||
TruPS | 2 | — | 2 | 1 | — | 1 | ||||||||||||||||||||||||||||||
Other structured finance | 145 | 6 | 139 | 197 | 4 | 193 | ||||||||||||||||||||||||||||||
U.S. public finance | 189 | 8 | 181 | 104 | 134 | (30 | ) | |||||||||||||||||||||||||||||
Non-U.S. public finance | 35 | — | 35 | 31 | — | 31 | ||||||||||||||||||||||||||||||
Financial guaranty | 657 | 235 | 422 | 605 | 622 | (17 | ) | |||||||||||||||||||||||||||||
Other | 2 | 5 | (3 | ) | 2 | 5 | (3 | ) | ||||||||||||||||||||||||||||
Subtotal | 659 | 240 | 419 | 607 | 627 | (20 | ) | |||||||||||||||||||||||||||||
Effect of consolidating FG VIEs | (103 | ) | (85 | ) | (18 | ) | (64 | ) | (217 | ) | 153 | |||||||||||||||||||||||||
Total (1) | $ | 556 | $ | 155 | $ | 401 | $ | 543 | $ | 410 | $ | 133 | ||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
(1) See “Components of Net Reserves (Salvage)” table for loss and LAE reserve and salvage and subrogation recoverable components. | ||||||||||||||||||||||||||||||||||||
Components of Net Reserves (Salvage) Insurance Contracts | ' | |||||||||||||||||||||||||||||||||||
Components of Net Reserves (Salvage) | ||||||||||||||||||||||||||||||||||||
Insurance Contracts | ||||||||||||||||||||||||||||||||||||
As of | As of | |||||||||||||||||||||||||||||||||||
31-Dec-13 | 31-Dec-12 | |||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
Loss and LAE reserve | $ | 592 | $ | 601 | ||||||||||||||||||||||||||||||||
Reinsurance recoverable on unpaid losses | (36 | ) | (58 | ) | ||||||||||||||||||||||||||||||||
Loss and LAE reserve, net | 556 | 543 | ||||||||||||||||||||||||||||||||||
Salvage and subrogation recoverable | (174 | ) | (456 | ) | ||||||||||||||||||||||||||||||||
Salvage and subrogation payable(1) | 19 | 46 | ||||||||||||||||||||||||||||||||||
Salvage and subrogation recoverable, net | (155 | ) | (410 | ) | ||||||||||||||||||||||||||||||||
Other recoverables(2) | (15 | ) | (30 | ) | ||||||||||||||||||||||||||||||||
Net reserves (salvage) | 386 | 103 | ||||||||||||||||||||||||||||||||||
Less: other (non-financial guaranty business) | (3 | ) | (3 | ) | ||||||||||||||||||||||||||||||||
Net reserves (salvage) | $ | 389 | $ | 106 | ||||||||||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
(1) Recorded as a component of reinsurance balances payable. | ||||||||||||||||||||||||||||||||||||
(2) R&W recoverables recorded in other assets on the consolidated balance sheet. | ||||||||||||||||||||||||||||||||||||
Balance Sheet Classification of Net Expected Recoveries for Breaches of R&W Insurance Contracts | ' | |||||||||||||||||||||||||||||||||||
Balance Sheet Classification of | ||||||||||||||||||||||||||||||||||||
Net Expected Recoveries for Breaches of R&W | ||||||||||||||||||||||||||||||||||||
Insurance Contracts | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | As of December 31, 2012 | |||||||||||||||||||||||||||||||||||
For all | Effect of | Reported on | For all | Effect of | Reported on | |||||||||||||||||||||||||||||||
Financial | Consolidating | Balance Sheet(1) | Financial | Consolidating | Balance Sheet(1) | |||||||||||||||||||||||||||||||
Guaranty | FG VIEs | Guaranty | FG VIEs | |||||||||||||||||||||||||||||||||
Insurance | Insurance | |||||||||||||||||||||||||||||||||||
Contracts | Contracts | |||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
Salvage and subrogation recoverable, net | $ | 122 | $ | (49 | ) | $ | 73 | $ | 449 | $ | (169 | ) | $ | 280 | ||||||||||||||||||||||
Loss and LAE reserve, net | 363 | (24 | ) | 339 | 571 | (33 | ) | 538 | ||||||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
-1 | The remaining benefit for R&W is either recorded at fair value in FG VIE assets, or not recorded on the balance sheet until the total loss, net of R&W, exceeds unearned premium reserve. | |||||||||||||||||||||||||||||||||||
Reconciliation of Net Expected Loss to be Paid and Net Expected Loss to be Expensed Financial Guaranty Insurance Contracts | ' | |||||||||||||||||||||||||||||||||||
Reconciliation of Net Expected Loss to be Paid and | ||||||||||||||||||||||||||||||||||||
Net Expected Loss to be Expensed | ||||||||||||||||||||||||||||||||||||
Financial Guaranty Insurance Contracts | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
Net expected loss to be paid | $ | 801 | ||||||||||||||||||||||||||||||||||
Less: net expected loss to be paid for FG VIEs | 60 | |||||||||||||||||||||||||||||||||||
Total | 741 | |||||||||||||||||||||||||||||||||||
Contra-paid, net | 39 | |||||||||||||||||||||||||||||||||||
Salvage and subrogation recoverable, net of reinsurance | 150 | |||||||||||||||||||||||||||||||||||
Loss and LAE reserve, net of reinsurance | (554 | ) | ||||||||||||||||||||||||||||||||||
Other recoveries (1) | 15 | |||||||||||||||||||||||||||||||||||
Net expected loss to be expensed (2) | $ | 391 | ||||||||||||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
-1 | R&W recoverables recorded in other assets on the consolidated balance sheet. | |||||||||||||||||||||||||||||||||||
-2 | Excludes $98 million as of December 31, 2013 related to consolidated FG VIEs. | |||||||||||||||||||||||||||||||||||
Net Expected Loss to be Expensed Insurance Contracts | ' | |||||||||||||||||||||||||||||||||||
Net Expected Loss to be Expensed | ||||||||||||||||||||||||||||||||||||
Insurance Contracts | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
2014 (January 1 - March 31) | $ | 11 | ||||||||||||||||||||||||||||||||||
2014 (April 1 - June 30) | 11 | |||||||||||||||||||||||||||||||||||
2014 (July 1 - September 30) | 10 | |||||||||||||||||||||||||||||||||||
2014 (October 1–December 31) | 10 | |||||||||||||||||||||||||||||||||||
Subtotal 2014 | 42 | |||||||||||||||||||||||||||||||||||
2015 | 41 | |||||||||||||||||||||||||||||||||||
2016 | 33 | |||||||||||||||||||||||||||||||||||
2017 | 30 | |||||||||||||||||||||||||||||||||||
2018 | 27 | |||||||||||||||||||||||||||||||||||
2019 - 2023 | 99 | |||||||||||||||||||||||||||||||||||
2024 - 2028 | 56 | |||||||||||||||||||||||||||||||||||
2029 - 2033 | 36 | |||||||||||||||||||||||||||||||||||
After 2033 | 27 | |||||||||||||||||||||||||||||||||||
Net expected loss to be expensed(1) | 391 | |||||||||||||||||||||||||||||||||||
Discount | 406 | |||||||||||||||||||||||||||||||||||
Total future value | $ | 797 | ||||||||||||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
-1 | Consolidation of FG VIEs resulted in reductions of $98 million in net expected loss to be expensed which is on a present value basis. | |||||||||||||||||||||||||||||||||||
Loss and LAE Reported on the Consolidated Statements of Operations | ' | |||||||||||||||||||||||||||||||||||
Loss and LAE | ||||||||||||||||||||||||||||||||||||
Reported on the | ||||||||||||||||||||||||||||||||||||
Consolidated Statements of Operations | ||||||||||||||||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||||||||||||||||
2013 | 2012 | 2011 | ||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
Structured Finance: | ||||||||||||||||||||||||||||||||||||
U.S. RMBS: | ||||||||||||||||||||||||||||||||||||
First lien: | ||||||||||||||||||||||||||||||||||||
Prime first lien | $ | 1 | $ | 2 | $ | — | ||||||||||||||||||||||||||||||
Alt-A first lien | (2 | ) | 51 | 53 | ||||||||||||||||||||||||||||||||
Option ARM | (48 | ) | 137 | 203 | ||||||||||||||||||||||||||||||||
Subprime | 80 | 38 | (39 | ) | ||||||||||||||||||||||||||||||||
First lien | 31 | 228 | 217 | |||||||||||||||||||||||||||||||||
Second lien: | ||||||||||||||||||||||||||||||||||||
Closed end second lien | 18 | 31 | 1 | |||||||||||||||||||||||||||||||||
HELOC | (53 | ) | 49 | 171 | ||||||||||||||||||||||||||||||||
Second lien | (35 | ) | 80 | 172 | ||||||||||||||||||||||||||||||||
Total U.S. RMBS | (4 | ) | 308 | 389 | ||||||||||||||||||||||||||||||||
TruPS | (1 | ) | (10 | ) | 11 | |||||||||||||||||||||||||||||||
Other structured finance | (34 | ) | 3 | 107 | ||||||||||||||||||||||||||||||||
Structured finance | (35 | ) | (7 | ) | 118 | |||||||||||||||||||||||||||||||
Public Finance: | ||||||||||||||||||||||||||||||||||||
U.S. public finance | 198 | 51 | 15 | |||||||||||||||||||||||||||||||||
Non-U.S. public finance | 16 | 234 | 33 | |||||||||||||||||||||||||||||||||
Public finance | 214 | 285 | 48 | |||||||||||||||||||||||||||||||||
Subtotal | 175 | 586 | 555 | |||||||||||||||||||||||||||||||||
Other | — | (17 | ) | — | ||||||||||||||||||||||||||||||||
Loss and LAE insurance contracts before FG VIE consolidation | 175 | 569 | 555 | |||||||||||||||||||||||||||||||||
Effect of consolidating FG VIEs | (21 | ) | (65 | ) | (107 | ) | ||||||||||||||||||||||||||||||
Loss and LAE | $ | 154 | $ | 504 | $ | 448 | ||||||||||||||||||||||||||||||
Financial Guaranty Insurance BIG Transaction Loss Summary | ' | |||||||||||||||||||||||||||||||||||
Financial Guaranty Insurance | ||||||||||||||||||||||||||||||||||||
BIG Transaction Loss Summary | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
BIG Categories (1) | ||||||||||||||||||||||||||||||||||||
BIG 1 | BIG 2 | BIG 3 | Total | Effect of | Total | |||||||||||||||||||||||||||||||
BIG, Net | Consolidating | |||||||||||||||||||||||||||||||||||
Gross | Ceded | Gross | Ceded | Gross | Ceded | FG VIEs | ||||||||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||||||||||||
Number of risks(2) | 185 | (72 | ) | 80 | (24 | ) | 119 | (34 | ) | 384 | — | 384 | ||||||||||||||||||||||||
Remaining weighted-average contract period (in years) | 10.5 | 8.1 | 8.3 | 5.9 | 9.8 | 7.2 | 10.5 | — | 10.5 | |||||||||||||||||||||||||||
Outstanding exposure: | ||||||||||||||||||||||||||||||||||||
Principal | $ | 15,132 | $ | (2,741 | ) | $ | 2,483 | $ | (160 | ) | $ | 3,189 | $ | (158 | ) | $ | 17,745 | $ | — | $ | 17,745 | |||||||||||||||
Interest | 8,114 | (1,144 | ) | 1,181 | (53 | ) | 1,244 | (52 | ) | 9,290 | — | 9,290 | ||||||||||||||||||||||||
Total(3) | $ | 23,246 | $ | (3,885 | ) | $ | 3,664 | $ | (213 | ) | $ | 4,433 | $ | (210 | ) | $ | 27,035 | $ | — | $ | 27,035 | |||||||||||||||
Expected cash outflows (inflows) | $ | 1,853 | $ | (528 | ) | $ | 1,038 | $ | (40 | ) | $ | 1,681 | $ | (62 | ) | $ | 3,942 | $ | (690 | ) | $ | 3,252 | ||||||||||||||
Potential recoveries(4) | (1,879 | ) | 514 | (671 | ) | 27 | (707 | ) | 32 | (2,684 | ) | 579 | (2,105 | ) | ||||||||||||||||||||||
Subtotal | (26 | ) | (14 | ) | 367 | (13 | ) | 974 | (30 | ) | 1,258 | (111 | ) | 1,147 | ||||||||||||||||||||||
Discount | 13 | — | (126 | ) | 3 | (352 | ) | 5 | (457 | ) | 51 | (406 | ) | |||||||||||||||||||||||
Present value of expected cash flows | $ | (13 | ) | $ | (14 | ) | $ | 241 | $ | (10 | ) | $ | 622 | $ | (25 | ) | $ | 801 | $ | (60 | ) | $ | 741 | |||||||||||||
Deferred premium revenue | $ | 517 | $ | (90 | ) | $ | 163 | $ | (7 | ) | $ | 303 | $ | (27 | ) | $ | 859 | $ | (178 | ) | $ | 681 | ||||||||||||||
Reserves (salvage)(5) | $ | (114 | ) | $ | 1 | $ | 117 | $ | (4 | ) | $ | 420 | $ | (13 | ) | $ | 407 | $ | (18 | ) | $ | 389 | ||||||||||||||
Financial Guaranty Insurance | ||||||||||||||||||||||||||||||||||||
BIG Transaction Loss Summary | ||||||||||||||||||||||||||||||||||||
As of December 31, 2012 | ||||||||||||||||||||||||||||||||||||
BIG Categories (1) | ||||||||||||||||||||||||||||||||||||
BIG 1 | BIG 2 | BIG 3 | Total | Effect of | Total | |||||||||||||||||||||||||||||||
BIG, Net | Consolidating | |||||||||||||||||||||||||||||||||||
Gross | Ceded | Gross | Ceded | Gross | Ceded | FG VIEs | ||||||||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||||||||||||
Number of risks(2) | 163 | (66 | ) | 76 | (22 | ) | 131 | (41 | ) | 370 | — | 370 | ||||||||||||||||||||||||
Remaining weighted-average contract period (in years) | 10.2 | 9.2 | 10.6 | 15.1 | 9 | 6 | 10 | — | 10 | |||||||||||||||||||||||||||
Outstanding exposure: | ||||||||||||||||||||||||||||||||||||
Principal | $ | 9,462 | $ | (1,533 | ) | $ | 2,248 | $ | (132 | ) | $ | 6,024 | $ | (481 | ) | $ | 15,588 | $ | — | $ | 15,588 | |||||||||||||||
Interest | 4,475 | (591 | ) | 1,357 | (127 | ) | 1,881 | (117 | ) | 6,878 | — | 6,878 | ||||||||||||||||||||||||
Total(3) | $ | 13,937 | $ | (2,124 | ) | $ | 3,605 | $ | (259 | ) | $ | 7,905 | $ | (598 | ) | $ | 22,466 | $ | — | $ | 22,466 | |||||||||||||||
Expected cash outflows (inflows) | $ | 1,914 | $ | (687 | ) | $ | 863 | $ | (58 | ) | $ | 2,720 | $ | (146 | ) | $ | 4,606 | $ | (738 | ) | $ | 3,868 | ||||||||||||||
Potential recoveries(4) | (2,356 | ) | 677 | (509 | ) | 18 | (1,911 | ) | 117 | (3,964 | ) | 798 | (3,166 | ) | ||||||||||||||||||||||
Subtotal | (442 | ) | (10 | ) | 354 | (40 | ) | 809 | (29 | ) | 642 | 60 | 702 | |||||||||||||||||||||||
Discount | 12 | 8 | (107 | ) | 14 | (216 | ) | 2 | (287 | ) | 36 | (251 | ) | |||||||||||||||||||||||
Present value of expected cash flows | $ | (430 | ) | $ | (2 | ) | $ | 247 | $ | (26 | ) | $ | 593 | $ | (27 | ) | $ | 355 | $ | 96 | $ | 451 | ||||||||||||||
Deferred premium revenue | $ | 265 | $ | (32 | ) | $ | 227 | $ | (15 | ) | $ | 604 | $ | (83 | ) | $ | 966 | $ | (251 | ) | $ | 715 | ||||||||||||||
Reserves (salvage)(5) | $ | (485 | ) | $ | 10 | $ | 102 | $ | (18 | ) | $ | 347 | $ | (3 | ) | $ | (47 | ) | $ | 153 | $ | 106 | ||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
-1 | In third quarter 2013, the Company adjusted its approach to assigning internal ratings. See "Refinement of Approach to Internal Credit Ratings and Surveillance Categories" in Note 3, Outstanding Exposure. This approach is reflected in the "Financial Guaranty Insurance BIG Transaction Loss Summary" tables as of both December 31, 2013 and December 31, 2012. | |||||||||||||||||||||||||||||||||||
-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 ceded number of risks represents the number of risks for which the Company ceded a portion of its exposure. | |||||||||||||||||||||||||||||||||||
-3 | Includes BIG amounts related to FG VIEs. | |||||||||||||||||||||||||||||||||||
-4 | Includes estimated future recoveries for breaches of R&W as well as excess spread, and draws on HELOCs. | |||||||||||||||||||||||||||||||||||
-5 | See table “Components of net reserves (salvage).” | |||||||||||||||||||||||||||||||||||
Fair_Value_Measurement_Tables
Fair Value Measurement (Tables) | 12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||
Information by Credit Spread Type | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||
Information by Credit Spread Type (1) | |||||||||||||||||||||||||||||||||||||||||||||||||||
As of | As of | ||||||||||||||||||||||||||||||||||||||||||||||||||
31-Dec-13 | 31-Dec-12 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Based on actual collateral specific spreads | 6 | % | 6 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Based on market indices | 88 | % | 88 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Provided by the CDS counterparty | 6 | % | 6 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Total | 100 | % | 100 | % | |||||||||||||||||||||||||||||||||||||||||||||||
____________________ | |||||||||||||||||||||||||||||||||||||||||||||||||||
(1) Based on par. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of example effects of change in gross spreads, company's own credit spread and cost to buy protection on the on the Company affect the amount of premium the company can demand for credit protection | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||
Following is an example of how changes in gross spreads, the Company’s own credit spread and the cost to buy protection on the Company affect the amount of premium the Company can demand for its credit protection. The assumptions used in these examples are hypothetical amounts. Scenario 1 represents the market conditions in effect on the transaction date and Scenario 2 represents market conditions at a subsequent reporting date. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Scenario 1 | Scenario 2 | ||||||||||||||||||||||||||||||||||||||||||||||||||
bps | % of Total | bps | % of Total | ||||||||||||||||||||||||||||||||||||||||||||||||
Original gross spread/cash bond price (in bps) | 185 | 500 | |||||||||||||||||||||||||||||||||||||||||||||||||
Bank profit (in bps) | 115 | 62 | % | 50 | 10 | % | |||||||||||||||||||||||||||||||||||||||||||||
Hedge cost (in bps) | 30 | 16 | % | 440 | 88 | % | |||||||||||||||||||||||||||||||||||||||||||||
The Company premium received per annum (in bps) | 40 | 22 | % | 10 | 2 | % | |||||||||||||||||||||||||||||||||||||||||||||
Fair Value Hierarchy of Financial Instruments Carried at Fair Value | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Hierarchy of Financial Instruments Carried at Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Hierarchy | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | Level 1 | Level 2 | Level 3 | ||||||||||||||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Investment portfolio, available-for-sale: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fixed-maturity securities | |||||||||||||||||||||||||||||||||||||||||||||||||||
Obligations of state and political subdivisions | $ | 5,079 | $ | — | $ | 5,043 | $ | 36 | |||||||||||||||||||||||||||||||||||||||||||
U.S. government and agencies | 700 | — | 700 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Corporate securities | 1,340 | — | 1,204 | 136 | |||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
RMBS | 1,122 | — | 832 | 290 | |||||||||||||||||||||||||||||||||||||||||||||||
CMBS | 549 | — | 549 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Asset-backed securities | 608 | — | 340 | 268 | |||||||||||||||||||||||||||||||||||||||||||||||
Foreign government securities | 313 | — | 313 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Total fixed-maturity securities | 9,711 | — | 8,981 | 730 | |||||||||||||||||||||||||||||||||||||||||||||||
Short-term investments | 904 | 506 | 398 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Other invested assets(1) | 127 | — | 119 | 8 | |||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative assets | 94 | — | — | 94 | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ assets, at fair value | 2,565 | — | — | 2,565 | |||||||||||||||||||||||||||||||||||||||||||||||
Other assets(2) | 84 | 27 | 11 | 46 | |||||||||||||||||||||||||||||||||||||||||||||||
Total assets carried at fair value | $ | 13,485 | $ | 533 | $ | 9,509 | $ | 3,443 | |||||||||||||||||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative liabilities | $ | 1,787 | $ | — | $ | — | $ | 1,787 | |||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities with recourse, at fair value | 1,790 | — | — | 1,790 | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities without recourse, at fair value | 1,081 | — | — | 1,081 | |||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities carried at fair value | $ | 4,658 | $ | — | $ | — | $ | 4,658 | |||||||||||||||||||||||||||||||||||||||||||
Fair Value Hierarchy of Financial Instruments Carried at Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||||||
As of December 31, 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Hierarchy | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | Level 1 | Level 2 | Level 3 | ||||||||||||||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Investment portfolio, available-for-sale: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fixed-maturity securities | |||||||||||||||||||||||||||||||||||||||||||||||||||
Obligations of state and political subdivisions | $ | 5,631 | $ | — | $ | 5,596 | $ | 35 | |||||||||||||||||||||||||||||||||||||||||||
U.S. government and agencies | 794 | — | 794 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Corporate securities | 1,010 | — | 1,010 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
RMBS | 1,266 | — | 1,047 | 219 | |||||||||||||||||||||||||||||||||||||||||||||||
CMBS | 520 | — | 520 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Asset-backed securities | 531 | — | 225 | 306 | |||||||||||||||||||||||||||||||||||||||||||||||
Foreign government securities | 304 | — | 304 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Total fixed-maturity securities | 10,056 | — | 9,496 | 560 | |||||||||||||||||||||||||||||||||||||||||||||||
Short-term investments | 817 | 446 | 371 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Other invested assets(1) | 120 | — | 112 | 8 | |||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative assets | 141 | — | — | 141 | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ assets, at fair value | 2,688 | — | — | 2,688 | |||||||||||||||||||||||||||||||||||||||||||||||
Other assets(2) | 65 | 24 | 5 | 36 | |||||||||||||||||||||||||||||||||||||||||||||||
Total assets carried at fair value | $ | 13,887 | $ | 470 | $ | 9,984 | $ | 3,433 | |||||||||||||||||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative liabilities | $ | 1,934 | $ | — | $ | — | $ | 1,934 | |||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities with recourse, at fair value | 2,090 | — | — | 2,090 | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities without recourse, at fair value | 1,051 | — | — | 1,051 | |||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities carried at fair value | $ | 5,075 | $ | — | $ | — | $ | 5,075 | |||||||||||||||||||||||||||||||||||||||||||
____________________ | |||||||||||||||||||||||||||||||||||||||||||||||||||
-1 | Includes mortgage loans that are recorded at fair value on a non-recurring basis. At December 31, 2013 and December 31, 2012, such investments were carried at their fair value of $6 million and $7 million, respectively. | ||||||||||||||||||||||||||||||||||||||||||||||||||
(2) Includes fair value of CCS and supplemental executive retirement plan assets. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Level 3 Roll Forward | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Level 3 Rollforward | |||||||||||||||||||||||||||||||||||||||||||||||||||
Recurring Basis | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2013 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fixed-Maturity Securities | |||||||||||||||||||||||||||||||||||||||||||||||||||
Obligations | Corporate Securities | RMBS | Asset- | Other | FG VIEs’ | Other | Credit | FG VIEs' Liabilities | FG VIEs’ Liabilities | ||||||||||||||||||||||||||||||||||||||||||
of State and | Backed | Invested | Assets at | Assets | Derivative | with | without | ||||||||||||||||||||||||||||||||||||||||||||
Political | Securities | Assets | Fair | Asset | Recourse, | Recourse, | |||||||||||||||||||||||||||||||||||||||||||||
Subdivisions | Value | (Liability), | at Fair | at Fair | |||||||||||||||||||||||||||||||||||||||||||||||
net(5) | Value | Value | |||||||||||||||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fair value as of December 31, 2012 | $ | 35 | $ | — | $ | 219 | $ | 306 | $ | 1 | $ | 2,688 | $ | 36 | $ | (1,793 | ) | $ | (2,090 | ) | $ | (1,051 | ) | ||||||||||||||||||||||||||||
Total pretax realized and unrealized gains/(losses) recorded in:(1) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | (8 | ) | (2 | ) | 4 | (2 | ) | 13 | (2 | ) | 67 | (2 | ) | (1 | ) | (7 | ) | 686 | (3 | ) | 10 | (4 | ) | 65 | (6 | ) | (166 | ) | (3 | ) | (225 | ) | (3 | ) | |||||||||||||||||
Other comprehensive income (loss) | 13 | 5 | 26 | (43 | ) | 2 | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
Purchases | — | 130 | (8 | ) | 86 | 80 | 2 | (8 | ) | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||
Settlements | (4 | ) | (3 | ) | (54 | ) | (142 | ) | (2 | ) | (663 | ) | — | 35 | 343 | 168 | |||||||||||||||||||||||||||||||||||
FG VIE consolidations | — | — | — | — | — | 48 | — | — | (12 | ) | (37 | ) | |||||||||||||||||||||||||||||||||||||||
FG VIE deconsolidations | — | — | — | — | — | (194 | ) | — | — | 135 | 64 | ||||||||||||||||||||||||||||||||||||||||
Fair value as of December 31, 2013 | $ | 36 | $ | 136 | $ | 290 | $ | 268 | $ | 2 | $ | 2,565 | $ | 46 | $ | (1,693 | ) | $ | (1,790 | ) | $ | (1,081 | ) | ||||||||||||||||||||||||||||
Change in unrealized gains/(losses) related to financial instruments held as of December 31, 2013 | $ | 14 | $ | 5 | $ | 27 | $ | (20 | ) | $ | 2 | $ | 623 | $ | 10 | $ | (139 | ) | $ | (169 | ) | $ | (326 | ) | |||||||||||||||||||||||||||
Fair Value Level 3 Rollforward | |||||||||||||||||||||||||||||||||||||||||||||||||||
Recurring Basis | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fixed-Maturity Securities | |||||||||||||||||||||||||||||||||||||||||||||||||||
Obligations of state and political subdivisions | RMBS | Asset Backed Securities | Other | FG VIEs’ | Other | Credit | FG VIEs’ Liabilities | FG VIEs’ Liabilities | |||||||||||||||||||||||||||||||||||||||||||
Invested | Assets at | Assets | Derivative | with | without | ||||||||||||||||||||||||||||||||||||||||||||||
Assets | Fair | Asset | Recourse, | Recourse, | |||||||||||||||||||||||||||||||||||||||||||||||
Value | (Liability), | at Fair | at Fair | ||||||||||||||||||||||||||||||||||||||||||||||||
net(5) | Value | Value | |||||||||||||||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fair value as of December 31, 2011 | $ | 10 | $ | 134 | $ | 235 | $ | 2 | $ | 2,819 | $ | 54 | $ | (1,304 | ) | $ | (2,397 | ) | (1,061 | ) | |||||||||||||||||||||||||||||||
Total pretax realized and unrealized gains/(losses) recorded in:(1) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | 1 | (2 | ) | 11 | (2 | ) | 29 | (2 | ) | 0 | (7 | ) | 399 | (3 | ) | (18 | ) | (4 | ) | (585 | ) | (6 | ) | (276 | ) | (3 | ) | (195 | ) | (3 | ) | ||||||||||||||||||||
Other comprehensive income (loss) | (10 | ) | 16 | 30 | (1 | ) | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
Purchases | 34 | 108 | 40 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
Settlements | — | (50 | ) | (28 | ) | — | (545 | ) | — | 96 | 519 | 205 | |||||||||||||||||||||||||||||||||||||||
FG VIE consolidations | — | — | — | — | 15 | — | — | (18 | ) | — | |||||||||||||||||||||||||||||||||||||||||
FG VIE elimination | — | — | — | — | — | — | — | 82 | — | ||||||||||||||||||||||||||||||||||||||||||
Fair value as of December 31, 2012 | $ | 35 | $ | 219 | $ | 306 | $ | 1 | $ | 2,688 | $ | 36 | $ | (1,793 | ) | $ | (2,090 | ) | (1,051 | ) | |||||||||||||||||||||||||||||||
Change in unrealized gains/(losses) related to financial instruments held as of December 31, 2012 | $ | (10 | ) | $ | 11 | $ | 33 | $ | (1 | ) | $ | 674 | $ | (18 | ) | $ | (480 | ) | $ | (608 | ) | 50 | |||||||||||||||||||||||||||||
___________________ | |||||||||||||||||||||||||||||||||||||||||||||||||||
-1 | Realized and unrealized gains (losses) from changes in values of Level 3 financial instruments represent gains (losses) from changes in values of those financial instruments only for the periods in which the instruments were classified as Level 3. | ||||||||||||||||||||||||||||||||||||||||||||||||||
-2 | Included in net realized investment gains (losses) and net investment income. | ||||||||||||||||||||||||||||||||||||||||||||||||||
-3 | Included in fair value gains (losses) on FG VIEs. | ||||||||||||||||||||||||||||||||||||||||||||||||||
-4 | Recorded in fair value gains (losses) on CCS. | ||||||||||||||||||||||||||||||||||||||||||||||||||
-5 | Represents net position of credit derivatives. The consolidated balance sheet presents gross assets and liabilities based on net counterparty exposure. | ||||||||||||||||||||||||||||||||||||||||||||||||||
-6 | Reported in net change in fair value of credit derivatives. | ||||||||||||||||||||||||||||||||||||||||||||||||||
-7 | Reported in other income. | ||||||||||||||||||||||||||||||||||||||||||||||||||
-8 | Non cash transaction. | ||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Quantitative Information About Level 3 Fair Value Measurements | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||
Quantitative Information About Level 3 Fair Value Inputs | |||||||||||||||||||||||||||||||||||||||||||||||||||
At December 31, 2013 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Instrument Description | Fair Value at December 31, 2013(in millions) | Valuation | Significant Unobservable Inputs | Range | |||||||||||||||||||||||||||||||||||||||||||||||
Technique | |||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fixed-maturity securities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Obligations of state and political subdivisions | $ | 36 | Discounted | Rate of inflation | 1 | % | - | 3.00% | |||||||||||||||||||||||||||||||||||||||||||
cash flow | Cash flow receipts | 0.5 | % | - | 60.90% | ||||||||||||||||||||||||||||||||||||||||||||||
Discount rates | 4.6 | % | 9.00% | ||||||||||||||||||||||||||||||||||||||||||||||||
Collateral recovery period | 1 month | - | 10 years | ||||||||||||||||||||||||||||||||||||||||||||||||
Corporate securities | 136 | Discounted | Yield | 8.30% | |||||||||||||||||||||||||||||||||||||||||||||||
cash flow | |||||||||||||||||||||||||||||||||||||||||||||||||||
RMBS | 290 | Discounted | CPR | 1 | % | - | 15.80% | ||||||||||||||||||||||||||||||||||||||||||||
cash flow | CDR | 5 | % | - | 25.80% | ||||||||||||||||||||||||||||||||||||||||||||||
Severity | 48.1 | % | - | 102.50% | |||||||||||||||||||||||||||||||||||||||||||||||
Yield | 2.5 | % | - | 9.40% | |||||||||||||||||||||||||||||||||||||||||||||||
Asset-backed securities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Investor owned utility | 141 | Discounted cash flow | Liquidation value (in millions) | $195 | - | $245 | |||||||||||||||||||||||||||||||||||||||||||||
Years to liquidation | 0 years | - | 3 years | ||||||||||||||||||||||||||||||||||||||||||||||||
Collateral recovery period | 12 months | 6 years | |||||||||||||||||||||||||||||||||||||||||||||||||
Discount factor | 15.30% | ||||||||||||||||||||||||||||||||||||||||||||||||||
XXX life insurance transactions | 127 | Discounted | Yield | 12.50% | |||||||||||||||||||||||||||||||||||||||||||||||
cash flow | |||||||||||||||||||||||||||||||||||||||||||||||||||
Other invested assets | 8 | Discounted cash flow | Discount for lack of liquidity | 10 | % | - | 20.00% | ||||||||||||||||||||||||||||||||||||||||||||
Recovery on delinquent loans | 20 | % | - | 60.00% | |||||||||||||||||||||||||||||||||||||||||||||||
Default rates | 1 | % | - | 10.00% | |||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 40 | % | - | 90.00% | |||||||||||||||||||||||||||||||||||||||||||||||
Prepayment speeds | 6 | % | - | 15.00% | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ assets, at fair value | 2,565 | Discounted | CPR | 0.3 | % | - | 11.80% | ||||||||||||||||||||||||||||||||||||||||||||
cash flow | CDR | 3 | % | - | 25.80% | ||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 37.5 | % | - | 102.00% | |||||||||||||||||||||||||||||||||||||||||||||||
Yield | 3.5 | % | - | 10.20% | |||||||||||||||||||||||||||||||||||||||||||||||
Financial Instrument Description | Fair Value at | Valuation | Significant Unobservable Inputs | Range | |||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2013 | Technique | ||||||||||||||||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets | 46 | Discounted cash flow | Quotes from third party pricing | $47 | - | $53 | |||||||||||||||||||||||||||||||||||||||||||||
Term (years) | 5 years | ||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative liabilities, net | (1,693 | ) | Discounted | Year 1 loss estimates | 0 | % | - | 48.00% | |||||||||||||||||||||||||||||||||||||||||||
cash flow | Hedge cost (in bps) | 46.3 | - | 525 | |||||||||||||||||||||||||||||||||||||||||||||||
Bank profit (in bps) | 1 | - | 1,418.50 | ||||||||||||||||||||||||||||||||||||||||||||||||
Internal floor (in bps) | 7 | - | 100 | ||||||||||||||||||||||||||||||||||||||||||||||||
Internal credit rating | AAA | - | BIG | ||||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities, at fair value | (2,871 | ) | Discounted | CPR | 0.3 | % | - | 11.80% | |||||||||||||||||||||||||||||||||||||||||||
cash flow | CDR | 3 | % | - | 25.80% | ||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 37.5 | % | - | 102.00% | |||||||||||||||||||||||||||||||||||||||||||||||
Yield | 3.5 | % | - | 10.20% | |||||||||||||||||||||||||||||||||||||||||||||||
Quantitative Information About Level 3 Fair Value Inputs | |||||||||||||||||||||||||||||||||||||||||||||||||||
At December 31, 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Instrument Description | Fair Value at December 31, 2012(in millions) | Valuation | Significant Unobservable Inputs | Range | |||||||||||||||||||||||||||||||||||||||||||||||
Technique | |||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fixed-maturity securities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Obligations of state and political subdivisions | $ | 35 | Discounted | Rate of inflation | 1 | % | - | 3.00% | |||||||||||||||||||||||||||||||||||||||||||
cash flow | Cash flow receipts | 4.9 | % | - | 85.80% | ||||||||||||||||||||||||||||||||||||||||||||||
Discount rates | 4.3 | % | 9.00% | ||||||||||||||||||||||||||||||||||||||||||||||||
Collateral recovery period | 1 month | - | 43 years | ||||||||||||||||||||||||||||||||||||||||||||||||
RMBS | 219 | Discounted | CPR | 0.8 | % | - | 7.50% | ||||||||||||||||||||||||||||||||||||||||||||
cash flow | CDR | 4.4 | % | - | 28.60% | ||||||||||||||||||||||||||||||||||||||||||||||
Severity | 48.1 | % | - | 102.80% | |||||||||||||||||||||||||||||||||||||||||||||||
Yield | 3.5 | % | - | 12.80% | |||||||||||||||||||||||||||||||||||||||||||||||
Asset-backed securities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Whole business securitization | 63 | Discounted cash flow | Annual gross revenue projections (in millions) | $54 | - | $96 | |||||||||||||||||||||||||||||||||||||||||||||
Value of primary financial guaranty policy | 43.80% | ||||||||||||||||||||||||||||||||||||||||||||||||||
Liquidity discount | 5 | % | - | 20.00% | |||||||||||||||||||||||||||||||||||||||||||||||
Investor owned utility | 186 | Discounted cash flow | Liquidation value (in millions) | $212 | - | $242 | |||||||||||||||||||||||||||||||||||||||||||||
Years to liquidation | 0 years | - | 3 years | ||||||||||||||||||||||||||||||||||||||||||||||||
Discount factor | 15.30% | ||||||||||||||||||||||||||||||||||||||||||||||||||
XXX life insurance transactions | 57 | Discounted | Yield | 12.50% | |||||||||||||||||||||||||||||||||||||||||||||||
cash flow | |||||||||||||||||||||||||||||||||||||||||||||||||||
Other invested assets | 8 | Discounted cash flow | Discount for lack of liquidity | 10 | % | - | 20.00% | ||||||||||||||||||||||||||||||||||||||||||||
Recovery on delinquent loans | 20 | % | - | 60.00% | |||||||||||||||||||||||||||||||||||||||||||||||
Default rates | 1 | % | - | 12.00% | |||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 40 | % | - | 90.00% | |||||||||||||||||||||||||||||||||||||||||||||||
Prepayment speeds | 6 | % | - | 15.00% | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ assets, at fair value | 2,688 | Discounted | CPR | 0.5 | % | - | 10.90% | ||||||||||||||||||||||||||||||||||||||||||||
cash flow | CDR | 3 | % | - | 28.60% | ||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 37.5 | % | - | 103.80% | |||||||||||||||||||||||||||||||||||||||||||||||
Yield | 4.5 | % | - | 20.00% | |||||||||||||||||||||||||||||||||||||||||||||||
Financial Instrument Description | Fair Value at | Valuation | Significant Unobservable Inputs | Range | |||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2012 | Technique | ||||||||||||||||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets | 36 | Discounted cash flow | Quotes from third party pricing | $38 | - | $51 | |||||||||||||||||||||||||||||||||||||||||||||
Term (years) | 3 years | ||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative liabilities, net | (1,793 | ) | Discounted | Year 1 loss estimates | 0 | % | - | 58.70% | |||||||||||||||||||||||||||||||||||||||||||
cash flow | Hedge cost (in bps) | 64.2 | - | 678.4 | |||||||||||||||||||||||||||||||||||||||||||||||
Bank profit (in bps) | 1 | - | 1,312.90 | ||||||||||||||||||||||||||||||||||||||||||||||||
Internal floor (in bps) | 7 | - | 60 | ||||||||||||||||||||||||||||||||||||||||||||||||
Internal credit rating | AAA | - | BIG | ||||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities, at fair value | (3,141 | ) | Discounted | CPR | 0.5 | % | - | 10.90% | |||||||||||||||||||||||||||||||||||||||||||
cash flow | CDR | 3 | % | - | 28.60% | ||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 37.5 | % | - | 103.80% | |||||||||||||||||||||||||||||||||||||||||||||||
Yield | 4.5 | % | - | 20.00% | |||||||||||||||||||||||||||||||||||||||||||||||
The carrying amoun | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value of Financial Instruments | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||
The carrying amount and estimated fair value of the Company’s financial instruments are presented in the following table. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value of Financial Instruments | |||||||||||||||||||||||||||||||||||||||||||||||||||
As of | As of | ||||||||||||||||||||||||||||||||||||||||||||||||||
31-Dec-13 | 31-Dec-12 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Carrying | Estimated | Carrying | Estimated | ||||||||||||||||||||||||||||||||||||||||||||||||
Amount | Fair Value | Amount | Fair Value | ||||||||||||||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fixed-maturity securities | $ | 9,711 | $ | 9,711 | $ | 10,056 | $ | 10,056 | |||||||||||||||||||||||||||||||||||||||||||
Short-term investments | 904 | 904 | 817 | 817 | |||||||||||||||||||||||||||||||||||||||||||||||
Other invested assets | 147 | 155 | 177 | 182 | |||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative assets | 94 | 94 | 141 | 141 | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ assets, at fair value | 2,565 | 2,565 | 2,688 | 2,688 | |||||||||||||||||||||||||||||||||||||||||||||||
Other assets | 179 | 179 | 166 | 166 | |||||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Financial guaranty insurance contracts(1) | 3,783 | 5,128 | 3,918 | 6,537 | |||||||||||||||||||||||||||||||||||||||||||||||
Long-term debt | 816 | 970 | 836 | 1,091 | |||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative liabilities | 1,787 | 1,787 | 1,934 | 1,934 | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities with recourse, at fair value | 1,790 | 1,790 | 2,090 | 2,090 | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities without recourse, at fair value | 1,081 | 1,081 | 1,051 | 1,051 | |||||||||||||||||||||||||||||||||||||||||||||||
Other liabilities | 36 | 36 | 47 | 47 | |||||||||||||||||||||||||||||||||||||||||||||||
____________________ | |||||||||||||||||||||||||||||||||||||||||||||||||||
-1 | Carrying amount includes the assets and liabilities related to financial guaranty insurance contract premiums, losses, and salvage and subrogation and other recoverables net of reinsurance. |
Financial_Guaranty_Contracts_A1
Financial Guaranty Contracts Accounted for as Credit Derivatives (Tables) | 12 Months Ended | ||||||||||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | ||||||||||||||||||||||||
Credit Derivatives Subordination and Ratings | ' | ||||||||||||||||||||||||
Credit Derivatives | |||||||||||||||||||||||||
Subordination and Ratings | |||||||||||||||||||||||||
As of December 31, 2013 | As of December 31, 2012 | ||||||||||||||||||||||||
Asset Type | Net Par | Original | Current | Weighted | Net Par | Original | Current | Weighted | |||||||||||||||||
Outstanding | Subordination(1) | Subordination(1) | Average | Outstanding | Subordination(1) | Subordination(1) | Average | ||||||||||||||||||
Credit | Credit | ||||||||||||||||||||||||
Rating | Rating | ||||||||||||||||||||||||
(dollars in millions) | |||||||||||||||||||||||||
Pooled corporate obligations: | |||||||||||||||||||||||||
Collateralized loan obligation/collateral bond obligations | $ | 19,323 | 32.4 | % | 34 | % | AAA | $ | 29,142 | 32.8 | % | 33.3 | % | AAA | |||||||||||
Synthetic investment grade pooled corporate | 9,754 | 21.6 | 20 | AAA | 9,658 | 21.6 | 19.7 | AAA | |||||||||||||||||
Synthetic high yield pooled corporate | 2,690 | 47.2 | 41.1 | AAA | 3,626 | 35 | 30.3 | AAA | |||||||||||||||||
TruPS CDOs | 3,554 | 45.5 | 32.9 | BB+ | 4,099 | 46.5 | 32.7 | BB | |||||||||||||||||
Market value CDOs of corporate obligations | 2,000 | 24.4 | 30.5 | AAA | 3,595 | 30.1 | 32 | AAA | |||||||||||||||||
Total pooled corporate obligations | 37,321 | 31.5 | 30.6 | AAA | 50,120 | 31.7 | 30.4 | AAA | |||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||||||
Option ARM and Alt-A first lien | 2,609 | 19.2 | 8.6 | BB- | 3,381 | 20.2 | 10.4 | B+ | |||||||||||||||||
Subprime first lien | 2,930 | 30.5 | 51.9 | AA- | 3,494 | 29.8 | 52.6 | A+ | |||||||||||||||||
Prime first lien | 264 | 10.9 | 3.2 | CCC | 333 | 10.9 | 5.2 | B | |||||||||||||||||
Closed end second lien and HELOCs | 23 | — | — | B+ | 49 | — | — | B- | |||||||||||||||||
Total U.S. RMBS | 5,826 | 24.4 | 30.1 | BBB | 7,257 | 24.2 | 30.4 | BBB | |||||||||||||||||
CMBS | 3,744 | 33.5 | 42.5 | AAA | 4,094 | 33.3 | 41.8 | AAA | |||||||||||||||||
Other | 7,591 | — | — | A- | 9,310 | — | — | A | |||||||||||||||||
Total | $ | 54,482 | AA+ | $ | 70,781 | AA+ | |||||||||||||||||||
____________________ | |||||||||||||||||||||||||
-1 | Represents the sum of subordinate tranches and over-collateralization and does not include any benefit from excess interest collections that may be used to absorb losses. | ||||||||||||||||||||||||
Distribution of Credit Derivative Net Par Outstanding by Internal Rating | ' | ||||||||||||||||||||||||
Distribution of Credit Derivative Net Par Outstanding by Internal Rating | |||||||||||||||||||||||||
As of December 31, 2013 | As of December 31, 2012 | ||||||||||||||||||||||||
Ratings | Net Par | % of Total | Net Par | % of Total | |||||||||||||||||||||
Outstanding | Outstanding | ||||||||||||||||||||||||
(dollars in millions) | |||||||||||||||||||||||||
AAA | $ | 38,244 | 70.2 | % | $ | 50,918 | 71.9 | % | |||||||||||||||||
AA | 3,648 | 6.7 | 3,083 | 4.4 | |||||||||||||||||||||
A | 3,636 | 6.7 | 5,487 | 7.8 | |||||||||||||||||||||
BBB | 4,161 | 7.6 | 4,584 | 6.4 | |||||||||||||||||||||
BIG | 4,793 | 8.8 | 6,709 | 9.5 | |||||||||||||||||||||
Credit derivative net par outstanding | $ | 54,482 | 100 | % | $ | 70,781 | 100 | % | |||||||||||||||||
Net Change in Fair Value of Credit Derivatives | ' | ||||||||||||||||||||||||
Net Change in Fair Value of Credit Derivatives Gain (Loss) | |||||||||||||||||||||||||
Year Ended December 31, | |||||||||||||||||||||||||
2013 | 2012 | 2011 | |||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||
Net credit derivative premiums received and receivable | $ | 119 | $ | 127 | $ | 185 | |||||||||||||||||||
Net ceding commissions (paid and payable) received and receivable | 2 | 1 | 3 | ||||||||||||||||||||||
Realized gains on credit derivatives | 121 | 128 | 188 | ||||||||||||||||||||||
Terminations | 0 | (1 | ) | (23 | ) | ||||||||||||||||||||
Net credit derivative losses (paid and payable) recovered and recoverable | (163 | ) | (235 | ) | (159 | ) | |||||||||||||||||||
Realized gains (losses) and other settlements on credit derivatives | (42 | ) | (108 | ) | 6 | ||||||||||||||||||||
Net change in unrealized gains (losses) on credit derivatives(1) | 107 | (477 | ) | 554 | |||||||||||||||||||||
Net change in fair value of credit derivatives | $ | 65 | $ | (585 | ) | $ | 560 | ||||||||||||||||||
____________________ | |||||||||||||||||||||||||
-1 | Except for net estimated credit impairments (i.e., net expected loss to be paid as discussed in Note 6), the unrealized gains and losses on credit derivatives are expected to reduce to zero as the exposure approaches its maturity date. With considerable volatility continuing in the market, unrealized gains (losses) on credit derivatives may fluctuate significantly in future periods. | ||||||||||||||||||||||||
Net Par and Accelerations of Credit Derivative Revenues from Termination of CDS Contracts | ' | ||||||||||||||||||||||||
Net Par and Accelerations of Credit Derivative Revenues | |||||||||||||||||||||||||
from Terminations of CDS Contracts | |||||||||||||||||||||||||
Year Ended December 31, | |||||||||||||||||||||||||
2013 | 2012 | 2011 | |||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||
Net par of terminated CDS contracts | $ | 4,054 | $ | 2,264 | $ | 11,543 | |||||||||||||||||||
Accelerations of credit derivative revenues | 21 | 3 | 25 | ||||||||||||||||||||||
Net Change in Unrealized Gains (Losses) on Credit Derivatives By Sector | ' | ||||||||||||||||||||||||
Net Change in Unrealized Gains (Losses) | |||||||||||||||||||||||||
on Credit Derivatives | |||||||||||||||||||||||||
By Sector | |||||||||||||||||||||||||
Year Ended December 31, | |||||||||||||||||||||||||
Asset Type | 2013 | 2012 | 2011 | ||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||
Pooled corporate obligations | $ | (32 | ) | $ | 59 | $ | 39 | ||||||||||||||||||
U.S. RMBS | (69 | ) | (551 | ) | 381 | ||||||||||||||||||||
CMBS | 0 | 2 | 11 | ||||||||||||||||||||||
Other (1) | 208 | 13 | 123 | ||||||||||||||||||||||
Total | $ | 107 | $ | (477 | ) | $ | 554 | ||||||||||||||||||
____________________ | |||||||||||||||||||||||||
-1 | “Other” includes all other U.S. and international asset classes, such as commercial receivables, international infrastructure, international RMBS securities, and pooled infrastructure securities. | ||||||||||||||||||||||||
CDS Spread on AGC and AGM | ' | ||||||||||||||||||||||||
Five-Year CDS Spread | |||||||||||||||||||||||||
on AGC and AGM | |||||||||||||||||||||||||
Quoted price of CDS contract (in basis points) | |||||||||||||||||||||||||
As of | As of | As of | |||||||||||||||||||||||
31-Dec-13 | 31-Dec-12 | 31-Dec-11 | |||||||||||||||||||||||
AGC | 460 | 678 | 1,140 | ||||||||||||||||||||||
AGM | 525 | 536 | 778 | ||||||||||||||||||||||
One-Year CDS Spread | |||||||||||||||||||||||||
on AGC and AGM | |||||||||||||||||||||||||
Quoted price of CDS contract (in basis points) | |||||||||||||||||||||||||
As of | As of | As of | |||||||||||||||||||||||
31-Dec-13 | 31-Dec-12 | 31-Dec-11 | |||||||||||||||||||||||
AGC | 185 | 270 | 965 | ||||||||||||||||||||||
AGM | 220 | 257 | 538 | ||||||||||||||||||||||
Fair Value of Credit Derivatives and Effect of AGC and AGM Credit Spreads | ' | ||||||||||||||||||||||||
Fair Value of Credit Derivatives | |||||||||||||||||||||||||
and Effect of AGC and AGM | |||||||||||||||||||||||||
Credit Spreads | |||||||||||||||||||||||||
As of | As of | ||||||||||||||||||||||||
31-Dec-13 | 31-Dec-12 | ||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||
Fair value of credit derivatives before effect of AGC and AGM credit spreads | $ | (3,442 | ) | $ | (4,809 | ) | |||||||||||||||||||
Plus: Effect of AGC and AGM credit spreads | 1,749 | 3,016 | |||||||||||||||||||||||
Net fair value of credit derivatives | $ | (1,693 | ) | $ | (1,793 | ) | |||||||||||||||||||
Net Fair Value and Expected Losses of Credit Derivatives by Sector | ' | ||||||||||||||||||||||||
Net Fair Value and Expected | |||||||||||||||||||||||||
Losses of Credit Derivatives | |||||||||||||||||||||||||
by Sector | |||||||||||||||||||||||||
Fair Value of Credit Derivative | Present Value of Expected Claim | ||||||||||||||||||||||||
Asset (Liability), net | (Payments) Recoveries(1) | ||||||||||||||||||||||||
Asset Type | As of | As of | As of | As of | |||||||||||||||||||||
31-Dec-13 | 31-Dec-12 | 31-Dec-13 | 31-Dec-12 | ||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||
Pooled corporate obligations | $ | (30 | ) | $ | 6 | $ | (35 | ) | $ | (16 | ) | ||||||||||||||
U.S. RMBS | (1,308 | ) | (1,237 | ) | (147 | ) | (181 | ) | |||||||||||||||||
CMBS | (2 | ) | (2 | ) | — | — | |||||||||||||||||||
Other | (353 | ) | (560 | ) | 43 | (85 | ) | ||||||||||||||||||
Total | $ | (1,693 | ) | $ | (1,793 | ) | $ | (139 | ) | $ | (282 | ) | |||||||||||||
____________________ | |||||||||||||||||||||||||
(1) | Represents the expected claim payments (recoveries) in excess of the present value of future installment fees to be received of $45 million as of December 31, 2013 and $43 million as of December 31, 2012. Includes R&W benefit of $180 million as of December 31, 2013 and $237 million as of December 31, 2012. | ||||||||||||||||||||||||
Effects of Changes in Credit Spread | ' | ||||||||||||||||||||||||
Effect of Changes in Credit Spread | |||||||||||||||||||||||||
As of December 31, 2013 | |||||||||||||||||||||||||
Credit Spreads(1) | Estimated Net | Estimated Change | |||||||||||||||||||||||
Fair Value | in Gain/(Loss) | ||||||||||||||||||||||||
(Pre-Tax) | (Pre-Tax) | ||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||
100% widening in spreads | $ | (3,499 | ) | $ | (1,806 | ) | |||||||||||||||||||
50% widening in spreads | (2,596 | ) | (903 | ) | |||||||||||||||||||||
25% widening in spreads | (2,145 | ) | (452 | ) | |||||||||||||||||||||
10% widening in spreads | (1,874 | ) | (181 | ) | |||||||||||||||||||||
Base Scenario | (1,693 | ) | — | ||||||||||||||||||||||
10% narrowing in spreads | (1,527 | ) | 166 | ||||||||||||||||||||||
25% narrowing in spreads | (1,276 | ) | 417 | ||||||||||||||||||||||
50% narrowing in spreads | (860 | ) | 833 | ||||||||||||||||||||||
____________________ | |||||||||||||||||||||||||
-1 | Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. |
Consolidation_of_Variable_Inte1
Consolidation of Variable Interest Entities (Tables) | 12 Months Ended | |||||||||||||||||||||
Dec. 31, 2013 | ||||||||||||||||||||||
Consolidation of Variable Interest Entities [abstract] | ' | |||||||||||||||||||||
Number of Consolidated FG VIE's | ' | |||||||||||||||||||||
Number of FG VIE's Consolidated | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2013 | 2012 | 2011 | ||||||||||||||||||||
Beginning of the year | 33 | 33 | 29 | |||||||||||||||||||
Consolidated(1) | 11 | 2 | 8 | |||||||||||||||||||
Deconsolidated(1) | (3 | ) | — | — | ||||||||||||||||||
Matured | (1 | ) | (2 | ) | (4 | ) | ||||||||||||||||
End of the year | 40 | 33 | 33 | |||||||||||||||||||
____________________ | ||||||||||||||||||||||
-1 | Net loss on consolidation and deconsolidation was $7 million in 2013, $6 million in 2012 and $95 million in 2011, respectively, and recorded in “fair value gains (losses) on FG VIEs” in the consolidated statement of operations. | |||||||||||||||||||||
Consolidated FG VIEs By Type of Collateral | ' | |||||||||||||||||||||
Consolidated FG VIEs | ||||||||||||||||||||||
By Type of Collateral | ||||||||||||||||||||||
As of December 31, 2013 | As of December 31, 2012 | |||||||||||||||||||||
Number of | Assets | Liabilities | Number of | Assets | Liabilities | |||||||||||||||||
FG VIEs | FG VIEs | |||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||
With recourse: | ||||||||||||||||||||||
First lien | 25 | $ | 630 | $ | 791 | 14 | $ | 618 | $ | 825 | ||||||||||||
Second lien | 14 | 460 | 640 | 16 | 633 | 915 | ||||||||||||||||
Other | 1 | 359 | 359 | 3 | 350 | 350 | ||||||||||||||||
Total with recourse | 40 | 1,449 | 1,790 | 33 | 1,601 | 2,090 | ||||||||||||||||
Without recourse | — | 1,116 | 1,081 | — | 1,087 | 1,051 | ||||||||||||||||
Total | 40 | $ | 2,565 | $ | 2,871 | 33 | $ | 2,688 | $ | 3,141 | ||||||||||||
Effect of Consolidating FG VIEs on Net Income and Shareholder's Equity | ' | |||||||||||||||||||||
Effect of Consolidating FG VIEs on Net Income, | ||||||||||||||||||||||
Cash Flows From Operating Activities and Shareholders’ Equity | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2013 | 2012 | 2011 | ||||||||||||||||||||
(in millions) | ||||||||||||||||||||||
Net earned premiums | $ | (60 | ) | $ | (153 | ) | $ | (75 | ) | |||||||||||||
Net investment income | (13 | ) | (13 | ) | (8 | ) | ||||||||||||||||
Net realized investment gains (losses) | 2 | 4 | 12 | |||||||||||||||||||
Fair value gains (losses) on FG VIEs | 346 | 191 | (146 | ) | ||||||||||||||||||
Loss and LAE | 21 | 65 | 107 | |||||||||||||||||||
Total pretax effect on net income | 296 | 94 | (110 | ) | ||||||||||||||||||
Less: tax provision (benefit) | 103 | 32 | (38 | ) | ||||||||||||||||||
Total effect on net income (loss) | $ | 193 | $ | 62 | $ | (72 | ) | |||||||||||||||
Effect of consolidating VIEs on cash flows from operating activities | $ | (136 | ) | $ | 166 | $ | 319 | |||||||||||||||
As of | As of | |||||||||||||||||||||
31-Dec-13 | 31-Dec-12 | |||||||||||||||||||||
(in millions) | ||||||||||||||||||||||
Effect on shareholders’ equity (decrease) increase | $ | (172 | ) | $ | (348 | ) |
Investments_and_Cash_Tables
Investments and Cash (Tables) | 12 Months Ended | |||||||||||||||||||||||||
Dec. 31, 2013 | ||||||||||||||||||||||||||
Investments 1 [abstract] | ' | |||||||||||||||||||||||||
Net Investment Income | ' | |||||||||||||||||||||||||
Net Investment Income | ||||||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||||||
2013 | 2012 | 2011 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Income from fixed maturity securities managed by third parties | $ | 322 | $ | 346 | $ | 359 | ||||||||||||||||||||
Income from internally managed securities: | ||||||||||||||||||||||||||
Fixed maturities | 74 | 60 | 39 | |||||||||||||||||||||||
Other invested assets | 5 | 6 | 6 | |||||||||||||||||||||||
Other | 0 | 1 | 1 | |||||||||||||||||||||||
Gross investment income | 401 | 413 | 405 | |||||||||||||||||||||||
Investment expenses | (8 | ) | (9 | ) | (9 | ) | ||||||||||||||||||||
Net investment income | $ | 393 | $ | 404 | $ | 396 | ||||||||||||||||||||
Net Realized Investment Gains (Losses) | ' | |||||||||||||||||||||||||
Net Realized Investment Gains (Losses) | ||||||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||||||
2013 | 2012 | 2011 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Gross realized gains on available-for-sale securities | $ | 73 | $ | 29 | $ | 29 | ||||||||||||||||||||
Gross realized gains on other assets in investment portfolio | 40 | 14 | 8 | |||||||||||||||||||||||
Gross realized losses on available-for-sale securities | (12 | ) | (23 | ) | (6 | ) | ||||||||||||||||||||
Gross realized losses on other assets in investment portfolio | (7 | ) | (2 | ) | (4 | ) | ||||||||||||||||||||
Other-than-temporary impairment | (42 | ) | (17 | ) | (45 | ) | ||||||||||||||||||||
Net realized investment gains (losses) | $ | 52 | $ | 1 | $ | (18 | ) | |||||||||||||||||||
Roll Forward of Credit Losses in the Investment Portfolio | ' | |||||||||||||||||||||||||
Roll Forward of Credit Losses | ||||||||||||||||||||||||||
in the Investment Portfolio | ||||||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||||||
2013 | 2012 | 2011 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Balance, beginning of period | $ | 64 | $ | 47 | $ | 27 | ||||||||||||||||||||
Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized | 18 | 14 | 27 | |||||||||||||||||||||||
Eliminations of securities issued by FG VIEs | — | — | (14 | ) | ||||||||||||||||||||||
Reductions for securities sold during the period | (21 | ) | — | (6 | ) | |||||||||||||||||||||
Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized | 19 | 3 | 13 | |||||||||||||||||||||||
Balance, end of period | $ | 80 | $ | 64 | $ | 47 | ||||||||||||||||||||
Fixed Maturity Securities and Short Term Investments by Security Type | ' | |||||||||||||||||||||||||
Fixed Maturity Securities and Short-Term Investments | ||||||||||||||||||||||||||
by Security Type | ||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||
Investment Category | Percent | Amortized | Gross | Gross | Estimated | AOCI(2) | Weighted | |||||||||||||||||||
of | Cost | Unrealized | Unrealized | Fair | Gain | Average | ||||||||||||||||||||
Total(1) | Gains | Losses | Value | (Loss) on | Credit | |||||||||||||||||||||
Securities | Quality | |||||||||||||||||||||||||
with | (3) | |||||||||||||||||||||||||
OTTI | ||||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||
Fixed maturity securities: | ||||||||||||||||||||||||||
Obligations of state and political subdivisions | 47 | % | $ | 4,899 | $ | 219 | $ | (39 | ) | $ | 5,079 | $ | 4 | AA | ||||||||||||
U.S. government and agencies | 7 | 674 | 32 | (6 | ) | 700 | — | AA+ | ||||||||||||||||||
Corporate securities | 13 | 1,314 | 44 | (18 | ) | 1,340 | 0 | A | ||||||||||||||||||
Mortgage-backed securities(4): | 0 | |||||||||||||||||||||||||
RMBS | 11 | 1,160 | 34 | (72 | ) | 1,122 | (43 | ) | A | |||||||||||||||||
CMBS | 5 | 536 | 17 | (4 | ) | 549 | — | AAA | ||||||||||||||||||
Asset-backed securities | 6 | 605 | 10 | (7 | ) | 608 | 2 | BBB+ | ||||||||||||||||||
Foreign government securities | 3 | 300 | 14 | (1 | ) | 313 | — | AA+ | ||||||||||||||||||
Total fixed maturity securities | 91 | 9,488 | 370 | (147 | ) | 9,711 | (37 | ) | AA- | |||||||||||||||||
Short-term investments | 9 | 904 | 0 | 0 | 904 | — | AAA | |||||||||||||||||||
Total investment portfolio | 100 | % | $ | 10,392 | $ | 370 | $ | (147 | ) | $ | 10,615 | $ | (37 | ) | AA- | |||||||||||
Fixed Maturity Securities and Short-Term Investments | ||||||||||||||||||||||||||
by Security Type | ||||||||||||||||||||||||||
As of December 31, 2012 | ||||||||||||||||||||||||||
Investment Category | Percent | Amortized | Gross | Gross | Estimated | AOCI | Weighted | |||||||||||||||||||
of | Cost | Unrealized | Unrealized | Fair | Gain | Average | ||||||||||||||||||||
Total(1) | Gains | Losses | Value | (Loss) on | Credit | |||||||||||||||||||||
Securities | Quality | |||||||||||||||||||||||||
with | (3) | |||||||||||||||||||||||||
OTTI | ||||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||
Fixed maturity securities: | ||||||||||||||||||||||||||
Obligations of state and political subdivisions | 51 | % | $ | 5,153 | $ | 489 | $ | (11 | ) | $ | 5,631 | $ | 9 | AA | ||||||||||||
U.S. government and agencies | 7 | 732 | 62 | 0 | 794 | — | AA+ | |||||||||||||||||||
Corporate securities | 9 | 930 | 80 | 0 | 1,010 | 0 | AA- | |||||||||||||||||||
Mortgage-backed securities(4): | ||||||||||||||||||||||||||
RMBS | 13 | 1,281 | 62 | (77 | ) | 1,266 | (59 | ) | A+ | |||||||||||||||||
CMBS | 5 | 482 | 38 | 0 | 520 | — | AAA | |||||||||||||||||||
Asset-backed securities | 5 | 482 | 59 | (10 | ) | 531 | 43 | BIG | ||||||||||||||||||
Foreign government securities | 2 | 286 | 18 | 0 | 304 | 0 | AAA | |||||||||||||||||||
Total fixed maturity securities | 92 | 9,346 | 808 | (98 | ) | 10,056 | (7 | ) | AA- | |||||||||||||||||
Short-term investments | 8 | 817 | 0 | 0 | 817 | — | AAA | |||||||||||||||||||
Total investment portfolio | 100 | % | $ | 10,163 | $ | 808 | $ | (98 | ) | $ | 10,873 | $ | (7 | ) | AA- | |||||||||||
____________________ | ||||||||||||||||||||||||||
-1 | Based on amortized cost. | |||||||||||||||||||||||||
-2 | Accumulated OCI ("AOCI"). See also Note 21, Other Comprehensive Income. | |||||||||||||||||||||||||
-3 | Ratings in the tables above represent the lower of the Moody’s and S&P classifications except for bonds purchased for loss mitigation or risk management strategies, which use internal ratings classifications. The Company’s portfolio consists primarily of high-quality, liquid instruments. | |||||||||||||||||||||||||
-4 | Government-agency obligations were approximately 50% of mortgage backed securities as of December 31, 2013 and 61% as of December 31, 2012 based on fair value. | |||||||||||||||||||||||||
Fair Value of Available-for-Sale Municipal Bond Portfolio by State | ' | |||||||||||||||||||||||||
Fair Value of Available-for-Sale Portfolio of | ||||||||||||||||||||||||||
Obligations of State and Political Subdivisions | ||||||||||||||||||||||||||
As of December 31, 2013 (1) | ||||||||||||||||||||||||||
State | State | Local | Revenue Bonds | Fair | Amortized | Average | ||||||||||||||||||||
General | General | Value | Cost | Credit | ||||||||||||||||||||||
Obligation | Obligation | Rating | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Texas | $ | 77 | $ | 299 | $ | 277 | $ | 653 | $ | 629 | AA | |||||||||||||||
New York | 12 | 58 | 519 | 589 | 575 | AA | ||||||||||||||||||||
California | 32 | 86 | 354 | 472 | 452 | A+ | ||||||||||||||||||||
Florida | 33 | 59 | 242 | 334 | 318 | AA- | ||||||||||||||||||||
Illinois | 14 | 70 | 156 | 240 | 234 | A+ | ||||||||||||||||||||
Massachusetts | 44 | 16 | 147 | 207 | 200 | AA | ||||||||||||||||||||
Washington | 31 | 19 | 153 | 203 | 199 | AA | ||||||||||||||||||||
Arizona | — | 7 | 166 | 173 | 170 | AA | ||||||||||||||||||||
Michigan | — | 28 | 102 | 130 | 125 | AA- | ||||||||||||||||||||
Georgia | 13 | 18 | 97 | 128 | 128 | A+ | ||||||||||||||||||||
All others | 254 | 228 | 943 | 1,425 | 1,381 | AA- | ||||||||||||||||||||
Total | $ | 510 | $ | 888 | $ | 3,156 | $ | 4,554 | $ | 4,411 | AA- | |||||||||||||||
Fair Value of Available-for-Sale Portfolio of | ||||||||||||||||||||||||||
Obligations of State and Political Subdivisions | ||||||||||||||||||||||||||
As of December 31, 2012 (1) | ||||||||||||||||||||||||||
State | State | Local | Revenue Bonds | Fair | Amortized | Average | ||||||||||||||||||||
General | General | Value | Cost | Credit | ||||||||||||||||||||||
Obligation | Obligation | Rating | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Texas | $ | 88 | $ | 345 | $ | 342 | $ | 775 | $ | 708 | AA | |||||||||||||||
New York | 22 | 58 | 593 | 673 | 620 | AA | ||||||||||||||||||||
California | 23 | 77 | 359 | 459 | 425 | A+ | ||||||||||||||||||||
Florida | 47 | 50 | 259 | 356 | 319 | AA- | ||||||||||||||||||||
Illinois | 15 | 84 | 188 | 287 | 260 | A+ | ||||||||||||||||||||
Massachusetts | 42 | 18 | 165 | 225 | 199 | AA | ||||||||||||||||||||
Washington | 33 | 40 | 145 | 218 | 200 | AA | ||||||||||||||||||||
Arizona | — | 8 | 180 | 188 | 171 | AA | ||||||||||||||||||||
Georgia | 14 | 20 | 108 | 142 | 132 | A+ | ||||||||||||||||||||
Pennsylvania | 68 | 32 | 40 | 140 | 129 | AA- | ||||||||||||||||||||
All others | 229 | 248 | 1,195 | 1,672 | 1,533 | AA | ||||||||||||||||||||
Total | $ | 581 | $ | 980 | $ | 3,574 | $ | 5,135 | $ | 4,696 | AA- | |||||||||||||||
____________________ | ||||||||||||||||||||||||||
-1 | Excludes $525 million and $496 million as of December 31, 2013 and 2012, respectively, of pre-refunded bonds. The credit ratings are based on the underlying ratings and do not include any benefit from bond insurance. | |||||||||||||||||||||||||
Revenue Sources | ' | |||||||||||||||||||||||||
Revenue Bonds | ||||||||||||||||||||||||||
Sources of Funds | ||||||||||||||||||||||||||
As of December 31, 2013 | As of December 31, 2012 | |||||||||||||||||||||||||
Type | Fair | Amortized | Fair | Amortized | ||||||||||||||||||||||
Value | Cost | Value | Cost | |||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Tax backed | $ | 708 | $ | 686 | $ | 720 | $ | 656 | ||||||||||||||||||
Transportation | 642 | 615 | 717 | 646 | ||||||||||||||||||||||
Municipal utilities | 500 | 482 | 567 | 519 | ||||||||||||||||||||||
Water and sewer | 459 | 453 | 567 | 520 | ||||||||||||||||||||||
Higher education | 358 | 353 | 430 | 389 | ||||||||||||||||||||||
Healthcare | 289 | 281 | 323 | 296 | ||||||||||||||||||||||
All others | 200 | 192 | 250 | 247 | ||||||||||||||||||||||
Total | $ | 3,156 | $ | 3,062 | $ | 3,574 | $ | 3,273 | ||||||||||||||||||
Fixed Maturity Securities Gross Unrealized Loss by Length of Time | ' | |||||||||||||||||||||||||
Fixed Maturity Securities | ||||||||||||||||||||||||||
Gross Unrealized Loss by Length of Time | ||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||||
Fair | Unrealized | Fair | Unrealized | Fair | Unrealized | |||||||||||||||||||||
value | loss | value | loss | value | loss | |||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||
Obligations of state and political subdivisions | $ | 781 | $ | (39 | ) | $ | 5 | $ | 0 | $ | 786 | $ | (39 | ) | ||||||||||||
U.S. government and agencies | 173 | (6 | ) | — | — | 173 | (6 | ) | ||||||||||||||||||
Corporate securities | 401 | (18 | ) | 3 | 0 | 404 | (18 | ) | ||||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||||
RMBS | 414 | (21 | ) | 186 | (51 | ) | 600 | (72 | ) | |||||||||||||||||
CMBS | 121 | (4 | ) | — | — | 121 | (4 | ) | ||||||||||||||||||
Asset-backed securities | 196 | (2 | ) | 42 | (5 | ) | 238 | (7 | ) | |||||||||||||||||
Foreign government securities | 54 | (1 | ) | 1 | 0 | 55 | (1 | ) | ||||||||||||||||||
Total | $ | 2,140 | $ | (91 | ) | $ | 237 | $ | (56 | ) | $ | 2,377 | $ | (147 | ) | |||||||||||
Number of securities | 425 | 33 | 458 | |||||||||||||||||||||||
Number of securities with OTTI | 13 | 11 | 24 | |||||||||||||||||||||||
Fixed Maturity Securities | ||||||||||||||||||||||||||
Gross Unrealized Loss by Length of Time | ||||||||||||||||||||||||||
As of December 31, 2012 | ||||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||||
Fair | Unrealized | Fair | Unrealized | Fair | Unrealized | |||||||||||||||||||||
value | loss | value | loss | value | loss | |||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||
Obligations of state and political subdivisions | $ | 79 | $ | (11 | ) | $ | — | $ | — | $ | 79 | $ | (11 | ) | ||||||||||||
U.S. government and agencies | 62 | 0 | — | — | 62 | 0 | ||||||||||||||||||||
Corporate securities | 25 | 0 | — | — | 25 | 0 | ||||||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||||
RMBS | 108 | (19 | ) | 121 | (58 | ) | 229 | (77 | ) | |||||||||||||||||
CMBS | 5 | 0 | — | — | 5 | 0 | ||||||||||||||||||||
Asset-backed securities | 16 | 0 | 35 | (10 | ) | 51 | (10 | ) | ||||||||||||||||||
Foreign government securities | 8 | 0 | — | — | 8 | 0 | ||||||||||||||||||||
Total | $ | 303 | $ | (30 | ) | $ | 156 | $ | (68 | ) | $ | 459 | $ | (98 | ) | |||||||||||
Number of securities | 58 | 16 | 74 | |||||||||||||||||||||||
Number of securities with OTTI | 5 | 6 | 11 | |||||||||||||||||||||||
Of the | ||||||||||||||||||||||||||
Distribution of Fixed Maturity Securities by Contractual Maturity | ' | |||||||||||||||||||||||||
Distribution of Fixed-Maturity Securities | ||||||||||||||||||||||||||
by Contractual Maturity | ||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||
Amortized | Estimated | |||||||||||||||||||||||||
Cost | Fair Value | |||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Due within one year | $ | 272 | $ | 275 | ||||||||||||||||||||||
Due after one year through five years | 1,662 | 1,734 | ||||||||||||||||||||||||
Due after five years through 10 years | 2,420 | 2,505 | ||||||||||||||||||||||||
Due after 10 years | 3,438 | 3,526 | ||||||||||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||||
RMBS | 1,160 | 1,122 | ||||||||||||||||||||||||
CMBS | 536 | 549 | ||||||||||||||||||||||||
Total | $ | 9,488 | $ | 9,711 | ||||||||||||||||||||||
Un | ||||||||||||||||||||||||||
Loss Mitigation Assets Carrying Value | ' | |||||||||||||||||||||||||
Internally Managed Portfolio | ||||||||||||||||||||||||||
Carrying Value | ||||||||||||||||||||||||||
As of December 31, | ||||||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Assets purchased for loss mitigation purposes: | ||||||||||||||||||||||||||
Fixed maturity securities: | ||||||||||||||||||||||||||
Obligations of state and political subdivisions | $ | 28 | $ | 23 | ||||||||||||||||||||||
RMBS | 284 | 213 | ||||||||||||||||||||||||
Asset-backed securities | 127 | 120 | ||||||||||||||||||||||||
Other invested assets | 47 | 72 | ||||||||||||||||||||||||
Other risk management assets: | ||||||||||||||||||||||||||
Fixed maturity securities: | ||||||||||||||||||||||||||
Obligations of state and political subdivisions | 8 | 12 | ||||||||||||||||||||||||
Corporate Securities | 136 | — | ||||||||||||||||||||||||
RMBS | 37 | 6 | ||||||||||||||||||||||||
Asset-backed securities | 141 | 186 | ||||||||||||||||||||||||
Other | 35 | 49 | ||||||||||||||||||||||||
Trading portfolio (other invested assets) | 88 | 91 | ||||||||||||||||||||||||
Total | $ | 931 | $ | 772 | ||||||||||||||||||||||
Insurance_Company_Regulatory_R1
Insurance Company Regulatory Requirements (Tables) | 12 Months Ended | |||||||||||||||||||
Dec. 31, 2013 | ||||||||||||||||||||
Insurance Company Regulatory Requirements [abstract] | ' | |||||||||||||||||||
Schedule of Statutory Capital and Surplus and Net Income | ' | |||||||||||||||||||
Insurance Regulatory Amounts Reported | ||||||||||||||||||||
Policyholders' Surplus | Net Income (Loss) | |||||||||||||||||||
As of December 31, | Year Ended December 31, | |||||||||||||||||||
2013 | 2012 | 2013 | 2012 | 2011 | ||||||||||||||||
(in millions) | ||||||||||||||||||||
U.S. statutory companies: | ||||||||||||||||||||
MAC | $ | 514 | $ | 77 | $ | 26 | $ | 1 | $ | 0 | ||||||||||
AGC | 693 | 905 | 211 | 31 | 230 | |||||||||||||||
AGM: | ||||||||||||||||||||
AGM stand-alone | 1,733 | 1,780 | 340 | 203 | 399 | |||||||||||||||
Assured Guaranty Municipal Insurance Company | — | 791 | — | 58 | 197 | |||||||||||||||
AGM consolidated(1) | 1,746 | 1,785 | 405 | 256 | 632 | |||||||||||||||
Bermuda statutory company: | ||||||||||||||||||||
AG Re | 1,122 | 1,283 | 107 | 117 | 133 | |||||||||||||||
____________________ | ||||||||||||||||||||
-1 | Represents the consolidated amounts of AGM and all of its U.S. and foreign subsidiaries. | |||||||||||||||||||
Schedule of Dividends Paid by Insurance Company Subsidiaries | ' | |||||||||||||||||||
Dividends and Surplus Notes | ||||||||||||||||||||
By Insurance Company Subsidiaries | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2013 | 2012 | 2011 | ||||||||||||||||||
(in millions) | ||||||||||||||||||||
Dividends paid by AGC to AGUS | $ | 67 | $ | 55 | $ | 30 | ||||||||||||||
Dividends paid by AGM to AGMH | 163 | 30 | — | |||||||||||||||||
Dividends paid by AG Re to AGL | 144 | 151 | 86 | |||||||||||||||||
Repayment of surplus note by AGM to AGMH | 50 | 50 | 50 | |||||||||||||||||
Issuance of surplus notes by MAC to AGM and MAC Holdings | (400 | ) | — | — | ||||||||||||||||
Income_Taxes_Tables
Income Taxes (Tables) | 12 Months Ended | |||||||||||
Dec. 31, 2013 | ||||||||||||
Income Tax Disclosure [Abstract] | ' | |||||||||||
Effective Tax Rate Reconciliation | ' | |||||||||||
Effective Tax Rate Reconciliation | ||||||||||||
Year Ended December 31, | ||||||||||||
2013 | 2012 | 2011 | ||||||||||
(in millions) | ||||||||||||
Expected tax provision (benefit) at statutory rates in taxable jurisdictions | $ | 390 | $ | 76 | $ | 313 | ||||||
Tax-exempt interest | (57 | ) | (61 | ) | (62 | ) | ||||||
Change in liability for uncertain tax positions | (2 | ) | 2 | 2 | ||||||||
Other | 3 | 5 | 3 | |||||||||
Total provision (benefit) for income taxes | $ | 334 | $ | 22 | $ | 256 | ||||||
Effective tax rate | 29.2 | % | 16.5 | % | 24.9 | % | ||||||
Pretax Income (Loss) by Tax Jurisdiction | ' | |||||||||||
Pretax Income (Loss) by Tax Jurisdiction | ||||||||||||
Year Ended December 31, | ||||||||||||
2013 | 2012 | 2011 | ||||||||||
(in millions) | ||||||||||||
United States | $ | 1,118 | $ | 218 | $ | 896 | ||||||
Bermuda | 27 | (86 | ) | 133 | ||||||||
U.K. | (3 | ) | 0 | 0 | ||||||||
Total | $ | 1,142 | $ | 132 | $ | 1,029 | ||||||
Revenue by Tax Jurisdiction | ' | |||||||||||
Revenue by Tax Jurisdiction | ||||||||||||
Year Ended December 31, | ||||||||||||
2013 | 2012 | 2011 | ||||||||||
(in millions) | ||||||||||||
United States | $ | 1,389 | $ | 875 | $ | 1,504 | ||||||
Bermuda | 219 | 79 | 301 | |||||||||
U.K. | 0 | 0 | 0 | |||||||||
Total | $ | 1,608 | $ | 954 | $ | 1,805 | ||||||
Components of Deferred Tax Assets and Liabilities | ' | |||||||||||
Components of Net Deferred Tax Assets | ||||||||||||
As of December 31, | ||||||||||||
2013 | 2012 | |||||||||||
(in millions) | ||||||||||||
Deferred tax assets: | ||||||||||||
Unrealized losses on credit derivative financial instruments, net | $ | 402 | $ | 425 | ||||||||
Unearned premium reserves, net | 63 | 109 | ||||||||||
Loss and LAE reserve | 134 | 90 | ||||||||||
Tax and loss bonds | 33 | 15 | ||||||||||
Net operating loss ("NOL") carry forward | 5 | 7 | ||||||||||
Alternative minimum tax credit | 90 | 58 | ||||||||||
Tax basis step-up | 5 | 5 | ||||||||||
Foreign tax credit | 37 | 30 | ||||||||||
FG VIEs | 29 | 179 | ||||||||||
DAC | 40 | 59 | ||||||||||
Investment basis difference | 73 | 82 | ||||||||||
Other | 64 | 48 | ||||||||||
Total deferred income tax assets | 975 | 1,107 | ||||||||||
Deferred tax liabilities: | ||||||||||||
Contingency reserves | 47 | 15 | ||||||||||
Public debt | 98 | 100 | ||||||||||
Unrealized appreciation on investments | 68 | 198 | ||||||||||
Unrealized gains on CCS | 16 | 12 | ||||||||||
Market discount | 24 | 42 | ||||||||||
Other | 34 | 19 | ||||||||||
Total deferred income tax liabilities | 287 | 386 | ||||||||||
Net deferred income tax asset | $ | 688 | $ | 721 | ||||||||
Reconciliation of Uncertain Tax Positions | ' | |||||||||||
The following table provides a reconciliation of the beginning and ending balances of the total liability for unrecognized tax benefits. The Company does not believe it is reasonably possible that this amount will change significantly in the next twelve months. | ||||||||||||
2013 | 2012 | 2011 | ||||||||||
(in millions) | ||||||||||||
Balance as of January 1, | $ | 22 | $ | 20 | $ | 18 | ||||||
True-up from tax return filings | 4 | — | — | |||||||||
Increase in unrecognized tax benefits as a result of position taken during the current period | 3 | 2 | 2 | |||||||||
Decrease due to closing of IRS audit | (9 | ) | — | — | ||||||||
Balance as of December 31, | $ | 20 | $ | 22 | $ | 20 | ||||||
Reinsurance_and_Other_Monoline1
Reinsurance and Other Monoline Exposures (Tables) | 12 Months Ended | |||||||||||||||||||||||||||||||||||||||||||
Dec. 31, 2013 | ||||||||||||||||||||||||||||||||||||||||||||
Reinsurance and Other Monoline Exposures [abstract] | ' | |||||||||||||||||||||||||||||||||||||||||||
Net Effect of Commutations and Cancellations of Assumed Reinsurance Contracts | ' | |||||||||||||||||||||||||||||||||||||||||||
Net Effect of Commutations of Ceded and | ||||||||||||||||||||||||||||||||||||||||||||
Cancellations of Assumed Reinsurance Contracts | ||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||||||||||||||||||||||||
2013 | 2012 | 2011 | ||||||||||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||||||||||
Increase (decrease) in net unearned premium reserve | $ | 11 | $ | 109 | $ | (20 | ) | |||||||||||||||||||||||||||||||||||||
Increase (decrease) in net par outstanding | 151 | 19,173 | (780 | ) | ||||||||||||||||||||||||||||||||||||||||
Effect of Reinsurance on Statement of Operations | ' | |||||||||||||||||||||||||||||||||||||||||||
Effect of Reinsurance on Statement of Operations | ||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||||||||||||||||||||||||
2013 | 2012 | 2011 | ||||||||||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||||||||||
Premiums Written: | ||||||||||||||||||||||||||||||||||||||||||||
Direct | $ | 106 | $ | 244 | 190 | |||||||||||||||||||||||||||||||||||||||
Assumed(1) | 17 | 9 | (63 | ) | ||||||||||||||||||||||||||||||||||||||||
Ceded(2) | 2 | 51 | 4 | |||||||||||||||||||||||||||||||||||||||||
Net | $ | 125 | $ | 304 | 131 | |||||||||||||||||||||||||||||||||||||||
Premiums Earned: | ||||||||||||||||||||||||||||||||||||||||||||
Direct | $ | 819 | $ | 936 | 997 | |||||||||||||||||||||||||||||||||||||||
Assumed | 40 | 50 | 46 | |||||||||||||||||||||||||||||||||||||||||
Ceded | (107 | ) | (133 | ) | (123 | ) | ||||||||||||||||||||||||||||||||||||||
Net | $ | 752 | $ | 853 | 920 | |||||||||||||||||||||||||||||||||||||||
Loss and LAE: | ||||||||||||||||||||||||||||||||||||||||||||
Direct | $ | 110 | $ | 636 | 564 | |||||||||||||||||||||||||||||||||||||||
Assumed | 73 | (4 | ) | 4 | ||||||||||||||||||||||||||||||||||||||||
Ceded | (29 | ) | (128 | ) | (120 | ) | ||||||||||||||||||||||||||||||||||||||
Net | $ | 154 | $ | 504 | 448 | |||||||||||||||||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||||||||||
-1 | Negative assumed premiums written were due to cancellations and changes in expected Debt Service schedules. | |||||||||||||||||||||||||||||||||||||||||||
-2 | Positive ceded premiums written were due to commutations and changes in expected Debt Service schedules. | |||||||||||||||||||||||||||||||||||||||||||
Exposure by Reinsurer | ' | |||||||||||||||||||||||||||||||||||||||||||
Exposure by Reinsurer | ||||||||||||||||||||||||||||||||||||||||||||
Ratings at | Par Outstanding | |||||||||||||||||||||||||||||||||||||||||||
February 24, 2014 | As of December 31, 2013 | |||||||||||||||||||||||||||||||||||||||||||
Reinsurer | Moody’s | S&P | Ceded Par | Second-to- | Assumed Par | |||||||||||||||||||||||||||||||||||||||
Reinsurer | Reinsurer | Outstanding(1) | Pay Insured | Outstanding | ||||||||||||||||||||||||||||||||||||||||
Rating | Rating | Par | ||||||||||||||||||||||||||||||||||||||||||
Outstanding | ||||||||||||||||||||||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||||||||||||||||||||
American Overseas Reinsurance Company Limited (f/k/a Ram Re) | WR (2) | WR | $ | 8,331 | $ | — | $ | 30 | ||||||||||||||||||||||||||||||||||||
Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokio”) | Aa3 (3) | AA- (3) | 7,279 | — | — | |||||||||||||||||||||||||||||||||||||||
Radian | Ba1 | B+ | 4,709 | 38 | 1,082 | |||||||||||||||||||||||||||||||||||||||
Syncora Guarantee Inc. | WR | WR | 4,201 | 1,771 | 162 | |||||||||||||||||||||||||||||||||||||||
Mitsui Sumitomo Insurance Co. Ltd. | A1 | A+ (3) | 2,144 | — | — | |||||||||||||||||||||||||||||||||||||||
ACA Financial Guaranty Corp. | NR (5) | WR | 809 | 5 | 9 | |||||||||||||||||||||||||||||||||||||||
Swiss Reinsurance Co. | Aa3 | AA- | 346 | — | — | |||||||||||||||||||||||||||||||||||||||
Ambac (4) | WR | WR | 85 | 6,118 | 17,859 | |||||||||||||||||||||||||||||||||||||||
CIFG Assurance North America Inc. ("CIFG") | WR | WR | 2 | 178 | 5,048 | |||||||||||||||||||||||||||||||||||||||
MBIA Inc. | -4 | -4 | — | 10,292 | 7,386 | |||||||||||||||||||||||||||||||||||||||
Financial Guaranty Insurance Co. | WR | WR | — | 2,329 | 1,315 | |||||||||||||||||||||||||||||||||||||||
Other | Various | Various | 882 | 2,099 | 46 | |||||||||||||||||||||||||||||||||||||||
Total | $ | 28,788 | $ | 22,830 | $ | 32,937 | ||||||||||||||||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||||||||||
-1 | Includes $3,172 million in ceded par outstanding related to insured credit derivatives. | |||||||||||||||||||||||||||||||||||||||||||
(2) Represents “Withdrawn Rating.” | ||||||||||||||||||||||||||||||||||||||||||||
(3) The Company has structural collateral agreements satisfying the triple-A credit requirement of S&P and/or Moody’s. | ||||||||||||||||||||||||||||||||||||||||||||
-4 | MBIA Inc. includes various subsidiaries which are rated A and B by S&P and Baa1, B1 and B3 by Moody’s. Ambac includes policies in their general and segregated account. | |||||||||||||||||||||||||||||||||||||||||||
-5 | Represents “Not Rated.” | |||||||||||||||||||||||||||||||||||||||||||
Ceded Par Outstanding by Reinsurer and Credit Rating | ' | |||||||||||||||||||||||||||||||||||||||||||
Ceded Par Outstanding by Reinsurer and Credit Rating | ||||||||||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||||||||||
Internal Credit Rating | ||||||||||||||||||||||||||||||||||||||||||||
Reinsurer | AAA | AA | A | BBB | BIG | Total | ||||||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||||||||||
American Overseas Reinsurance Company Limited (f/k/a Ram Re) | $ | 967 | $ | 2,871 | $ | 2,605 | $ | 1,327 | $ | 561 | $ | 8,331 | ||||||||||||||||||||||||||||||||
Tokio | 1,127 | 1,122 | 2,291 | 1,793 | 946 | 7,279 | ||||||||||||||||||||||||||||||||||||||
Radian | 235 | 296 | 2,365 | 1,241 | 572 | 4,709 | ||||||||||||||||||||||||||||||||||||||
Syncora Guarantee Inc. | — | 223 | 764 | 2,334 | 880 | 4,201 | ||||||||||||||||||||||||||||||||||||||
Mitsui Sumitomo Insurance Co. Ltd. | 146 | 692 | 868 | 232 | 206 | 2,144 | ||||||||||||||||||||||||||||||||||||||
ACA Financial Guaranty Corp | — | 465 | 324 | 20 | — | 809 | ||||||||||||||||||||||||||||||||||||||
Swiss Reinsurance Co. | — | 2 | 241 | 27 | 76 | 346 | ||||||||||||||||||||||||||||||||||||||
Ambac | — | — | 85 | — | — | 85 | ||||||||||||||||||||||||||||||||||||||
CIFG | — | — | — | 2 | — | 2 | ||||||||||||||||||||||||||||||||||||||
Other | — | 93 | 751 | 38 | — | 882 | ||||||||||||||||||||||||||||||||||||||
Total | $ | 2,475 | $ | 5,764 | $ | 10,294 | $ | 7,014 | $ | 3,241 | $ | 28,788 | ||||||||||||||||||||||||||||||||
Second-to-Pay Insured Par Outstanding by Internal Rating | ' | |||||||||||||||||||||||||||||||||||||||||||
Second-to-Pay | ||||||||||||||||||||||||||||||||||||||||||||
Insured Par Outstanding by Internal Rating | ||||||||||||||||||||||||||||||||||||||||||||
As of December 31, 2013(1) | ||||||||||||||||||||||||||||||||||||||||||||
Public Finance | Structured Finance | |||||||||||||||||||||||||||||||||||||||||||
AAA | AA | A | BBB | BIG | AAA | AA | A | BBB | BIG | Total | ||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||||||||||
Radian | $ | — | $ | — | $ | 13 | $ | 17 | $ | 8 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 38 | ||||||||||||||||||||||
Syncora Guarantee Inc. | — | 25 | 369 | 771 | 301 | 77 | 56 | — | — | 172 | 1,771 | |||||||||||||||||||||||||||||||||
ACA Financial Guaranty Corp. | — | 3 | — | 2 | — | — | — | — | — | — | 5 | |||||||||||||||||||||||||||||||||
Ambac | 30 | 1,366 | 3,157 | 1,020 | 81 | 2 | 43 | 71 | 209 | 139 | 6,118 | |||||||||||||||||||||||||||||||||
CIFG | — | 11 | 69 | 22 | 76 | — | — | — | — | — | 178 | |||||||||||||||||||||||||||||||||
MBIA Inc. | 225 | 2,346 | 4,250 | 1,425 | — | — | 1,589 | 24 | 199 | 234 | 10,292 | |||||||||||||||||||||||||||||||||
Financial Guaranty Insurance Co. | — | 77 | 990 | 296 | 328 | 518 | — | 73 | — | 47 | 2,329 | |||||||||||||||||||||||||||||||||
Other | — | — | 2,099 | — | — | — | — | — | — | — | 2,099 | |||||||||||||||||||||||||||||||||
Total | $ | 255 | $ | 3,828 | $ | 10,947 | $ | 3,553 | $ | 794 | $ | 597 | $ | 1,688 | $ | 168 | $ | 408 | $ | 592 | $ | 22,830 | ||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||||||||||
-1 | Assured Guaranty’s internal rating. | |||||||||||||||||||||||||||||||||||||||||||
Amounts Due (To) From Reinsurers | ' | |||||||||||||||||||||||||||||||||||||||||||
Amounts Due (To) From Reinsurers | ||||||||||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||||||||||
Assumed | Ceded | Assumed | Ceded | |||||||||||||||||||||||||||||||||||||||||
Premium, net | Premium, net | Expected | Expected | |||||||||||||||||||||||||||||||||||||||||
of Commissions | of Commissions | Loss and LAE | Loss and LAE | |||||||||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||||||||||
American Overseas Reinsurance Company Limited (f/k/a Ram Re) | $ | — | $ | (9 | ) | $ | — | $ | 9 | |||||||||||||||||||||||||||||||||||
Tokio | — | (19 | ) | — | 20 | |||||||||||||||||||||||||||||||||||||||
Radian | — | (17 | ) | — | 16 | |||||||||||||||||||||||||||||||||||||||
Syncora Guarantee Inc. | — | (40 | ) | — | 1 | |||||||||||||||||||||||||||||||||||||||
Mitsui Sumitomo Insurance Co. Ltd. | — | — | — | 2 | ||||||||||||||||||||||||||||||||||||||||
Swiss Reinsurance Co. | — | — | — | 1 | ||||||||||||||||||||||||||||||||||||||||
Ambac | 67 | — | (79 | ) | — | |||||||||||||||||||||||||||||||||||||||
CIFG | — | — | (6 | ) | 2 | |||||||||||||||||||||||||||||||||||||||
MBIA Inc. | 13 | — | (11 | ) | — | |||||||||||||||||||||||||||||||||||||||
Financial Guaranty Insurance Co. | 7 | — | (103 | ) | — | |||||||||||||||||||||||||||||||||||||||
Other | — | (43 | ) | — | — | |||||||||||||||||||||||||||||||||||||||
Total | $ | 87 | $ | (128 | ) | $ | (199 | ) | $ | 51 | ||||||||||||||||||||||||||||||||||
Commitments_and_Contingencies_
Commitments and Contingencies (Tables) | 12 Months Ended | ||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||
Commitments and Contingencies Disclosure [Abstract] | ' | ||||||||||||||||
Future Minimum Rental Payments | ' | ||||||||||||||||
Future Minimum Rental Payments | |||||||||||||||||
Year | (in millions) | ||||||||||||||||
2014 | $ | 8 | |||||||||||||||
2015 | 8 | ||||||||||||||||
2016 | 8 | ||||||||||||||||
2017 | 7 | ||||||||||||||||
2018 | 8 | ||||||||||||||||
Thereafter | 59 | ||||||||||||||||
Total | $ | 98 | |||||||||||||||
Expected Maturity Schedule of Debt | |||||||||||||||||
Expected Withdrawal Date | AGUS | AGMH | AGM | Total | |||||||||||||
(in millions) | |||||||||||||||||
2014 | $ | — | $ | — | $ | 10 | $ | 10 | |||||||||
2015 | — | — | 9 | 9 | |||||||||||||
2016 | — | — | 4 | 4 | |||||||||||||
2017 | — | — | 10 | 10 | |||||||||||||
2018 | — | — | 1 | 1 | |||||||||||||
2019-2038 | 200 | — | 0 | 200 | |||||||||||||
2039-2058 | — | — | — | — | |||||||||||||
2059-2078 | 150 | 300 | — | 450 | |||||||||||||
Thereafter | — | 430 | — | 430 | |||||||||||||
Total | $ | 350 | $ | 730 | $ | 34 | $ | 1,114 | |||||||||
LongTerm_Debt_and_Credit_Facil1
Long-Term Debt and Credit Facilities (Tables) | 12 Months Ended | ||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||
Debt Disclosure [Abstract] | ' | ||||||||||||||||
Principal and Carrying Amounts of Debt | ' | ||||||||||||||||
Principal and Carrying Amounts of Debt | |||||||||||||||||
As of December 31, 2013 | As of December 31, 2012 | ||||||||||||||||
Principal | Carrying | Principal | Carrying | ||||||||||||||
Value | Value | ||||||||||||||||
(in millions) | |||||||||||||||||
AGUS: | |||||||||||||||||
7.0% Senior Notes | $ | 200 | $ | 198 | $ | 200 | $ | 197 | |||||||||
8.50% Senior Notes | — | — | — | — | |||||||||||||
Series A Enhanced Junior Subordinated Debentures | 150 | 150 | 150 | 150 | |||||||||||||
Total AGUS | 350 | 348 | 350 | 347 | |||||||||||||
AGMH: | |||||||||||||||||
67/8% QUIBS | 100 | 68 | 100 | 68 | |||||||||||||
6.25% Notes | 230 | 138 | 230 | 137 | |||||||||||||
5.60% Notes | 100 | 55 | 100 | 54 | |||||||||||||
Junior Subordinated Debentures | 300 | 169 | 300 | 164 | |||||||||||||
Total AGMH | 730 | 430 | 730 | 423 | |||||||||||||
AGM: | |||||||||||||||||
Notes Payable | 34 | 38 | 61 | 66 | |||||||||||||
Total AGM | 34 | 38 | 61 | 66 | |||||||||||||
Total | $ | 1,114 | $ | 816 | $ | 1,141 | $ | 836 | |||||||||
Expected Maturity Schedule of Debt | ' | ||||||||||||||||
Future Minimum Rental Payments | |||||||||||||||||
Year | (in millions) | ||||||||||||||||
2014 | $ | 8 | |||||||||||||||
2015 | 8 | ||||||||||||||||
2016 | 8 | ||||||||||||||||
2017 | 7 | ||||||||||||||||
2018 | 8 | ||||||||||||||||
Thereafter | 59 | ||||||||||||||||
Total | $ | 98 | |||||||||||||||
Expected Maturity Schedule of Debt | |||||||||||||||||
Expected Withdrawal Date | AGUS | AGMH | AGM | Total | |||||||||||||
(in millions) | |||||||||||||||||
2014 | $ | — | $ | — | $ | 10 | $ | 10 | |||||||||
2015 | — | — | 9 | 9 | |||||||||||||
2016 | — | — | 4 | 4 | |||||||||||||
2017 | — | — | 10 | 10 | |||||||||||||
2018 | — | — | 1 | 1 | |||||||||||||
2019-2038 | 200 | — | 0 | 200 | |||||||||||||
2039-2058 | — | — | — | — | |||||||||||||
2059-2078 | 150 | 300 | — | 450 | |||||||||||||
Thereafter | — | 430 | — | 430 | |||||||||||||
Total | $ | 350 | $ | 730 | $ | 34 | $ | 1,114 | |||||||||
Schedule of Interest Expense | ' | ||||||||||||||||
Interest Expense | |||||||||||||||||
Year Ended December 31, | |||||||||||||||||
2013 | 2012 | 2011 | |||||||||||||||
(in millions) | |||||||||||||||||
AGUS: | |||||||||||||||||
7.0% Senior Notes | $ | 13 | $ | 13 | $ | 13 | |||||||||||
8.50% Senior Notes | — | 8 | 16 | ||||||||||||||
Series A Enhanced Junior Subordinated Debentures | 10 | 10 | 10 | ||||||||||||||
Total AGUS | 23 | 31 | 39 | ||||||||||||||
AGMH: | |||||||||||||||||
67/8% QUIBS | 7 | 7 | 7 | ||||||||||||||
6.25% Notes | 16 | 16 | 16 | ||||||||||||||
5.60% Notes | 6 | 6 | 6 | ||||||||||||||
Junior Subordinated Debentures | 25 | 25 | 25 | ||||||||||||||
Total AGMH | 54 | 54 | 54 | ||||||||||||||
AGM: | |||||||||||||||||
Notes Payable | 5 | 7 | 6 | ||||||||||||||
Total AGM | 5 | 7 | 6 | ||||||||||||||
Total | $ | 82 | $ | 92 | $ | 99 | |||||||||||
Earnings_Per_Share_Tables
Earnings Per Share (Tables) | 12 Months Ended | |||||||||||
Dec. 31, 2013 | ||||||||||||
Earnings Per Share [Abstract] | ' | |||||||||||
Computation of Earnings Per Share | ' | |||||||||||
Computation of Earnings Per Share | ||||||||||||
Year Ended December 31, | ||||||||||||
2013 | 2012 | 2011 | ||||||||||
(in millions, except per share amounts) | ||||||||||||
Basic EPS: | ||||||||||||
Net income (loss) attributable to AGL | $ | 808 | $ | 110 | 773 | |||||||
Less: Distributed and undistributed income (loss) available to nonvested shareholders | 1 | 0 | 1 | |||||||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | $ | 807 | $ | 110 | 772 | |||||||
Basic shares | 186.6 | 189.2 | 183.4 | |||||||||
Basic EPS | $ | 4.32 | $ | 0.58 | $ | 4.21 | ||||||
Diluted EPS: | ||||||||||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | $ | 807 | $ | 110 | $ | 772 | ||||||
Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries | 0 | 0 | 0 | |||||||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted | $ | 807 | $ | 110 | $ | 772 | ||||||
Basic shares | 186.6 | 189.2 | 183.4 | |||||||||
Effect of dilutive securities: | ||||||||||||
Options and restricted stock awards | 1 | 0.8 | 0.9 | |||||||||
Equity units | — | 0.7 | 1.2 | |||||||||
Diluted shares | 187.6 | 190.7 | 185.5 | |||||||||
Diluted EPS | $ | 4.3 | $ | 0.57 | $ | 4.16 | ||||||
Potentially dilutive securities excluded from computation of EPS because of antidilutive effect | 2.7 | 9.9 | 7.2 | |||||||||
Shareholders_Equity_Tables
Shareholders' Equity (Tables) | 12 Months Ended | ||||||||||||||
Dec. 31, 2013 | |||||||||||||||
Shareholders' Equity [Abstract] | ' | ||||||||||||||
Schedule Of Stockholders Equity, Share Issuance | ' | ||||||||||||||
Issuance of Shares | |||||||||||||||
Number of | Price per | Proceeds | Net | ||||||||||||
Shares | Share | Proceeds | |||||||||||||
(in millions, except share and per share amounts) | |||||||||||||||
June 1, 2012(1) | 13,428,770 | $ | 12.85 | $ | 173 | $ | 173 | ||||||||
____________________ | |||||||||||||||
-1 | Relates to the settlement of forward purchase contracts. See Note 17, Long-Term Debt and Credit Facilities. | ||||||||||||||
Schedule of Share Repurchases | ' | ||||||||||||||
Share Repurchases | |||||||||||||||
Year | Number of Shares Repurchased | Total Payments | |||||||||||||
(in millions) | |||||||||||||||
2013 | 12,512,759 | $ | 264 | ||||||||||||
2012 | 2,066,759 | 24 | |||||||||||||
2011 | 2,000,000 | 23 | |||||||||||||
Employee_Benefit_Plans_Tables
Employee Benefit Plans (Tables) | 12 Months Ended | |||||||||||||||
Dec. 31, 2013 | ||||||||||||||||
Employee benefit plans | ' | |||||||||||||||
Stock Purchase Plan | ' | |||||||||||||||
Stock Purchase Plan | ||||||||||||||||
Year Ended December 31, | ||||||||||||||||
2013 | 2012 | 2011 | ||||||||||||||
(dollars in millions) | ||||||||||||||||
Proceeds from purchase of shares by employees | $ | 0.9 | $ | 0.6 | $ | 0.7 | ||||||||||
Number of shares issued by the Company | 57,980 | 54,612 | 50,523 | |||||||||||||
Recorded in share-based compensation, after the effects of DAC | $ | 0.3 | $ | 0.2 | $ | 0.2 | ||||||||||
Share-Based Compensation Expense Summary | ' | |||||||||||||||
Share‑Based Compensation Expense Summary | ||||||||||||||||
Year Ended December 31, | ||||||||||||||||
2013 | 2012 | 2011 | ||||||||||||||
(in millions) | ||||||||||||||||
Share‑Based Employee Cost: | ||||||||||||||||
Recurring amortization | $ | 7 | $ | 6 | $ | 5 | ||||||||||
Accelerated amortization for retirement eligible employees | — | 1 | 5 | |||||||||||||
Subtotal | 7 | 7 | 10 | |||||||||||||
ESPP | — | — | — | |||||||||||||
Total Share‑Based Employee Cost | 7 | 7 | 10 | |||||||||||||
Total Share‑Based Directors Cost | 1 | 1 | 1 | |||||||||||||
Total Share‑Based Cost | 8 | 8 | 11 | |||||||||||||
Less: Share‑based compensation capitalized as DAC | — | 1 | 3 | |||||||||||||
Share‑based compensation expense | $ | 8 | $ | 7 | $ | 8 | ||||||||||
Income tax benefit | $ | 2 | $ | 2 | $ | 2 | ||||||||||
Lattice Option Pricing | ' | |||||||||||||||
Employee benefit plans | ' | |||||||||||||||
Schedule of Weighted Average Assumptions on Option Pricing | ' | |||||||||||||||
Lattice Option Pricing | ||||||||||||||||
Weighted Average Assumptions(1) | ||||||||||||||||
2013 | 2012 | |||||||||||||||
Dividend yield | 2.07 | % | 2.06 | % | ||||||||||||
Expected volatility | 53.41 | % | 58.89 | % | ||||||||||||
Risk free interest rate | 1.35 | % | 1.45 | % | ||||||||||||
Expected life | 6.6 years | 6.6 years | ||||||||||||||
Forfeiture rate | 4.5 | % | 4.5 | % | ||||||||||||
Weighted average grant date fair value | $ | 8.94 | 8.62 | |||||||||||||
____________________ | ||||||||||||||||
-1 | No options were granted in 2011. | |||||||||||||||
Monte Carlo and Lattice Option Pricing | ' | |||||||||||||||
Employee benefit plans | ' | |||||||||||||||
Schedule of Weighted Average Assumptions on Option Pricing | ' | |||||||||||||||
Monte Carlo and Lattice Option Pricing | ||||||||||||||||
Weighted Average Assumptions | ||||||||||||||||
2013 | 2012 | |||||||||||||||
Dividend yield | 2.07 | % | 2.06 | % | ||||||||||||
Expected volatility | 53.5 | % | 58.89 | % | ||||||||||||
Risk free interest rate | 1.36 | % | 1.45 | % | ||||||||||||
Expected life | 6.3 years | 6.3 years | ||||||||||||||
Forfeiture rate | 4.5 | % | 4.5 | % | ||||||||||||
Weighted average grant date fair value | $ | 8.17 | $ | 7.84 | ||||||||||||
Stock Options | ' | |||||||||||||||
Employee benefit plans | ' | |||||||||||||||
Schedule of Stock Options | ' | |||||||||||||||
Time Vested Stock Options | ||||||||||||||||
Options for | Weighted | Weighted | Number of | Year of | ||||||||||||
Common Shares | Average | Average Grant | Exercisable | Expiration | ||||||||||||
Exercise Price | Date Fair Value | Options | ||||||||||||||
Per Share | ||||||||||||||||
Balance as of December 31, 2012 | 4,229,555 | $ | 20.1 | 4,047,374 | ||||||||||||
Options granted | 102,355 | 19.36 | $ | 8.94 | 2020 | |||||||||||
Options exercised | (1,199,339 | ) | 17.75 | |||||||||||||
Options forfeited/expired | (3,320 | ) | 24.21 | |||||||||||||
Balance as of December 31, 2013 | 3,129,251 | $ | 20.97 | 2,987,088 | ||||||||||||
Performance Stock Options | ' | |||||||||||||||
Employee benefit plans | ' | |||||||||||||||
Schedule of Stock Options | ' | |||||||||||||||
Performance Stock Options | ||||||||||||||||
Options for | Weighted | Weighted | Number of | Year of | ||||||||||||
Common Shares | Average | Average Grant | Exercisable | Expiration | ||||||||||||
Exercise Price | Date Fair Value | Options | ||||||||||||||
Per Share | ||||||||||||||||
Balance as of December 31, 2012 | 293,077 | $ | 17.44 | 0 | ||||||||||||
Options granted | 72,640 | 19.24 | $ | 8.17 | 2020 | |||||||||||
Options exercised | — | — | ||||||||||||||
Options forfeited/expired | — | — | ||||||||||||||
Balance as of December 31, 2013 | 365,717 | $ | 17.8 | 0 | ||||||||||||
Restricted Stock Awards | ' | |||||||||||||||
Employee benefit plans | ' | |||||||||||||||
Restricted Stock Award Activity | ' | |||||||||||||||
Restricted Stock Award Activity | ||||||||||||||||
Nonvested Shares | Number of | Weighted | ||||||||||||||
Shares | Average Grant | |||||||||||||||
Date Fair Value | ||||||||||||||||
Per Share | ||||||||||||||||
Nonvested at December 31, 2012 | 88,549 | $ | 12.93 | |||||||||||||
Granted | 48,273 | 23.2 | ||||||||||||||
Vested | (88,549 | ) | 12.93 | |||||||||||||
Forfeited | — | — | ||||||||||||||
Nonvested at December 31, 2013 | 48,273 | $ | 23.2 | |||||||||||||
Restricted Stock Units | ' | |||||||||||||||
Employee benefit plans | ' | |||||||||||||||
Restricted Stock Unit Activity (Excluding Dividend Equivalents) | ' | |||||||||||||||
Restricted Stock Unit Activity | ||||||||||||||||
(Excluding Dividend Equivalents) | ||||||||||||||||
Nonvested Stock Units | Number of | Weighted | ||||||||||||||
Stock Units | Average Grant | |||||||||||||||
Date Fair Value | ||||||||||||||||
Per Share | ||||||||||||||||
Nonvested at December 31, 2012 | 1,006,411 | $ | 16.78 | |||||||||||||
Granted | 93,580 | 19.29 | ||||||||||||||
Delivered | (361,157 | ) | 15.04 | |||||||||||||
Forfeited | (2,425 | ) | 17.85 | |||||||||||||
Nonvested at December 31, 2013 | 736,409 | $ | 17.63 | |||||||||||||
Performance Restricted Stock Units | ' | |||||||||||||||
Employee benefit plans | ' | |||||||||||||||
Restricted Stock Unit Activity (Excluding Dividend Equivalents) | ' | |||||||||||||||
Performance Restricted Stock Unit Activity | ||||||||||||||||
Performance Restricted Stock Units | Number of | Weighted | ||||||||||||||
Performance Share Units | Average Grant | |||||||||||||||
Date Fair Value | ||||||||||||||||
Per Share | ||||||||||||||||
Nonvested at December 31, 2012 | 178,970 | $ | 27.35 | |||||||||||||
Granted | 44,440 | 29.54 | ||||||||||||||
Delivered | — | — | ||||||||||||||
Forfeited | — | — | ||||||||||||||
Nonvested at December 31, 2013 | 223,410 | $ | 27.79 | |||||||||||||
Other_Comprehensive_Income_Tab
Other Comprehensive Income (Tables) | 12 Months Ended | |||||||||||||||||||
Dec. 31, 2013 | ||||||||||||||||||||
Comprehensive Income (Loss), Net of Tax, Attributable to Parent [Abstract] | ' | |||||||||||||||||||
Changes in Accumulated Other Comprehensive Income by Component | ' | |||||||||||||||||||
The following tables present the changes in the balances of each component of accumulated other comprehensive income and the effect of significant reclassifications out of AOCI on the respective line items in net income. | ||||||||||||||||||||
Changes in Accumulated Other Comprehensive Income by Component | ||||||||||||||||||||
Year Ended December 31, 2013 | ||||||||||||||||||||
Net Unrealized | Net Unrealized | Cumulative | Cash Flow Hedge | Total Accumulated | ||||||||||||||||
Gains (Losses) on | Gains (Losses) on | Translation | Other | |||||||||||||||||
Investments with no OTTI | Investments with OTTI | Adjustment | Comprehensive | |||||||||||||||||
Income | ||||||||||||||||||||
(in millions) | ||||||||||||||||||||
Balance, December 31, 2012 | $ | 517 | $ | (5 | ) | $ | (6 | ) | $ | 9 | $ | 515 | ||||||||
Other comprehensive income (loss) before reclassified | (309 | ) | (35 | ) | 3 | — | (341 | ) | ||||||||||||
Amounts reclassified from AOCI to: | ||||||||||||||||||||
Other net realized investment gain (losses) | (43 | ) | 24 | — | — | (19 | ) | |||||||||||||
Interest expense | — | — | — | (1 | ) | (1 | ) | |||||||||||||
Total before tax | (43 | ) | 24 | — | (1 | ) | (20 | ) | ||||||||||||
Tax (provision) benefit | $ | 13 | $ | (8 | ) | $ | — | $ | 1 | 6 | ||||||||||
Total amount reclassified from AOCI, net of tax | (30 | ) | 16 | — | 0 | (14 | ) | |||||||||||||
Net current period other comprehensive income (loss) | (339 | ) | (19 | ) | 3 | 0 | (355 | ) | ||||||||||||
Balance, December 31, 2013 | $ | 178 | $ | (24 | ) | $ | (3 | ) | $ | 9 | $ | 160 | ||||||||
Year Ended December 31, 2012 | ||||||||||||||||||||
Net Unrealized | Net Unrealized | Cumulative | Cash Flow Hedge | Total Accumulated | ||||||||||||||||
Gains (Losses) on | Gains (Losses) on | Translation | Other | |||||||||||||||||
Investments with no OTTI | Investments with OTTI | Adjustment | Comprehensive | |||||||||||||||||
Income | ||||||||||||||||||||
(in millions) | ||||||||||||||||||||
Balance, December 31, 2011 | $ | 365 | $ | 2 | $ | (8 | ) | $ | 9 | $ | 368 | |||||||||
Other comprehensive income (loss) | 152 | (7 | ) | 2 | 0 | 147 | ||||||||||||||
Balance, December 31, 2012 | $ | 517 | $ | (5 | ) | $ | (6 | ) | $ | 9 | $ | 515 | ||||||||
Year Ended December 31, 2011 | ||||||||||||||||||||
Net Unrealized | Net Unrealized | Cumulative | Cash Flow Hedge | Total Accumulated | ||||||||||||||||
Gains (Losses) on | Gains (Losses) on | Translation | Other | |||||||||||||||||
Investments with no OTTI | Investments with OTTI | Adjustment | Comprehensive | |||||||||||||||||
Income | ||||||||||||||||||||
(in millions) | ||||||||||||||||||||
Balance, December 31, 2010 | $ | 116 | $ | (6 | ) | $ | (8 | ) | $ | 10 | $ | 112 | ||||||||
Other comprehensive income (loss) | 249 | 8 | 0 | (1 | ) | 256 | ||||||||||||||
Balance, December 31, 2011 | $ | 365 | $ | 2 | $ | (8 | ) | $ | 9 | $ | 368 | |||||||||
Subsidiary_Information_Tables
Subsidiary Information (Tables) | 12 Months Ended | |||||||||||||||||||||||
Dec. 31, 2013 | ||||||||||||||||||||||||
Subsidiary Information [abstract] | ' | |||||||||||||||||||||||
Condensed Consolidating Balance Sheet | ' | |||||||||||||||||||||||
CONDENSED CONSOLIDATING BALANCE SHEET | ||||||||||||||||||||||||
AS OF DECEMBER 31, 2013 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Assured | AGUS | AGMH | Other | Consolidating | Assured | |||||||||||||||||||
Guaranty Ltd. | (Issuer) | (Issuer) | Entities | Adjustments | Guaranty Ltd. | |||||||||||||||||||
(Parent) | (Consolidated) | |||||||||||||||||||||||
ASSETS | ||||||||||||||||||||||||
Total investment portfolio and cash | $ | 33 | $ | 186 | $ | 42 | $ | 11,008 | $ | (300 | ) | $ | 10,969 | |||||||||||
Investment in subsidiaries | 5,066 | 4,191 | 3,574 | 289 | (13,120 | ) | — | |||||||||||||||||
Premiums receivable, net of commissions payable | — | — | — | 1,025 | (149 | ) | 876 | |||||||||||||||||
Ceded unearned premium reserve | — | — | — | 1,598 | (1,146 | ) | 452 | |||||||||||||||||
Deferred acquisition costs | — | — | — | 198 | (74 | ) | 124 | |||||||||||||||||
Reinsurance recoverable on unpaid losses | — | — | — | 170 | (134 | ) | 36 | |||||||||||||||||
Credit derivative assets | — | — | — | 482 | (388 | ) | 94 | |||||||||||||||||
Deferred tax asset, net | — | 97 | — | 681 | (90 | ) | 688 | |||||||||||||||||
Intercompany receivable | — | — | — | 90 | (90 | ) | — | |||||||||||||||||
Financial guaranty variable interest entities’ assets, at fair value | — | — | — | 2,565 | — | 2,565 | ||||||||||||||||||
Other | 23 | 17 | 31 | 638 | (226 | ) | 483 | |||||||||||||||||
TOTAL ASSETS | $ | 5,122 | $ | 4,491 | $ | 3,647 | $ | 18,744 | $ | (15,717 | ) | $ | 16,287 | |||||||||||
LIABILITIES AND SHAREHOLDERS’ EQUITY | ||||||||||||||||||||||||
Unearned premium reserves | $ | — | $ | — | $ | — | $ | 5,720 | $ | (1,125 | ) | $ | 4,595 | |||||||||||
Loss and LAE reserve | — | — | — | 733 | (141 | ) | 592 | |||||||||||||||||
Long-term debt | — | 348 | 430 | 38 | — | 816 | ||||||||||||||||||
Intercompany payable | — | 90 | — | 300 | (390 | ) | — | |||||||||||||||||
Credit derivative liabilities | — | — | — | 2,175 | (388 | ) | 1,787 | |||||||||||||||||
Deferred tax liabilities, net | — | — | 95 | — | (95 | ) | — | |||||||||||||||||
Financial guaranty variable interest entities’ liabilities, at fair value | — | — | — | 2,871 | — | 2,871 | ||||||||||||||||||
Other | 7 | 7 | 16 | 853 | (372 | ) | 511 | |||||||||||||||||
TOTAL LIABILITIES | 7 | 445 | 541 | 12,690 | (2,511 | ) | 11,172 | |||||||||||||||||
TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. | 5,115 | 4,046 | 3,106 | 5,765 | (12,917 | ) | 5,115 | |||||||||||||||||
Noncontrolling interest | — | — | — | 289 | (289 | ) | — | |||||||||||||||||
TOTAL SHAREHOLDERS’ EQUITY | 5,115 | 4,046 | 3,106 | 6,054 | (13,206 | ) | 5,115 | |||||||||||||||||
TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY | $ | 5,122 | $ | 4,491 | $ | 3,647 | $ | 18,744 | $ | (15,717 | ) | $ | 16,287 | |||||||||||
CONDENSED CONSOLIDATING BALANCE SHEET | ||||||||||||||||||||||||
AS OF DECEMBER 31, 2012 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Assured | AGUS | AGMH | Other | Consolidating | Assured | |||||||||||||||||||
Guaranty Ltd. | (Issuer) | (Issuer) | Entities | Adjustments | Guaranty Ltd. | |||||||||||||||||||
(Parent) | (Consolidated) | |||||||||||||||||||||||
ASSETS | ||||||||||||||||||||||||
Total investment portfolio and cash | $ | 245 | $ | 15 | $ | 30 | $ | 11,233 | $ | (300 | ) | $ | 11,223 | |||||||||||
Investment in subsidiaries | 4,734 | 3,958 | 3,225 | 3,524 | (15,441 | ) | — | |||||||||||||||||
Premiums receivable, net of commissions payable | — | — | — | 1,147 | (142 | ) | 1,005 | |||||||||||||||||
Ceded unearned premium reserve | — | — | — | 1,550 | (989 | ) | 561 | |||||||||||||||||
Deferred acquisition costs | — | — | — | 190 | (74 | ) | 116 | |||||||||||||||||
Reinsurance recoverable on unpaid losses | — | — | — | 223 | (165 | ) | 58 | |||||||||||||||||
Credit derivative assets | — | — | — | 553 | (412 | ) | 141 | |||||||||||||||||
Deferred tax asset, net | — | 48 | (94 | ) | 789 | (22 | ) | 721 | ||||||||||||||||
Intercompany receivable | — | — | — | 173 | (173 | ) | — | |||||||||||||||||
Financial guaranty variable interest entities’ assets, at fair value | — | — | — | 2,688 | — | 2,688 | ||||||||||||||||||
Other | 23 | 29 | 26 | 816 | (165 | ) | 729 | |||||||||||||||||
TOTAL ASSETS | $ | 5,002 | $ | 4,050 | $ | 3,187 | $ | 22,886 | $ | (17,883 | ) | $ | 17,242 | |||||||||||
LIABILITIES AND SHAREHOLDERS’ EQUITY | ||||||||||||||||||||||||
Unearned premium reserves | $ | — | $ | — | $ | — | $ | 6,168 | $ | (961 | ) | $ | 5,207 | |||||||||||
Loss and LAE reserve | — | — | — | 778 | (177 | ) | 601 | |||||||||||||||||
Long-term debt | — | 347 | 423 | 66 | — | 836 | ||||||||||||||||||
Intercompany payable | — | 173 | — | 300 | (473 | ) | — | |||||||||||||||||
Credit derivative liabilities | — | 0 | — | 2,346 | (412 | ) | 1,934 | |||||||||||||||||
Financial guaranty variable interest entities’ liabilities, at fair value | — | — | — | 3,141 | — | 3,141 | ||||||||||||||||||
Other | 8 | 6 | 15 | 803 | (303 | ) | 529 | |||||||||||||||||
TOTAL LIABILITIES | 8 | 526 | 438 | 13,602 | (2,326 | ) | 12,248 | |||||||||||||||||
TOTAL SHAREHOLDERS’ EQUITY | 4,994 | 3,524 | 2,749 | 9,284 | (15,557 | ) | 4,994 | |||||||||||||||||
TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY | $ | 5,002 | $ | 4,050 | $ | 3,187 | $ | 22,886 | $ | (17,883 | ) | $ | 17,242 | |||||||||||
Condensed Consolidating Statement of Operations and Comprehensive Income | ' | |||||||||||||||||||||||
CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS | ||||||||||||||||||||||||
AND COMPREHENSIVE INCOME | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Assured | AGUS | AGMH | Other | Consolidating | Assured | |||||||||||||||||||
Guaranty Ltd. | (Issuer) | (Issuer) | Entities | Adjustments | Guaranty Ltd. | |||||||||||||||||||
(Parent) | (Consolidated) | |||||||||||||||||||||||
REVENUES | ||||||||||||||||||||||||
Net earned premiums | $ | — | $ | — | $ | — | $ | 740 | $ | 12 | $ | 752 | ||||||||||||
Net investment income | 0 | 0 | 1 | 408 | (16 | ) | 393 | |||||||||||||||||
Net realized investment gains (losses) | 0 | 0 | 0 | 87 | (35 | ) | 52 | |||||||||||||||||
Net change in fair value of credit derivatives: | ||||||||||||||||||||||||
Realized gains (losses) and other settlements | — | — | — | (42 | ) | — | (42 | ) | ||||||||||||||||
Net unrealized gains (losses) | — | — | — | 107 | — | 107 | ||||||||||||||||||
Net change in fair value of credit derivatives | — | — | — | 65 | — | 65 | ||||||||||||||||||
Other | — | — | — | 348 | (2 | ) | 346 | |||||||||||||||||
TOTAL REVENUES | 0 | 0 | 1 | 1,648 | (41 | ) | 1,608 | |||||||||||||||||
EXPENSES | ||||||||||||||||||||||||
Loss and LAE | — | — | — | 144 | 10 | 154 | ||||||||||||||||||
Amortization of deferred acquisition costs | — | — | — | 12 | 0 | 12 | ||||||||||||||||||
Interest expense | — | 28 | 54 | 20 | (20 | ) | 82 | |||||||||||||||||
Other operating expenses | 22 | 1 | 1 | 199 | (5 | ) | 218 | |||||||||||||||||
TOTAL EXPENSES | 22 | 29 | 55 | 375 | (15 | ) | 466 | |||||||||||||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES | (22 | ) | (29 | ) | (54 | ) | 1,273 | (26 | ) | 1,142 | ||||||||||||||
Total (provision) benefit for income taxes | — | 9 | 17 | (387 | ) | 27 | (334 | ) | ||||||||||||||||
Equity in earnings of subsidiaries | $ | 830 | $ | 768 | $ | 701 | $ | 19 | $ | (2,318 | ) | — | ||||||||||||
NET INCOME (LOSS) | 808 | 748 | 664 | 905 | (2,317 | ) | 808 | |||||||||||||||||
Less: noncontrolling interest | — | — | — | 19 | (19 | ) | — | |||||||||||||||||
NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. | $ | 808 | $ | 748 | $ | 664 | $ | 886 | $ | (2,298 | ) | $ | 808 | |||||||||||
COMPREHENSIVE INCOME (LOSS) | $ | 453 | $ | 522 | $ | 515 | $ | 309 | $ | (1,346 | ) | $ | 453 | |||||||||||
CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS | ||||||||||||||||||||||||
AND COMPREHENSIVE INCOME | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Assured | AGUS | AGMH | Other | Consolidating | Assured | |||||||||||||||||||
Guaranty Ltd. | (Issuer) | (Issuer) | Entities | Adjustments | Guaranty Ltd. | |||||||||||||||||||
(Parent) | (Consolidated) | |||||||||||||||||||||||
REVENUES | ||||||||||||||||||||||||
Net earned premiums | $ | — | $ | — | $ | — | $ | 833 | $ | 20 | $ | 853 | ||||||||||||
Net investment income | 0 | — | 1 | 422 | (19 | ) | 404 | |||||||||||||||||
Net realized investment gains (losses) | — | — | — | 1 | — | 1 | ||||||||||||||||||
Net change in fair value of credit derivatives: | ||||||||||||||||||||||||
Realized gains (losses) and other settlements | — | — | — | (108 | ) | — | (108 | ) | ||||||||||||||||
Net unrealized gains (losses) | — | — | — | (477 | ) | — | (477 | ) | ||||||||||||||||
Net change in fair value of credit derivatives | — | — | — | (585 | ) | — | (585 | ) | ||||||||||||||||
Other | — | — | — | 284 | (3 | ) | 281 | |||||||||||||||||
TOTAL REVENUES | 0 | — | 1 | 955 | (2 | ) | 954 | |||||||||||||||||
EXPENSES | ||||||||||||||||||||||||
Loss and LAE | — | — | — | 509 | (5 | ) | 504 | |||||||||||||||||
Amortization of deferred acquisition costs | — | — | — | 28 | (14 | ) | 14 | |||||||||||||||||
Interest expense | — | 35 | 54 | 22 | (19 | ) | 92 | |||||||||||||||||
Other operating expenses | 21 | 2 | 1 | 194 | (6 | ) | 212 | |||||||||||||||||
TOTAL EXPENSES | 21 | 37 | 55 | 753 | (44 | ) | 822 | |||||||||||||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES | (21 | ) | (37 | ) | (54 | ) | 202 | 42 | 132 | |||||||||||||||
Total (provision) benefit for income taxes | — | 13 | 19 | (38 | ) | (16 | ) | (22 | ) | |||||||||||||||
Equity in earnings of subsidiaries | 131 | 177 | 424 | 153 | (885 | ) | — | |||||||||||||||||
NET INCOME (LOSS) | $ | 110 | $ | 153 | $ | 389 | $ | 317 | $ | (859 | ) | $ | 110 | |||||||||||
COMPREHENSIVE INCOME (LOSS) | $ | 257 | $ | 266 | $ | 465 | $ | 577 | $ | (1,308 | ) | $ | 257 | |||||||||||
CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS | ||||||||||||||||||||||||
AND COMPREHENSIVE INCOME | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Assured | AGUS | AGMH | Other | Consolidating | Assured | |||||||||||||||||||
Guaranty Ltd. | (Issuer) | (Issuer) | Entities | Adjustments | Guaranty Ltd. | |||||||||||||||||||
(Parent) | (Consolidated) | |||||||||||||||||||||||
REVENUES | ||||||||||||||||||||||||
Net earned premiums | $ | — | $ | — | $ | — | $ | 904 | $ | 16 | $ | 920 | ||||||||||||
Net investment income | — | — | 1 | 410 | (15 | ) | 396 | |||||||||||||||||
Net realized investment gains (losses) | — | — | — | (18 | ) | — | (18 | ) | ||||||||||||||||
Net change in fair value of credit derivatives: | ||||||||||||||||||||||||
Realized gains (losses) and other settlements | — | — | — | 6 | — | 6 | ||||||||||||||||||
Net unrealized gains (losses) | — | — | — | 554 | — | 554 | ||||||||||||||||||
Net change in fair value of credit derivatives | — | — | — | 560 | — | 560 | ||||||||||||||||||
Other | — | — | — | (48 | ) | (5 | ) | (53 | ) | |||||||||||||||
TOTAL REVENUES | — | — | 1 | 1,808 | (4 | ) | 1,805 | |||||||||||||||||
EXPENSES | ||||||||||||||||||||||||
Loss and LAE | — | — | — | 440 | 8 | 448 | ||||||||||||||||||
Amortization of deferred acquisition costs | — | — | — | 37 | (20 | ) | 17 | |||||||||||||||||
Interest expense | — | 39 | 54 | 21 | (15 | ) | 99 | |||||||||||||||||
Other operating expenses | 25 | 1 | 1 | 194 | (9 | ) | 212 | |||||||||||||||||
TOTAL EXPENSES | 25 | 40 | 55 | 692 | (36 | ) | 776 | |||||||||||||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES | (25 | ) | (40 | ) | (54 | ) | 1,116 | 32 | 1,029 | |||||||||||||||
Total (provision) benefit for income taxes | — | 14 | 19 | (277 | ) | (12 | ) | (256 | ) | |||||||||||||||
Equity in earnings of subsidiaries | 798 | 640 | 398 | 614 | (2,450 | ) | — | |||||||||||||||||
NET INCOME (LOSS) | $ | 773 | $ | 614 | $ | 363 | $ | 1,453 | $ | (2,430 | ) | $ | 773 | |||||||||||
COMPREHENSIVE INCOME (LOSS) | $ | 1,029 | $ | 824 | $ | 507 | $ | 1,918 | $ | (3,249 | ) | $ | 1,029 | |||||||||||
Condensed Consolidating Statement of Cash Flows | ' | |||||||||||||||||||||||
CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Assured | AGUS | AGMH | Other | Consolidating | Assured | |||||||||||||||||||
Guaranty Ltd. | (Issuer) | (Issuer) | Entities | Adjustments | Guaranty Ltd. | |||||||||||||||||||
(Parent) | (Consolidated) | |||||||||||||||||||||||
Net cash flows provided by (used in) operating activities | $ | 128 | $ | 178 | $ | 133 | $ | 347 | $ | (542 | ) | $ | 244 | |||||||||||
Cash flows from investing activities | ||||||||||||||||||||||||
Fixed-maturity securities: | ||||||||||||||||||||||||
Purchases | — | (93 | ) | (26 | ) | (1,832 | ) | 65 | (1,886 | ) | ||||||||||||||
Sales | 176 | 1 | 25 | 892 | (65 | ) | 1,029 | |||||||||||||||||
Maturities | 29 | 3 | 2 | 849 | — | 883 | ||||||||||||||||||
Sales (purchases) of short-term investments, net | 7 | (28 | ) | (15 | ) | (51 | ) | — | (87 | ) | ||||||||||||||
Net proceeds from financial guaranty variable entities’ assets | — | — | — | 663 | — | 663 | ||||||||||||||||||
Intercompany debt | — | — | — | 7 | (7 | ) | — | |||||||||||||||||
Investment in subsidiary | — | 0 | 49 | — | (49 | ) | — | |||||||||||||||||
Other | — | — | — | 79 | — | 79 | ||||||||||||||||||
Net cash flows provided by (used in) investing activities | 212 | (117 | ) | 35 | 607 | (56 | ) | 681 | ||||||||||||||||
Cash flows from financing activities | ||||||||||||||||||||||||
Return of capital | — | — | — | (50 | ) | 50 | — | |||||||||||||||||
Capital contribution from parent | — | — | — | 1 | (1 | ) | — | |||||||||||||||||
Dividends paid | (75 | ) | — | (168 | ) | (374 | ) | 542 | (75 | ) | ||||||||||||||
Repurchases of common stock | (264 | ) | — | — | — | — | (264 | ) | ||||||||||||||||
Share activity under option and incentive plans | (1 | ) | — | — | — | — | (1 | ) | ||||||||||||||||
Net paydowns of financial guaranty variable entities’ liabilities | — | — | — | (511 | ) | — | (511 | ) | ||||||||||||||||
Payment of long-term debt | — | — | — | (27 | ) | — | (27 | ) | ||||||||||||||||
Intercompany debt | — | (7 | ) | — | — | 7 | — | |||||||||||||||||
Net cash flows provided by (used in) financing activities | (340 | ) | (7 | ) | (168 | ) | (961 | ) | 598 | (878 | ) | |||||||||||||
Effect of exchange rate changes | — | — | — | (1 | ) | — | (1 | ) | ||||||||||||||||
Increase (decrease) in cash | 0 | 54 | — | (8 | ) | — | 46 | |||||||||||||||||
Cash at beginning of period | — | 13 | 0 | 125 | — | 138 | ||||||||||||||||||
Cash at end of period | $ | 0 | $ | 67 | $ | 0 | $ | 117 | $ | — | $ | 184 | ||||||||||||
CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Assured | AGUS | AGMH | Other | Consolidating | Assured | |||||||||||||||||||
Guaranty Ltd. | (Issuer) | (Issuer) | Entities | Adjustments | Guaranty Ltd. | |||||||||||||||||||
(Parent) | (Consolidated) | |||||||||||||||||||||||
Net cash flows provided by (used in) operating activities | $ | 138 | $ | 6 | $ | 20 | $ | 5 | $ | (334 | ) | $ | (165 | ) | ||||||||||
Cash flows from investing activities | ||||||||||||||||||||||||
Fixed-maturity securities: | ||||||||||||||||||||||||
Purchases | (211 | ) | (1 | ) | (13 | ) | (1,424 | ) | — | (1,649 | ) | |||||||||||||
Sales | — | — | 13 | 899 | — | 912 | ||||||||||||||||||
Maturities | 3 | — | 6 | 1,096 | — | 1,105 | ||||||||||||||||||
Sales (purchases) of short-term investments, net | (7 | ) | 27 | 26 | (17 | ) | — | 29 | ||||||||||||||||
Net proceeds from financial guaranty variable entities’ assets | — | — | — | 545 | — | 545 | ||||||||||||||||||
Acquisition of MAC | — | (91 | ) | — | — | — | (91 | ) | ||||||||||||||||
Intercompany debt | — | — | — | (173 | ) | 173 | — | |||||||||||||||||
Investment in subsidiary | — | — | 46 | — | (46 | ) | — | |||||||||||||||||
Other | — | — | — | 92 | — | 92 | ||||||||||||||||||
Net cash flows provided by (used in) investing activities | (215 | ) | (65 | ) | 78 | 1,018 | 127 | 943 | ||||||||||||||||
Cash flows from financing activities | — | |||||||||||||||||||||||
Issuance of common stock | 173 | — | — | — | — | 173 | ||||||||||||||||||
Return of capital | — | — | — | (50 | ) | 50 | — | |||||||||||||||||
Capital contribution from parent | — | — | — | 4 | (4 | ) | — | |||||||||||||||||
Dividends paid | (69 | ) | — | (98 | ) | (236 | ) | 334 | (69 | ) | ||||||||||||||
Repurchases of common stock | (24 | ) | — | — | — | — | (24 | ) | ||||||||||||||||
Share activity under option and incentive plans | (3 | ) | — | — | — | — | (3 | ) | ||||||||||||||||
Net paydowns of financial guaranty variable entities’ liabilities | — | — | — | (724 | ) | — | (724 | ) | ||||||||||||||||
Payment of long-term debt | — | (173 | ) | — | (36 | ) | — | (209 | ) | |||||||||||||||
Intercompany debt | — | 173 | — | — | (173 | ) | — | |||||||||||||||||
Net cash flows provided by (used in) financing activities | 77 | — | (98 | ) | (1,042 | ) | 207 | (856 | ) | |||||||||||||||
Effect of exchange rate changes | — | — | — | 1 | — | 1 | ||||||||||||||||||
Increase (decrease) in cash | — | (59 | ) | — | (18 | ) | — | (77 | ) | |||||||||||||||
Cash at beginning of period | — | 72 | 0 | 143 | — | 215 | ||||||||||||||||||
Cash at end of period | $ | — | $ | 13 | $ | — | $ | 125 | $ | — | $ | 138 | ||||||||||||
CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Assured | AGUS | AGMH | Other | Consolidating | Assured | |||||||||||||||||||
Guaranty Ltd. | (Issuer) | (Issuer) | Entities | Adjustments | Guaranty Ltd. | |||||||||||||||||||
(Parent) | (Consolidated) | |||||||||||||||||||||||
Net cash flows provided by (used in) operating activities | $ | 68 | $ | 84 | $ | (36 | ) | $ | 676 | $ | (116 | ) | $ | 676 | ||||||||||
Cash flows from investing activities | ||||||||||||||||||||||||
Fixed-maturity securities: | ||||||||||||||||||||||||
Purchases | — | — | (14 | ) | (2,294 | ) | — | (2,308 | ) | |||||||||||||||
Sales | — | — | — | 1,107 | — | 1,107 | ||||||||||||||||||
Maturities | — | — | 1 | 662 | — | 663 | ||||||||||||||||||
Sales (purchases) of short-term investments, net | (11 | ) | (25 | ) | (1 | ) | 357 | — | 320 | |||||||||||||||
Net proceeds from financial guaranty variable entities’ assets | — | — | — | 760 | — | 760 | ||||||||||||||||||
Investment in subsidiary | — | — | 50 | — | (50 | ) | — | |||||||||||||||||
Other | — | — | — | 19 | — | 19 | ||||||||||||||||||
Net cash flows provided by (used in) investing activities | (11 | ) | (25 | ) | 36 | 611 | (50 | ) | 561 | |||||||||||||||
Cash flows from financing activities | ||||||||||||||||||||||||
Return of capital | — | — | — | (50 | ) | 50 | — | |||||||||||||||||
Dividends paid | (33 | ) | — | — | (116 | ) | 116 | (33 | ) | |||||||||||||||
Repurchases of common stock | (23 | ) | — | — | — | — | (23 | ) | ||||||||||||||||
Share activity under option and incentive plans | (1 | ) | — | — | — | — | (1 | ) | ||||||||||||||||
Net paydowns of financial guaranty variable entities’ liabilities | — | — | — | (1,053 | ) | — | (1,053 | ) | ||||||||||||||||
Payment of long-term debt | — | — | — | (22 | ) | — | (22 | ) | ||||||||||||||||
Net cash flows provided by (used in) financing activities | (57 | ) | — | — | (1,241 | ) | 166 | (1,132 | ) | |||||||||||||||
Effect of exchange rate changes | — | — | — | 2 | — | 2 | ||||||||||||||||||
Increase (decrease) in cash | — | 59 | — | 48 | — | 107 | ||||||||||||||||||
Cash at beginning of period | — | 13 | — | 95 | — | 108 | ||||||||||||||||||
Cash at end of period | $ | — | $ | 72 | $ | — | $ | 143 | $ | — | $ | 215 | ||||||||||||
Quarterly_Financial_Informatio1
Quarterly Financial Information (Unaudited) (Tables) | 12 Months Ended | ||||||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||||||
Quarterly Financial Information Disclosure [Abstract] | ' | ||||||||||||||||||||
Selected Quarterly Information | ' | ||||||||||||||||||||
A summary of selected quarterly information follows: | |||||||||||||||||||||
2013 | First | Second | Third | Fourth | Full | ||||||||||||||||
Quarter | Quarter | Quarter | Quarter | Year | |||||||||||||||||
(dollars in millions, except per share data) | |||||||||||||||||||||
Revenues | |||||||||||||||||||||
Net earned premiums | $ | 248 | $ | 163 | $ | 159 | $ | 182 | $ | 752 | |||||||||||
Net investment income | 94 | 93 | 99 | 107 | 393 | ||||||||||||||||
Net realized investment gains (losses) | 28 | 2 | (7 | ) | 29 | 52 | |||||||||||||||
Net change in fair value of credit derivatives | (592 | ) | 74 | 354 | 229 | 65 | |||||||||||||||
Fair value gains (losses) on CCS | (10 | ) | (3 | ) | 9 | 14 | 10 | ||||||||||||||
Fair value gains (losses) on FG VIEs | 70 | 143 | 40 | 93 | 346 | ||||||||||||||||
Other income (loss) | (14 | ) | (7 | ) | 16 | (5 | ) | (10 | ) | ||||||||||||
Expenses | |||||||||||||||||||||
Loss and LAE | (48 | ) | 62 | 55 | 85 | 154 | |||||||||||||||
Amortization of DAC | 3 | 1 | 4 | 4 | 12 | ||||||||||||||||
Interest expense | 21 | 21 | 21 | 19 | 82 | ||||||||||||||||
Other operating expenses | 60 | 52 | 54 | 52 | 218 | ||||||||||||||||
Income (loss) before provision for income taxes | (212 | ) | 329 | 536 | 489 | 1,142 | |||||||||||||||
Provision (benefit) for income taxes | (68 | ) | 110 | 152 | 140 | 334 | |||||||||||||||
Net income (loss) | (144 | ) | 219 | 384 | 349 | 808 | |||||||||||||||
Earnings (loss) per share(1): | |||||||||||||||||||||
Basic | $ | (0.74 | ) | $ | 1.17 | $ | 2.1 | $ | 1.91 | $ | 4.32 | ||||||||||
Diluted | $ | (0.74 | ) | $ | 1.16 | $ | 2.09 | $ | 1.9 | $ | 4.3 | ||||||||||
Dividends per share | $ | 0.1 | $ | 0.1 | $ | 0.1 | $ | 0.1 | $ | 0.4 | |||||||||||
2012 | First | Second | Third | Fourth | Full | ||||||||||||||||
Quarter | Quarter | Quarter | Quarter | Year | |||||||||||||||||
(dollars in millions, except per share data) | |||||||||||||||||||||
Revenues | |||||||||||||||||||||
Net earned premiums | $ | 194 | $ | 219 | $ | 222 | $ | 218 | $ | 853 | |||||||||||
Net investment income | 98 | 101 | 102 | 103 | 404 | ||||||||||||||||
Net realized investment gains (losses) | 1 | (3 | ) | 2 | 1 | 1 | |||||||||||||||
Net change in fair value of credit derivatives | (691 | ) | 261 | (36 | ) | (119 | ) | (585 | ) | ||||||||||||
Fair value gains (losses) on CCS | (14 | ) | 4 | (2 | ) | (6 | ) | (18 | ) | ||||||||||||
Fair value gains (losses) on FG VIEs | (41 | ) | 168 | 34 | 30 | 191 | |||||||||||||||
Other income (loss) | 91 | 5 | 16 | (4 | ) | 108 | |||||||||||||||
Expenses | |||||||||||||||||||||
Loss and LAE | 242 | 118 | 86 | 58 | 504 | ||||||||||||||||
Amortization of DAC | 5 | 5 | 4 | 0 | 14 | ||||||||||||||||
Interest expense | 25 | 25 | 21 | 21 | 92 | ||||||||||||||||
Other operating expenses | 62 | 53 | 48 | 49 | 212 | ||||||||||||||||
Income (loss) before provision for income taxes | (696 | ) | 554 | 179 | 95 | 132 | |||||||||||||||
Provision (benefit) for income taxes | (213 | ) | 177 | 37 | 21 | 22 | |||||||||||||||
Net income (loss) | (483 | ) | 377 | 142 | 74 | 110 | |||||||||||||||
Earnings (loss) per share(1): | |||||||||||||||||||||
Basic | $ | (2.65 | ) | $ | 2.02 | $ | 0.73 | $ | 0.38 | $ | 0.58 | ||||||||||
Diluted | $ | (2.65 | ) | $ | 2.01 | $ | 0.73 | $ | 0.38 | $ | 0.57 | ||||||||||
Dividends per share | $ | 0.09 | $ | 0.09 | $ | 0.09 | $ | 0.09 | $ | 0.36 | |||||||||||
____________________ | |||||||||||||||||||||
-1 | Per share amounts for the quarters and the full years have each been calculated separately. Accordingly, quarterly amounts may not sum up to the annual amounts because of differences in the average common shares outstanding during each period and, with regard to diluted per share amounts only, because of the inclusion of the effect of potentially dilutive securities only in the periods in which such effect would have been dilutive. |
Business_and_Basis_of_Presenta3
Business and Basis of Presentation (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 |
In Millions, unless otherwise specified | Company | MAC |
Credit facilities | ' | ' |
Cash paid to acquire entity | ' | $91 |
Allocation of purchase price to intangible assets other than goodwill | ' | $16 |
Number of holding companies having public debt outstanding | 2 | ' |
Business_Changes_and_Developme2
Business Changes and Developments - Business Developments (Details) | 0 Months Ended | 12 Months Ended | |||
Jun. 01, 2012 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | ||
Common Stock [Member] | Common Stock [Member] | Common Stock [Member] | |||
Debt Instrument [Line Items] | ' | ' | ' | ' | |
Number of common shares repurchased | ' | 12,512,759 | 2,066,759 | 2,000,000 | |
Issuance of common shares | 13,428,770 | [1] | ' | 13,428,770 | ' |
[1] | Relates to the settlement of forward purchase contracts. See Note 17, Long-Term Debt and Credit Facilities. |
Outstanding_Exposure_Effect_of
Outstanding Exposure - Effect of Refinement in Approach to Internal Credit Ratings and Surveillance Categories on Net Par Outstanding (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | ||
In Millions, unless otherwise specified | ||||
Guarantor Obligations [Line Items] | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | $459,107 | [1] | $518,772 | [1] |
BIG 1 | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 14,751 | 10,820 | ||
BIG 2 | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 3,949 | 4,617 | ||
BIG 3 | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 3,838 | 6,860 | ||
Previous Approach | BIG 1 | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | ' | 9,254 | ||
Previous Approach | BIG 2 | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | ' | 4,617 | ||
Previous Approach | BIG 3 | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | ' | 8,451 | ||
New Approach | BIG 1 | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | ' | 10,820 | ||
New Approach | BIG 2 | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | ' | 4,617 | ||
New Approach | BIG 3 | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | ' | 6,860 | ||
Difference | BIG 1 | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | ' | 1,566 | ||
Difference | BIG 2 | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | ' | 0 | ||
Difference | BIG 3 | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | ' | -1,591 | ||
BIG | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 22,538 | [1] | 22,297 | [1] |
BIG | BIG 1 | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 14,751 | 10,820 | ||
BIG | BIG 2 | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 3,949 | 4,617 | ||
BIG | BIG 3 | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 3,838 | 6,860 | ||
BIG | Previous Approach | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | ' | 22,322 | ||
BIG | New Approach | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | ' | 22,297 | ||
BIG | Difference | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | ' | ($25) | ||
[1] | In the third quarter of 2013, the Company adjusted its approach to assigning internal ratings. See "Refinement of Approach to Internal Credit Ratings and Surveillance Categories" above. This approach is reflected in the "Financial Guaranty Portfolio by Internal Rating" tables as of both December 31, 2013 and December 31, 2012. |
Outstanding_Exposure_Debt_Serv
Outstanding Exposure - Debt Service Outstanding (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 |
In Millions, unless otherwise specified | ||
Financial guarantee obligations | ' | ' |
Gross Debt Service Outstanding | $737,380 | $833,098 |
Net Debt Service Outstanding | 690,535 | 780,356 |
Public Finance | ' | ' |
Financial guarantee obligations | ' | ' |
Gross Debt Service Outstanding | 650,924 | 722,478 |
Net Debt Service Outstanding | 610,011 | 677,285 |
Structured Finance | ' | ' |
Financial guarantee obligations | ' | ' |
Gross Debt Service Outstanding | 86,456 | 110,620 |
Net Debt Service Outstanding | $80,524 | $103,071 |
Outstanding_Exposure_Financial
Outstanding Exposure - Financial Guaranty Portfolio by Internal Rating and Net Exposure to Puerto Rico (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | ||
In Millions, unless otherwise specified | ||||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | $459,107 | [1] | $518,772 | [1] |
% of Net Par Outstanding | 100.00% | [1] | 100.00% | [1] |
Net Par Outstanding (including loss mitigation bonds) | 460,302 | [1] | 519,893 | [1] |
PUERTO RICO | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 5,400 | ' | ||
Public Finance U.S. | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 352,181 | [1] | 387,929 | [1] |
% of Net Par Outstanding | 100.00% | [1] | 100.00% | [1] |
Net Par Outstanding (including loss mitigation bonds) | 352,213 | [1] | 387,967 | [1] |
Public Finance Non-U.S. | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 33,998 | [1] | 37,540 | [1] |
% of Net Par Outstanding | 100.00% | [1] | 100.00% | [1] |
Net Par Outstanding (including loss mitigation bonds) | 33,998 | [1] | 37,540 | [1] |
Structured Finance U.S. | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 58,907 | [1] | 74,535 | [1] |
% of Net Par Outstanding | 100.00% | [1] | 100.00% | [1] |
Net Par Outstanding (including loss mitigation bonds) | 60,070 | [1] | 75,618 | [1] |
Structured Finance Non-U.S. | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 14,021 | [1] | 18,768 | [1] |
% of Net Par Outstanding | 100.00% | [1] | 100.00% | [1] |
Net Par Outstanding (including loss mitigation bonds) | 14,021 | [1] | 18,768 | [1] |
AAA | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 48,015 | [1] | 61,564 | [1] |
% of Net Par Outstanding | 10.50% | [1] | 11.90% | [1] |
AAA | Public Finance U.S. | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 4,998 | [1] | 4,502 | [1] |
% of Net Par Outstanding | 1.40% | [1] | 1.20% | [1] |
AAA | Public Finance Non-U.S. | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 1,016 | [1] | 1,706 | [1] |
% of Net Par Outstanding | 3.00% | [1] | 4.50% | [1] |
AAA | Structured Finance U.S. | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 32,317 | [1] | 42,187 | [1] |
% of Net Par Outstanding | 54.90% | [1] | 56.60% | [1] |
AAA | Structured Finance Non-U.S. | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 9,684 | [1] | 13,169 | [1] |
% of Net Par Outstanding | 69.10% | [1] | 70.20% | [1] |
AA | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 117,933 | [1] | 135,665 | [1] |
% of Net Par Outstanding | 25.70% | [1] | 26.10% | [1] |
AA | Public Finance U.S. | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 107,503 | [1] | 124,525 | [1] |
% of Net Par Outstanding | 30.50% | [1] | 32.10% | [1] |
AA | Public Finance Non-U.S. | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 422 | [1] | 875 | [1] |
% of Net Par Outstanding | 1.20% | [1] | 2.30% | [1] |
AA | Structured Finance U.S. | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 9,431 | [1] | 9,543 | [1] |
% of Net Par Outstanding | 16.00% | [1] | 12.80% | [1] |
AA | Structured Finance Non-U.S. | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 577 | [1] | 722 | [1] |
% of Net Par Outstanding | 4.10% | [1] | 3.90% | [1] |
A | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 205,616 | [1] | 225,984 | [1] |
% of Net Par Outstanding | 44.80% | [1] | 43.60% | [1] |
A | Public Finance U.S. | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 192,841 | [1] | 210,124 | [1] |
% of Net Par Outstanding | 54.80% | [1] | 54.10% | [1] |
A | Public Finance Non-U.S. | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 9,453 | [1] | 9,781 | [1] |
% of Net Par Outstanding | 27.90% | [1] | 26.10% | [1] |
A | Structured Finance U.S. | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 2,580 | [1] | 4,670 | [1] |
% of Net Par Outstanding | 4.40% | [1] | 6.30% | [1] |
A | Structured Finance Non-U.S. | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 742 | [1] | 1,409 | [1] |
% of Net Par Outstanding | 5.30% | [1] | 7.50% | [1] |
BBB | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 65,005 | [1] | 73,262 | [1] |
% of Net Par Outstanding | 14.10% | [1] | 14.10% | [1] |
BBB | Public Finance U.S. | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 37,745 | [1] | 44,213 | [1] |
% of Net Par Outstanding | 10.70% | [1] | 11.40% | [1] |
BBB | Public Finance Non-U.S. | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 21,499 | [1] | 22,885 | [1] |
% of Net Par Outstanding | 63.20% | [1] | 61.00% | [1] |
BBB | Structured Finance U.S. | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 3,815 | [1] | 3,737 | [1] |
% of Net Par Outstanding | 6.40% | [1] | 5.00% | [1] |
BBB | Structured Finance Non-U.S. | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 1,946 | [1] | 2,427 | [1] |
% of Net Par Outstanding | 13.90% | [1] | 12.90% | [1] |
BIG | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 22,538 | [1] | 22,297 | [1] |
% of Net Par Outstanding | 4.90% | [1] | 4.30% | [1] |
BIG | PUERTO RICO | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 5,171 | ' | ||
BIG | Loss Mitigation Bonds | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (including loss mitigation bonds) | 1,195 | [1] | 1,121 | [1] |
BIG | PUERTO RICO | PUERTO RICO | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 5,200 | ' | ||
BIG | Public Finance U.S. | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 9,094 | [1] | 4,565 | [1] |
% of Net Par Outstanding | 2.60% | [1] | 1.20% | [1] |
BIG | Public Finance U.S. | Loss Mitigation Bonds | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (including loss mitigation bonds) | 32 | [1] | 38 | [1] |
BIG | Public Finance Non-U.S. | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 1,608 | [1] | 2,293 | [1] |
% of Net Par Outstanding | 4.70% | [1] | 6.10% | [1] |
BIG | Public Finance Non-U.S. | Loss Mitigation Bonds | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (including loss mitigation bonds) | 0 | [1] | 0 | [1] |
BIG | Structured Finance U.S. | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 10,764 | [1] | 14,398 | [1] |
% of Net Par Outstanding | 18.30% | [1] | 19.30% | [1] |
BIG | Structured Finance U.S. | Loss Mitigation Bonds | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (including loss mitigation bonds) | 1,163 | [1] | 1,083 | [1] |
BIG | Structured Finance Non-U.S. | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 1,072 | [1] | 1,041 | [1] |
% of Net Par Outstanding | 7.60% | [1] | 5.50% | [1] |
BIG | Structured Finance Non-U.S. | Loss Mitigation Bonds | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (including loss mitigation bonds) | $0 | [1] | $0 | [1] |
[1] | In the third quarter of 2013, the Company adjusted its approach to assigning internal ratings. See "Refinement of Approach to Internal Credit Ratings and Surveillance Categories" above. This approach is reflected in the "Financial Guaranty Portfolio by Internal Rating" tables as of both December 31, 2013 and December 31, 2012. |
Outstanding_Exposure_Financial1
Outstanding Exposure - Financial Guaranty Portfolio by Asset Class (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | ||
In Millions, unless otherwise specified | ||||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | $487,895 | $550,907 | ||
Ceded Par Amount | 28,788 | [1] | 32,135 | |
Net Par Outstanding (excluding loss mitigation bonds) | 459,107 | [2] | 518,772 | [2] |
Public Finance U.S. | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 367,616 | 404,880 | ||
Ceded Par Amount | 15,435 | 16,951 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 352,181 | [2] | 387,929 | [2] |
Public Finance U.S. | General obligation | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 160,751 | 175,932 | ||
Ceded Par Amount | 5,474 | 5,947 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 155,277 | 169,985 | ||
Public Finance U.S. | Tax backed | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 70,552 | 77,894 | ||
Ceded Par Amount | 3,728 | 4,145 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 66,824 | 73,749 | ||
Public Finance U.S. | Municipal utilities | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 57,893 | 63,933 | ||
Ceded Par Amount | 1,569 | 1,817 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 56,324 | 62,116 | ||
Public Finance U.S. | Transportation | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 32,514 | 35,624 | ||
Ceded Par Amount | 1,684 | 1,825 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 30,830 | 33,799 | ||
Public Finance U.S. | Healthcare | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 17,663 | 19,507 | ||
Ceded Par Amount | 1,531 | 1,669 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 16,132 | 17,838 | ||
Public Finance U.S. | Higher education | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 14,470 | 16,244 | ||
Ceded Par Amount | 399 | 474 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 14,071 | 15,770 | ||
Public Finance U.S. | Infrastructure finance | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 5,014 | 5,100 | ||
Ceded Par Amount | 900 | 890 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 4,114 | 4,210 | ||
Public Finance U.S. | Housing | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 3,518 | 4,792 | ||
Ceded Par Amount | 132 | 159 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 3,386 | 4,633 | ||
Public Finance U.S. | Investor-owned utilities | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 992 | 1,070 | ||
Ceded Par Amount | 1 | 1 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 991 | 1,069 | ||
Public Finance U.S. | Other public finance—U.S. | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 4,249 | 4,784 | ||
Ceded Par Amount | 17 | 24 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 4,232 | 4,760 | ||
Public Finance Non-U.S. | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 42,274 | 46,304 | ||
Ceded Par Amount | 8,276 | 8,764 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 33,998 | [2] | 37,540 | [2] |
Public Finance Non-U.S. | Infrastructure finance | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 17,373 | 18,716 | ||
Ceded Par Amount | 2,670 | 2,904 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 14,703 | 15,812 | ||
Public Finance Non-U.S. | Regulated utilities | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 15,502 | 16,861 | ||
Ceded Par Amount | 4,297 | 4,367 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 11,205 | 12,494 | ||
Public Finance Non-U.S. | Pooled infrastructure | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 2,754 | 3,430 | ||
Ceded Par Amount | 234 | 230 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 2,520 | 3,200 | ||
Public Finance Non-U.S. | Other public finance—U.S. | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 6,645 | 7,297 | ||
Ceded Par Amount | 1,075 | 1,263 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 5,570 | 6,034 | ||
Public Finance | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 409,890 | 451,184 | ||
Ceded Par Amount | 23,711 | 25,715 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 386,179 | 425,469 | ||
Structured Finance U.S. | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 62,591 | 79,189 | ||
Ceded Par Amount | 3,684 | 4,654 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 58,907 | [2] | 74,535 | [2] |
Structured Finance U.S. | Other public finance—U.S. | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 2,067 | 2,307 | ||
Ceded Par Amount | 1,080 | 1,128 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 987 | 1,179 | ||
Structured Finance U.S. | Pooled corporate obligations | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 32,955 | 44,120 | ||
Ceded Par Amount | 1,630 | 2,234 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 31,325 | 41,886 | ||
Structured Finance U.S. | Residential mortgage-backed security (RMBS) | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 14,542 | 18,114 | ||
Ceded Par Amount | 821 | 1,079 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 13,721 | 17,035 | ||
Structured Finance U.S. | Commercial mortgage-backed securities (CMBS) and other commercial real estate related exposures | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 3,990 | 4,293 | ||
Ceded Par Amount | 38 | 46 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 3,952 | 4,247 | ||
Structured Finance U.S. | Insurance securitizations | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 3,082 | 2,991 | ||
Ceded Par Amount | 47 | 48 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 3,035 | 2,943 | ||
Structured Finance U.S. | Financial product | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 2,709 | 3,653 | ||
Ceded Par Amount | 0 | 0 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 2,709 | 3,653 | ||
Structured Finance U.S. | Consumer receivables | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 2,257 | 2,429 | ||
Ceded Par Amount | 59 | 60 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 2,198 | 2,369 | ||
Structured Finance U.S. | Commercial receivables | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 918 | 1,033 | ||
Ceded Par Amount | 7 | 8 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 911 | 1,025 | ||
Structured Finance U.S. | Structured credit | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 71 | 249 | ||
Ceded Par Amount | 2 | 51 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 69 | 198 | ||
Structured Finance Non-U.S. | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 15,414 | 20,534 | ||
Ceded Par Amount | 1,393 | 1,766 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 14,021 | 18,768 | ||
Structured Finance Non-U.S. | Other public finance—U.S. | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 403 | 402 | ||
Ceded Par Amount | 25 | 25 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 378 | 377 | ||
Structured Finance Non-U.S. | Pooled corporate obligations | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 12,232 | 16,288 | ||
Ceded Par Amount | 1,174 | 1,475 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 11,058 | 14,813 | ||
Structured Finance Non-U.S. | Residential mortgage-backed security (RMBS) | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 1,296 | 1,586 | ||
Ceded Par Amount | 150 | 162 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 1,146 | 1,424 | ||
Structured Finance Non-U.S. | Commercial mortgage-backed securities (CMBS) and other commercial real estate related exposures | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 0 | 100 | ||
Ceded Par Amount | 0 | 0 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 0 | 100 | ||
Structured Finance Non-U.S. | Commercial receivables | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 1,286 | 1,489 | ||
Ceded Par Amount | 23 | 26 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 1,263 | 1,463 | ||
Structured Finance Non-U.S. | Structured credit | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 197 | 669 | ||
Ceded Par Amount | 21 | 78 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 176 | 591 | ||
Structured Finance | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Gross Par Outstanding | 78,005 | 99,723 | ||
Ceded Par Amount | 5,077 | 6,420 | ||
Net Par Outstanding (excluding loss mitigation bonds) | $72,928 | $93,303 | ||
[1] | Includes $3,172 million in ceded par outstanding related to insured credit derivatives. | |||
[2] | In the third quarter of 2013, the Company adjusted its approach to assigning internal ratings. See "Refinement of Approach to Internal Credit Ratings and Surveillance Categories" above. This approach is reflected in the "Financial Guaranty Portfolio by Internal Rating" tables as of both December 31, 2013 and December 31, 2012. |
Outstanding_Exposure_Expected_
Outstanding Exposure - Expected Amortization of Net Par Outstanding (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | ||
In Millions, unless otherwise specified | ||||
Estimated Net Par Amortization [Abstract] | ' | ' | ||
0 to 5 years | $161,006 | ' | ||
5 to 10 years | 88,437 | ' | ||
10 to 15 years | 77,740 | ' | ||
15 to 20 years | 58,751 | ' | ||
20 years and above | 73,173 | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 459,107 | [1] | 518,772 | [1] |
Public Finance | ' | ' | ||
Estimated Net Par Amortization [Abstract] | ' | ' | ||
0 to 5 years | 104,223 | ' | ||
5 to 10 years | 81,176 | ' | ||
10 to 15 years | 74,775 | ' | ||
15 to 20 years | 56,734 | ' | ||
20 years and above | 69,271 | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 386,179 | 425,469 | ||
Structured Finance | ' | ' | ||
Estimated Net Par Amortization [Abstract] | ' | ' | ||
0 to 5 years | 56,783 | ' | ||
5 to 10 years | 7,261 | ' | ||
10 to 15 years | 2,965 | ' | ||
15 to 20 years | 2,017 | ' | ||
20 years and above | 3,902 | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | $72,928 | $93,303 | ||
[1] | In the third quarter of 2013, the Company adjusted its approach to assigning internal ratings. See "Refinement of Approach to Internal Credit Ratings and Surveillance Categories" above. This approach is reflected in the "Financial Guaranty Portfolio by Internal Rating" tables as of both December 31, 2013 and December 31, 2012. |
Outstanding_Exposure_BelowInve
Outstanding Exposure - Below-Investment-Grade Net Par Outstanding and Number of Risks (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | ||
In Millions, unless otherwise specified | risk | |||
Financial guarantee obligations | ' | ' | ||
% of Total Net Par Outstanding | 100.00% | ' | ||
Net Par Outstanding, Credit Derivative | $54,482 | $70,781 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 459,107 | [1] | 518,772 | [1] |
Number of Risks | 14,050 | ' | ||
Prime first lien | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding, Credit Derivative | 264 | 333 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 541 | 641 | ||
Alt-A first lien | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 3,590 | 4,469 | ||
Option ARM | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 937 | 1,450 | ||
Subprime | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding, Credit Derivative | 2,930 | 3,494 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 6,130 | 7,048 | ||
Closed-end second lien | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 244 | 348 | ||
HELOCs | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 2,279 | 3,079 | ||
U.S. RMBS | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding, Credit Derivative | 5,826 | 7,257 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 13,721 | 17,035 | ||
TruPS | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 4,970 | 5,694 | ||
Other structured finance | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 54,237 | 70,574 | ||
U.S. Public Finance | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 352,181 | [1] | 387,929 | [1] |
Non-U.S. public finance | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 33,998 | [1] | 37,540 | [1] |
BIG 1 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 14,751 | 10,820 | ||
BIG 1 | Prime first lien | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 52 | 28 | ||
BIG 1 | Alt-A first lien | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 656 | 753 | ||
BIG 1 | Option ARM | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 71 | 333 | ||
BIG 1 | Subprime | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 297 | 152 | ||
BIG 1 | Closed-end second lien | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 8 | 97 | ||
BIG 1 | HELOCs | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 1,499 | 644 | ||
BIG 1 | U.S. RMBS | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 2,583 | 2,007 | ||
BIG 1 | TruPS | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 1,587 | 1,920 | ||
BIG 1 | Other structured finance | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 1,367 | 1,310 | ||
BIG 1 | U.S. Public Finance | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 8,205 | 3,290 | ||
BIG 1 | Non-U.S. public finance | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 1,009 | 2,293 | ||
BIG 2 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 3,949 | 4,617 | ||
BIG 2 | Prime first lien | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 321 | 436 | ||
BIG 2 | Alt-A first lien | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 1,137 | 1,962 | ||
BIG 2 | Option ARM | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 60 | 392 | ||
BIG 2 | Subprime | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 908 | 988 | ||
BIG 2 | Closed-end second lien | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 20 | 76 | ||
BIG 2 | HELOCs | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 20 | 0 | ||
BIG 2 | U.S. RMBS | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 2,466 | 3,854 | ||
BIG 2 | TruPS | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 135 | 0 | ||
BIG 2 | Other structured finance | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 309 | 263 | ||
BIG 2 | U.S. Public Finance | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 440 | 500 | ||
BIG 2 | Non-U.S. public finance | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 599 | 0 | ||
BIG 3 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 3,838 | 6,860 | ||
BIG 3 | Prime first lien | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 30 | 11 | ||
BIG 3 | Alt-A first lien | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 935 | 739 | ||
BIG 3 | Option ARM | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 467 | 317 | ||
BIG 3 | Subprime | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 740 | 921 | ||
BIG 3 | Closed-end second lien | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 118 | 58 | ||
BIG 3 | HELOCs | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 378 | 1,932 | ||
BIG 3 | U.S. RMBS | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 2,668 | 3,978 | ||
BIG 3 | TruPS | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 0 | 953 | ||
BIG 3 | Other structured finance | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 721 | 1,154 | ||
BIG 3 | U.S. Public Finance | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 449 | 775 | ||
BIG 3 | Non-U.S. public finance | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 0 | 0 | ||
BIG | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
% of Total Net Par Outstanding | 4.90% | 4.30% | ||
Net Par Outstanding, Financial Guaranty Insurance | 17,745 | [2] | 15,588 | [2] |
Net Par Outstanding, Credit Derivative | 4,793 | 6,709 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 22,538 | [1] | 22,297 | [1] |
Number of Risks, Financial Guaranty Insurance | 384 | [2],[3] | 370 | [2],[3] |
Number of Risks, Credit Derivative | 73 | [3] | 89 | [3] |
Number of Risks | 457 | [3] | 459 | [3] |
BIG | Prime first lien | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
% of Total Net Par Outstanding | 0.10% | 0.10% | ||
Net Par Outstanding (excluding loss mitigation bonds) | 403 | 475 | ||
BIG | Alt-A first lien | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
% of Total Net Par Outstanding | 0.60% | 0.70% | ||
Net Par Outstanding (excluding loss mitigation bonds) | 2,728 | 3,454 | ||
BIG | Option ARM | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
% of Total Net Par Outstanding | 0.10% | 0.20% | ||
Net Par Outstanding (excluding loss mitigation bonds) | 598 | 1,042 | ||
BIG | Subprime | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
% of Total Net Par Outstanding | 0.40% | 0.40% | ||
Net Par Outstanding (excluding loss mitigation bonds) | 1,945 | 2,061 | ||
BIG | Closed-end second lien | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
% of Total Net Par Outstanding | 0.00% | 0.00% | ||
Net Par Outstanding (excluding loss mitigation bonds) | 146 | 231 | ||
BIG | HELOCs | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
% of Total Net Par Outstanding | 0.40% | 0.50% | ||
Net Par Outstanding (excluding loss mitigation bonds) | 1,897 | 2,576 | ||
BIG | U.S. RMBS | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
% of Total Net Par Outstanding | 1.60% | 1.90% | ||
Net Par Outstanding (excluding loss mitigation bonds) | 7,717 | 9,839 | ||
BIG | TruPS | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
% of Total Net Par Outstanding | 0.40% | 0.60% | ||
Net Par Outstanding (excluding loss mitigation bonds) | 1,722 | 2,873 | ||
BIG | Other structured finance | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
% of Total Net Par Outstanding | 0.50% | 0.50% | ||
Net Par Outstanding (excluding loss mitigation bonds) | 2,397 | 2,727 | ||
BIG | U.S. Public Finance | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
% of Total Net Par Outstanding | 2.00% | 0.90% | ||
Net Par Outstanding (excluding loss mitigation bonds) | 9,094 | [1] | 4,565 | [1] |
BIG | Non-U.S. public finance | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
% of Total Net Par Outstanding | 0.40% | 0.40% | ||
Net Par Outstanding (excluding loss mitigation bonds) | 1,608 | [1] | 2,293 | [1] |
BIG | BIG 1 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding, Financial Guaranty Insurance | 12,391 | [2] | 7,929 | [2] |
Net Par Outstanding, Credit Derivative | 2,360 | 2,891 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 14,751 | 10,820 | ||
Number of Risks, Financial Guaranty Insurance | 185 | [2],[3] | 163 | [2],[3] |
Number of Risks, Credit Derivative | 25 | [3] | 33 | [3] |
Number of Risks | 210 | [3] | 196 | [3] |
BIG | BIG 2 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding, Financial Guaranty Insurance | 2,323 | [2] | 2,116 | [2] |
Net Par Outstanding, Credit Derivative | 1,626 | 2,501 | ||
Net Par Outstanding (excluding loss mitigation bonds) | 3,949 | 4,617 | ||
Number of Risks, Financial Guaranty Insurance | 80 | [2],[3] | 76 | [2],[3] |
Number of Risks, Credit Derivative | 21 | [3] | 27 | [3] |
Number of Risks | 101 | [3] | 103 | [3] |
BIG | BIG 3 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net Par Outstanding, Financial Guaranty Insurance | 3,031 | [2] | 5,543 | [2] |
Net Par Outstanding, Credit Derivative | 807 | 1,317 | ||
Net Par Outstanding (excluding loss mitigation bonds) | $3,838 | $6,860 | ||
Number of Risks, Financial Guaranty Insurance | 119 | [2],[3] | 131 | [2],[3] |
Number of Risks, Credit Derivative | 27 | [3] | 29 | [3] |
Number of Risks | 146 | [3] | 160 | [3] |
[1] | In the third quarter of 2013, the Company adjusted its approach to assigning internal ratings. See "Refinement of Approach to Internal Credit Ratings and Surveillance Categories" above. This approach is reflected in the "Financial Guaranty Portfolio by Internal Rating" tables as of both December 31, 2013 and December 31, 2012. | |||
[2] | Includes net par outstanding for FG VIEs. | |||
[3] | A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments. |
Outstanding_Exposure_Geographi
Outstanding Exposure - Geographic Distribution of Net Par Outstanding (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | ||
In Millions, unless otherwise specified | risk | |||
Financial Guaranty Portfolio | ' | ' | ||
Number of Risks | 14,050 | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | $459,107 | [1] | $518,772 | [1] |
Percent of Total Net Par Outstanding | 100.00% | ' | ||
U.S. Public Finance | ' | ' | ||
Financial Guaranty Portfolio | ' | ' | ||
Number of Risks | 12,802 | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 352,181 | ' | ||
Percent of Total Net Par Outstanding | 76.70% | ' | ||
U.S. Structured Finance | ' | ' | ||
Financial Guaranty Portfolio | ' | ' | ||
Number of Risks | 963 | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 58,907 | ' | ||
Percent of Total Net Par Outstanding | 12.80% | ' | ||
Non-U.S. | ' | ' | ||
Financial Guaranty Portfolio | ' | ' | ||
Number of Risks | 285 | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 48,019 | ' | ||
Percent of Total Net Par Outstanding | 10.50% | ' | ||
United States | ' | ' | ||
Financial Guaranty Portfolio | ' | ' | ||
Number of Risks | 13,765 | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 411,088 | ' | ||
Percent of Total Net Par Outstanding | 89.50% | ' | ||
United Kingdom | Non-U.S. | ' | ' | ||
Financial Guaranty Portfolio | ' | ' | ||
Number of Risks | 115 | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 21,405 | ' | ||
Percent of Total Net Par Outstanding | 4.70% | ' | ||
Australia | Non-U.S. | ' | ' | ||
Financial Guaranty Portfolio | ' | ' | ||
Number of Risks | 29 | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 5,598 | ' | ||
Percent of Total Net Par Outstanding | 1.20% | ' | ||
Canada | Non-U.S. | ' | ' | ||
Financial Guaranty Portfolio | ' | ' | ||
Number of Risks | 10 | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 3,851 | ' | ||
Percent of Total Net Par Outstanding | 0.80% | ' | ||
France | Non-U.S. | ' | ' | ||
Financial Guaranty Portfolio | ' | ' | ||
Number of Risks | 21 | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 3,614 | ' | ||
Percent of Total Net Par Outstanding | 0.80% | ' | ||
Italy | Non-U.S. | ' | ' | ||
Financial Guaranty Portfolio | ' | ' | ||
Number of Risks | 10 | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 1,808 | ' | ||
Percent of Total Net Par Outstanding | 0.40% | ' | ||
Other Countries | Non-U.S. | ' | ' | ||
Financial Guaranty Portfolio | ' | ' | ||
Number of Risks | 100 | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 11,743 | ' | ||
Percent of Total Net Par Outstanding | 2.60% | ' | ||
California | U.S. Public Finance | ' | ' | ||
Financial Guaranty Portfolio | ' | ' | ||
Number of Risks | 1,492 | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 52,704 | ' | ||
Percent of Total Net Par Outstanding | 11.50% | ' | ||
New York | U.S. Public Finance | ' | ' | ||
Financial Guaranty Portfolio | ' | ' | ||
Number of Risks | 1,035 | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 28,582 | ' | ||
Percent of Total Net Par Outstanding | 6.20% | ' | ||
Pennsylvania | U.S. Public Finance | ' | ' | ||
Financial Guaranty Portfolio | ' | ' | ||
Number of Risks | 1,059 | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 28,475 | ' | ||
Percent of Total Net Par Outstanding | 6.20% | ' | ||
Texas | U.S. Public Finance | ' | ' | ||
Financial Guaranty Portfolio | ' | ' | ||
Number of Risks | 1,269 | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 27,249 | ' | ||
Percent of Total Net Par Outstanding | 5.90% | ' | ||
Illinois | U.S. Public Finance | ' | ' | ||
Financial Guaranty Portfolio | ' | ' | ||
Number of Risks | 881 | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 24,138 | ' | ||
Percent of Total Net Par Outstanding | 5.30% | ' | ||
Florida | U.S. Public Finance | ' | ' | ||
Financial Guaranty Portfolio | ' | ' | ||
Number of Risks | 422 | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 21,773 | ' | ||
Percent of Total Net Par Outstanding | 4.70% | ' | ||
New Jersey | U.S. Public Finance | ' | ' | ||
Financial Guaranty Portfolio | ' | ' | ||
Number of Risks | 656 | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 14,462 | ' | ||
Percent of Total Net Par Outstanding | 3.20% | ' | ||
Michigan | U.S. Public Finance | ' | ' | ||
Financial Guaranty Portfolio | ' | ' | ||
Number of Risks | 713 | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 14,250 | ' | ||
Percent of Total Net Par Outstanding | 3.10% | ' | ||
Georgia | U.S. Public Finance | ' | ' | ||
Financial Guaranty Portfolio | ' | ' | ||
Number of Risks | 204 | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 9,364 | ' | ||
Percent of Total Net Par Outstanding | 2.00% | ' | ||
Ohio | U.S. Public Finance | ' | ' | ||
Financial Guaranty Portfolio | ' | ' | ||
Number of Risks | 554 | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 8,763 | ' | ||
Percent of Total Net Par Outstanding | 1.90% | ' | ||
Other States | U.S. Public Finance | ' | ' | ||
Financial Guaranty Portfolio | ' | ' | ||
Number of Risks | 4,517 | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | $122,421 | ' | ||
Percent of Total Net Par Outstanding | 26.70% | ' | ||
[1] | In the third quarter of 2013, the Company adjusted its approach to assigning internal ratings. See "Refinement of Approach to Internal Credit Ratings and Surveillance Categories" above. This approach is reflected in the "Financial Guaranty Portfolio by Internal Rating" tables as of both December 31, 2013 and December 31, 2012. |
Outstanding_Exposure_Net_Direc
Outstanding Exposure - Net Direct Economic Exposure to Selected European Countries (Details) (USD $) | Dec. 31, 2013 | |
In Millions, unless otherwise specified | ||
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | $2,883 | [1] |
Sovereign and sub-sovereign | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 1,966 | [1] |
Sovereign and sub-sovereign | Public Finance | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 1,397 | [1] |
Sovereign and sub-sovereign | Infrastructure finance | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 569 | [1] |
Non-sovereign | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 917 | [1] |
Non-sovereign | Regulated utilities | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 234 | [1] |
Non-sovereign | RMBS | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 683 | [1] |
BIG | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 1,148 | [1] |
Hungary | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 608 | [1],[2] |
Hungary | Sovereign and sub-sovereign | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 384 | [1],[2] |
Hungary | Sovereign and sub-sovereign | Public Finance | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 0 | [1],[2] |
Hungary | Sovereign and sub-sovereign | Infrastructure finance | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 384 | [1],[2] |
Hungary | Non-sovereign | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 224 | [1],[2] |
Hungary | Non-sovereign | Regulated utilities | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 0 | [1],[2] |
Hungary | Non-sovereign | RMBS | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 224 | [1],[2] |
Hungary | BIG | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 608 | [1],[2] |
Ireland | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 144 | [1] |
Ireland | Sovereign and sub-sovereign | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 0 | [1] |
Ireland | Sovereign and sub-sovereign | Public Finance | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 0 | [1] |
Ireland | Sovereign and sub-sovereign | Infrastructure finance | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 0 | [1] |
Ireland | Non-sovereign | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 144 | [1] |
Ireland | Non-sovereign | Regulated utilities | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 0 | [1] |
Ireland | Non-sovereign | RMBS | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 144 | [1] |
Ireland | BIG | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 0 | [1] |
Italy | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 1,591 | [1] |
Italy | Sovereign and sub-sovereign | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 1,042 | [1] |
Italy | Sovereign and sub-sovereign | Public Finance | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 1,024 | [1] |
Italy | Sovereign and sub-sovereign | Infrastructure finance | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 18 | [1] |
Italy | Non-sovereign | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 549 | [1] |
Italy | Non-sovereign | Regulated utilities | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 234 | [1] |
Italy | Non-sovereign | RMBS | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 315 | [1] |
Italy | BIG | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 0 | [1] |
Portugal | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 110 | [1],[2] |
Portugal | Sovereign and sub-sovereign | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 110 | [1],[2] |
Portugal | Sovereign and sub-sovereign | Public Finance | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 98 | [1],[2] |
Portugal | Sovereign and sub-sovereign | Infrastructure finance | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 12 | [1],[2] |
Portugal | Non-sovereign | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 0 | [1],[2] |
Portugal | Non-sovereign | Regulated utilities | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 0 | [1],[2] |
Portugal | Non-sovereign | RMBS | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 0 | [1],[2] |
Portugal | BIG | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 110 | [1],[2] |
Spain | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 430 | [1],[2] |
Spain | Sovereign and sub-sovereign | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 430 | [1],[2] |
Spain | Sovereign and sub-sovereign | Public Finance | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 275 | [1],[2] |
Spain | Sovereign and sub-sovereign | Infrastructure finance | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 155 | [1],[2] |
Spain | Non-sovereign | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 0 | [1],[2] |
Spain | Non-sovereign | Regulated utilities | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 0 | [1],[2] |
Spain | Non-sovereign | RMBS | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | 0 | [1],[2] |
Spain | BIG | ' | |
Guarantor Obligations [Line Items] | ' | |
Net Par Outstanding, European Exposure | $430 | [1],[2] |
[1] | While the Company’s exposures are shown in U.S. dollars, the obligations the Company insures are in various currencies, including U.S. dollars, Euros and British pounds sterling. Included in the table above is $144 million of reinsurance assumed on a 2004 - 2006 pool of Irish residential mortgages that is part of the Company’s remaining legacy mortgage reinsurance business. One of the residential mortgage-backed securities included in the table above includes residential mortgages in both Italy and Germany, and only the portion of the transaction equal to the portion of the original mortgage pool in Italian mortgages is shown in the table. | |
[2] | See Note 6, Expected Loss to be Paid. |
Outstanding_Exposure_Expected_1
Outstanding Exposure - Expected Amortization of Net Par and Net Debt Service Outstanding (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | ||
In Millions, unless otherwise specified | ||||
Estimated BIG Net Par Amortization [Abstract] | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | $459,107 | [1] | $518,772 | [1] |
Estimated BIG Net Debt Service Amortization [Abstract] | ' | ' | ||
Total | 690,535 | 780,356 | ||
Puerto Rico | ' | ' | ||
Estimated BIG Net Par Amortization [Abstract] | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 5,400 | ' | ||
BIG | ' | ' | ||
Estimated BIG Net Par Amortization [Abstract] | ' | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 22,538 | [1] | 22,297 | [1] |
BIG | Puerto Rico | ' | ' | ||
Estimated BIG Net Par Amortization [Abstract] | ' | ' | ||
2014 | 242 | ' | ||
2015 | 364 | ' | ||
2016 | 289 | ' | ||
2017 | 208 | ' | ||
2018 | 160 | ' | ||
2019-2023 | 921 | ' | ||
2024-2028 | 979 | ' | ||
2029-2033 | 706 | ' | ||
After 2033 | 1,302 | ' | ||
Net Par Outstanding (excluding loss mitigation bonds) | 5,171 | ' | ||
Estimated BIG Net Debt Service Amortization [Abstract] | ' | ' | ||
2014 | 501 | ' | ||
2015 | 608 | ' | ||
2016 | 515 | ' | ||
2017 | 421 | ' | ||
2018 | 363 | ' | ||
2019-2023 | 1,780 | ' | ||
2024-2028 | 1,622 | ' | ||
2029-2033 | 1,141 | ' | ||
After 2033 | 1,596 | ' | ||
Total | $8,547 | ' | ||
[1] | In the third quarter of 2013, the Company adjusted its approach to assigning internal ratings. See "Refinement of Approach to Internal Credit Ratings and Surveillance Categories" above. This approach is reflected in the "Financial Guaranty Portfolio by Internal Rating" tables as of both December 31, 2013 and December 31, 2012. |
Outstanding_Exposure_Narrative
Outstanding Exposure - Narrative (Details) | 12 Months Ended | 12 Months Ended | 12 Months Ended | |||||||||||||||||||||||||||
Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | |||||||
USD ($) | USD ($) | RMBS | U.S. RMBS | U.S. RMBS | Public finance Ireland | Public Finance UK | Structured Finance | Structured Finance | Public Finance | Public Finance | Sovereign Debt | Minimum | Maximum | BIG | BIG | BIG | BIG | External Credit Rating, Investment Grade | Europe | Europe | Puerto Rico | Puerto Rico | Puerto Rico | |||||||
USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | EUR (€) | Public Finance | Public Finance | USD ($) | USD ($) | U.S. RMBS | U.S. RMBS | U.S. RMBS | Pooled corporate obligations | Commercial receivables | USD ($) | BIG | BIG | |||||||||
USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | pension_fund | USD ($) | USD ($) | |||||||||||||||||||||||
Transaction | ||||||||||||||||||||||||||||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||
Minimum principal amount assumed for internal rating | ' | ' | $1,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||
Probability of paying more claims than being reimbursed (as a percent) | 50.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||
Constant discount rate (as a percent) | 5.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||
Maximum period of liquidity claims (in years) | '1 year | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||
Refinement of approach to internal credit ratings, number of transactions updated | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1 | ' | ' | ' | ' | ' | ||||||
Refinement of approach to internal credit ratings, net par of transactions upgraded | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 25,000,000 | ' | ' | ' | ' | ' | ||||||
Net mortgage guaranty insurance in force | 152,000,000 | ' | ' | ' | ' | 144,000,000 | 8,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||
Gross par outstanding of obligations in certain credit derivative contracts delivered to Company, and included in the investment portfolio | 195,000,000 | 220,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||
Outstanding commitments to provide guaranties | ' | ' | ' | ' | ' | ' | ' | 419,000,000 | ' | 355,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||
Expiration date for insured financial obligation commitments | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1-Jan-14 | 25-Feb-17 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||
Outstanding commitments to provide guaranties, amount expiring prior to December 31, 2014 | ' | ' | ' | ' | ' | ' | ' | ' | ' | 231,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||
Indirect European exposure | 2,883,000,000 | [1] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 781,000,000 | [1],[2] | 86,000,000 | [1],[2] | ' | ' | ' | |||
Payment of claims under guarantees in net exposure to sovereign debt | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 218,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||
Net Par Outstanding (excluding loss mitigation bonds) | $459,107,000,000 | [3] | $518,772,000,000 | [3] | ' | $13,721,000,000 | $17,035,000,000 | ' | ' | $72,928,000,000 | $93,303,000,000 | $386,179,000,000 | $425,469,000,000 | ' | ' | ' | $22,538,000,000 | [3] | $22,297,000,000 | [3] | $7,717,000,000 | $9,839,000,000 | ' | ' | ' | $5,400,000,000 | $5,171,000,000 | $5,200,000,000 | ||
Number of pension funds that are significantly underfunded | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 2 | ' | ' | ||||||
[1] | While the Company’s exposures are shown in U.S. dollars, the obligations the Company insures are in various currencies, including U.S. dollars, Euros and British pounds sterling. Included in the table above is $144 million of reinsurance assumed on a 2004 - 2006 pool of Irish residential mortgages that is part of the Company’s remaining legacy mortgage reinsurance business. One of the residential mortgage-backed securities included in the table above includes residential mortgages in both Italy and Germany, and only the portion of the transaction equal to the portion of the original mortgage pool in Italian mortgages is shown in the table. | |||||||||||||||||||||||||||||
[2] | See Note 6, Expected Loss to be Paid. | |||||||||||||||||||||||||||||
[3] | In the third quarter of 2013, the Company adjusted its approach to assigning internal ratings. See "Refinement of Approach to Internal Credit Ratings and Surveillance Categories" above. This approach is reflected in the "Financial Guaranty Portfolio by Internal Rating" tables as of both December 31, 2013 and December 31, 2012. |
Financial_Guaranty_Insurance_P2
Financial Guaranty Insurance Premiums - Net Earned Premiums (Details) (USD $) | 3 Months Ended | 12 Months Ended | ||||||||||||
In Millions, unless otherwise specified | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Jun. 30, 2012 | Mar. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | |||
Financial Guaranty Insurance Premiums [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Accretion of discount on net premiums receivable | ' | ' | ' | ' | ' | ' | ' | ' | ($20) | ($36) | ($32) | |||
Net earned premiums | 182 | 159 | 163 | 248 | 218 | 222 | 219 | 194 | 752 | [1] | 853 | [1] | 920 | [1] |
Net earned premiums, consolidated VIEs | ' | ' | ' | ' | ' | ' | ' | ' | 60 | 153 | 75 | |||
Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Financial Guaranty Insurance Premiums [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Scheduled net earned premiums | ' | ' | ' | ' | ' | ' | ' | ' | 470 | 581 | 765 | |||
Acceleration of net earned premiums | ' | ' | ' | ' | ' | ' | ' | ' | 263 | 249 | 125 | |||
Accretion of discount on net premiums receivable | ' | ' | ' | ' | ' | ' | ' | ' | 17 | 22 | 28 | |||
Financial guaranty insurance net earned premiums | ' | ' | ' | ' | ' | ' | ' | ' | 750 | 852 | 918 | |||
Other | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Financial Guaranty Insurance Premiums [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Net earned premiums | ' | ' | ' | ' | ' | ' | ' | ' | $2 | $1 | $2 | |||
[1] | Excludes $60 million, $153 million and $75 million for the year ended December 31, 2013, 2012 and 2011, respectively, related to consolidated FG VIEs. |
Financial_Guaranty_Insurance_P3
Financial Guaranty Insurance Premiums - Components of Unearned Premium Reserve (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | ||
In Millions, unless otherwise specified | ||||
Financial Guaranty Insurance Premiums [Line Items] | ' | ' | ||
Deferred premium revenue, gross | $4,652 | $5,356 | ||
Deferred premium revenue, ceded | 470 | 586 | ||
Deferred premium revenue, net | 4,182 | [1] | 4,770 | [1] |
Unearned premium reserve, gross | 4,595 | 5,207 | ||
Unearned premium reserve, ceded | 452 | 561 | ||
Unearned premium reserve, net | 4,143 | [1] | 4,646 | [1] |
Total net unearned premium reserve related to FG VIE | 187 | 262 | ||
Contra-paid related to FG and VIEs | 55 | 98 | ||
Financial guaranty insurance | ' | ' | ||
Financial Guaranty Insurance Premiums [Line Items] | ' | ' | ||
Deferred premium revenue, gross | 4,647 | 5,349 | ||
Deferred premium revenue, ceded | 470 | 586 | ||
Deferred premium revenue, net | 4,177 | [1] | 4,763 | [1] |
Contra-paid, gross | -57 | -149 | ||
Contra-paid, ceded | -18 | -25 | ||
Contra-paid, net | -39 | [1] | -124 | [1] |
Other | ' | ' | ||
Financial Guaranty Insurance Premiums [Line Items] | ' | ' | ||
Unearned premium reserve, gross | 5 | 7 | ||
Unearned premium reserve, ceded | 0 | 0 | ||
Unearned premium reserve, net | $5 | [1] | $7 | [1] |
[1] | Excludes $187 million and $262 million deferred premium revenue and $55 million and $98 million contra-paid related to FG VIEs as of December 31, 2013 and December 31, 2012, respectively. |
Financial_Guaranty_Insurance_P4
Financial Guaranty Insurance Premiums - Gross Premium Receivable Net of Commissions on Assumed Business Roll Forward (Details) (USD $) | 12 Months Ended | |||||
In Millions, unless otherwise specified | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | |||
Gross Premium Receivable Net of Ceding Commissions [Roll Forward] | ' | ' | ' | |||
Beginning of period, December 31 | $1,005 | [1] | $1,003 | [1] | $1,168 | |
Gross premium written, net of commissions on assumed business | 145 | 211 | 245 | |||
Gross premiums received, net of commissions on assumed business | -259 | -294 | -318 | |||
Changes in the expected term | -28 | 44 | -104 | |||
Accretion of discount, net of commissions on assumed business | 20 | 36 | 32 | |||
Foreign exchange translation | -1 | 13 | -5 | |||
Consolidation of FG VIEs | 0 | -5 | -10 | |||
Other adjustments | -6 | -3 | -5 | |||
End of period, December 31 | 876 | [1] | 1,005 | [1] | 1,003 | [1] |
Gross premium receivable, net of ceding commissions of consolidated FG VIEs | $21 | $29 | $28 | |||
Percentage of installment premiums denominated in currencies other than the U.S. dollar | 48.00% | 47.00% | ' | |||
[1] | Excludes $21 million, $29 million and $28 million as of December 31, 2013 , 2012 and 2011, respectively, related to consolidated FG VIEs. |
Financial_Guaranty_Insurance_P5
Financial Guaranty Insurance Premiums - Expected Collections of Gross Premiums Receivable Net of Commissions on Assumed Business (Details) (USD $) | Dec. 31, 2013 | |
In Millions, unless otherwise specified | ||
Financial Guaranty Insurance Premiums [Line Items] | ' | |
Cash collections on FG VIEs | $27 | |
Financial guaranty insurance | ' | |
Financial Guaranty Insurance Premiums [Line Items] | ' | |
2014 (January 1 - March 31) | 47 | |
2014 (April 1 - June 30) | 33 | |
2014 (July 1 - September 30) | 23 | |
2014 (October 1 - December 31) | 25 | |
2015 | 91 | |
2016 | 85 | |
2017 | 78 | |
2018 | 70 | |
2019-2023 | 279 | |
2024-2028 | 173 | |
2029-2033 | 121 | |
After 2033 | 129 | |
Total | $1,154 | [1] |
[1] | Excludes expected cash collections on FG VIEs of $27 million. |
Financial_Guaranty_Insurance_P6
Financial Guaranty Insurance Premiums - Scheduled Net Earned Premiums Insurance Contracts (Details) (USD $) | Dec. 31, 2013 | |
In Millions, unless otherwise specified | ||
Financial Guaranty Insurance Premiums [Line Items] | ' | |
Reduction in future scheduled amortization of deferred premium revenue due to consolidating FG VIEs | $187 | |
Financial guaranty insurance | ' | |
Financial Guaranty Insurance Premiums [Line Items] | ' | |
2014 (January 1 - March 31) | 108 | |
2014 (April 1 - June 30) | 107 | |
2014 (July 1 - September 30) | 105 | |
2014 (October 1 - December 31) | 102 | |
Subtotal 2014 | 422 | |
2015 | 372 | |
2016 | 328 | |
2017 | 294 | |
2018 | 269 | |
2019-2023 | 1,049 | |
2024-2028 | 668 | |
2029-2033 | 405 | |
After 2033 | 370 | |
Total present value basis | 4,177 | [1] |
Discount | 240 | |
Total future value | $4,417 | |
[1] | Excludes scheduled net earned premiums on consolidated FG VIEs of $187 million |
Financial_Guaranty_Insurance_P7
Financial Guaranty Insurance Premiums - Selected Information for Policies Paid in Installments (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Dec. 31, 2010 | Dec. 31, 2013 | Dec. 31, 2012 | |||
In Millions, unless otherwise specified | Policies Paid in Installments | Policies Paid in Installments | |||||||
Financial Guaranty Insurance Premiums [Line Items] | ' | ' | ' | ' | ' | ' | |||
Premiums receivable, net of commissions payable | $876 | [1] | $1,005 | [1] | $1,003 | [1] | $1,168 | $876 | $1,005 |
Gross deferred premium revenue | $4,652 | $5,356 | ' | ' | $1,576 | $1,908 | |||
Weighted-average risk-free rate used to discount premiums (as a percent) | ' | ' | ' | ' | 3.40% | 3.50% | |||
Weighted-average period of premiums receivable (in years) | ' | ' | ' | ' | '9 years 4 months 24 days | '9 years 7 months 6 days | |||
[1] | Excludes $21 million, $29 million and $28 million as of December 31, 2013 , 2012 and 2011, respectively, related to consolidated FG VIEs. |
Financial_Guaranty_Insurance_A2
Financial Guaranty Insurance Acquisition Costs (Details) (USD $) | 12 Months Ended | ||
In Millions, unless otherwise specified | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 |
Deferred Aquisition Costs With Change in Accounting Principle [Roll Forward] | ' | ' | ' |
Beginning of period | $116 | $132 | $146 |
Commissions on assumed and ceded business | 9 | -13 | -13 |
Premium taxes | 4 | 4 | 7 |
Compensation and other acquisition costs | 8 | 10 | 9 |
Total costs deferred | 21 | 1 | 3 |
Costs amortized during the period | -13 | -17 | -17 |
Foreign exchange translation | 0 | 0 | 0 |
End of period | $124 | $116 | $132 |
Expected_Loss_to_be_Paid_Net_E
Expected Loss to be Paid - Net Expected Loss to be Paid Before Recoveries for Breaches of R&W (Details) (USD $) | 12 Months Ended | |||
In Millions, unless otherwise specified | Dec. 31, 2013 | Dec. 31, 2012 | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid Before Recoveries for R&W | $2,047 | [1] | $2,756 | |
Economic Loss Development Before Recoveries for R&W | 352 | 617 | ||
(Paid) Recovered Losses Before Recoveries for R&W | -705 | [2] | -1,326 | [2] |
End of Period, Net Expected Loss to be Paid Before Recoveries for R&W | 1,694 | [1] | 2,047 | [1] |
Period after the end of the reporting period within which the ceded paid losses are typically settled (in days) | '45 days | ' | ||
Expected LAE for mitigating claim liabilities | 34 | 39 | ||
Paid LAE | 54 | 47 | ||
Prime first lien | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid Before Recoveries for R&W | 10 | [1] | 5 | |
Economic Loss Development Before Recoveries for R&W | 16 | 5 | ||
(Paid) Recovered Losses Before Recoveries for R&W | -1 | [2] | 0 | [2] |
End of Period, Net Expected Loss to be Paid Before Recoveries for R&W | 25 | [1] | 10 | [1] |
Alt-A first lien | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid Before Recoveries for R&W | 693 | [1] | 702 | |
Economic Loss Development Before Recoveries for R&W | -40 | 102 | ||
(Paid) Recovered Losses Before Recoveries for R&W | -75 | [2] | -111 | [2] |
End of Period, Net Expected Loss to be Paid Before Recoveries for R&W | 578 | [1] | 693 | [1] |
Option ARM | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid Before Recoveries for R&W | 460 | [1] | 935 | |
Economic Loss Development Before Recoveries for R&W | 63 | 128 | ||
(Paid) Recovered Losses Before Recoveries for R&W | -359 | [2] | -603 | [2] |
End of Period, Net Expected Loss to be Paid Before Recoveries for R&W | 164 | [1] | 460 | [1] |
Subprime | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid Before Recoveries for R&W | 351 | [1] | 342 | |
Economic Loss Development Before Recoveries for R&W | 101 | 57 | ||
(Paid) Recovered Losses Before Recoveries for R&W | -30 | [2] | -48 | [2] |
End of Period, Net Expected Loss to be Paid Before Recoveries for R&W | 422 | [1] | 351 | [1] |
Total first lien | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid Before Recoveries for R&W | 1,514 | [1] | 1,984 | |
Economic Loss Development Before Recoveries for R&W | 140 | 292 | ||
(Paid) Recovered Losses Before Recoveries for R&W | -465 | [2] | -762 | [2] |
End of Period, Net Expected Loss to be Paid Before Recoveries for R&W | 1,189 | [1] | 1,514 | [1] |
Closed-end second lien | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid Before Recoveries for R&W | 99 | [1] | 138 | |
Economic Loss Development Before Recoveries for R&W | -3 | -5 | ||
(Paid) Recovered Losses Before Recoveries for R&W | -9 | [2] | -34 | [2] |
End of Period, Net Expected Loss to be Paid Before Recoveries for R&W | 87 | [1] | 99 | [1] |
HELOCs | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid Before Recoveries for R&W | 39 | [1] | 159 | |
Economic Loss Development Before Recoveries for R&W | 3 | 80 | ||
(Paid) Recovered Losses Before Recoveries for R&W | -113 | [2] | -200 | [2] |
End of Period, Net Expected Loss to be Paid Before Recoveries for R&W | -71 | [1] | 39 | [1] |
Total second lien | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid Before Recoveries for R&W | 138 | [1] | 297 | |
Economic Loss Development Before Recoveries for R&W | 0 | 75 | ||
(Paid) Recovered Losses Before Recoveries for R&W | -122 | [2] | -234 | [2] |
End of Period, Net Expected Loss to be Paid Before Recoveries for R&W | 16 | [1] | 138 | [1] |
U.S. RMBS | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid Before Recoveries for R&W | 1,652 | [1] | 2,281 | |
Economic Loss Development Before Recoveries for R&W | 140 | 367 | ||
(Paid) Recovered Losses Before Recoveries for R&W | -587 | [2] | -996 | [2] |
End of Period, Net Expected Loss to be Paid Before Recoveries for R&W | 1,205 | [1] | 1,652 | [1] |
TruPS | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid Before Recoveries for R&W | 27 | [1] | 64 | |
Economic Loss Development Before Recoveries for R&W | 7 | -30 | ||
(Paid) Recovered Losses Before Recoveries for R&W | 17 | [2] | -7 | [2] |
End of Period, Net Expected Loss to be Paid Before Recoveries for R&W | 51 | [1] | 27 | [1] |
Other structured finance | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid Before Recoveries for R&W | 312 | [1] | 342 | |
Economic Loss Development Before Recoveries for R&W | -41 | 2 | ||
(Paid) Recovered Losses Before Recoveries for R&W | -151 | [2] | -32 | [2] |
End of Period, Net Expected Loss to be Paid Before Recoveries for R&W | 120 | [1] | 312 | [1] |
U.S. Public Finance | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid Before Recoveries for R&W | 7 | [1] | 16 | |
Economic Loss Development Before Recoveries for R&W | 239 | 74 | ||
(Paid) Recovered Losses Before Recoveries for R&W | 18 | [2] | -83 | [2] |
End of Period, Net Expected Loss to be Paid Before Recoveries for R&W | 264 | [1] | 7 | [1] |
Non-U.S. public finance | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid Before Recoveries for R&W | 52 | [1] | 51 | |
Economic Loss Development Before Recoveries for R&W | 17 | 221 | ||
(Paid) Recovered Losses Before Recoveries for R&W | -12 | [2] | -220 | [2] |
End of Period, Net Expected Loss to be Paid Before Recoveries for R&W | 57 | [1] | 52 | [1] |
Other | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid Before Recoveries for R&W | -3 | [1] | 2 | |
Economic Loss Development Before Recoveries for R&W | -10 | -17 | ||
(Paid) Recovered Losses Before Recoveries for R&W | 10 | [2] | 12 | [2] |
End of Period, Net Expected Loss to be Paid Before Recoveries for R&W | ($3) | [1] | ($3) | [1] |
[1] | Includes expected LAE to be paid for mitigating claim liabilities of $34 million as of December 31, 2013 and $39 million as of December 31, 2012. The Company paid $54 million and $47 million in LAE for the years ended December 31, 2013 and 2012, respectively. | |||
[2] | Net of ceded paid losses, whether or not such amounts have been settled with reinsurers. Ceded paid losses are typically settled 45 days after the end of the reporting period. Such amounts are recorded in reinsurance recoverable on paid losses included in other assets. |
Expected_Loss_to_be_Paid_Net_E1
Expected Loss to be Paid - Net Expected Recoveries from Breaches of R&W Rollforward (Details) (USD $) | 12 Months Ended | |||
In Millions, unless otherwise specified | Dec. 31, 2013 | Dec. 31, 2012 | ||
Estimated Benefit From Recoveries From Breaches of R and W Net of Reinsurance [Roll Forward] | ' | ' | ||
R&W development and accretion of discount during period | $296 | $179 | ||
Gross R&W amounts recovered | 986 | 485 | ||
Prime first lien | ' | ' | ||
Estimated Benefit From Recoveries From Breaches of R and W Net of Reinsurance [Roll Forward] | ' | ' | ||
Future net R&W benefit at the beginning of the period | 4 | 3 | ||
R&W development and accretion of discount during period | 0 | 1 | ||
R&W recovered during period | 0 | [1] | 0 | [1] |
Future net R&W benefit at the end of the period | 4 | [2] | 4 | |
Alt-A first lien | ' | ' | ||
Estimated Benefit From Recoveries From Breaches of R and W Net of Reinsurance [Roll Forward] | ' | ' | ||
Future net R&W benefit at the beginning of the period | 378 | 407 | ||
R&W development and accretion of discount during period | 41 | 40 | ||
R&W recovered during period | -145 | [1] | -69 | [1] |
Future net R&W benefit at the end of the period | 274 | [2] | 378 | |
Option ARM | ' | ' | ||
Estimated Benefit From Recoveries From Breaches of R and W Net of Reinsurance [Roll Forward] | ' | ' | ||
Future net R&W benefit at the beginning of the period | 591 | 725 | ||
R&W development and accretion of discount during period | 161 | 89 | ||
R&W recovered during period | -579 | [1] | -223 | [1] |
Future net R&W benefit at the end of the period | 173 | [2] | 591 | |
Subprime | ' | ' | ||
Estimated Benefit From Recoveries From Breaches of R and W Net of Reinsurance [Roll Forward] | ' | ' | ||
Future net R&W benefit at the beginning of the period | 109 | 101 | ||
R&W development and accretion of discount during period | 9 | 8 | ||
R&W recovered during period | 0 | [1] | 0 | [1] |
Future net R&W benefit at the end of the period | 118 | [2] | 109 | |
Total first lien | ' | ' | ||
Estimated Benefit From Recoveries From Breaches of R and W Net of Reinsurance [Roll Forward] | ' | ' | ||
Future net R&W benefit at the beginning of the period | 1,082 | 1,236 | ||
R&W development and accretion of discount during period | 211 | 138 | ||
R&W recovered during period | -724 | [1] | -292 | [1] |
Future net R&W benefit at the end of the period | 569 | [2] | 1,082 | |
Closed-end second lien | ' | ' | ||
Estimated Benefit From Recoveries From Breaches of R and W Net of Reinsurance [Roll Forward] | ' | ' | ||
Future net R&W benefit at the beginning of the period | 138 | 224 | ||
R&W development and accretion of discount during period | -9 | 5 | ||
R&W recovered during period | -31 | [1] | -91 | [1] |
Future net R&W benefit at the end of the period | 98 | [2] | 138 | |
HELOCs | ' | ' | ||
Estimated Benefit From Recoveries From Breaches of R and W Net of Reinsurance [Roll Forward] | ' | ' | ||
Future net R&W benefit at the beginning of the period | 150 | 190 | ||
R&W development and accretion of discount during period | 94 | 36 | ||
R&W recovered during period | -199 | [1] | -76 | [1] |
Future net R&W benefit at the end of the period | 45 | [2] | 150 | |
Second lien | ' | ' | ||
Estimated Benefit From Recoveries From Breaches of R and W Net of Reinsurance [Roll Forward] | ' | ' | ||
Future net R&W benefit at the beginning of the period | 288 | 414 | ||
R&W development and accretion of discount during period | 85 | 41 | ||
R&W recovered during period | -230 | [1] | -167 | [1] |
Future net R&W benefit at the end of the period | 143 | [2] | 288 | |
U.S. RMBS | ' | ' | ||
Estimated Benefit From Recoveries From Breaches of R and W Net of Reinsurance [Roll Forward] | ' | ' | ||
Future net R&W benefit at the beginning of the period | 1,370 | 1,650 | ||
R&W development and accretion of discount during period | 296 | 179 | ||
R&W recovered during period | -954 | [1] | -459 | [1] |
Future net R&W benefit at the end of the period | $712 | [2] | $1,370 | |
[1] | Gross amounts recovered were $986 million and $485 million for years ended December 31, 2013 and 2012, respectively. | |||
[2] | Includes excess spread that the Company will receive as salvage as a result of a settlement agreement with a R&W provider. |
Expected_Loss_to_be_Paid_Net_E2
Expected Loss to be Paid - Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Rollforward (Details) (USD $) | 12 Months Ended | |||
In Millions, unless otherwise specified | Dec. 31, 2013 | Dec. 31, 2012 | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid After Recoveries for R&W | $677 | $1,106 | ||
Economic Loss Development After Recoveries for R&W | 56 | 438 | ||
(Paid) Recovered Losses After Recoveries for R&W | 249 | [1] | -867 | [1] |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 982 | 677 | ||
Period after the end of the reporting period within which the ceded paid losses are typically settled (in days) | '45 days | ' | ||
Prime first lien | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid After Recoveries for R&W | 6 | 2 | ||
Economic Loss Development After Recoveries for R&W | 16 | 4 | ||
(Paid) Recovered Losses After Recoveries for R&W | -1 | [1] | 0 | [1] |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 21 | 6 | ||
Alt-A first lien | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid After Recoveries for R&W | 315 | 295 | ||
Economic Loss Development After Recoveries for R&W | -81 | 62 | ||
(Paid) Recovered Losses After Recoveries for R&W | 70 | [1] | -42 | [1] |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 304 | 315 | ||
Option ARM | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid After Recoveries for R&W | -131 | 210 | ||
Economic Loss Development After Recoveries for R&W | -98 | 39 | ||
(Paid) Recovered Losses After Recoveries for R&W | 220 | [1] | -380 | [1] |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | -9 | -131 | ||
Subprime | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid After Recoveries for R&W | 242 | 241 | ||
Economic Loss Development After Recoveries for R&W | 92 | 49 | ||
(Paid) Recovered Losses After Recoveries for R&W | -30 | [1] | -48 | [1] |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 304 | 242 | ||
Total first lien | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid After Recoveries for R&W | 432 | 748 | ||
Economic Loss Development After Recoveries for R&W | -71 | 154 | ||
(Paid) Recovered Losses After Recoveries for R&W | 259 | [1] | -470 | [1] |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 620 | 432 | ||
Closed-end second lien | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid After Recoveries for R&W | -39 | -86 | ||
Economic Loss Development After Recoveries for R&W | 6 | -10 | ||
(Paid) Recovered Losses After Recoveries for R&W | 22 | [1] | 57 | [1] |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | -11 | -39 | ||
HELOCs | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid After Recoveries for R&W | -111 | -31 | ||
Economic Loss Development After Recoveries for R&W | -91 | 44 | ||
(Paid) Recovered Losses After Recoveries for R&W | 86 | [1] | -124 | [1] |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | -116 | -111 | ||
Second lien | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid After Recoveries for R&W | -150 | -117 | ||
Economic Loss Development After Recoveries for R&W | -85 | 34 | ||
(Paid) Recovered Losses After Recoveries for R&W | 108 | [1] | -67 | [1] |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | -127 | -150 | ||
U.S. RMBS | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid After Recoveries for R&W | 282 | 631 | ||
Economic Loss Development After Recoveries for R&W | -156 | 188 | ||
(Paid) Recovered Losses After Recoveries for R&W | 367 | [1] | -537 | [1] |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 493 | 282 | ||
TruPS | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid After Recoveries for R&W | 27 | 64 | ||
Economic Loss Development After Recoveries for R&W | 7 | -30 | ||
(Paid) Recovered Losses After Recoveries for R&W | 17 | [1] | -7 | [1] |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 51 | 27 | ||
Other structured finance | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid After Recoveries for R&W | 312 | 342 | ||
Economic Loss Development After Recoveries for R&W | -41 | 2 | ||
(Paid) Recovered Losses After Recoveries for R&W | -151 | [1] | -32 | [1] |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 120 | 312 | ||
U.S. Public Finance | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid After Recoveries for R&W | 7 | 16 | ||
Economic Loss Development After Recoveries for R&W | 239 | 74 | ||
(Paid) Recovered Losses After Recoveries for R&W | 18 | [1] | -83 | [1] |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 264 | 7 | ||
Non-U.S. public finance | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid After Recoveries for R&W | 52 | 51 | ||
Economic Loss Development After Recoveries for R&W | 17 | 221 | ||
(Paid) Recovered Losses After Recoveries for R&W | -12 | [1] | -220 | [1] |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | 57 | 52 | ||
Other | ' | ' | ||
Present Value of Net Expected Loss and Loss Adjustment Expenses to be Paid [Roll Forward] | ' | ' | ||
Beginning of Period, Net Expected Loss to be Paid After Recoveries for R&W | -3 | 2 | ||
Economic Loss Development After Recoveries for R&W | -10 | -17 | ||
(Paid) Recovered Losses After Recoveries for R&W | 10 | [1] | 12 | [1] |
End of Period, Net Expected Loss to be Paid After Recoveries for R&W | ($3) | ($3) | ||
[1] | Net of ceded paid losses, whether or not such amounts have been settled with reinsurers. Ceded paid losses are typically settled 45 days after the end of the reporting period. Such amounts are recorded in reinsurance recoverable on paid losses included in other assets. |
Expected_Loss_to_be_Paid_Net_E3
Expected Loss to be Paid - Net Expected Loss to be Paid and Net Economic Loss Development by Accounting Model (Details) (USD $) | 12 Months Ended | ||||
In Millions, unless otherwise specified | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | $985 | $680 | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W | 982 | 677 | 1,106 | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 66 | 455 | ' | ||
Net Economic Loss Development After Recoveries for R&W | 56 | 438 | ' | ||
Financial Guaranty Insurance | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 741 | 451 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 89 | 459 | ' | ||
FG VIEs | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 60 | [1] | -96 | [1] | ' |
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | -34 | [1] | -27 | [1] | ' |
Credit Derivatives | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 184 | 325 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 11 | [2] | 23 | [2] | ' |
Prime first lien | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 21 | 6 | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W | 21 | 6 | 2 | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 16 | 4 | ' | ||
Net Economic Loss Development After Recoveries for R&W | 16 | 4 | ' | ||
Prime first lien | Financial Guaranty Insurance | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 3 | 4 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | -1 | 2 | ' | ||
Prime first lien | FG VIEs | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 0 | [1] | 0 | [1] | ' |
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 0 | [1] | 0 | [1] | ' |
Prime first lien | Credit Derivatives | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 18 | 2 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 17 | [2] | 2 | [2] | ' |
Alt-A first lien | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 304 | 315 | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W | 304 | 315 | 295 | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | -81 | 62 | ' | ||
Net Economic Loss Development After Recoveries for R&W | -81 | 62 | ' | ||
Alt-A first lien | Financial Guaranty Insurance | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 199 | 164 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | -54 | 38 | ' | ||
Alt-A first lien | FG VIEs | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 31 | [1] | 27 | [1] | ' |
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 5 | [1] | -10 | [1] | ' |
Alt-A first lien | Credit Derivatives | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 74 | 124 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | -32 | [2] | 34 | [2] | ' |
Option ARM | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | -9 | -131 | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W | -9 | -131 | 210 | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | -98 | 39 | ' | ||
Net Economic Loss Development After Recoveries for R&W | -98 | 39 | ' | ||
Option ARM | Financial Guaranty Insurance | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | -18 | -114 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | -62 | 37 | ' | ||
Option ARM | FG VIEs | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | -2 | [1] | -37 | [1] | ' |
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | -36 | [1] | -8 | [1] | ' |
Option ARM | Credit Derivatives | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 11 | 20 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 0 | [2] | 10 | [2] | ' |
Subprime | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 304 | 242 | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W | 304 | 242 | 241 | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 92 | 49 | ' | ||
Net Economic Loss Development After Recoveries for R&W | 92 | 49 | ' | ||
Subprime | Financial Guaranty Insurance | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 149 | 118 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 48 | 31 | ' | ||
Subprime | FG VIEs | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 81 | [1] | 50 | [1] | ' |
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 32 | [1] | 7 | [1] | ' |
Subprime | Credit Derivatives | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 74 | 74 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 12 | [2] | 11 | [2] | ' |
Total first lien | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 620 | 432 | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W | 620 | 432 | 748 | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | -71 | 154 | ' | ||
Net Economic Loss Development After Recoveries for R&W | -71 | 154 | ' | ||
Total first lien | Financial Guaranty Insurance | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 333 | 172 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | -69 | 108 | ' | ||
Total first lien | FG VIEs | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 110 | [1] | 40 | [1] | ' |
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 1 | [1] | -11 | [1] | ' |
Total first lien | Credit Derivatives | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 177 | 220 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | -3 | [2] | 57 | [2] | ' |
Closed-end second lien | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | -11 | -39 | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W | -11 | -39 | -86 | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 6 | -10 | ' | ||
Net Economic Loss Development After Recoveries for R&W | 6 | -10 | ' | ||
Closed-end second lien | Financial Guaranty Insurance | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | -34 | -60 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 30 | 13 | ' | ||
Closed-end second lien | FG VIEs | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 25 | [1] | 31 | [1] | ' |
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | -34 | [1] | -23 | [1] | ' |
Closed-end second lien | Credit Derivatives | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | -2 | -10 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 10 | [2] | 0 | [2] | ' |
HELOCs | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | -116 | -111 | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W | -116 | -111 | -31 | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | -91 | 44 | ' | ||
Net Economic Loss Development After Recoveries for R&W | -91 | 44 | ' | ||
HELOCs | Financial Guaranty Insurance | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | -41 | 56 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | -91 | 37 | ' | ||
HELOCs | FG VIEs | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | -75 | [1] | -167 | [1] | ' |
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | -1 | [1] | 7 | [1] | ' |
HELOCs | Credit Derivatives | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 0 | 0 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 1 | [2] | 0 | [2] | ' |
Second lien | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | -127 | -150 | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W | -127 | -150 | -117 | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | -85 | 34 | ' | ||
Net Economic Loss Development After Recoveries for R&W | -85 | 34 | ' | ||
Second lien | Financial Guaranty Insurance | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | -75 | -4 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | -61 | 50 | ' | ||
Second lien | FG VIEs | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | -50 | [1] | -136 | [1] | ' |
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | -35 | [1] | -16 | [1] | ' |
Second lien | Credit Derivatives | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | -2 | -10 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 11 | [2] | 0 | [2] | ' |
U.S. RMBS | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 493 | 282 | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W | 493 | 282 | 631 | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | -156 | 188 | ' | ||
Net Economic Loss Development After Recoveries for R&W | -156 | 188 | ' | ||
U.S. RMBS | Financial Guaranty Insurance | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 258 | 168 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | -130 | 158 | ' | ||
U.S. RMBS | FG VIEs | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 60 | [1] | -96 | [1] | ' |
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | -34 | [1] | -27 | [1] | ' |
U.S. RMBS | Credit Derivatives | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 175 | 210 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 8 | [2] | 57 | [2] | ' |
TruPS | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 51 | 27 | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W | 51 | 27 | 64 | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 7 | -30 | ' | ||
Net Economic Loss Development After Recoveries for R&W | 7 | -30 | ' | ||
TruPS | Financial Guaranty Insurance | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 3 | 1 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 0 | -11 | ' | ||
TruPS | FG VIEs | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 0 | [1] | 0 | [1] | ' |
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 0 | [1] | 0 | [1] | ' |
TruPS | Credit Derivatives | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 48 | 26 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 7 | [2] | -19 | [2] | ' |
Structured Finance | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 120 | 312 | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W | 120 | 312 | 342 | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | -41 | 2 | ' | ||
Net Economic Loss Development After Recoveries for R&W | -41 | 2 | ' | ||
Structured Finance | Financial Guaranty Insurance | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 161 | 224 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | -36 | 15 | ' | ||
Structured Finance | FG VIEs | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 0 | [1] | 0 | [1] | ' |
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 0 | [1] | 0 | [1] | ' |
Structured Finance | Credit Derivatives | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | -41 | 88 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | -5 | [2] | -13 | [2] | ' |
U.S. Public Finance | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 264 | 7 | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W | 264 | 7 | 16 | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 239 | 74 | ' | ||
Net Economic Loss Development After Recoveries for R&W | 239 | 74 | ' | ||
U.S. Public Finance | Financial Guaranty Insurance | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 264 | 7 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 239 | 75 | ' | ||
U.S. Public Finance | FG VIEs | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 0 | [1] | 0 | [1] | ' |
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 0 | [1] | 0 | [1] | ' |
U.S. Public Finance | Credit Derivatives | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 0 | 0 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 0 | [2] | -1 | [2] | ' |
Non-U.S. public finance | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 57 | 52 | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W | 57 | 52 | 51 | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 17 | 221 | ' | ||
Net Economic Loss Development After Recoveries for R&W | 17 | 221 | ' | ||
Non-U.S. public finance | Financial Guaranty Insurance | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 55 | 51 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 16 | 222 | ' | ||
Non-U.S. public finance | FG VIEs | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 0 | [1] | 0 | [1] | ' |
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 0 | [1] | 0 | [1] | ' |
Non-U.S. public finance | Credit Derivatives | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W Excluding Other Lines of Business | 2 | 1 | ' | ||
Net Economic Loss Development After Recoveries for R&W Excluding Other Lines of Business | 1 | [2] | -1 | [2] | ' |
Other | ' | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ' | ||
Net Expected Loss to be Paid After Recoveries for R&W | -3 | -3 | ' | ||
Net Economic Loss Development After Recoveries for R&W | ($10) | ($17) | ' | ||
[1] | Refer to Note 10, Consolidation of Variable Interest Entities. | ||||
[2] | Refer to Note 9, Financial Guaranty Contracts Accounted for as Credit Derivatives. |
Expected_Loss_to_be_Paid_Liqui
Expected Loss to be Paid - Liquidation Rates and Key Assumptions in Base Case Expected Loss First Lien RMBS (Details) | 12 Months Ended | |||||
Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | ||||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Liquidation Rate for Real Estate Owned | 100.00% | 100.00% | 100.00% | |||
Period until intermediate CDR | ' | '36 months | '36 months | |||
Alt-A and Prime | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Liquidation Rate for Loans Modified in Previous Twelve Months | 35.00% | ' | ' | |||
Liquidation Rate for 30 to 59 Days Delinquent | 50.00% | 35.00% | 35.00% | |||
Liquidation Rate for 60 to 89 Days Delinquent | 60.00% | 55.00% | 55.00% | |||
Liquidation Rate for 90 or More Days Delinquent | 75.00% | 65.00% | 65.00% | |||
Liquidation Rate for Bankruptcy | 60.00% | 55.00% | 55.00% | |||
Liquidation Rate for Foreclosure | 85.00% | 85.00% | 85.00% | |||
Alt-A First Lien | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Period until intermediate CDR | '48 months | '36 months | '36 months | |||
Initial loss severity | 65.00% | [1] | 65.00% | [1] | 65.00% | [1] |
Final CPR | 15.00% | [1] | 15.00% | [1] | 15.00% | [1] |
Alt-A First Lien | Minimum | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Plateau CDR | 2.80% | [1] | 3.80% | [1] | 2.80% | [1] |
Intermediate CDR | 0.60% | [1] | 0.80% | [1] | 0.60% | [1] |
Final CDR | 0.10% | [1] | 0.20% | [1] | 0.10% | [1] |
Initial CPR | 0.00% | [1] | 0.00% | [1] | 0.00% | [1] |
Alt-A First Lien | Maximum | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Plateau CDR | 18.40% | [1] | 23.20% | [1] | 41.30% | [1] |
Intermediate CDR | 3.70% | [1] | 4.60% | [1] | 8.30% | [1] |
Final CDR | 0.90% | [1] | 1.20% | [1] | 2.10% | [1] |
Initial CPR | 34.20% | [1] | 39.40% | [1] | 37.50% | [1] |
Option ARM | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Liquidation Rate for Loans Modified in Previous Twelve Months | 35.00% | ' | ' | |||
Liquidation Rate for 30 to 59 Days Delinquent | 50.00% | 50.00% | 50.00% | |||
Liquidation Rate for 60 to 89 Days Delinquent | 65.00% | 65.00% | 65.00% | |||
Liquidation Rate for 90 or More Days Delinquent | 70.00% | 75.00% | 75.00% | |||
Liquidation Rate for Bankruptcy | 60.00% | 70.00% | 70.00% | |||
Liquidation Rate for Foreclosure | 80.00% | 85.00% | 85.00% | |||
Period until intermediate CDR | '48 months | ' | ' | |||
Initial loss severity | 65.00% | [1] | 65.00% | [1] | 65.00% | [1] |
Final CPR | 15.00% | [1] | 15.00% | [1] | 15.00% | [1] |
Option ARM | Minimum | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Plateau CDR | 4.90% | [1] | 7.00% | [1] | 9.60% | [1] |
Intermediate CDR | 1.00% | [1] | 1.40% | [1] | 1.90% | [1] |
Final CDR | 0.20% | [1] | 0.40% | [1] | 0.50% | [1] |
Initial CPR | 0.40% | [1] | 0.00% | [1] | 0.00% | [1] |
Option ARM | Maximum | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Plateau CDR | 16.80% | [1] | 26.10% | [1] | 31.50% | [1] |
Intermediate CDR | 3.40% | [1] | 5.20% | [1] | 6.30% | [1] |
Final CDR | 0.80% | [1] | 1.30% | [1] | 1.60% | [1] |
Initial CPR | 13.10% | [1] | 10.70% | [1] | 29.10% | [1] |
Subprime | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Liquidation Rate for Loans Modified in Previous Twelve Months | 35.00% | ' | ' | |||
Liquidation Rate for 30 to 59 Days Delinquent | 45.00% | 30.00% | 30.00% | |||
Liquidation Rate for 60 to 89 Days Delinquent | 50.00% | 45.00% | 45.00% | |||
Liquidation Rate for 90 or More Days Delinquent | 60.00% | 60.00% | 60.00% | |||
Liquidation Rate for Bankruptcy | 55.00% | 50.00% | 50.00% | |||
Liquidation Rate for Foreclosure | 70.00% | 80.00% | 80.00% | |||
Period until intermediate CDR | '48 months | ' | ' | |||
Initial loss severity | 90.00% | [1] | 90.00% | [1] | 90.00% | [1] |
Final CPR | 15.00% | [1] | 15.00% | [1] | 15.00% | [1] |
Subprime | Minimum | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Plateau CDR | 5.60% | [1] | 7.30% | [1] | 8.30% | [1] |
Intermediate CDR | 1.10% | [1] | 1.50% | [1] | 1.70% | [1] |
Final CDR | 0.30% | [1] | 0.40% | [1] | 0.40% | [1] |
Initial CPR | 0.00% | [1] | 0.00% | [1] | 0.00% | [1] |
Subprime | Maximum | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Plateau CDR | 16.20% | [1] | 26.20% | [1] | 29.90% | [1] |
Intermediate CDR | 3.20% | [1] | 5.20% | [1] | 6.00% | [1] |
Final CDR | 0.80% | [1] | 1.30% | [1] | 1.50% | [1] |
Initial CPR | 15.70% | [1] | 17.60% | [1] | 16.30% | [1] |
[1] | Represents variables for most heavily weighted scenario (the “base caseâ€). |
Expected_Loss_to_be_Paid_Key_A
Expected Loss to be Paid - Key Assumptions in Base Case Expected Loss Second Lien RMBS (Details) | 12 Months Ended | |||||
Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | ||||
HELOCs | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Expected period until final CDR | '34 months | [1] | '36 months | [1] | '36 months | [1] |
Final CPR | 10.00% | [1] | 10.00% | [1] | 10.00% | [1] |
Loss severity | 98.00% | [1] | 98.00% | [1] | 98.00% | [1] |
HELOCs | Minimum | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Plateau CDR | 2.30% | [1] | 3.80% | [1] | 4.00% | [1] |
Final CDR trended down to | 0.40% | [1] | 0.40% | [1] | 0.40% | [1] |
Initial CPR | 2.70% | [1] | 2.90% | [1] | 1.40% | [1] |
HELOCs | Maximum | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Plateau CDR | 7.70% | [1] | 15.90% | [1] | 27.40% | [1] |
Final CDR trended down to | 3.20% | [1] | 3.20% | [1] | 3.20% | [1] |
Initial CPR | 21.50% | [1] | 15.40% | [1] | 25.80% | [1] |
Closed-end second lien | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Expected period until final CDR | '34 months | [1] | '36 months | [1] | '36 months | [1] |
Final CPR | 10.00% | [1] | 10.00% | [1] | 10.00% | [1] |
Loss severity | 98.00% | [1] | 98.00% | [1] | 98.00% | [1] |
Closed-end second lien | Minimum | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Plateau CDR | 7.30% | [1] | 7.30% | [1] | 6.90% | [1] |
Final CDR trended down to | 3.50% | [1] | 3.50% | [1] | 3.50% | [1] |
Initial CPR | 3.10% | [1] | 1.90% | [1] | 0.90% | [1] |
Closed-end second lien | Maximum | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Plateau CDR | 15.10% | [1] | 20.70% | [1] | 29.50% | [1] |
Final CDR trended down to | 9.10% | [1] | 9.10% | [1] | 9.10% | [1] |
Initial CPR | 12.00% | [1] | 12.50% | [1] | 14.70% | [1] |
[1] | Represents variables for most heavily weighted scenario (the “base caseâ€). |
Expected_Loss_to_be_Paid_RW_Re
Expected Loss to be Paid - R&W Reinsurance Agreements (Details) (USD $) | Dec. 31, 2013 | |
In Millions, unless otherwise specified | ||
Guarantor Obligations [Line Items] | ' | |
Agreement amounts already received | $2,608 | |
Agreement amounts projected to be received in the future | 425 | |
Total R&W payments, gross of reinsurance | 3,611 | |
RMBS | ' | |
Guarantor Obligations [Line Items] | ' | |
Repurchase amounts paid into the relevant RMBS prior to settlement | $578 | [1] |
[1] | These amounts were paid into the relevant RMBS transactions (rather than to the Company as in most settlements) and distributed in accordance with the priority of payments set out in the relevant transaction documents. Because the Company may insure only a portion of the capital structure of a transaction, such payments will not necessarily directly benefit the Company dollar-for-dollar, especially in first lien transactions. |
Expected_Loss_to_be_Paid_RW_Ag
Expected Loss to be Paid - R&W Agreements (Details) (USD $) | Dec. 31, 2013 | |
In Millions, unless otherwise specified | ||
Guarantor Obligations [Line Items] | ' | |
Current Net Par Covered | $5,958 | [1] |
Receipts (net of reinsurance) | 2,400 | [1] |
Estimated Future Receipts (net of reinsurance) | 413 | [1] |
Eligible Assets Held in Trust (gross of reinsurance) | 918 | [1] |
Estimated benefit from loan repurchases related to breaches of R&W included in net expected loss estimates in pursuit | 299 | |
Financial guaranty insurance contracts, principal amount not covered under agreements | 1,617 | |
Financial guaranty insurance contracts, principal amount already covered under agreements but company projects receiving additional amounts | 806 | |
Bank of America - First Lien | Total first lien | ' | |
Guarantor Obligations [Line Items] | ' | |
Current Net Par Covered | 1,059 | [1] |
Receipts (net of reinsurance) | 474 | [1] |
Estimated Future Receipts (net of reinsurance) | 201 | [1] |
Eligible Assets Held in Trust (gross of reinsurance) | 593 | [1] |
Bank of America - First Lien | Second lien | ' | |
Guarantor Obligations [Line Items] | ' | |
Current Net Par Covered | 1,387 | [1] |
Receipts (net of reinsurance) | 968 | [1] |
Deutsche Bank | ' | |
Guarantor Obligations [Line Items] | ' | |
Current Net Par Covered | 1,711 | [1] |
Receipts (net of reinsurance) | 179 | [1] |
Estimated Future Receipts (net of reinsurance) | 107 | [1] |
Eligible Assets Held in Trust (gross of reinsurance) | 151 | [1] |
UBS | ' | |
Guarantor Obligations [Line Items] | ' | |
Current Net Par Covered | 807 | [1] |
Receipts (net of reinsurance) | 394 | [1] |
Estimated Future Receipts (net of reinsurance) | 59 | [1] |
Eligible Assets Held in Trust (gross of reinsurance) | 174 | [1] |
Others | ' | |
Guarantor Obligations [Line Items] | ' | |
Current Net Par Covered | 994 | [1] |
Receipts (net of reinsurance) | 385 | [1] |
Estimated Future Receipts (net of reinsurance) | $46 | [1] |
[1] | This table relates to past and projected future recoveries under R&W and related agreements. Excluded is the $299 million of future net recoveries the Company projects receiving from R&W counterparties in transactions with $1,617 million of net par outstanding as of December 31, 2013 not covered by current agreements and $806 million of net par partially covered by agreements but for which the Company projects receiving additional amounts. |
Expected_Loss_to_be_Paid_US_RM
Expected Loss to be Paid - US RMBS Risks With R&W Benefit (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | ||
In Millions, unless otherwise specified | risk | risk | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Number of Risks | 42 | [1] | 53 | [1] |
Debt Service | $5,011 | $7,198 | ||
Prime first lien | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Number of Risks | 1 | [1] | 1 | [1] |
Debt Service | 38 | 44 | ||
Alt-A first lien | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Number of Risks | 19 | [1] | 26 | [1] |
Debt Service | 2,856 | 4,173 | ||
Option ARM | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Number of Risks | 9 | [1] | 10 | [1] |
Debt Service | 641 | 1,183 | ||
Subprime | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Number of Risks | 5 | [1] | 5 | [1] |
Debt Service | 998 | 989 | ||
Closed-end second lien | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Number of Risks | 4 | [1] | 4 | [1] |
Debt Service | 158 | 260 | ||
HELOC | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Number of Risks | 4 | [1] | 7 | [1] |
Debt Service | $320 | $549 | ||
[1] | A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments.This table shows the full future Debt Service (not just the amount of Debt Service expected to be reimbursed) for risks with projected future R&W benefit, whether pursuant to an agreement or not. |
Expected_Loss_to_be_Paid_Compo
Expected Loss to be Paid - Components of Development and Accretion Amounts of Estimated Recoveries (Details) (USD $) | 12 Months Ended | |
In Millions, unless otherwise specified | Dec. 31, 2013 | Dec. 31, 2012 |
Expected Losses [Abstract] | ' | ' |
Inclusion (removal) of deals with breaches of R&W during period | $6 | ($3) |
Change in recovery assumptions as the result of additional file review and recovery success | -6 | -10 |
Estimated increase (decrease) in defaults that will result in additional (lower) breaches | -8 | 63 |
Results of settlements | 289 | 120 |
Accretion of discount on balance | 15 | 9 |
Total | $296 | $179 |
Expected_Loss_to_be_Paid_Narra
Expected Loss to be Paid - Narrative (Details) | 12 Months Ended | 12 Months Ended | 0 Months Ended | 0 Months Ended | 12 Months Ended | 12 Months Ended | 12 Months Ended | 12 Months Ended | 12 Months Ended | 12 Months Ended | 12 Months Ended | 12 Months Ended | 12 Months Ended | 12 Months Ended | 12 Months Ended | 12 Months Ended | 12 Months Ended | 12 Months Ended | 0 Months Ended | 12 Months Ended | 12 Months Ended | 12 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Jun. 21, 2013 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2013 | Apr. 14, 2011 | Dec. 31, 2013 | Oct. 10, 2013 | Dec. 31, 2013 | 6-May-13 | Oct. 10, 2013 | 8-May-12 | Dec. 31, 2013 | Oct. 10, 2013 | 8-May-12 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 03, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 | ||||||||||||||||||||||||||||||||||||||||||
USD ($) | USD ($) | Puerto Rico | Refinancing Risk on Three Largest Infrastructure Transactions | Refinancing Risk on Three Largest Infrastructure Transactions | Flagstar | BIG | BIG | BIG | Bank of America Agreement | Bank of America Agreement | Deutsche Bank Agreement | Deutsche Bank Agreement | UBS and Third Party Agreement | UBS and Third Party Agreement | Covered Transactions | Covered Transactions | Uninsured Tranches of Covered Transactions | Uninsured Tranches of Covered Transactions | Uninsured Tranches of Covered Transactions | Minimum | Maximum | U.S. dollar denominated obligations | U.S. dollar denominated obligations | U.S. dollar denominated obligations | U.S. dollar denominated obligations | Total first lien | Total first lien | Total first lien | Total first lien | Total first lien | Total first lien | Total first lien | Alt-A first lien | Alt-A first lien | Alt-A first lien | Alt-A first lien | Alt-A first lien | Alt-A first lien | Alt-A first lien | Alt-A first lien | Alt-A first lien | Alt-A first lien | Alt-A first lien | Alt-A first lien | Alt-A first lien | Alt-A first lien | Alt-A first lien | Option ARM | Option ARM | Option ARM | Option ARM | Option ARM | Option ARM | Option ARM | Option ARM | Option ARM | Option ARM | Option ARM | Option ARM | Option ARM | Option ARM | Option ARM | Subprime | Subprime | Subprime | Subprime | Subprime | Subprime | Subprime | Subprime | Subprime | Subprime | Subprime | Subprime | Subprime | Subprime | Subprime | Prime first lien | Prime first lien | Prime first lien | Prime first lien | Prime first lien | Prime first lien | Prime first lien | Prime first lien | Prime first lien | RMBS | Second lien | Second lien | Second lien | Second lien | Second lien | Second lien | Second lien | Life Insurance | Life Insurance | Life Insurance | Student Loan | Asset-backed Student Loan | Asset-backed Student Loan | Public Finance - Student Loan | Public Finance - Student Loan | TruPS CDOs | TruPS CDOs | Puerto Rico | Public Finance - City of Detroit | Public Finance - City of Detroit | Public Finance - City of Detroit | Public Finance - City of Detroit | Public Finance - City of Detroit | Public Finance - Stockton General Fund | Public Finance - Jefferson County, Alabama Sewer Authority | Public Finance - Jefferson County, Alabama Sewer Authority | Public Finance - Harrisburg, Pennsylvania | Public Finance - Louisville Arena Authority | Public Finance bonds secured by excess free cash flows of Foxwoods Casino | Troubled Municipal Credits | Troubled Municipal Credits | Spanish sub-sovereign debt | Portugal sub-sovereign debt | Manufactured Housing Loans | Manufactured Housing Loans | Manufactured Housing Loans | HELOCs | HELOCs | HELOCs | HELOCs | HELOCs | HELOCs | HELOCs | Closed-end second lien | Closed-end second lien | Closed-end second lien | Closed-end second lien | Closed-end second lien | Closed-end second lien | Closed-end second lien | Hungarian-infrastructure bonds | Spanish, Portuguese and Hungarian Debt | Spanish, Portuguese and Hungarian Debt | Structured Finance | Structured Finance | |||||||||||||||||||||||||||||||||||||||||||
Payment | USD ($) | AUD | USD ($) | USD ($) | USD ($) | USD ($) | Puerto Rico | USD ($) | USD ($) | USD ($) | External Credit Rating, Non Investment Grade | USD ($) | Deutsche Bank Agreement | Deutsche Bank Agreement | Deutsche Bank Agreement | Deutsche Bank Agreement | Deutsche Bank Agreement | Refinancing Risk on Three Largest Infrastructure Transactions | Refinancing Risk on Three Largest Infrastructure Transactions | Minimum | Minimum | Maximum | Maximum | scenario | Bank of America Agreement | Base Scenario | Somewhat More Stressful Environment | Somewhat Less Stressful Environment | USD ($) | USD ($) | BIG | BIG | Somewhat More Stressful Environment | More Stressful Environment | Somewhat Less Stressful Environment | Less Stressful Environment | Minimum | Minimum | Minimum | Maximum | Maximum | Maximum | USD ($) | USD ($) | BIG | BIG | Somewhat More Stressful Environment | More Stressful Environment | Somewhat Less Stressful Environment | Less Stressful Environment | Minimum | Minimum | Minimum | Maximum | Maximum | Maximum | USD ($) | USD ($) | BIG | BIG | Somewhat More Stressful Environment | More Stressful Environment | Somewhat Less Stressful Environment | Less Stressful Environment | Minimum | Minimum | Minimum | Maximum | Maximum | Maximum | USD ($) | USD ($) | BIG | BIG | Somewhat More Stressful Environment | More Stressful Environment | Somewhat Less Stressful Environment | Less Stressful Environment | Less Stressful Environment | Curve | Bank of America Agreement | Base Scenario | Scenario 1 | Scenario 2 | Minimum | Maximum | USD ($) | BIG | BIG | USD ($) | USD ($) | BIG | USD ($) | BIG | USD ($) | BIG | BIG | USD ($) | Sewer | Water Sector | State General Obligation | City Certificates of Participation | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | EUR (€) | EUR (€) | USD ($) | USD ($) | BIG | USD ($) | USD ($) | BIG | BIG | Scenario 1 | Scenario 2 | USD ($) | USD ($) | BIG | BIG | Scenario 1 | Scenario 2 | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | scenario | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | Ballantyne Re Plc and Orkney Re II Plc | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Transaction | Transaction | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Gross R&W amounts recovered | $986,000,000 | $485,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Period after the end of the reporting period within which the ceded paid losses are typically settled (in days) | '45 days | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Discount factor (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0.00% | 0.00% | 4.44% | 3.28% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Maximum number of payments behind to be considered performing borrower | 1 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Period company reduced base scenario | '2 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Period company reduced most optimistic case for market recovery | '3 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Period company extended most pessimistic case for market recovery | '3 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Default estimate liquidation period | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '3 years | '2 years | '2 years | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Increase of expected losses from estimated impact of refinements in assumptions | 8,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Period for constant conditional default rate (in months) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '36 months | '24 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Period for which estimated defaults are attributed to loans currently delinquent or in foreclosure | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '36 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Period from plateau to intermediate conditional default rate (in months) | ' | '36 months | '36 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '12 months | ' | ' | '48 months | '36 months | '36 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '48 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '48 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Intermediate conditional default rate as a percentage of plateau conditional default rate | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 20.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Period of constant intermediate conditional default rate (in months) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '36 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Final conditional default rate as a percentage of plateau conditional default rate | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 5.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Estimated loss severity rate, one through six months (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 90.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Period until which loss severity rate would continue (in months) | '18 months | '12 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '9 months | '6 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Estimated loss severity rate, six through twelve months (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 80.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Loss severity (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 40.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Period from initial to final conditional prepayment rate (in months) | '2 years 6 months | '2 years | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '12 months | ' | ' | ' | ' | ' | '18 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Current conditional prepayment rate used in alternate scenario for loss estimate (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 15.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Conditional Default Rate, Change from Initial Assumption | '12 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '2 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Intermediate conditional default rate (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0.60% | [1] | 0.80% | [1] | 0.60% | [1] | 3.70% | [1] | 4.60% | [1] | 8.30% | [1] | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1.00% | [1] | 1.40% | [1] | 1.90% | [1] | 3.40% | [1] | 5.20% | [1] | 6.30% | [1] | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1.10% | [1] | 1.50% | [1] | 1.70% | [1] | 3.20% | [1] | 5.20% | [1] | 6.00% | [1] | ' | ' | ' | ' | ' | ' | ' | ' | ' | 5.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||
Number of scenarios weighted in estimating expected losses | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 5 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Increase in the plateau period used to calculate potential change in loss estimate (in months) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '6 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Increased plateau period used to calculate potential change in loss estimate (in months) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '42 months | ' | ' | ' | ' | ' | ' | ' | ' | '4 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Prior loss severity recovery period used to calculate potential change in loss estimate (in years) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '4 years 6 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Current loss severity recovery period used to calculate potential change in loss estimate (in years) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '2 years 6 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '2 years 6 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Increased final loss severity for subprime transactions used to calculate potential change in loss estimate (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 60.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Increase in expected loss in case of increase in conditional default rate plateau period and loss severity recovery period | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 41,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 12,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 93,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 4,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Loss severity recovery period used to calculate potential change in loss estimate in even more stressful scenario (in years) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '9 years | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Decreased ramp down period used to calculate potential change in loss estimate (in months) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '15 months | ' | '9 months | '12 months | ' | '28 months | ' | '28 months | '33 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Increase in expected loss in case of increase in loss severity recovery period in an even more stressful scenario | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 111,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 30,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 136,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 12,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Number of scenarios where the recovery was faster than in base case | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 2 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Initial subprime loss severity rate assumed for 12 months (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 80.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Initial subprime loss severity rate assumed to be recovered over two years (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 40.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Increase (decrease) in expected loss in case of less gradual conditional default rate recovery and changes in initial subprime loss severity rate | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -11,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -24,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -1,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Decrease in the plateau period used to calculate potential change in loss estimate (in months) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '6 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Decreased plateau period used to calculate potential change in loss estimate (in months) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '30 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Decrease in expected loss in case of decrease in conditional default rate plateau period | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 38,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 29,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 77,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 4,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Typical past due period for loans to be charged off (in days) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '180 days | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
First delinquency category (in days) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '30 days | '59 days | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Second delinquency category (in days) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '60 days | '89 days | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Third delinquency category (in days) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '90 days | '119 days | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Fourth delinquency category (in days) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '120 days | '149 days | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Fifth delinquency category (in days) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '150 days | '179 days | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Period of loan default estimate | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '5 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Number of preceding months average liquidation rates used to estimate loan default rate | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '12 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Number of months CDR is calculated by applying liquidation rates to past due balances | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '4 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Stress period (in months) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '34 months | ' | '34 months | '42 months | '24 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Number of months of delinquent data | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '5 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Period of constant conditional default rate (in months) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '1 month | ' | '1 month | ' | '1 month | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Loss recovery assumption (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 2.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Conditional prepayment rate base case, average number of quarters | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '3 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Final conditional prepayment rate (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 15.00% | [1] | 15.00% | [1] | 15.00% | [1] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 15.00% | [1] | 15.00% | [1] | 15.00% | [1] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 15.00% | [1] | 15.00% | [1] | 15.00% | [1] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 10.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 10.00% | [1] | 10.00% | [1] | 10.00% | [1] | ' | ' | ' | ' | 10.00% | [1] | 10.00% | [1] | 10.00% | [1] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||||||||||||||||||
Number of conditional default rate curves modeled in estimating losses | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 3 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Increase in conditional default rate ramp down period | '5 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Change in estimate for increased conditional default rate plateau period | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 26,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Decreased conditional default rate ramp down period | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '18 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Change in estimate for decreased conditional default rate ramp down period | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 24,000,000 | ' | ' | ' | ' | ' | 2,000,000 | 2,000,000 | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Amount of liabilities agreed to be paid by entities providing R&W for transaction in which the Company provided insurance | 3,611,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Estimated benefit from loan repurchases related to breaches of R&W included in net expected loss estimates | 712,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Estimated benefit from loan repurchases related to breaches of R&W included in net expected loss estimates, agreements with R&W providers | 413,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Estimated benefit from loan repurchases related to breaches of R&W included in net expected loss estimates in pursuit | 299,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Loss sharing percentage | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 80.00% | ' | ' | ' | 85.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Proceeds from Legal Settlements | ' | ' | ' | ' | ' | ' | 105,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Maximum loss up to which loss sharing percentage applicable | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 6,600,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Collateral losses | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 3,700,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Estimated cumulative collateral losses | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 5,100,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Loss sharing percentage, first layer | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 80.00% | ' | ' | 60.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Maximum aggregate collateral losses up to which first layer of loss sharing will be applicable | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 319,000,000 | ' | ' | 141,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Minimum losses at which second later of loss sharing percentage becomes applicable | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 389,000,000 | ' | ' | 161,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Loss sharing percentage, second layer | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 85.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Maximum aggregate collateral losses up to which second layer of loss sharing will be applicable | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 600,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Number of transactions insured | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 8 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 2 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Minimum losses at which third layer of loss sharing percentage becomes applicable | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 185,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Loss sharing percentage, third layer | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 100.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Maximum aggregate collateral losses up to which third layer of loss sharing will be applicable | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 248,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Insured financial obligations, gross outstanding principal amount | 487,895,000,000 | 550,907,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 150,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 78,005,000,000 | 99,723,000,000 | |||||||||||||||||||||||||||||||||||||||||
Estimated reimbursement amount, collateral losses | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 30,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Insured financial obligations, net outstanding principal amount | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 294,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Amount of assets agreed to release in excess of amount of assets required to be held in trust | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 60,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Financial guaranty insurance contracts, principal amount not covered under agreements | 1,617,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Financial guaranty insurance contracts, principal amount already covered under agreements but company projects receiving additional amounts | 806,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Financial guaranty insurance contracts, principal amount | 5,958,000,000 | [2] | ' | ' | ' | ' | 3,000,000,000 | ' | ' | ' | ' | ' | ' | 1,711,000,000 | [2] | ' | 807,000,000 | [2] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,059,000,000 | [2] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,387,000,000 | [2] | ' | ' | ' | ' | ' | ' | 2,700,000,000 | ' | 2,800,000,000 | 1,900,000,000 | 206,000,000 | 900,000,000 | 253,000,000 | 5,000,000,000 | 1,700,000,000 | ' | ' | 1,000,000,000 | 784,000,000 | 146,000,000 | 175,000,000 | ' | ' | 600,000,000 | 189,000,000 | ' | ' | ' | ' | ' | ' | 257,000,000 | ' | 180,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||||||||||||||||||||||||||||
Loss and loss adjustment expense reserve | 592,000,000 | 601,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 598,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 116,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Net exposure of debt | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 2,100,000,000 | ' | ' | ' | ' | 119,000,000 | ' | ' | ' | 336,000,000 | ' | ' | ' | 313,000,000 | 80,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 608,000,000 | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Projected net expected loss | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 73,000,000 | ' | 64,000,000 | ' | ' | ' | ' | 51,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 264,000,000 | 7,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Increase (decrease) in projected expected loss to be paid | ' | ' | ' | ' | 413,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 66,000,000 | ' | ' | 10,000,000 | ' | ' | ' | ' | 24,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 257,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Reimbursements Received for Claims Previously Paid | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 9,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Net Par Outstanding (excluding loss mitigation bonds) | 459,107,000,000 | [3] | 518,772,000,000 | [3] | ' | 5,400,000,000 | ' | ' | ' | 22,538,000,000 | [3] | 22,297,000,000 | [3] | 5,171,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 3,590,000,000 | 4,469,000,000 | ' | 2,728,000,000 | 3,454,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 937,000,000 | 1,450,000,000 | ' | 598,000,000 | 1,042,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 6,130,000,000 | 7,048,000,000 | ' | 1,945,000,000 | 2,061,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 541,000,000 | 641,000,000 | 403,000,000 | 475,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 5,200,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 2,279,000,000 | 3,079,000,000 | ' | 1,897,000,000 | 2,576,000,000 | ' | ' | 244,000,000 | 348,000,000 | ' | 146,000,000 | 231,000,000 | ' | ' | ' | ' | ' | 72,928,000,000 | 93,303,000,000 | |||||||||||||||||||||||||||||||||||||
Liability for unpaid claims and claims adjustment expense, net largest single loss | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 26,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 26,000,000 | 33,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Percent of net par outstanding financial guaranty insurance in credit default swap form | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 72.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Net claims paid | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 26,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Senior Warrants Issued by Third Party | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,785,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Net claims paid to date | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 145,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Gross exposure of debt | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 437,000,000 | 92,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 645,000,000 | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Expected LAE for mitigating claim liabilities | 34,000,000 | 39,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 51,000,000 | 41,000,000 | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Estimated years for recoveries of infrastructure transactions | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '10 years | '35 years | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Financial insurance guaranty, infrastructure finance, possible claims requiring payment, gross before reinsurance | ' | ' | ' | ' | ' | 1,800,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
Paid LAE | $54,000,000 | $47,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||
[1] | Represents variables for most heavily weighted scenario (the “base caseâ€). | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
[2] | This table relates to past and projected future recoveries under R&W and related agreements. Excluded is the $299 million of future net recoveries the Company projects receiving from R&W counterparties in transactions with $1,617 million of net par outstanding as of December 31, 2013 not covered by current agreements and $806 million of net par partially covered by agreements but for which the Company projects receiving additional amounts. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
[3] | In the third quarter of 2013, the Company adjusted its approach to assigning internal ratings. See "Refinement of Approach to Internal Credit Ratings and Surveillance Categories" above. This approach is reflected in the "Financial Guaranty Portfolio by Internal Rating" tables as of both December 31, 2013 and December 31, 2012. |
Financial_Guaranty_Insurance_L2
Financial Guaranty Insurance Losses - Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | ||
In Millions, unless otherwise specified | ||||
Guarantor Obligations [Line Items] | ' | ' | ||
Loss and LAE Reserve, net | $659 | $607 | ||
Salvage and Subrogation Recoverable, net | 240 | 627 | ||
Net Reserve (Recoverable) | 419 | -20 | ||
Loss and LAE Reserve, net, Effect of consolidating FG VIEs | -103 | -64 | ||
Salvage and Subrogation Recoverable, net, Effect of consolidating FG VIEs | -85 | -217 | ||
Net Reserve (Recoverable), Effect of consolidating FG VIEs | -18 | 153 | ||
Loss and LAE Reserve, net, Total | 556 | [1] | 543 | [1] |
Salvage and Subrogation Recoverable, net, Total | 155 | [1] | 410 | [1] |
Reserves (salvage) | 401 | [1] | 133 | [1] |
Financial guaranty insurance | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Loss and LAE Reserve, net | 657 | 605 | ||
Salvage and Subrogation Recoverable, net | 235 | 622 | ||
Net Reserve (Recoverable) | 422 | -17 | ||
Reserves (salvage) | 389 | 106 | ||
Other | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Loss and LAE Reserve, net | 2 | 2 | ||
Salvage and Subrogation Recoverable, net | 5 | 5 | ||
Net Reserve (Recoverable) | -3 | -3 | ||
Prime first lien | Financial guaranty insurance | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Loss and LAE Reserve, net | 3 | 3 | ||
Salvage and Subrogation Recoverable, net | 0 | 0 | ||
Net Reserve (Recoverable) | 3 | 3 | ||
Alt-A first lien | Financial guaranty insurance | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Loss and LAE Reserve, net | 108 | 93 | ||
Salvage and Subrogation Recoverable, net | 0 | 0 | ||
Net Reserve (Recoverable) | 108 | 93 | ||
Option ARM | Financial guaranty insurance | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Loss and LAE Reserve, net | 22 | 52 | ||
Salvage and Subrogation Recoverable, net | 47 | 216 | ||
Net Reserve (Recoverable) | -25 | -164 | ||
Subprime | Financial guaranty insurance | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Loss and LAE Reserve, net | 143 | 82 | ||
Salvage and Subrogation Recoverable, net | 2 | 0 | ||
Net Reserve (Recoverable) | 141 | 82 | ||
First lien | Financial guaranty insurance | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Loss and LAE Reserve, net | 276 | 230 | ||
Salvage and Subrogation Recoverable, net | 49 | 216 | ||
Net Reserve (Recoverable) | 227 | 14 | ||
Closed-end second lien | Financial guaranty insurance | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Loss and LAE Reserve, net | 5 | 5 | ||
Salvage and Subrogation Recoverable, net | 45 | 72 | ||
Net Reserve (Recoverable) | -40 | -67 | ||
HELOCs | Financial guaranty insurance | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Loss and LAE Reserve, net | 5 | 37 | ||
Salvage and Subrogation Recoverable, net | 127 | 196 | ||
Net Reserve (Recoverable) | -122 | -159 | ||
Second lien | Financial guaranty insurance | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Loss and LAE Reserve, net | 10 | 42 | ||
Salvage and Subrogation Recoverable, net | 172 | 268 | ||
Net Reserve (Recoverable) | -162 | -226 | ||
U.S. RMBS | Financial guaranty insurance | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Loss and LAE Reserve, net | 286 | 272 | ||
Salvage and Subrogation Recoverable, net | 221 | 484 | ||
Net Reserve (Recoverable) | 65 | -212 | ||
TruPS | Financial guaranty insurance | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Loss and LAE Reserve, net | 2 | 1 | ||
Salvage and Subrogation Recoverable, net | 0 | 0 | ||
Net Reserve (Recoverable) | 2 | 1 | ||
Other structured finance | Financial guaranty insurance | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Loss and LAE Reserve, net | 145 | 197 | ||
Salvage and Subrogation Recoverable, net | 6 | 4 | ||
Net Reserve (Recoverable) | 139 | 193 | ||
U.S. Public Finance | Financial guaranty insurance | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Loss and LAE Reserve, net | 189 | 104 | ||
Salvage and Subrogation Recoverable, net | 8 | 134 | ||
Net Reserve (Recoverable) | 181 | -30 | ||
Non-U.S. public finance | Financial guaranty insurance | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Loss and LAE Reserve, net | 35 | 31 | ||
Salvage and Subrogation Recoverable, net | 0 | 0 | ||
Net Reserve (Recoverable) | $35 | $31 | ||
[1] | (1) See “Components of Net Reserves (Salvage)†table for loss and LAE reserve and salvage and subrogation recoverable components. |
Financial_Guaranty_Insurance_L3
Financial Guaranty Insurance Losses - Components of Net Reserves (Salvage) Insurance Contracts (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | ||
In Millions, unless otherwise specified | ||||
Guarantor Obligations [Line Items] | ' | ' | ||
Loss and LAE reserve | $592 | $601 | ||
Reinsurance recoverable on unpaid losses | -36 | -58 | ||
Loss and LAE reserve, net | 556 | [1] | 543 | [1] |
Salvage and subrogation recoverable | -174 | -456 | ||
Salvage and subrogation payable | 19 | [2] | 46 | [2] |
Salvage and subrogation recoverable, net | -155 | [1] | -410 | [1] |
Net reserves (salvage) | 386 | 103 | ||
Net reserves (salvage) | 401 | [1] | 133 | [1] |
Consolidated Entity Excluding Variable Interest Entities (VIE) | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Reinsurance recoverable on unpaid losses | -15 | [3] | ' | |
Salvage and subrogation recoverable, net | -150 | ' | ||
Other recoveries | -15 | [3] | -30 | [3] |
Other | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Less: other (non-financial guaranty business) | -3 | -3 | ||
Financial guaranty insurance | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Net reserves (salvage) | $389 | $106 | ||
[1] | (1) See “Components of Net Reserves (Salvage)†table for loss and LAE reserve and salvage and subrogation recoverable components. | |||
[2] | Recorded as a component of reinsurance balances payable. | |||
[3] | R&W recoverables recorded in other assets on the consolidated balance sheet. |
Financial_Guaranty_Insurance_L4
Financial Guaranty Insurance Losses - Balance Sheet Classification of Net Expected Recoveries for Breaches of R&W Insurance Contracts (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | ||
In Millions, unless otherwise specified | ||||
Financial Guaranty Insurance Losses [Abstract] | ' | ' | ||
Salvage and subrogation recoverable, net, for all financial guaranty insurance contracts | $122 | $449 | ||
Salvage and subrogation recoverable, net, effect of consolidating FG VIEs | -49 | -169 | ||
Salvage and subrogation recoverable, net, reported on balance sheet | 73 | [1] | 280 | [1] |
Loss and LAE reserve, net, for all financial guaranty insurance contracts | 363 | 571 | ||
Loss and LAE reserve, net, effect of consolidating FG VIEs | -24 | -33 | ||
Loss and LAE reserve, net, reported on balance sheet | $339 | [1] | $538 | [1] |
[1] | The remaining benefit for R&W is either recorded at fair value in FG VIE assets, or not recorded on the balance sheet until the total loss, net of R&W, exceeds unearned premium reserve. |
Financial_Guaranty_Insurance_L5
Financial Guaranty Insurance Losses - Reconciliation of Net Expected Loss to be Paid and Expensed (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | ||
In Millions, unless otherwise specified | ||||
Guarantor Obligations [Line Items] | ' | ' | ||
Less: net expected loss to be paid for FG VIEs | $60 | ' | ||
Salvage and subrogation recoverable, net of reinsurance | 155 | [1] | 410 | [1] |
Other recoveries | 36 | 58 | ||
Net expected loss to be expensed related to consolidated financial guaranty VIEs | 98 | ' | ||
Consolidated Entity Excluding Variable Interest Entities (VIE) | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Contra-paid, net | 39 | ' | ||
Salvage and subrogation recoverable, net of reinsurance | 150 | ' | ||
Loss and LAE reserve | -554 | ' | ||
Other recoveries | 15 | [2] | ' | |
Financial Guarantee | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Net expected loss to be paid | 801 | ' | ||
Total | 741 | ' | ||
Financial guaranty insurance | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Contra-paid, net | 39 | [3] | 124 | [3] |
Net expected loss to be expensed | $391 | [4],[5] | ' | |
[1] | (1) See “Components of Net Reserves (Salvage)†table for loss and LAE reserve and salvage and subrogation recoverable components. | |||
[2] | R&W recoverables recorded in other assets on the consolidated balance sheet. | |||
[3] | Excludes $187 million and $262 million deferred premium revenue and $55 million and $98 million contra-paid related to FG VIEs as of December 31, 2013 and December 31, 2012, respectively. | |||
[4] | Excludes $98 million as of December 31, 2013 related to consolidated FG VIEs. | |||
[5] | Consolidation of FG VIEs resulted in reductions of $98 million in net expected loss to be expensed which is on a present value basis. |
Financial_Guaranty_Insurance_L6
Financial Guaranty Insurance Losses - Net Expected Loss to be Expensed Insurance Contracts (Details) (USD $) | Dec. 31, 2013 | |
In Millions, unless otherwise specified | ||
Financial Guaranty Insurance Contracts, Premiums [Line Items] | ' | |
Reduction in net present value of expected loss due to consolidating FG VIEs | $98 | |
Financial guaranty insurance | ' | |
Financial Guaranty Insurance Contracts, Premiums [Line Items] | ' | |
2014 (January 1 - March 31) | 11 | |
2014 (April 1 - June 30) | 11 | |
2014 (July 1 - September 30) | 10 | |
2014 (October 1–December 31) | 10 | |
Subtotal 2014 | 42 | |
2015 | 41 | |
2016 | 33 | |
2017 | 30 | |
2018 | 27 | |
2019-2023 | 99 | |
2024-2028 | 56 | |
2029-2033 | 36 | |
After 2033 | 27 | |
Net expected loss to be expensed | 391 | [1],[2] |
Discount | 406 | |
Total future value | $797 | |
[1] | Excludes $98 million as of December 31, 2013 related to consolidated FG VIEs. | |
[2] | Consolidation of FG VIEs resulted in reductions of $98 million in net expected loss to be expensed which is on a present value basis. |
Financial_Guaranty_Insurance_L7
Financial Guaranty Insurance Losses - Loss and LAE Reported on the Statements of Operations (Details) (USD $) | 3 Months Ended | 12 Months Ended | |||||||||
In Millions, unless otherwise specified | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Jun. 30, 2012 | Mar. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 |
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Loss and LAE insurance contracts before FG VIE consolidation | ' | ' | ' | ' | ' | ' | ' | ' | $175 | $569 | $555 |
Effect of consolidating FG VIEs | ' | ' | ' | ' | ' | ' | ' | ' | -21 | -65 | -107 |
Loss and LAE | 85 | 55 | 62 | -48 | 58 | 86 | 118 | 242 | 154 | 504 | 448 |
Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Loss and LAE insurance contracts before FG VIE consolidation | ' | ' | ' | ' | ' | ' | ' | ' | 175 | 586 | 555 |
Other | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Loss and LAE insurance contracts before FG VIE consolidation | ' | ' | ' | ' | ' | ' | ' | ' | 0 | -17 | 0 |
Prime first lien | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Loss and LAE insurance contracts before FG VIE consolidation | ' | ' | ' | ' | ' | ' | ' | ' | 1 | 2 | 0 |
Alt-A first lien | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Loss and LAE insurance contracts before FG VIE consolidation | ' | ' | ' | ' | ' | ' | ' | ' | -2 | 51 | 53 |
Option ARM | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Loss and LAE insurance contracts before FG VIE consolidation | ' | ' | ' | ' | ' | ' | ' | ' | -48 | 137 | 203 |
Subprime | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Loss and LAE insurance contracts before FG VIE consolidation | ' | ' | ' | ' | ' | ' | ' | ' | 80 | 38 | -39 |
Total first lien | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Loss and LAE insurance contracts before FG VIE consolidation | ' | ' | ' | ' | ' | ' | ' | ' | 31 | 228 | 217 |
Closed-end second lien | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Loss and LAE insurance contracts before FG VIE consolidation | ' | ' | ' | ' | ' | ' | ' | ' | 18 | 31 | 1 |
HELOCs | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Loss and LAE insurance contracts before FG VIE consolidation | ' | ' | ' | ' | ' | ' | ' | ' | -53 | 49 | 171 |
Second lien | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Loss and LAE insurance contracts before FG VIE consolidation | ' | ' | ' | ' | ' | ' | ' | ' | -35 | 80 | 172 |
U.S. RMBS | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Loss and LAE insurance contracts before FG VIE consolidation | ' | ' | ' | ' | ' | ' | ' | ' | -4 | 308 | 389 |
TruPS | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Loss and LAE insurance contracts before FG VIE consolidation | ' | ' | ' | ' | ' | ' | ' | ' | -1 | -10 | 11 |
Other structured finance | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Loss and LAE insurance contracts before FG VIE consolidation | ' | ' | ' | ' | ' | ' | ' | ' | -34 | 3 | 107 |
Structured Finance | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Loss and LAE insurance contracts before FG VIE consolidation | ' | ' | ' | ' | ' | ' | ' | ' | -35 | -7 | 118 |
U.S. Public Finance | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Loss and LAE insurance contracts before FG VIE consolidation | ' | ' | ' | ' | ' | ' | ' | ' | 198 | 51 | 15 |
Non-U.S. public finance | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Loss and LAE insurance contracts before FG VIE consolidation | ' | ' | ' | ' | ' | ' | ' | ' | 16 | 234 | 33 |
Public Finance | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Loss and LAE insurance contracts before FG VIE consolidation | ' | ' | ' | ' | ' | ' | ' | ' | $214 | $285 | $48 |
Financial_Guaranty_Insurance_L8
Financial Guaranty Insurance Losses - BIG Transaction Loss Summary (Details) (USD $) | 12 Months Ended | |||
In Millions, unless otherwise specified | Dec. 31, 2013 | Dec. 31, 2012 | ||
risk | risk | |||
Present value of expected cash flows | ' | ' | ||
Less: net expected loss to be paid for FG VIEs | $60 | ' | ||
Reserves (salvage) | ' | ' | ||
Effect of consolidating FG VIEs | 18 | -153 | ||
Reserves (salvage) | 401 | [1] | 133 | [1] |
Financial guaranty insurance | ' | ' | ||
Reserves (salvage) | ' | ' | ||
Reserves (salvage) | 389 | 106 | ||
Financial guaranty insurance | BIG 1 | ' | ' | ||
Number of risks | ' | ' | ||
Gross (in contracts) | 185 | [2],[3] | 163 | [2],[3] |
Ceded (in contracts) | -72 | [2],[3] | -66 | [2],[3] |
Remaining weighted average contract period | ' | ' | ||
Gross (in years) | '10 years 6 months | [3] | '10 years 2 months | [3] |
Ceded (in years) | '8 years 1 month | [3] | '9 years 2 months | [3] |
Principal | ' | ' | ||
Gross | 15,132 | [3] | 9,462 | [3] |
Ceded | -2,741 | [3] | -1,533 | [3] |
Interest | ' | ' | ||
Gross | 8,114 | [3] | 4,475 | [3] |
Ceded | -1,144 | [3] | -591 | [3] |
Total net outstanding exposure | ' | ' | ||
Gross | 23,246 | [3],[4] | 13,937 | [3],[4] |
Ceded | -3,885 | [3],[4] | -2,124 | [3],[4] |
Expected cash outflows (inflows) | ' | ' | ||
Gross | 1,853 | [3] | 1,914 | [3] |
Ceded | -528 | [3] | -687 | [3] |
Potential recoveries | ' | ' | ||
Gross | -1,879 | [3],[5] | -2,356 | [3],[5] |
Ceded | 514 | [3],[5] | 677 | [3],[5] |
Subtotal | ' | ' | ||
Gross | -26 | [3] | -442 | [3] |
Ceded | -14 | [3] | -10 | [3] |
Discount | ' | ' | ||
Gross | 13 | [3] | 12 | [3] |
Ceded | 0 | [3] | 8 | [3] |
Present value of expected cash flows | ' | ' | ||
Gross | -13 | [3] | -430 | [3] |
Ceded | -14 | [3] | -2 | [3] |
Deferred premium revenue | ' | ' | ||
Gross | 517 | [3] | 265 | [3] |
Ceded | -90 | [3] | -32 | [3] |
Reserves (salvage) | ' | ' | ||
Gross | -114 | [3],[6] | -485 | [3],[6] |
Ceded | 1 | [3],[6] | 10 | [3],[6] |
Financial guaranty insurance | BIG 2 | ' | ' | ||
Number of risks | ' | ' | ||
Gross (in contracts) | 80 | [2],[3] | 76 | [2],[3] |
Ceded (in contracts) | -24 | [2],[3] | -22 | [2],[3] |
Remaining weighted average contract period | ' | ' | ||
Gross (in years) | '8 years 3 months | [3] | '10 years 6 months 36 days | [3] |
Ceded (in years) | '5 years 11 months | [3] | '15 years 1 month | [3] |
Principal | ' | ' | ||
Gross | 2,483 | [3] | 2,248 | [3] |
Ceded | -160 | [3] | -132 | [3] |
Interest | ' | ' | ||
Gross | 1,181 | [3] | 1,357 | [3] |
Ceded | -53 | [3] | -127 | [3] |
Total net outstanding exposure | ' | ' | ||
Gross | 3,664 | [3],[4] | 3,605 | [3],[4] |
Ceded | -213 | [3],[4] | -259 | [3],[4] |
Expected cash outflows (inflows) | ' | ' | ||
Gross | 1,038 | [3] | 863 | [3] |
Ceded | -40 | [3] | -58 | [3] |
Potential recoveries | ' | ' | ||
Gross | -671 | [3],[5] | -509 | [3],[5] |
Ceded | 27 | [3],[5] | 18 | [3],[5] |
Subtotal | ' | ' | ||
Gross | 367 | [3] | 354 | [3] |
Ceded | -13 | [3] | -40 | [3] |
Discount | ' | ' | ||
Gross | -126 | [3] | -107 | [3] |
Ceded | 3 | [3] | 14 | [3] |
Present value of expected cash flows | ' | ' | ||
Gross | 241 | [3] | 247 | [3] |
Ceded | -10 | [3] | -26 | [3] |
Deferred premium revenue | ' | ' | ||
Gross | 163 | [3] | 227 | [3] |
Ceded | -7 | [3] | -15 | [3] |
Reserves (salvage) | ' | ' | ||
Gross | 117 | [3],[6] | 102 | [3],[6] |
Ceded | -4 | [3],[6] | -18 | [3],[6] |
Financial guaranty insurance | BIG 3 | ' | ' | ||
Number of risks | ' | ' | ||
Gross (in contracts) | 119 | [2],[3] | 131 | [2],[3] |
Ceded (in contracts) | -34 | [2],[3] | -41 | [2],[3] |
Remaining weighted average contract period | ' | ' | ||
Gross (in years) | '9 years 9 months | [3] | '9 years | [3] |
Ceded (in years) | '7 years 2 months | [3] | '6 years | [3] |
Principal | ' | ' | ||
Gross | 3,189 | [3] | 6,024 | [3] |
Ceded | -158 | [3] | -481 | [3] |
Interest | ' | ' | ||
Gross | 1,244 | [3] | 1,881 | [3] |
Ceded | -52 | [3] | -117 | [3] |
Total net outstanding exposure | ' | ' | ||
Gross | 4,433 | [3],[4] | 7,905 | [3],[4] |
Ceded | -210 | [3],[4] | -598 | [3],[4] |
Expected cash outflows (inflows) | ' | ' | ||
Gross | 1,681 | [3] | 2,720 | [3] |
Ceded | -62 | [3] | -146 | [3] |
Potential recoveries | ' | ' | ||
Gross | -707 | [3],[5] | -1,911 | [3],[5] |
Ceded | 32 | [3],[5] | 117 | [3],[5] |
Subtotal | ' | ' | ||
Gross | 974 | [3] | 809 | [3] |
Ceded | -30 | [3] | -29 | [3] |
Discount | ' | ' | ||
Gross | -352 | [3] | -216 | [3] |
Ceded | 5 | [3] | 2 | [3] |
Present value of expected cash flows | ' | ' | ||
Gross | 622 | [3] | 593 | [3] |
Ceded | -25 | [3] | -27 | [3] |
Deferred premium revenue | ' | ' | ||
Gross | 303 | [3] | 604 | [3] |
Ceded | -27 | [3] | -83 | [3] |
Reserves (salvage) | ' | ' | ||
Gross | 420 | [3],[6] | 347 | [3],[6] |
Ceded | -13 | [3],[6] | -3 | [3],[6] |
Financial guaranty insurance | BIG | ' | ' | ||
Number of risks | ' | ' | ||
Total BIG, Net (in contracts) | 384 | [2],[3] | 370 | [2],[3] |
Total (in contracts) | 384 | [2],[3] | 370 | [2],[3] |
Remaining weighted average contract period | ' | ' | ||
Total BIG, Net (in years) | '10 years 6 months | [3] | '10 years | [3] |
Total (in years) | '10 years 6 months | [3] | '10 years | [3] |
Principal | ' | ' | ||
Total BIG, Net | 17,745 | [3] | 15,588 | [3] |
Total | 17,745 | [3] | 15,588 | [3] |
Interest | ' | ' | ||
Total BIG, Net | 9,290 | [3] | 6,878 | [3] |
Total | 9,290 | [3] | 6,878 | [3] |
Total net outstanding exposure | ' | ' | ||
Total BIG, Net | 27,035 | [3],[4] | 22,466 | [3],[4] |
Total | 27,035 | [3],[4] | 22,466 | [3],[4] |
Expected cash outflows (inflows) | ' | ' | ||
Total BIG, Net | 3,942 | [3] | 4,606 | [3] |
Effect of Consolidating FG VIEs | -690 | [3] | -738 | [3] |
Total | 3,252 | [3] | 3,868 | [3] |
Potential recoveries | ' | ' | ||
Total BIG, Net | -2,684 | [3],[5] | -3,964 | [3],[5] |
Effect of Consolidating FG VIEs | 579 | [3],[5] | 798 | [3],[5] |
Total | -2,105 | [3],[5] | -3,166 | [3],[5] |
Subtotal | ' | ' | ||
Total BIG, NET | 1,258 | [3] | 642 | [3] |
Effect of Consolidating FG VIEs | -111 | [3] | 60 | [3] |
Total | 1,147 | [3] | 702 | [3] |
Discount | ' | ' | ||
Total BIG, Net | -457 | [3] | -287 | [3] |
Effect of Consolidating FG VIEs | 51 | [3] | 36 | [3] |
Total | -406 | [3] | -251 | [3] |
Present value of expected cash flows | ' | ' | ||
Net expected loss to be paid | 801 | [3] | 355 | [3] |
Less: net expected loss to be paid for FG VIEs | -60 | [3] | 96 | [3] |
Total | 741 | [3] | 451 | [3] |
Deferred premium revenue | ' | ' | ||
Total BIG, Net | 859 | [3] | 966 | [3] |
Effect of Consolidating FG VIEs | -178 | [3] | -251 | [3] |
Total | 681 | [3] | 715 | [3] |
Reserves (salvage) | ' | ' | ||
Total BIG, Net | 407 | [3],[6] | -47 | [3],[6] |
Effect of consolidating FG VIEs | -18 | [3],[6] | 153 | [3],[6] |
Reserves (salvage) | $389 | [3],[6] | $106 | [3],[6] |
[1] | (1) See “Components of Net Reserves (Salvage)†table for loss and LAE reserve and salvage and subrogation recoverable components. | |||
[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 ceded number of risks represents the number of risks for which the Company ceded a portion of its exposure. | |||
[3] | In third quarter 2013, the Company adjusted its approach to assigning internal ratings. See "Refinement of Approach to Internal Credit Ratings and Surveillance Categories" in Note 3, Outstanding Exposure. This approach is reflected in the "Financial Guaranty Insurance BIG Transaction Loss Summary" tables as of both December 31, 2013 and December 31, 2012. | |||
[4] | Includes BIG amounts related to FG VIEs. | |||
[5] | Includes estimated future recoveries for breaches of R&W as well as excess spread, and draws on HELOCs. | |||
[6] | See table “Components of net reserves (salvage).†|
Financial_Guaranty_Insurance_L9
Financial Guaranty Insurance Losses - Narrative (Details) (USD $) | 12 Months Ended |
Dec. 31, 2013 | |
Guarantor Obligations [Line Items] | ' |
Guaranteed Investment Contract, Aggregate Accreted Balance | 2,700,000,000 |
Assets of GIC Issuers, Aggregate Accreted Principal | 4,000,000,000 |
Assets of GIC Issuers, Aggregate Market Value | 3,800,000,000 |
AGM | ' |
Guarantor Obligations [Line Items] | ' |
Maximum possible estimated termination payment on swap obligations after taking account the rating downgrade in January 2013 | 84,000,000 |
Maximum possible estimated termination payment on swap obligations after taking account the possibility of further rating downgrades | 261,000,000 |
Variable rate demand obligations | ' |
Guarantor Obligations [Line Items] | ' |
Rate basis for bank bond rate | 'prime rate |
Variable rate demand obligations | AGM and AGC | ' |
Guarantor Obligations [Line Items] | ' |
Financial guaranty insurance contracts principal amount insured | 5,900,000,000 |
Financial guaranty insurance contracts, principal amount rated BBB- or lower | 400,000,000 |
Minimum | Variable rate demand obligations | ' |
Guarantor Obligations [Line Items] | ' |
Bank bond rate (as a percent) | 2.00% |
Threshold period of bonds held by bank for right of accelerated repayment (in days) | '90 days |
Maximum | Variable rate demand obligations | ' |
Guarantor Obligations [Line Items] | ' |
Bank bond rate (as a percent) | 3.00% |
Bank bond capped rate (as a percent) | 25.00% |
Threshold period of bonds held by bank for right of accelerated repayment (in days) | '180 days |
Cash | Minimum | ' |
Guarantor Obligations [Line Items] | ' |
Collateralization as a percentage of GIC balance | 100.00% |
Asset-backed securities | Maximum | ' |
Guarantor Obligations [Line Items] | ' |
Collateralization as a percentage of GIC balance | 108.00% |
Fair_Value_Measurement_Measure
Fair Value Measurement - Measured and Carried at Fair Value (Details) (USD $) | 12 Months Ended | |||
In Millions, unless otherwise specified | Dec. 31, 2013 | Dec. 31, 2012 | ||
Credit Derivatives | ' | ' | ||
Number of fixed maturity securities valued using model processes | 36 | ' | ||
Percentage of fixed maturity securities valued using model processes to the Company's fixed-income securities and short-term investments at fair value | 6.90% | ' | ||
Percentage of CDS contracts which are fair valued using minimum premium | 61.00% | 71.00% | ||
CDS contracts | ' | ' | ||
Credit Derivatives | ' | ' | ||
Gross spread percentage | 100.00% | [1] | 100.00% | [1] |
Number of Sources of Credit Spread | 3 | ' | ||
CDS contracts | Based on actual collateral specific spreads | ' | ' | ||
Credit Derivatives | ' | ' | ||
Gross spread percentage | 6.00% | [1] | 6.00% | [1] |
CDS contracts | Based on market indices | ' | ' | ||
Credit Derivatives | ' | ' | ||
Gross spread percentage | 88.00% | [1] | 88.00% | [1] |
CDS contracts | Provided by the CDS counterparty | ' | ' | ||
Credit Derivatives | ' | ' | ||
Gross spread percentage | 6.00% | [1] | 6.00% | [1] |
CDS contracts | Minimum | ' | ' | ||
Credit Derivatives | ' | ' | ||
Discount factor (as a percent) | 0.21% | 0.21% | ||
CDS contracts | Maximum | ' | ' | ||
Credit Derivatives | ' | ' | ||
Discount factor (as a percent) | 3.88% | 2.81% | ||
Scenario 1 | CDS contracts | ' | ' | ||
Credit Derivatives | ' | ' | ||
Original gross spread/cash bond price (as a percent) | 1.85% | ' | ||
Bank profit (as a percent) | 1.15% | ' | ||
Hedge cost (as a percent) | 0.30% | ' | ||
The Company premium received per annum (as a percent) | 0.40% | ' | ||
Bank profit as % of total | 62.00% | ' | ||
Hedge cost as % of total | 16.00% | ' | ||
Premium received per annum as % of total | 22.00% | ' | ||
Scenario 1 | CDS contracts | AGC | ' | ' | ||
Credit Derivatives | ' | ' | ||
Original gross spread/cash bond price (as a percent) | 3.00% | ' | ||
Percentage of exposure hedged | 10.00% | ' | ||
Scenario 2 | CDS contracts | ' | ' | ||
Credit Derivatives | ' | ' | ||
Original gross spread/cash bond price (as a percent) | 5.00% | ' | ||
Bank profit (as a percent) | 0.50% | ' | ||
Hedge cost (as a percent) | 4.40% | ' | ||
The Company premium received per annum (as a percent) | 0.10% | ' | ||
Bank profit as % of total | 10.00% | ' | ||
Hedge cost as % of total | 88.00% | ' | ||
Premium received per annum as % of total | 2.00% | ' | ||
Scenario 2 | CDS contracts | AGC | ' | ' | ||
Credit Derivatives | ' | ' | ||
Original gross spread/cash bond price (as a percent) | 17.60% | ' | ||
Percentage of exposure hedged | 25.00% | ' | ||
Fair value measurement on recurring basis | ' | ' | ||
Credit Derivatives | ' | ' | ||
Other invested assets | 121 | ' | ||
Fair value measurement on recurring basis | Level 3 | ' | ' | ||
Credit Derivatives | ' | ' | ||
Fixed maturity securities | 730 | 560 | ||
Fair value measurement on recurring basis | Level 2 | ' | ' | ||
Credit Derivatives | ' | ' | ||
Fixed maturity securities | 8,981 | 9,496 | ||
Fair value measurement on non-recurring basis | Level 3 | ' | ' | ||
Credit Derivatives | ' | ' | ||
Mortgage loans recorded at fair value | 6 | 7 | ||
[1] | Based on par. |
Fair_Value_Measurement_Financi
Fair Value Measurement - Financial Instruments Carried at Fair Value (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | ||
In Millions, unless otherwise specified | ||||
Assets: | ' | ' | ||
Short-term investments | $904 | $817 | ||
Other invested assets | 170 | 212 | ||
Credit derivative assets | 94 | 141 | ||
FG VIEs' assets, at fair value | 2,565 | 2,688 | ||
Liabilities: | ' | ' | ||
Credit derivative liabilities | 1,787 | 1,934 | ||
FG VIEs' liabilities with recourse, at fair value | 1,790 | 2,090 | ||
FG VIEs' liabilities without recourse, at fair value | 1,081 | 1,051 | ||
Fair value measurement on recurring basis | Estimated Fair Value | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 9,711 | 10,056 | ||
Short-term investments | 904 | 817 | ||
Other invested assets | 127 | [1] | 120 | [1] |
Credit derivative assets | 94 | 141 | ||
FG VIEs' assets, at fair value | 2,565 | 2,688 | ||
Other assets | 84 | [2] | 65 | [2] |
Total assets carried at fair value | 13,485 | 13,887 | ||
Liabilities: | ' | ' | ||
Credit derivative liabilities | 1,787 | 1,934 | ||
FG VIEs' liabilities with recourse, at fair value | 1,790 | 2,090 | ||
FG VIEs' liabilities without recourse, at fair value | 1,081 | 1,051 | ||
Total liabilities carried at fair value | 4,658 | 5,075 | ||
Fair value measurement on recurring basis | Estimated Fair Value | Obligations of state and political subdivisions | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 5,079 | 5,631 | ||
Fair value measurement on recurring basis | Estimated Fair Value | U.S. government and agencies | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 700 | 794 | ||
Fair value measurement on recurring basis | Estimated Fair Value | Corporate securities | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 1,340 | 1,010 | ||
Fair value measurement on recurring basis | Estimated Fair Value | RMBS | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 1,122 | 1,266 | ||
Fair value measurement on recurring basis | Estimated Fair Value | CMBS | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 549 | 520 | ||
Fair value measurement on recurring basis | Estimated Fair Value | Asset-backed securities | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 608 | 531 | ||
Fair value measurement on recurring basis | Estimated Fair Value | Foreign government securities | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 313 | 304 | ||
Fair value measurement on recurring basis | Level 1 | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 0 | 0 | ||
Short-term investments | 506 | 446 | ||
Other invested assets | 0 | [1] | 0 | [1] |
Credit derivative assets | 0 | 0 | ||
FG VIEs' assets, at fair value | 0 | 0 | ||
Other assets | 27 | [2] | 24 | [2] |
Total assets carried at fair value | 533 | 470 | ||
Liabilities: | ' | ' | ||
Credit derivative liabilities | 0 | 0 | ||
FG VIEs' liabilities with recourse, at fair value | 0 | 0 | ||
FG VIEs' liabilities without recourse, at fair value | 0 | 0 | ||
Total liabilities carried at fair value | 0 | 0 | ||
Fair value measurement on recurring basis | Level 1 | Obligations of state and political subdivisions | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 0 | 0 | ||
Fair value measurement on recurring basis | Level 1 | U.S. government and agencies | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 0 | 0 | ||
Fair value measurement on recurring basis | Level 1 | Corporate securities | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 0 | 0 | ||
Fair value measurement on recurring basis | Level 1 | RMBS | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 0 | 0 | ||
Fair value measurement on recurring basis | Level 1 | CMBS | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 0 | 0 | ||
Fair value measurement on recurring basis | Level 1 | Asset-backed securities | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 0 | 0 | ||
Fair value measurement on recurring basis | Level 1 | Foreign government securities | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 0 | 0 | ||
Fair value measurement on recurring basis | Level 2 | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 8,981 | 9,496 | ||
Short-term investments | 398 | 371 | ||
Other invested assets | 119 | [1] | 112 | [1] |
Credit derivative assets | 0 | 0 | ||
FG VIEs' assets, at fair value | 0 | 0 | ||
Other assets | 11 | [2] | 5 | [2] |
Total assets carried at fair value | 9,509 | 9,984 | ||
Liabilities: | ' | ' | ||
Credit derivative liabilities | 0 | 0 | ||
FG VIEs' liabilities with recourse, at fair value | 0 | 0 | ||
FG VIEs' liabilities without recourse, at fair value | 0 | 0 | ||
Total liabilities carried at fair value | 0 | 0 | ||
Fair value measurement on recurring basis | Level 2 | Obligations of state and political subdivisions | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 5,043 | 5,596 | ||
Fair value measurement on recurring basis | Level 2 | U.S. government and agencies | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 700 | 794 | ||
Fair value measurement on recurring basis | Level 2 | Corporate securities | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 1,204 | 1,010 | ||
Fair value measurement on recurring basis | Level 2 | RMBS | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 832 | 1,047 | ||
Fair value measurement on recurring basis | Level 2 | CMBS | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 549 | 520 | ||
Fair value measurement on recurring basis | Level 2 | Asset-backed securities | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 340 | 225 | ||
Fair value measurement on recurring basis | Level 2 | Foreign government securities | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 313 | 304 | ||
Fair value measurement on recurring basis | Level 3 | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 730 | 560 | ||
Short-term investments | 0 | 0 | ||
Other invested assets | 8 | [1] | 8 | [1] |
Credit derivative assets | 94 | 141 | ||
FG VIEs' assets, at fair value | 2,565 | 2,688 | ||
Other assets | 46 | [2] | 36 | [2] |
Total assets carried at fair value | 3,443 | 3,433 | ||
Liabilities: | ' | ' | ||
Credit derivative liabilities | 1,787 | 1,934 | ||
FG VIEs' liabilities with recourse, at fair value | 1,790 | 2,090 | ||
FG VIEs' liabilities without recourse, at fair value | 1,081 | 1,051 | ||
Total liabilities carried at fair value | 4,658 | 5,075 | ||
Fair value measurement on recurring basis | Level 3 | Obligations of state and political subdivisions | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 36 | 35 | ||
Fair value measurement on recurring basis | Level 3 | U.S. government and agencies | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 0 | 0 | ||
Fair value measurement on recurring basis | Level 3 | Corporate securities | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 136 | 0 | ||
Fair value measurement on recurring basis | Level 3 | RMBS | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 290 | 219 | ||
Fair value measurement on recurring basis | Level 3 | CMBS | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 0 | 0 | ||
Fair value measurement on recurring basis | Level 3 | Asset-backed securities | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 268 | 306 | ||
Fair value measurement on recurring basis | Level 3 | Foreign government securities | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 0 | 0 | ||
Fair value measurement on non-recurring basis | Level 3 | ' | ' | ||
Liabilities: | ' | ' | ||
Mortgage loans recorded at fair value | $6 | $7 | ||
[1] | Includes mortgage loans that are recorded at fair value on a non-recurring basis. At December 31, 2013 and December 31, 2012, such investments were carried at their fair value of $6 million and $7 million, respectively. | |||
[2] | Includes fair value of CCS and supplemental executive retirement plan assets. |
Fair_Value_Measurement_Change_
Fair Value Measurement - Change in Level 3 Fair Value Measurements (Details) (Level 3, USD $) | 12 Months Ended | |||
In Millions, unless otherwise specified | Dec. 31, 2013 | Dec. 31, 2012 | ||
Obligations of state and political subdivisions | ' | ' | ||
Total pretax realized and unrealized gains/(losses) recorded in | ' | ' | ||
Balance at the beginning of the period | $35 | $10 | ||
Net Income (loss) | -8 | [1],[2] | 1 | [1],[2] |
Other comprehensive income (loss) | 13 | [1] | -10 | [1] |
Purchases | 0 | 34 | ||
Settlements | -4 | 0 | ||
Balance at the end of the period | 36 | 35 | ||
Total pre-tax realized/unrealized gains/(losses) recorded in | ' | ' | ||
Change in unrealized gains/(losses) related to financial instruments held at the reporting date | 14 | -10 | ||
RMBS | ' | ' | ||
Total pretax realized and unrealized gains/(losses) recorded in | ' | ' | ||
Balance at the beginning of the period | 219 | 134 | ||
Net Income (loss) | 13 | [1],[2] | 11 | [1],[2] |
Other comprehensive income (loss) | 26 | [1] | 16 | [1] |
Purchases | 86 | 108 | ||
Settlements | -54 | -50 | ||
Balance at the end of the period | 290 | 219 | ||
Total pre-tax realized/unrealized gains/(losses) recorded in | ' | ' | ||
Change in unrealized gains/(losses) related to financial instruments held at the reporting date | 27 | 11 | ||
Asset-backed securities | ' | ' | ||
Total pretax realized and unrealized gains/(losses) recorded in | ' | ' | ||
Balance at the beginning of the period | 306 | 235 | ||
Net Income (loss) | 67 | [1],[2] | 29 | [1],[2] |
Other comprehensive income (loss) | -43 | [1] | 30 | [1] |
Purchases | 80 | 40 | ||
Settlements | -142 | -28 | ||
Balance at the end of the period | 268 | 306 | ||
Total pre-tax realized/unrealized gains/(losses) recorded in | ' | ' | ||
Change in unrealized gains/(losses) related to financial instruments held at the reporting date | -20 | 33 | ||
Corporate securities | ' | ' | ||
Total pretax realized and unrealized gains/(losses) recorded in | ' | ' | ||
Balance at the beginning of the period | 0 | ' | ||
Net Income (loss) | 4 | [1],[2] | ' | |
Other comprehensive income (loss) | 5 | [1] | ' | |
Purchases | 130 | [3] | ' | |
Settlements | -3 | ' | ||
Balance at the end of the period | 136 | ' | ||
Total pre-tax realized/unrealized gains/(losses) recorded in | ' | ' | ||
Change in unrealized gains/(losses) related to financial instruments held at the reporting date | 5 | ' | ||
Other invested assets | ' | ' | ||
Total pretax realized and unrealized gains/(losses) recorded in | ' | ' | ||
Balance at the beginning of the period | 1 | 2 | ||
Net Income (loss) | -1 | [1],[4] | 0 | [1],[4] |
Other comprehensive income (loss) | 2 | [1] | -1 | [1] |
Purchases | 2 | 0 | ||
Settlements | -2 | 0 | ||
Balance at the end of the period | 2 | 1 | ||
Total pre-tax realized/unrealized gains/(losses) recorded in | ' | ' | ||
Change in unrealized gains/(losses) related to financial instruments held at the reporting date | 2 | -1 | ||
FG VIEs' assets, at fair value | ' | ' | ||
Total pretax realized and unrealized gains/(losses) recorded in | ' | ' | ||
Balance at the beginning of the period | 2,688 | 2,819 | ||
Net Income (loss) | 686 | [1],[5] | 399 | [1],[5] |
Other comprehensive income (loss) | 0 | [1] | 0 | [1] |
Purchases | 0 | 0 | ||
Settlements | -663 | -545 | ||
FG VIE consolidations | 48 | 15 | ||
FG VIE deconsolidations | -194 | ' | ||
FG VIE elimination | ' | 0 | ||
Balance at the end of the period | 2,565 | 2,688 | ||
Total pre-tax realized/unrealized gains/(losses) recorded in | ' | ' | ||
Change in unrealized gains/(losses) related to financial instruments held at the reporting date | 623 | 674 | ||
Other assets | ' | ' | ||
Total pretax realized and unrealized gains/(losses) recorded in | ' | ' | ||
Balance at the beginning of the period | 36 | 54 | ||
Net Income (loss) | 10 | [1],[6] | -18 | [1],[6] |
Other comprehensive income (loss) | 0 | [1] | 0 | [1] |
Purchases | 0 | 0 | ||
Settlements | 0 | 0 | ||
Balance at the end of the period | 46 | 36 | ||
Total pre-tax realized/unrealized gains/(losses) recorded in | ' | ' | ||
Change in unrealized gains/(losses) related to financial instruments held at the reporting date | 10 | -18 | [7] | |
Credit Derivative, Asset, Liability Net | ' | ' | ||
Total pretax realized and unrealized gains/(losses) recorded in | ' | ' | ||
Balance at the beginning of the period | -1,793 | [7] | -1,304 | [7] |
Net Income (loss) | 65 | [1],[7],[8] | -585 | [1],[7],[8] |
Other comprehensive income (loss) | 0 | [1],[7] | 0 | [1],[7] |
Purchases | 0 | [7] | 0 | [7] |
Settlements | 35 | [7] | 96 | [7] |
Balance at the end of the period | -1,693 | [7] | -1,793 | [7] |
Total pre-tax realized/unrealized gains/(losses) recorded in | ' | ' | ||
Change in unrealized gains/(losses) related to financial instruments held at the reporting date | -139 | [7] | -480 | [7] |
FG VIEs' liabilities with recourse, at fair value | ' | ' | ||
Total pretax realized and unrealized gains/(losses) recorded in | ' | ' | ||
Balance at the beginning of the period | -2,090 | -2,397 | ||
Net Income (loss) | -166 | [1],[5] | -276 | [1],[5] |
Other comprehensive income (loss) | 0 | [1] | 0 | [1] |
Purchases | 0 | 0 | ||
Settlements | 343 | 519 | ||
FG VIE consolidations | -12 | -18 | ||
FG VIE deconsolidations | 135 | ' | ||
FG VIE elimination | ' | 82 | ||
Balance at the end of the period | -1,790 | -2,090 | ||
Total pre-tax realized/unrealized gains/(losses) recorded in | ' | ' | ||
Change in unrealized gains/(losses) related to financial instruments held at the reporting date | -169 | -608 | ||
FG VIEs' liabilities without recourse, at fair value | ' | ' | ||
Total pretax realized and unrealized gains/(losses) recorded in | ' | ' | ||
Balance at the beginning of the period | -1,051 | -1,061 | ||
Net Income (loss) | -225 | [1],[5] | -195 | [1],[5] |
Other comprehensive income (loss) | 0 | [1] | 0 | [1] |
Purchases | 0 | 0 | ||
Settlements | 168 | 205 | ||
FG VIE consolidations | -37 | 0 | ||
FG VIE deconsolidations | 64 | ' | ||
FG VIE elimination | ' | 0 | ||
Balance at the end of the period | -1,081 | -1,051 | ||
Total pre-tax realized/unrealized gains/(losses) recorded in | ' | ' | ||
Change in unrealized gains/(losses) related to financial instruments held at the reporting date | ($326) | $50 | ||
[1] | Realized and unrealized gains (losses) from changes in values of Level 3 financial instruments represent gains (losses) from changes in values of those financial instruments only for the periods in which the instruments were classified as Level 3. | |||
[2] | Included in net realized investment gains (losses) and net investment income. | |||
[3] | Non cash transaction. | |||
[4] | Reported in other income. | |||
[5] | Included in fair value gains (losses) on FG VIEs. | |||
[6] | Recorded in fair value gains (losses) on CCS. | |||
[7] | Represents net position of credit derivatives. The consolidated balance sheet presents gross assets and liabilities based on net counterparty exposure. | |||
[8] | Reported in net change in fair value of credit derivatives. |
Fair_Value_Measurement_Level_3
Fair Value Measurement - Level 3 Fair Value Disclosures (Details) (USD $) | 12 Months Ended | |
Dec. 31, 2013 | Dec. 31, 2012 | |
Asset-backed securities | Whole business securitization | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Fair value of assets as of the balance sheet date | ' | $63,000,000 |
Asset-backed securities | Whole business securitization | Discounted cash flow | Minimum | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Annual gross revenue projections | ' | 54,000,000 |
Liquidity discount (as a percent) | ' | 5.00% |
Asset-backed securities | Whole business securitization | Discounted cash flow | Maximum | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Annual gross revenue projections | ' | 96,000,000 |
Liquidity discount (as a percent) | ' | 20.00% |
Asset-backed securities | Whole business securitization | Discounted cash flow | Weighted Average | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Value of primary financial guaranty policy (as a percent) | ' | 43.80% |
Asset-backed securities | Investor-owned utilities | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Fair value of assets as of the balance sheet date | 141,000,000 | 186,000,000 |
Asset-backed securities | Investor-owned utilities | Discounted cash flow | Minimum | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Liquidation value | 195,000,000 | 212,000,000 |
Years to liquidation | '0 years | '0 years |
Asset-backed securities | Investor-owned utilities | Discounted cash flow | Maximum | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Liquidation value | 245,000,000 | 242,000,000 |
Years to liquidation | '3 years | '3 years |
Asset-backed securities | Investor-owned utilities | Discounted cash flow | Weighted Average | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Discount factor (as a percent) | 15.30% | 15.30% |
Asset-backed securities | XXX life insurance transactions | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Fair value of assets as of the balance sheet date | 127,000,000 | 57,000,000 |
Asset-backed securities | XXX life insurance transactions | Discounted cash flow | Weighted Average | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Yield (as a percent) | 12.50% | 12.50% |
Fixed maturity securities | Corporate securities | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Fair value of assets as of the balance sheet date | 136,000,000 | ' |
Fixed maturity securities | Corporate securities | Discounted cash flow | Weighted Average | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Yield (as a percent) | 8.30% | ' |
Fixed maturity securities | RMBS | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Fair value of assets as of the balance sheet date | 290,000,000 | 219,000,000 |
Fixed maturity securities | RMBS | Discounted cash flow | Minimum | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
CPR (as a percent) | 1.00% | 0.80% |
CDR (as a percent) | 5.00% | 4.40% |
Loss severity (as a percent) | 48.10% | 48.10% |
Yield (as a percent) | 2.50% | 3.50% |
Fixed maturity securities | RMBS | Discounted cash flow | Maximum | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
CPR (as a percent) | 15.80% | 7.50% |
CDR (as a percent) | 25.80% | 28.60% |
Loss severity (as a percent) | 102.50% | 102.80% |
Yield (as a percent) | 9.40% | 12.80% |
Fixed maturity securities | Obligations of state and political subdivisions | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Fair value of assets as of the balance sheet date | 36,000,000 | 35,000,000 |
Fixed maturity securities | Obligations of state and political subdivisions | Discounted cash flow | Minimum | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Rate of inflation | 1.00% | 1.00% |
Cash flow receipts (as a percent) | 0.50% | 4.90% |
Discount factor (as a percent) | 4.60% | 4.30% |
Collateral recovery period (in years) | '1 month | '1 month |
Fixed maturity securities | Obligations of state and political subdivisions | Discounted cash flow | Maximum | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Rate of inflation | 3.00% | 3.00% |
Cash flow receipts (as a percent) | 60.90% | 85.80% |
Discount factor (as a percent) | 9.00% | 9.00% |
Collateral recovery period (in years) | '10 years | '43 years |
Asset-backed securities | Obligations of state and political subdivisions | Discounted cash flow | Minimum | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Collateral recovery period (in years) | '12 months | ' |
Asset-backed securities | Obligations of state and political subdivisions | Discounted cash flow | Maximum | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Collateral recovery period (in years) | '6 years | ' |
Other invested assets | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Fair value of assets as of the balance sheet date | 8,000,000 | 8,000,000 |
Other invested assets | Discounted cash flow | Minimum | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Loss severity (as a percent) | 40.00% | 40.00% |
Liquidity discount (as a percent) | 10.00% | 10.00% |
Recovery on delinquent loans (as a percent) | 20.00% | 20.00% |
Default rates (as a percent) | 1.00% | 1.00% |
Prepayment speeds | 6.00% | 6.00% |
Other invested assets | Discounted cash flow | Maximum | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Loss severity (as a percent) | 90.00% | 90.00% |
Liquidity discount (as a percent) | 20.00% | 20.00% |
Recovery on delinquent loans (as a percent) | 60.00% | 60.00% |
Default rates (as a percent) | 10.00% | 12.00% |
Prepayment speeds | 15.00% | 15.00% |
Other assets | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Fair value of assets as of the balance sheet date | 46,000,000 | 36,000,000 |
Other assets | Discounted cash flow | Minimum | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Quotes from third party pricing | 47 | 38 |
Other assets | Discounted cash flow | Maximum | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Quotes from third party pricing | 53 | 51 |
Other assets | Discounted cash flow | Weighted Average | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Term (in years) | '5 years | '3 years |
Financial guaranty variable interest entities | Liabilities | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Fair value of liabilities as of the balance sheet date | -2,871,000,000 | -3,141,000,000 |
Financial guaranty variable interest entities | Liabilities | Discounted cash flow | Minimum | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
CPR (as a percent) | 0.30% | 0.50% |
CDR (as a percent) | 3.00% | 3.00% |
Loss severity (as a percent) | 37.50% | 37.50% |
Yield (as a percent) | 3.50% | 4.50% |
Financial guaranty variable interest entities | Liabilities | Discounted cash flow | Maximum | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
CPR (as a percent) | 11.80% | 10.90% |
CDR (as a percent) | 25.80% | 28.60% |
Loss severity (as a percent) | 102.00% | 103.80% |
Yield (as a percent) | 10.20% | 20.00% |
Financial guaranty variable interest entities | FG VIEs' assets, at fair value | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Fair value of assets as of the balance sheet date | 2,565,000,000 | 2,688,000,000 |
Financial guaranty variable interest entities | FG VIEs' assets, at fair value | Discounted cash flow | Minimum | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
CPR (as a percent) | 0.30% | 0.50% |
CDR (as a percent) | 3.00% | 3.00% |
Loss severity (as a percent) | 37.50% | 37.50% |
Yield (as a percent) | 3.50% | 4.50% |
Financial guaranty variable interest entities | FG VIEs' assets, at fair value | Discounted cash flow | Maximum | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
CPR (as a percent) | 11.80% | 10.90% |
CDR (as a percent) | 25.80% | 28.60% |
Loss severity (as a percent) | 102.00% | 103.80% |
Yield (as a percent) | 10.20% | 20.00% |
Credit derivatives | Credit derivative liabilities, net | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Fair value of liabilities as of the balance sheet date | ($1,693,000,000) | ($1,793,000,000) |
Credit derivatives | Credit derivative liabilities, net | Discounted cash flow | Minimum | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Year 1 loss estimates (as a percent) | 0.00% | 0.00% |
Hedge cost (as a percent) | 0.46% | 0.64% |
Bank profit (as a percent) | 0.01% | 0.01% |
Internal floor (as a percent) | 0.07% | 0.07% |
Credit derivatives | Credit derivative liabilities, net | Discounted cash flow | Maximum | ' | ' |
Quantitative Information About Level 3 Fair Value Measurements | ' | ' |
Year 1 loss estimates (as a percent) | 48.00% | 58.70% |
Hedge cost (as a percent) | 5.25% | 6.78% |
Bank profit (as a percent) | 14.19% | 13.13% |
Internal floor (as a percent) | 0.10% | 0.60% |
Fair_Value_Measurement_Fair_Va
Fair Value Measurement - Fair Value of Financial Instruments (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | ||
In Millions, unless otherwise specified | ||||
Assets: | ' | ' | ||
Short-term investments | $904 | $817 | ||
Other invested assets | 170 | 212 | ||
Credit derivative assets | 94 | 141 | ||
FG VIEs' assets, at fair value | 2,565 | 2,688 | ||
Liabilities: | ' | ' | ||
Credit derivative liabilities | 1,787 | 1,934 | ||
FG VIEs' liabilities with recourse, at fair value | 1,790 | 2,090 | ||
FG VIEs' liabilities without recourse, at fair value | 1,081 | 1,051 | ||
Carrying Amount | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 9,711 | 10,056 | ||
Short-term investments | 904 | 817 | ||
Other invested assets | 147 | 177 | ||
Credit derivative assets | 94 | 141 | ||
FG VIEs' assets, at fair value | 2,565 | 2,688 | ||
Other assets | 179 | 166 | ||
Liabilities: | ' | ' | ||
Financial guaranty insurance contracts | 3,783 | [1] | 3,918 | [1] |
Long-term debt | 816 | 836 | ||
Credit derivative liabilities | 1,787 | 1,934 | ||
FG VIEs' liabilities with recourse, at fair value | 1,790 | 2,090 | ||
FG VIEs' liabilities without recourse, at fair value | 1,081 | 1,051 | ||
Other liabilities | 36 | 47 | ||
Estimated Fair Value | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 9,711 | 10,056 | ||
Short-term investments | 904 | 817 | ||
Other invested assets | 155 | 182 | ||
Credit derivative assets | 94 | 141 | ||
FG VIEs' assets, at fair value | 2,565 | 2,688 | ||
Other assets | 179 | 166 | ||
Liabilities: | ' | ' | ||
Financial guaranty insurance contracts | 5,128 | [1] | 6,537 | [1] |
Long-term debt | 970 | 1,091 | ||
Credit derivative liabilities | 1,787 | 1,934 | ||
FG VIEs' liabilities with recourse, at fair value | 1,790 | 2,090 | ||
FG VIEs' liabilities without recourse, at fair value | 1,081 | 1,051 | ||
Other liabilities | $36 | $47 | ||
[1] | Carrying amount includes the assets and liabilities related to financial guaranty insurance contract premiums, losses, and salvage and subrogation and other recoverables net of reinsurance. |
Financial_Guaranty_Contracts_A2
Financial Guaranty Contracts Accounted for as Credit Derivatives - Credit Derivatives Subordination and Ratings (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | ||
In Millions, unless otherwise specified | ||||
Net Par Outstanding on Credit Derivatives | ' | ' | ||
Net Par Outstanding | $54,482 | $70,781 | ||
Pooled corporate obligations | ' | ' | ||
Net Par Outstanding on Credit Derivatives | ' | ' | ||
Net Par Outstanding | 37,321 | 50,120 | ||
Original Subordination (as a percent) | 31.50% | [1] | 31.70% | [1] |
Current Subordination (as a percent) | 30.60% | [1] | 30.40% | [1] |
Collateralized loan obligation/collateral bond obligations | ' | ' | ||
Net Par Outstanding on Credit Derivatives | ' | ' | ||
Net Par Outstanding | 19,323 | 29,142 | ||
Original Subordination (as a percent) | 32.40% | [1] | 32.80% | [1] |
Current Subordination (as a percent) | 34.00% | [1] | 33.30% | [1] |
Synthetic investment grade pooled corporate | ' | ' | ||
Net Par Outstanding on Credit Derivatives | ' | ' | ||
Net Par Outstanding | 9,754 | 9,658 | ||
Original Subordination (as a percent) | 21.60% | [1] | 21.60% | [1] |
Current Subordination (as a percent) | 20.00% | [1] | 19.70% | [1] |
Synthetic high yield pooled corporate | ' | ' | ||
Net Par Outstanding on Credit Derivatives | ' | ' | ||
Net Par Outstanding | 2,690 | 3,626 | ||
Original Subordination (as a percent) | 47.20% | [1] | 35.00% | [1] |
Current Subordination (as a percent) | 41.10% | [1] | 30.30% | [1] |
TruPS CDOs | ' | ' | ||
Net Par Outstanding on Credit Derivatives | ' | ' | ||
Net Par Outstanding | 3,554 | 4,099 | ||
Original Subordination (as a percent) | 45.50% | [1] | 46.50% | [1] |
Current Subordination (as a percent) | 32.90% | [1] | 32.70% | [1] |
Market value CDOs of corporate obligations | ' | ' | ||
Net Par Outstanding on Credit Derivatives | ' | ' | ||
Net Par Outstanding | 2,000 | 3,595 | ||
Original Subordination (as a percent) | 24.40% | [1] | 30.10% | [1] |
Current Subordination (as a percent) | 30.50% | [1] | 32.00% | [1] |
U.S. RMBS | ' | ' | ||
Net Par Outstanding on Credit Derivatives | ' | ' | ||
Net Par Outstanding | 5,826 | 7,257 | ||
Original Subordination (as a percent) | 24.40% | [1] | 24.20% | [1] |
Current Subordination (as a percent) | 30.10% | [1] | 30.40% | [1] |
Option ARM and Alt-A first lien | ' | ' | ||
Net Par Outstanding on Credit Derivatives | ' | ' | ||
Net Par Outstanding | 2,609 | 3,381 | ||
Original Subordination (as a percent) | 19.20% | [1] | 20.20% | [1] |
Current Subordination (as a percent) | 8.60% | [1] | 10.40% | [1] |
Subprime first lien | ' | ' | ||
Net Par Outstanding on Credit Derivatives | ' | ' | ||
Net Par Outstanding | 2,930 | 3,494 | ||
Original Subordination (as a percent) | 30.50% | [1] | 29.80% | [1] |
Current Subordination (as a percent) | 51.90% | [1] | 52.60% | [1] |
Prime first lien | ' | ' | ||
Net Par Outstanding on Credit Derivatives | ' | ' | ||
Net Par Outstanding | 264 | 333 | ||
Original Subordination (as a percent) | 10.90% | [1] | 10.90% | [1] |
Current Subordination (as a percent) | 3.20% | [1] | 5.20% | [1] |
Closed end second lien and HELOCs | ' | ' | ||
Net Par Outstanding on Credit Derivatives | ' | ' | ||
Net Par Outstanding | 23 | 49 | ||
Original Subordination (as a percent) | 0.00% | [1] | 0.00% | [1] |
Current Subordination (as a percent) | 0.00% | [1] | 0.00% | [1] |
CMBS | ' | ' | ||
Net Par Outstanding on Credit Derivatives | ' | ' | ||
Net Par Outstanding | 3,744 | 4,094 | ||
Original Subordination (as a percent) | 33.50% | [1] | 33.30% | [1] |
Current Subordination (as a percent) | 42.50% | [1] | 41.80% | [1] |
Other | ' | ' | ||
Net Par Outstanding on Credit Derivatives | ' | ' | ||
Net Par Outstanding | $7,591 | $9,310 | ||
Original Subordination (as a percent) | 0.00% | [1] | 0.00% | [1] |
Current Subordination (as a percent) | 0.00% | [1] | 0.00% | [1] |
[1] | Represents the sum of subordinate tranches and over-collateralization and does not include any benefit from excess interest collections that may be used to absorb losses. |
Financial_Guaranty_Contracts_A3
Financial Guaranty Contracts Accounted for as Credit Derivatives - Distribution of Credit Derivative Net Par Outstanding by Internal Rating (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 |
In Millions, unless otherwise specified | ||
Credit Derivatives | ' | ' |
Net Par Outstanding | $54,482 | $70,781 |
Percentage of total | 100.00% | 100.00% |
AAA | ' | ' |
Credit Derivatives | ' | ' |
Net Par Outstanding | 38,244 | 50,918 |
Percentage of total | 70.20% | 71.90% |
AA | ' | ' |
Credit Derivatives | ' | ' |
Net Par Outstanding | 3,648 | 3,083 |
Percentage of total | 6.70% | 4.40% |
A | ' | ' |
Credit Derivatives | ' | ' |
Net Par Outstanding | 3,636 | 5,487 |
Percentage of total | 6.70% | 7.80% |
BBB | ' | ' |
Credit Derivatives | ' | ' |
Net Par Outstanding | 4,161 | 4,584 |
Percentage of total | 7.60% | 6.40% |
BIG | ' | ' |
Credit Derivatives | ' | ' |
Net Par Outstanding | $4,793 | $6,709 |
Percentage of total | 8.80% | 9.50% |
Financial_Guaranty_Contracts_A4
Financial Guaranty Contracts Accounted for as Credit Derivatives - Net Change in Fair Value of Credit Derivatives Gain (Loss) and Net Par and Accelerations of Credit Derivative Revenues from Termination of CDS Contracts (Details) (USD $) | 12 Months Ended | |||||
In Millions, unless otherwise specified | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | |||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | ' | ' | |||
Net credit derivative premiums received and receivable | $119 | $127 | $185 | |||
Net ceding commissions (paid and payable) received and receivable | 2 | 1 | 3 | |||
Realized gains on credit derivatives | 121 | 128 | 188 | |||
Terminations | 0 | -1 | -23 | |||
Net credit derivative losses (paid and payable) recovered and recoverable | -163 | -235 | -159 | |||
Realized gains (losses) and other settlements on credit derivatives | -42 | -108 | 6 | |||
Net change in unrealized gains (losses) on credit derivatives | 107 | [1] | -477 | [1] | 554 | [1] |
Net par of terminated CDS contracts | 4,054 | 2,264 | 11,543 | |||
Accelerations of credit derivative revenues | $21 | $3 | $25 | |||
[1] | Except for net estimated credit impairments (i.e., net expected loss to be paid as discussed in Note 6), the unrealized gains and losses on credit derivatives are expected to reduce to zero as the exposure approaches its maturity date. With considerable volatility continuing in the market, unrealized gains (losses) on credit derivatives may fluctuate significantly in future periods. |
Financial_Guaranty_Contracts_A5
Financial Guaranty Contracts Accounted for as Credit Derivatives - Net Change in Unrealized Gains (Losses) (Details) (USD $) | 12 Months Ended | |||||
In Millions, unless otherwise specified | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | |||
Credit Derivatives | ' | ' | ' | |||
Net change in unrealized gains (losses) on credit derivatives | $107 | [1] | ($477) | [1] | $554 | [1] |
Pooled corporate obligations | ' | ' | ' | |||
Credit Derivatives | ' | ' | ' | |||
Net change in unrealized gains (losses) on credit derivatives | -32 | 59 | 39 | |||
U.S. RMBS | ' | ' | ' | |||
Credit Derivatives | ' | ' | ' | |||
Net change in unrealized gains (losses) on credit derivatives | -69 | -551 | 381 | |||
CMBS | ' | ' | ' | |||
Credit Derivatives | ' | ' | ' | |||
Net change in unrealized gains (losses) on credit derivatives | 0 | 2 | 11 | |||
Other | ' | ' | ' | |||
Credit Derivatives | ' | ' | ' | |||
Net change in unrealized gains (losses) on credit derivatives | $208 | [2] | $13 | [2] | $123 | [2] |
[1] | Except for net estimated credit impairments (i.e., net expected loss to be paid as discussed in Note 6), the unrealized gains and losses on credit derivatives are expected to reduce to zero as the exposure approaches its maturity date. With considerable volatility continuing in the market, unrealized gains (losses) on credit derivatives may fluctuate significantly in future periods. | |||||
[2] | “Other†includes all other U.S. and international asset classes, such as commercial receivables, international infrastructure, international RMBS securities, and pooled infrastructure securities. |
Financial_Guaranty_Contracts_A6
Financial Guaranty Contracts Accounted for as Credit Derivatives - CDS Spread and Components of Credit Derivative Assets (Liabilities) (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 |
In Millions, unless otherwise specified | |||
Credit Derivatives | ' | ' | ' |
Fair value of credit derivatives before effect of AGC and AGM credit spreads | -3,442 | -4,809 | ' |
Plus: Effect of AGC and AGM credit spreads | 1,749 | 3,016 | ' |
Net fair value of credit derivatives | -1,693 | -1,793 | ' |
Five-Year CDS Spread | AGC | ' | ' | ' |
Credit Derivatives | ' | ' | ' |
Quoted price of CDS contract (as a percent) | 4.60% | 6.78% | 11.40% |
Five-Year CDS Spread | AGM | ' | ' | ' |
Credit Derivatives | ' | ' | ' |
Quoted price of CDS contract (as a percent) | 5.25% | 5.36% | 7.78% |
One-Year CDS Spread | AGC | ' | ' | ' |
Credit Derivatives | ' | ' | ' |
Quoted price of CDS contract (as a percent) | 1.85% | 2.70% | 9.65% |
One-Year CDS Spread | AGM | ' | ' | ' |
Credit Derivatives | ' | ' | ' |
Quoted price of CDS contract (as a percent) | 2.20% | 2.57% | 5.38% |
Financial_Guaranty_Contracts_A7
Financial Guaranty Contracts Accounted for as Credit Derivatives - Net Fair Value and Expected Losses of Credit Derivatives by Sector (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | ||
In Millions, unless otherwise specified | ||||
Credit Derivatives | ' | ' | ||
Fair Value of Credit Derivative Asset (Liability), net | ($1,693) | ($1,793) | ||
Present Value of Expected Claim (Payments) Recoveries | -139 | [1] | -282 | [1] |
Present Value of Future Installment Fees Receivable | 45 | 43 | ||
R and W Included in Credit Derivative Asset (Liability) | 180 | 237 | ||
Pooled corporate obligations | ' | ' | ||
Credit Derivatives | ' | ' | ||
Fair Value of Credit Derivative Asset (Liability), net | -30 | 6 | ||
Present Value of Expected Claim (Payments) Recoveries | -35 | [1] | -16 | [1] |
U.S. RMBS | ' | ' | ||
Credit Derivatives | ' | ' | ||
Fair Value of Credit Derivative Asset (Liability), net | -1,308 | -1,237 | ||
Present Value of Expected Claim (Payments) Recoveries | -147 | [1] | -181 | [1] |
CMBS | ' | ' | ||
Credit Derivatives | ' | ' | ||
Fair Value of Credit Derivative Asset (Liability), net | -2 | -2 | ||
Present Value of Expected Claim (Payments) Recoveries | 0 | [1] | 0 | [1] |
Other | ' | ' | ||
Credit Derivatives | ' | ' | ||
Fair Value of Credit Derivative Asset (Liability), net | -353 | -560 | ||
Present Value of Expected Claim (Payments) Recoveries | $43 | [1] | ($85) | [1] |
[1] | Represents the expected claim payments (recoveries) in excess of the present value of future installment fees to be received of $45 million as of December 31, 2013 and $43 million as of December 31, 2012. Includes R&W benefit of $180 million as of December 31, 2013 and $237 million as of December 31, 2012. |
Financial_Guaranty_Contracts_A8
Financial Guaranty Contracts Accounted for as Credit Derivatives - Effect of Changes in Credit Spread (Details) (USD $) | 12 Months Ended | |||||
In Millions, unless otherwise specified | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | |||
Credit Derivatives | ' | ' | ' | |||
Estimated Net Fair Value (Pre-Tax) | ($1,693) | ($1,793) | ' | |||
Estimated Change in Gain/(Loss) (Pre-Tax) | 107 | [1] | -477 | [1] | 554 | [1] |
100% widening in spreads | ' | ' | ' | |||
Credit Derivatives | ' | ' | ' | |||
Estimated Net Fair Value (Pre-Tax) | -3,499 | [2] | ' | ' | ||
Estimated Change in Gain/(Loss) (Pre-Tax) | -1,806 | [2] | ' | ' | ||
50% widening in spreads | ' | ' | ' | |||
Credit Derivatives | ' | ' | ' | |||
Estimated Net Fair Value (Pre-Tax) | -2,596 | [2] | ' | ' | ||
Estimated Change in Gain/(Loss) (Pre-Tax) | -903 | [2] | ' | ' | ||
25% widening in spreads | ' | ' | ' | |||
Credit Derivatives | ' | ' | ' | |||
Estimated Net Fair Value (Pre-Tax) | -2,145 | [2] | ' | ' | ||
Estimated Change in Gain/(Loss) (Pre-Tax) | -452 | [2] | ' | ' | ||
10% widening in spreads | ' | ' | ' | |||
Credit Derivatives | ' | ' | ' | |||
Estimated Net Fair Value (Pre-Tax) | -1,874 | [2] | ' | ' | ||
Estimated Change in Gain/(Loss) (Pre-Tax) | -181 | [2] | ' | ' | ||
Base Scenario | ' | ' | ' | |||
Credit Derivatives | ' | ' | ' | |||
Estimated Net Fair Value (Pre-Tax) | -1,693 | [2] | ' | ' | ||
Estimated Change in Gain/(Loss) (Pre-Tax) | 0 | [2] | ' | ' | ||
10% narrowing in spreads | ' | ' | ' | |||
Credit Derivatives | ' | ' | ' | |||
Estimated Net Fair Value (Pre-Tax) | -1,527 | [2] | ' | ' | ||
Estimated Change in Gain/(Loss) (Pre-Tax) | 166 | [2] | ' | ' | ||
25% narrowing in spreads | ' | ' | ' | |||
Credit Derivatives | ' | ' | ' | |||
Estimated Net Fair Value (Pre-Tax) | -1,276 | [2] | ' | ' | ||
Estimated Change in Gain/(Loss) (Pre-Tax) | 417 | [2] | ' | ' | ||
50% narrowing in spreads | ' | ' | ' | |||
Credit Derivatives | ' | ' | ' | |||
Estimated Net Fair Value (Pre-Tax) | -860 | [2] | ' | ' | ||
Estimated Change in Gain/(Loss) (Pre-Tax) | $833 | [2] | ' | ' | ||
[1] | Except for net estimated credit impairments (i.e., net expected loss to be paid as discussed in Note 6), the unrealized gains and losses on credit derivatives are expected to reduce to zero as the exposure approaches its maturity date. With considerable volatility continuing in the market, unrealized gains (losses) on credit derivatives may fluctuate significantly in future periods. | |||||
[2] | Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. |
Financial_Guaranty_Contracts_A9
Financial Guaranty Contracts Accounted for as Credit Derivatives - Narrative (Details) (USD $) | 3 Months Ended | 12 Months Ended | ||||||||||||
Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Jun. 30, 2012 | Mar. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | ||||
Credit Derivatives | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Estimated remaining weighted average life of credit derivatives (in years) | ' | ' | ' | ' | ' | ' | ' | ' | '4 years 1 month 15 days | '3 years 8 months 12 days | ' | |||
Net par outstanding | $54,482,000,000 | ' | ' | ' | $70,781,000,000 | ' | ' | ' | $54,482,000,000 | $70,781,000,000 | ' | |||
Net unrealized gains (losses) | ' | ' | ' | ' | ' | ' | ' | ' | 107,000,000 | [1] | -477,000,000 | [1] | 554,000,000 | [1] |
Net change in fair value of credit derivatives | 229,000,000 | 354,000,000 | 74,000,000 | -592,000,000 | -119,000,000 | -36,000,000 | 261,000,000 | -691,000,000 | 65,000,000 | -585,000,000 | 560,000,000 | |||
Gain from narrowing of spreads | ' | ' | ' | ' | ' | ' | ' | ' | 1,367,000,000 | ' | ' | |||
Par insured that could be terminated if ratings were downgraded | 1,700,000,000 | ' | ' | ' | 2,000,000,000 | ' | ' | ' | 1,700,000,000 | 2,000,000,000 | ' | |||
Amount of par subject to collateral posting | 10,300,000,000 | ' | ' | ' | ' | ' | ' | ' | 10,300,000,000 | ' | ' | |||
Cap on collateral requirement at current ratings levels | 9,900,000,000 | ' | ' | ' | ' | ' | ' | ' | 9,900,000,000 | ' | ' | |||
Amount of par subject to collateral for which the amount of collateral is capped | 665,000,000 | ' | ' | ' | ' | ' | ' | ' | 665,000,000 | ' | ' | |||
Collateral agreed to be posted | 677,000,000 | ' | ' | ' | 728,000,000 | ' | ' | ' | 677,000,000 | 728,000,000 | ' | |||
Notional amount subject to collateral based on movements in the mark-to-market valuation of the underlying exposure | 347,000,000 | ' | ' | ' | 400,000,000 | ' | ' | ' | 347,000,000 | 400,000,000 | ' | |||
Collateral posted, based on mark-to-market valuation | 62,000,000 | ' | ' | ' | 68,000,000 | ' | ' | ' | 62,000,000 | 68,000,000 | ' | |||
AGC R&W Benefits From Deutsche Bank Settlement | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Credit Derivatives | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Unrealized gain | ' | ' | ' | ' | ' | ' | ' | ' | ' | 85,000,000 | ' | |||
Market value collateralized debt obligations of corporate obligations | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Credit Derivatives | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Maximum average obligor size (as a percent) | 1.00% | ' | ' | ' | ' | ' | ' | ' | 1.00% | ' | ' | |||
Maximum exposure of one industry (as a percent) | 10.00% | ' | ' | ' | ' | ' | ' | ' | 10.00% | ' | ' | |||
Net par outstanding | 2,000,000,000 | ' | ' | ' | 3,595,000,000 | ' | ' | ' | 2,000,000,000 | 3,595,000,000 | ' | |||
Other pooled infrastructure | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Credit Derivatives | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Net par outstanding | 2,500,000,000 | ' | ' | ' | ' | ' | ' | ' | 2,500,000,000 | ' | ' | |||
Pooled infrastructure | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Credit Derivatives | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Number of transactions | 2 | ' | ' | ' | ' | ' | ' | ' | 2 | ' | ' | |||
Remaining other CDS | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Credit Derivatives | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Net par outstanding | 5,100,000,000 | ' | ' | ' | ' | ' | ' | ' | 5,100,000,000 | ' | ' | |||
Net par outstanding, rated BIG | 500,000,000 | ' | ' | ' | ' | ' | ' | ' | 500,000,000 | ' | ' | |||
Film securitization CDS | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Credit Derivatives | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Payments from termination of CDS contracts | ' | ' | ' | ' | ' | ' | ' | ' | 120,000,000 | ' | ' | |||
Net unrealized gains (losses) | ' | ' | ' | ' | ' | ' | ' | ' | -127,000,000 | ' | ' | |||
Net change in fair value of credit derivatives | ' | ' | ' | ' | ' | ' | ' | ' | ($7,000,000) | ' | ' | |||
[1] | Except for net estimated credit impairments (i.e., net expected loss to be paid as discussed in Note 6), the unrealized gains and losses on credit derivatives are expected to reduce to zero as the exposure approaches its maturity date. With considerable volatility continuing in the market, unrealized gains (losses) on credit derivatives may fluctuate significantly in future periods. |
Consolidation_of_Variable_Inte2
Consolidation of Variable Interest Entities (Details) (USD $) | 3 Months Ended | 12 Months Ended | ||||||||||||
Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Jun. 30, 2012 | Mar. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | ||||
Entity | Entity | Entity | Entity | Entity | Transaction | Entity | ||||||||
Entity | ||||||||||||||
Consolidated VIEs | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Net fair value gains and losses on FG VIEs are expected to reverse to zero at maturity of the VIE debt | $0 | ' | ' | ' | ' | ' | ' | ' | $0 | ' | ' | |||
Number of VIE that did not require consolidation | 1,000 | ' | ' | ' | ' | ' | ' | ' | 1,000 | ' | ' | |||
Number of FG VIEs Consolidated [Roll Forward] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Beginning of the year | ' | ' | ' | 33 | ' | ' | ' | 33 | 33 | 33 | 29 | |||
Consolidated | ' | ' | ' | ' | ' | ' | ' | ' | 11 | [1] | 2 | [1] | 8 | [1] |
Deconsolidated | ' | ' | ' | ' | ' | ' | ' | ' | -3 | [1] | 0 | [1] | 0 | [1] |
Matured | ' | ' | ' | ' | ' | ' | ' | ' | -1 | -2 | -4 | |||
End of the year | 40 | ' | ' | ' | 33 | ' | ' | ' | 40 | 33 | 33 | |||
Net loss on consolidation and deconsolidation of VIEs | ' | ' | ' | ' | ' | ' | ' | ' | 7,000,000 | 6,000,000 | 95,000,000 | |||
Credit Risk Derivatives at Fair Value before Effect of Credit Spread Net 1 [Abstract] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Number of days VIEs' assets were past due (in days) | ' | ' | ' | ' | ' | ' | ' | ' | '90 days | ' | ' | |||
Total unpaid principal balance for the VIEs' assets that were over 90 days or more past due | 750,000,000 | ' | ' | ' | 893,000,000 | ' | ' | ' | 750,000,000 | 893,000,000 | ' | |||
Difference between the aggregate unpaid principal and aggregate fair value of the VIEs' Assets | 1,940,000,000 | ' | ' | ' | 2,631,000,000 | ' | ' | ' | 1,940,000,000 | 2,631,000,000 | ' | |||
Change in the instrument specific credit risk of the VIEs' assets | ' | ' | ' | ' | ' | ' | ' | ' | 340,000,000 | 413,000,000 | ' | |||
Unpaid principal for FG VIEs’ liabilities with recourse | 2,316,000,000 | ' | ' | ' | 2,808,000,000 | ' | ' | ' | 2,316,000,000 | 2,808,000,000 | ' | |||
Difference between the aggregate unpaid principal and aggregate fair value of the VIEs' liabilities | 1,611,000,000 | ' | ' | ' | ' | ' | ' | ' | 1,611,000,000 | ' | ' | |||
VIE's with recourse | 40 | ' | ' | ' | 33 | ' | ' | ' | 40 | 33 | ' | |||
VIE's without recourse | 0 | ' | ' | ' | 0 | ' | ' | ' | 0 | 0 | ' | |||
Total | 40 | ' | ' | ' | 33 | ' | ' | ' | 40 | 33 | 33 | |||
Total with recourse , Assets | 1,449,000,000 | ' | ' | ' | 1,601,000,000 | ' | ' | ' | 1,449,000,000 | 1,601,000,000 | ' | |||
Without recourse, Assets | 1,116,000,000 | ' | ' | ' | 1,087,000,000 | ' | ' | ' | 1,116,000,000 | 1,087,000,000 | ' | |||
Assets, Total | 2,565,000,000 | ' | ' | ' | 2,688,000,000 | ' | ' | ' | 2,565,000,000 | 2,688,000,000 | ' | |||
Total with recourse, liabilities | 1,790,000,000 | ' | ' | ' | 2,090,000,000 | ' | ' | ' | 1,790,000,000 | 2,090,000,000 | ' | |||
Without recourse, Liabilities | 1,081,000,000 | ' | ' | ' | 1,051,000,000 | ' | ' | ' | 1,081,000,000 | 1,051,000,000 | ' | |||
Liabilities, Total | 2,871,000,000 | ' | ' | ' | 3,141,000,000 | ' | ' | ' | 2,871,000,000 | 3,141,000,000 | ' | |||
Net change in fair value of financial guaranty variable interest entities: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Net earned premiums, consolidated VIEs | ' | ' | ' | ' | ' | ' | ' | ' | -60,000,000 | -153,000,000 | -75,000,000 | |||
Net investment income | ' | ' | ' | ' | ' | ' | ' | ' | -13,000,000 | -13,000,000 | -8,000,000 | |||
Net realized investment gains (losses) | ' | ' | ' | ' | ' | ' | ' | ' | 2,000,000 | 4,000,000 | 12,000,000 | |||
Fair value gains (losses) on FG VIEs | 93,000,000 | 40,000,000 | 143,000,000 | 70,000,000 | 30,000,000 | 34,000,000 | 168,000,000 | -41,000,000 | 346,000,000 | 191,000,000 | -146,000,000 | |||
Loss and LAE | ' | ' | ' | ' | ' | ' | ' | ' | 21,000,000 | 65,000,000 | 107,000,000 | |||
Total pre-tax effect on net income | ' | ' | ' | ' | ' | ' | ' | ' | 296,000,000 | 94,000,000 | -110,000,000 | |||
Less: tax provision (benefit) | ' | ' | ' | ' | ' | ' | ' | ' | 103,000,000 | 32,000,000 | -38,000,000 | |||
Total effect on net income (loss) | ' | ' | ' | ' | ' | ' | ' | ' | 193,000,000 | 62,000,000 | -72,000,000 | |||
Effect of consolidating VIEs on cash flows from operating activities | ' | ' | ' | ' | ' | ' | ' | ' | -136,000,000 | 166,000,000 | 319,000,000 | |||
Total (decrease) increase on shareholders' equity | -172,000,000 | ' | ' | ' | -348,000,000 | ' | ' | ' | -172,000,000 | -348,000,000 | ' | |||
Number of transactions that the fair value of underlying collateral depreciated and related wrapped senior bonds value unchanged | ' | ' | ' | ' | ' | ' | ' | ' | ' | 2 | ' | |||
Various counterparties | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Net change in fair value of financial guaranty variable interest entities: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Fair value gains (losses) on FG VIEs | ' | ' | ' | ' | ' | ' | ' | ' | 265,000,000 | ' | ' | |||
AGC R&W Benefits From Deutsche Bank Settlement | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Net change in fair value of financial guaranty variable interest entities: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Fair value gains (losses) on FG VIEs | ' | ' | ' | ' | ' | ' | ' | ' | 166,000,000 | ' | ' | |||
First lien | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Credit Risk Derivatives at Fair Value before Effect of Credit Spread Net 1 [Abstract] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
VIE's with recourse | 25 | ' | ' | ' | 14 | ' | ' | ' | 25 | 14 | ' | |||
Assets, Total | 630,000,000 | ' | ' | ' | 618,000,000 | ' | ' | ' | 630,000,000 | 618,000,000 | ' | |||
Liabilities, Total | 791,000,000 | ' | ' | ' | 825,000,000 | ' | ' | ' | 791,000,000 | 825,000,000 | ' | |||
Second lien | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Credit Risk Derivatives at Fair Value before Effect of Credit Spread Net 1 [Abstract] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
VIE's with recourse | 14 | ' | ' | ' | 16 | ' | ' | ' | 14 | 16 | ' | |||
Assets, Total | 460,000,000 | ' | ' | ' | 633,000,000 | ' | ' | ' | 460,000,000 | 633,000,000 | ' | |||
Liabilities, Total | 640,000,000 | ' | ' | ' | 915,000,000 | ' | ' | ' | 640,000,000 | 915,000,000 | ' | |||
Other | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Credit Risk Derivatives at Fair Value before Effect of Credit Spread Net 1 [Abstract] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
VIE's with recourse | 1 | ' | ' | ' | 3 | ' | ' | ' | 1 | 3 | ' | |||
Assets, Total | 359,000,000 | ' | ' | ' | 350,000,000 | ' | ' | ' | 359,000,000 | 350,000,000 | ' | |||
Liabilities, Total | $359,000,000 | ' | ' | ' | $350,000,000 | ' | ' | ' | $359,000,000 | $350,000,000 | ' | |||
[1] | (1)Net loss on consolidation and deconsolidation was $7 million in 2013, $6 million in 2012 and $95 million in 2011, respectively, and recorded in “fair value gains (losses) on FG VIEs†in the consolidated statement of operations. |
Investments_and_Cash_Net_Inves
Investments and Cash - Net Investment Income, Net Realized Investment Gains (Losses) and Roll Forward of Credit Losses in Investment Portfolio (Details) (USD $) | 3 Months Ended | 12 Months Ended | |||||||||
In Millions, unless otherwise specified | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Jun. 30, 2012 | Mar. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 |
Net Investment Income | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Gross investment income | ' | ' | ' | ' | ' | ' | ' | ' | $401 | $413 | $405 |
Investment expenses | ' | ' | ' | ' | ' | ' | ' | ' | -8 | -9 | -9 |
Net investment income | 107 | 99 | 93 | 94 | 103 | 102 | 101 | 98 | 393 | 404 | 396 |
Net Realized Investment Gains (Losses) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Gross realized gains on available-for-sale securities | ' | ' | ' | ' | ' | ' | ' | ' | 73 | 29 | 29 |
Gross realized gains on other assets in investment portfolio | ' | ' | ' | ' | ' | ' | ' | ' | 40 | 14 | 8 |
Gross realized losses on available-for-sale securities | ' | ' | ' | ' | ' | ' | ' | ' | -12 | -23 | -6 |
Gross realized losses on other assets in investment portfolio | ' | ' | ' | ' | ' | ' | ' | ' | -7 | -2 | -4 |
Other-than-temporary impairment | ' | ' | ' | ' | ' | ' | ' | ' | -42 | -17 | -45 |
Net realized investment gains (losses) | 29 | -7 | 2 | 28 | 1 | 2 | -3 | 1 | 52 | 1 | -18 |
Roll Forward of Credit Losses in the Investment Portfolio | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Balance, at the beginning of the period | ' | ' | ' | 64 | ' | ' | ' | 47 | 64 | 47 | 27 |
Additions for credit losses on securities for which an OTTI was not previously recognized | ' | ' | ' | ' | ' | ' | ' | ' | 18 | 14 | 27 |
Eliminations of securities issued by FG VIEs | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | -14 |
Reductions for securities sold during the period | ' | ' | ' | ' | ' | ' | ' | ' | -21 | 0 | -6 |
Additions for credit losses on securities for which an OTTI was previously recognized | ' | ' | ' | ' | ' | ' | ' | ' | 19 | 3 | 13 |
Balance, at the end of the period | 80 | ' | ' | ' | 64 | ' | ' | ' | 80 | 64 | 47 |
Fixed Maturities managed externally [Member] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Net Investment Income | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Gross investment income | ' | ' | ' | ' | ' | ' | ' | ' | 322 | 346 | 359 |
Fixed Maturities managed internally [Member] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Net Investment Income | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Gross investment income | ' | ' | ' | ' | ' | ' | ' | ' | 74 | 60 | 39 |
Other Invested Assets internally managed [Member] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Net Investment Income | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Gross investment income | ' | ' | ' | ' | ' | ' | ' | ' | 5 | 6 | 6 |
Other invested assets | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Net Investment Income | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Gross investment income | ' | ' | ' | ' | ' | ' | ' | ' | $0 | $1 | $1 |
Investments_and_Cash_Fixed_Mat
Investments and Cash - Fixed Maturity Securities and Short Term Investments (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | ||
In Millions, unless otherwise specified | ||||
Investments | ' | ' | ||
Percent of Total | 100.00% | [1] | 100.00% | [1] |
Amortized Cost, total investment portfolio | $10,392 | $10,163 | ||
Gross Unrealized Gains, total investment portfolio | 370 | 808 | ||
Gross Unrealized Losses, total investment portfolio | -147 | -98 | ||
Estimated Fair Value, total investment portfolio | 10,615 | 10,873 | ||
AOCI Gain (Loss) on Securities with OTTI | -37 | [2] | -7 | |
Percentage of mortgage backed securities representing government-agency obligations | 50.00% | 61.00% | ||
Fixed maturity securities | ' | ' | ||
Investments | ' | ' | ||
Percent of Total | 91.00% | [1] | 92.00% | [1] |
Amortized Cost Basis, fixed maturity securities | 9,488 | 9,346 | ||
Gross Unrealized Gains, fixed maturity securities | 370 | 808 | ||
Gross Unrealized Losses, fixed maturity securities | -147 | -98 | ||
Estimated Fair Value, fixed maturity securities | 9,711 | 10,056 | ||
AOCI Gain (Loss) on Securities with OTTI | -37 | [2] | -7 | |
Obligations of state and political subdivisions | ' | ' | ||
Investments | ' | ' | ||
Percent of Total | 47.00% | [1] | 51.00% | [1] |
Amortized Cost Basis, fixed maturity securities | 4,899 | 5,153 | ||
Gross Unrealized Gains, fixed maturity securities | 219 | 489 | ||
Gross Unrealized Losses, fixed maturity securities | -39 | -11 | ||
Estimated Fair Value, fixed maturity securities | 5,079 | 5,631 | ||
AOCI Gain (Loss) on Securities with OTTI | 4 | [2] | 9 | |
U.S. government and agencies | ' | ' | ||
Investments | ' | ' | ||
Percent of Total | 7.00% | [1] | 7.00% | [1] |
Amortized Cost Basis, fixed maturity securities | 674 | 732 | ||
Gross Unrealized Gains, fixed maturity securities | 32 | 62 | ||
Gross Unrealized Losses, fixed maturity securities | -6 | 0 | ||
Estimated Fair Value, fixed maturity securities | 700 | 794 | ||
AOCI Gain (Loss) on Securities with OTTI | 0 | [2] | 0 | |
Corporate securities | ' | ' | ||
Investments | ' | ' | ||
Percent of Total | 13.00% | [1] | 9.00% | [1] |
Amortized Cost Basis, fixed maturity securities | 1,314 | 930 | ||
Gross Unrealized Gains, fixed maturity securities | 44 | 80 | ||
Gross Unrealized Losses, fixed maturity securities | -18 | 0 | ||
Estimated Fair Value, fixed maturity securities | 1,340 | 1,010 | ||
AOCI Gain (Loss) on Securities with OTTI | 0 | [2] | 0 | |
RMBS | ' | ' | ||
Investments | ' | ' | ||
Percent of Total | 11.00% | [1],[3] | 13.00% | [1],[3] |
Amortized Cost Basis, fixed maturity securities | 1,160 | [3] | 1,281 | [3] |
Gross Unrealized Gains, fixed maturity securities | 34 | [3] | 62 | [3] |
Gross Unrealized Losses, fixed maturity securities | -72 | [3] | -77 | [3] |
Estimated Fair Value, fixed maturity securities | 1,122 | [3] | 1,266 | [3] |
AOCI Gain (Loss) on Securities with OTTI | -43 | [2],[3] | -59 | [3] |
CMBS | ' | ' | ||
Investments | ' | ' | ||
Percent of Total | 5.00% | [1],[3] | 5.00% | [1],[3] |
Amortized Cost Basis, fixed maturity securities | 536 | [3] | 482 | [3] |
Gross Unrealized Gains, fixed maturity securities | 17 | [3] | 38 | [3] |
Gross Unrealized Losses, fixed maturity securities | -4 | [3] | 0 | [3] |
Estimated Fair Value, fixed maturity securities | 549 | [3] | 520 | [3] |
AOCI Gain (Loss) on Securities with OTTI | 0 | [2],[3] | 0 | [3] |
Asset-backed securities | ' | ' | ||
Investments | ' | ' | ||
Percent of Total | 6.00% | [1] | 5.00% | [1] |
Amortized Cost Basis, fixed maturity securities | 605 | 482 | ||
Gross Unrealized Gains, fixed maturity securities | 10 | 59 | ||
Gross Unrealized Losses, fixed maturity securities | -7 | -10 | ||
Estimated Fair Value, fixed maturity securities | 608 | 531 | ||
AOCI Gain (Loss) on Securities with OTTI | 2 | [2] | 43 | |
Foreign government securities | ' | ' | ||
Investments | ' | ' | ||
Percent of Total | 3.00% | [1] | 2.00% | [1] |
Amortized Cost Basis, fixed maturity securities | 300 | 286 | ||
Gross Unrealized Gains, fixed maturity securities | 14 | 18 | ||
Gross Unrealized Losses, fixed maturity securities | -1 | 0 | ||
Estimated Fair Value, fixed maturity securities | 313 | 304 | ||
AOCI Gain (Loss) on Securities with OTTI | 0 | [2] | 0 | |
Short-term investments | ' | ' | ||
Investments | ' | ' | ||
Percent of Total | 9.00% | [1] | 8.00% | [1] |
Amortized Cost, total investment portfolio | 904 | 817 | ||
Gross Unrealized Gains, total investment portfolio | 0 | 0 | ||
Gross Unrealized Losses, total investment portfolio | 0 | 0 | ||
Estimated Fair Value, total investment portfolio | 904 | 817 | ||
AOCI Gain (Loss) on Securities with OTTI | $0 | [2] | $0 | |
[1] | Based on amortized cost. | |||
[2] | Accumulated OCI ("AOCI"). | |||
[3] | Government-agency obligations were approximately 50% of mortgage backed securities as of December 31, 2013 and 61% as of December 31, 2012 based on fair value. |
Investments_and_Cash_Fair_Valu
Investments and Cash - Fair Value of Available-for-Sale Municipal Bond Portfolio by State and Revenue Sources (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 |
In Millions, unless otherwise specified | ||
Municipal Bonds [Member] | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | $4,554 | $5,135 |
Available-for-Sale Municipal Bonds, Amortized Cost | 4,411 | 4,696 |
Municipal Bonds [Member] | Texas | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 653 | 775 |
Available-for-Sale Municipal Bonds, Amortized Cost | 629 | 708 |
Municipal Bonds [Member] | New York | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 589 | 673 |
Available-for-Sale Municipal Bonds, Amortized Cost | 575 | 620 |
Municipal Bonds [Member] | California | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 472 | 459 |
Available-for-Sale Municipal Bonds, Amortized Cost | 452 | 425 |
Municipal Bonds [Member] | Florida | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 334 | 356 |
Available-for-Sale Municipal Bonds, Amortized Cost | 318 | 319 |
Municipal Bonds [Member] | Illinois | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 240 | 287 |
Available-for-Sale Municipal Bonds, Amortized Cost | 234 | 260 |
Municipal Bonds [Member] | Massachusetts | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 207 | 225 |
Available-for-Sale Municipal Bonds, Amortized Cost | 200 | 199 |
Municipal Bonds [Member] | Washington | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 203 | 218 |
Available-for-Sale Municipal Bonds, Amortized Cost | 199 | 200 |
Municipal Bonds [Member] | Arizona | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 173 | 188 |
Available-for-Sale Municipal Bonds, Amortized Cost | 170 | 171 |
Municipal Bonds [Member] | Georgia | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 130 | 142 |
Available-for-Sale Municipal Bonds, Amortized Cost | 125 | 132 |
Municipal Bonds [Member] | Pennsylvania | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 128 | 140 |
Available-for-Sale Municipal Bonds, Amortized Cost | 128 | 129 |
Municipal Bonds [Member] | All others | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 1,425 | 1,672 |
Available-for-Sale Municipal Bonds, Amortized Cost | 1,381 | 1,533 |
State General Obligation | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 510 | 581 |
State General Obligation | Texas | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 77 | 88 |
State General Obligation | New York | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 12 | 22 |
State General Obligation | California | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 32 | 23 |
State General Obligation | Florida | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 33 | 47 |
State General Obligation | Illinois | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 14 | 15 |
State General Obligation | Massachusetts | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 44 | 42 |
State General Obligation | Washington | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 31 | 33 |
State General Obligation | Arizona | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 0 | 0 |
State General Obligation | Georgia | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 0 | 14 |
State General Obligation | Pennsylvania | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 13 | 68 |
State General Obligation | All others | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 254 | 229 |
Local General Obligation | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 888 | 980 |
Local General Obligation | Texas | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 299 | 345 |
Local General Obligation | New York | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 58 | 58 |
Local General Obligation | California | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 86 | 77 |
Local General Obligation | Florida | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 59 | 50 |
Local General Obligation | Illinois | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 70 | 84 |
Local General Obligation | Massachusetts | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 16 | 18 |
Local General Obligation | Washington | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 19 | 40 |
Local General Obligation | Arizona | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 7 | 8 |
Local General Obligation | Georgia | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 28 | 20 |
Local General Obligation | Pennsylvania | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 18 | 32 |
Local General Obligation | All others | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 228 | 248 |
Revenue Bonds | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 3,156 | 3,574 |
Available-for-Sale Municipal Bonds, Amortized Cost | 3,062 | 3,273 |
Revenue Bonds | Tax backed | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 708 | 720 |
Available-for-Sale Municipal Bonds, Amortized Cost | 686 | 656 |
Revenue Bonds | Transportation | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 642 | 717 |
Available-for-Sale Municipal Bonds, Amortized Cost | 615 | 646 |
Revenue Bonds | Municipal utilities | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 500 | 567 |
Available-for-Sale Municipal Bonds, Amortized Cost | 482 | 519 |
Revenue Bonds | Water and sewer | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 459 | 567 |
Available-for-Sale Municipal Bonds, Amortized Cost | 453 | 520 |
Revenue Bonds | Higher education | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 358 | 430 |
Available-for-Sale Municipal Bonds, Amortized Cost | 353 | 389 |
Revenue Bonds | Healthcare | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 289 | 323 |
Available-for-Sale Municipal Bonds, Amortized Cost | 281 | 296 |
Revenue Bonds | All others | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 200 | 250 |
Available-for-Sale Municipal Bonds, Amortized Cost | 192 | 247 |
Revenue Bonds | Texas | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 277 | 342 |
Revenue Bonds | New York | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 519 | 593 |
Revenue Bonds | California | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 354 | 359 |
Revenue Bonds | Florida | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 242 | 259 |
Revenue Bonds | Illinois | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 156 | 188 |
Revenue Bonds | Massachusetts | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 147 | 165 |
Revenue Bonds | Washington | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 153 | 145 |
Revenue Bonds | Arizona | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 166 | 180 |
Revenue Bonds | Georgia | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 102 | 108 |
Revenue Bonds | Pennsylvania | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 97 | 40 |
Revenue Bonds | All others | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | 943 | 1,195 |
Pre-Refunded Bonds | ' | ' |
Investments | ' | ' |
Available-for-Sale Municipal Bonds, Fair Value | $525 | $496 |
Investments_and_Cash_Gross_Unr
Investments and Cash - Gross Unrealized Loss by Length of Time (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 |
In Millions, unless otherwise specified | Security | Security |
Less than 12 months | ' | ' |
Fair value | $2,140 | $303 |
Unrealized loss | -91 | -30 |
12 months or more | ' | ' |
Fair Value | 237 | 156 |
Unrealized loss | -56 | -68 |
Total | ' | ' |
Fair value | 2,377 | 459 |
Unrealized loss | -147 | -98 |
Number of securities | ' | ' |
Less than 12 months (in securities) | 425 | 58 |
12 months or more (in securities) | 33 | 16 |
Total (in securities) | 458 | 74 |
Number of securities with OTTI | ' | ' |
Less than 12 months (in securities) | 13 | 5 |
12 months or more (in securities) | 11 | 6 |
Total (in securities) | 24 | 11 |
Obligations of state and political subdivisions | ' | ' |
Less than 12 months | ' | ' |
Fair value | 781 | 79 |
Unrealized loss | -39 | -11 |
12 months or more | ' | ' |
Fair Value | 5 | 0 |
Unrealized loss | 0 | 0 |
Total | ' | ' |
Fair value | 786 | 79 |
Unrealized loss | -39 | -11 |
U.S. government and agencies | ' | ' |
Less than 12 months | ' | ' |
Fair value | 173 | 62 |
Unrealized loss | -6 | 0 |
12 months or more | ' | ' |
Fair Value | 0 | 0 |
Unrealized loss | 0 | 0 |
Total | ' | ' |
Fair value | 173 | 62 |
Unrealized loss | -6 | 0 |
Corporate securities | ' | ' |
Less than 12 months | ' | ' |
Fair value | 401 | 25 |
Unrealized loss | -18 | 0 |
12 months or more | ' | ' |
Fair Value | 3 | 0 |
Unrealized loss | 0 | 0 |
Total | ' | ' |
Fair value | 404 | 25 |
Unrealized loss | -18 | 0 |
RMBS | ' | ' |
Less than 12 months | ' | ' |
Fair value | 414 | 108 |
Unrealized loss | -21 | -19 |
12 months or more | ' | ' |
Fair Value | 186 | 121 |
Unrealized loss | -51 | -58 |
Total | ' | ' |
Fair value | 600 | 229 |
Unrealized loss | -72 | -77 |
CMBS | ' | ' |
Less than 12 months | ' | ' |
Fair value | 121 | 5 |
Unrealized loss | -4 | 0 |
12 months or more | ' | ' |
Fair Value | 0 | 0 |
Unrealized loss | 0 | 0 |
Total | ' | ' |
Fair value | 121 | 5 |
Unrealized loss | -4 | 0 |
Asset-backed securities | ' | ' |
Less than 12 months | ' | ' |
Fair value | 196 | 16 |
Unrealized loss | -2 | 0 |
12 months or more | ' | ' |
Fair Value | 42 | 35 |
Unrealized loss | -5 | -10 |
Total | ' | ' |
Fair value | 238 | 51 |
Unrealized loss | -7 | -10 |
Foreign government securities | ' | ' |
Less than 12 months | ' | ' |
Fair value | 54 | 8 |
Unrealized loss | -1 | 0 |
12 months or more | ' | ' |
Fair Value | 1 | 0 |
Unrealized loss | 0 | 0 |
Total | ' | ' |
Fair value | 55 | 8 |
Unrealized loss | ($1) | $0 |
Investments_and_Cash_Distribut
Investments and Cash - Distribution of Fixed-Maturity Securities by Contractual Maturity (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 |
In Millions, unless otherwise specified | ||
Amortized Cost | ' | ' |
Due within one year | $272 | ' |
Due after one year through five years | 1,662 | ' |
Due after five years through 10 years | 2,420 | ' |
Due after 10 years | 3,438 | ' |
Estimated Fair Value | ' | ' |
Due within one year | 275 | ' |
Due after one year through five years | 1,734 | ' |
Due after five years through 10 years | 2,505 | ' |
Due after 10 years | 3,526 | ' |
Estimated fair value | 9,711 | 10,056 |
RMBS | ' | ' |
Amortized Cost | ' | ' |
Amortized cost | 1,160 | ' |
Estimated Fair Value | ' | ' |
Estimated fair value | 1,122 | ' |
CMBS | ' | ' |
Amortized Cost | ' | ' |
Amortized cost | 536 | ' |
Estimated Fair Value | ' | ' |
Estimated fair value | 549 | ' |
Fixed maturity securities | ' | ' |
Amortized Cost | ' | ' |
Amortized cost | 9,488 | 9,346 |
Estimated Fair Value | ' | ' |
Estimated fair value | $9,711 | ' |
Investments_and_Cash_Loss_Miti
Investments and Cash - Loss Mitigation Assets Carrying Value (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 |
In Millions, unless otherwise specified | ||
Schedule of Cost-method Investments [Line Items] | ' | ' |
Internally managed portfolio | $931 | $772 |
Securities purchased for loss mitigation purposes [Member] | Obligations of state and political subdivisions | ' | ' |
Schedule of Cost-method Investments [Line Items] | ' | ' |
Internally managed portfolio | 28 | 23 |
Securities purchased for loss mitigation purposes [Member] | RMBS | ' | ' |
Schedule of Cost-method Investments [Line Items] | ' | ' |
Internally managed portfolio | 284 | 213 |
Securities purchased for loss mitigation purposes [Member] | Asset-backed securities | ' | ' |
Schedule of Cost-method Investments [Line Items] | ' | ' |
Internally managed portfolio | 127 | 120 |
Securities purchased for loss mitigation purposes [Member] | Other invested assets | ' | ' |
Schedule of Cost-method Investments [Line Items] | ' | ' |
Internally managed portfolio | 47 | 72 |
Other risk management strategies [Member] | Obligations of state and political subdivisions | ' | ' |
Schedule of Cost-method Investments [Line Items] | ' | ' |
Internally managed portfolio | 8 | 12 |
Other risk management strategies [Member] | RMBS | ' | ' |
Schedule of Cost-method Investments [Line Items] | ' | ' |
Internally managed portfolio | 37 | 6 |
Other risk management strategies [Member] | Asset-backed securities | ' | ' |
Schedule of Cost-method Investments [Line Items] | ' | ' |
Internally managed portfolio | 141 | 186 |
Other risk management strategies [Member] | Other invested assets | ' | ' |
Schedule of Cost-method Investments [Line Items] | ' | ' |
Internally managed portfolio | 35 | 49 |
Other risk management strategies [Member] | Corporate securities | ' | ' |
Schedule of Cost-method Investments [Line Items] | ' | ' |
Internally managed portfolio | 136 | 0 |
Other Investment Strategies [Member] | Trading | ' | ' |
Schedule of Cost-method Investments [Line Items] | ' | ' |
Internally managed portfolio | $88 | $91 |
Investments_and_Cash_Narrative
Investments and Cash - Narrative (Details) (USD $) | 12 Months Ended | |
In Millions, unless otherwise specified | Dec. 31, 2013 | Dec. 31, 2012 |
Person | ||
Security | ||
Investment [Line Items] | ' | ' |
Continuous period of decline in market value of security, considered for assessing impairment of investments | '12 months | ' |
Number of outside managers managing investment portfolio | 4 | ' |
Number of securities with unrealized losses greater than 10% of book value for 12 months or more | 11 | ' |
Threshold for measuring unrealized losses for securities as a percent of book value | 10.00% | ' |
Total unrealized losses for securities having losses greater than 10% of book value for 12 months or more | $52 | ' |
Fixed maturity securities held under trust for the benefit of reinsured companies | 377 | 368 |
Eligible securities deposited for the benefit of policyholders | 19 | 27 |
Fair market value of company's pledged securities | 677 | 660 |
Purchase of securities | 630 | 782 |
Proceeds from sale of securities | 619 | 728 |
Securities held - investment purposes | 76 | 65 |
Minimum | ' | ' |
Investment [Line Items] | ' | ' |
Percentage of decline in market value of security below amortized cost, considered for assessing impairment of investments | 20.00% | ' |
Investment in Portfolio Funding Company LLC I | ' | ' |
Investment [Line Items] | ' | ' |
Percentage of an equity investment acquired in a restructuring of an insured CDS | 50.00% | ' |
internally managed portfolio [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Percentage of internally managed portfolio | 9.00% | ' |
Fixed and Short-term Maturities | ' | ' |
Investment [Line Items] | ' | ' |
Fixed maturity and short-term investments, classified as available-for-sale, percentage of portfolio | 98.00% | ' |
Accrued investment income | $93 | $97 |
Insurance_Company_Regulatory_R2
Insurance Company Regulatory Requirements (Details) (USD $) | 3 Months Ended | 12 Months Ended | 3 Months Ended | 12 Months Ended | 12 Months Ended | 12 Months Ended | 3 Months Ended | 12 Months Ended | 3 Months Ended | 12 Months Ended | 3 Months Ended | ||||||||||||||||||||||||||||||||||
Sep. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Sep. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Jul. 16, 2013 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Jul. 16, 2013 | Jul. 16, 2013 | Jul. 16, 2013 | Sep. 30, 2013 | Dec. 31, 2013 | Sep. 30, 2013 | Dec. 31, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | ||||
AGC | AGC | AGC | AGC | AGC | AGC | AGM | AGM | AGM | AGM | AGM | AGM | AGM | AGM | Assured Guaranty Municipal Insurance Company [Member] | Assured Guaranty Municipal Insurance Company [Member] | Assured Guaranty Municipal Insurance Company [Member] | AGM Consolidated [Member] | AGM Consolidated [Member] | AGM Consolidated [Member] | AG Re | AG Re | AG Re | AG Re | AG Re | AG Re | AG Re | AG Re | MAC | MAC | MAC | MAC | AGBM | MAC Holdings | AGC | AGC | AGC | AGC | AGM and AGE | AGM and AGC | ||||||
Maryland | Maryland | Maryland | New York | New York | New York | Bermuda | Bermuda | Bermuda | Minimum | Maximum | Maryland | Maryland | New York | ||||||||||||||||||||||||||||||||
Bermuda | Bermuda | ||||||||||||||||||||||||||||||||||||||||||||
Insurance company regulatory requirements | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Payments of Dividends | ' | ' | ' | ' | ' | $67,000,000 | $55,000,000 | $30,000,000 | ' | ' | ' | ' | ' | $163,000,000 | $30,000,000 | $0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | $144,000,000 | $151,000,000 | $86,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Rate at which present value of expected losses are discounted (as a percent) | ' | 5.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Policyholders' Surplus | ' | ' | 693,000,000 | 905,000,000 | ' | ' | ' | ' | ' | 1,733,000,000 | 1,780,000,000 | ' | ' | ' | ' | ' | 0 | 791,000,000 | ' | 1,746,000,000 | [1] | 1,785,000,000 | [1] | ' | 1,122,000,000 | 1,283,000,000 | ' | 600,000,000 | ' | ' | ' | ' | 514,000,000 | 77,000,000 | ' | 800,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | |
Net Income (Loss) | ' | ' | 211,000,000 | 31,000,000 | 230,000,000 | ' | ' | ' | ' | 340,000,000 | 203,000,000 | 399,000,000 | ' | ' | ' | ' | 0 | 58,000,000 | 197,000,000 | 405,000,000 | [1] | 256,000,000 | [1] | 632,000,000 | [1] | 107,000,000 | 117,000,000 | 133,000,000 | ' | ' | ' | ' | ' | 26,000,000 | 1,000,000 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Intercompany loan | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 100,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 82,500,000 | 300,000,000 | ' | ' | ' | ' | ' | ' | |||
Holding company's percent ownership of common stock | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 100.00% | ' | ' | ' | ' | ' | ' | |||
Subsidiary percent ownership of common stock | ' | ' | 39.00% | ' | ' | ' | ' | ' | ' | 61.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 39.00% | ' | ' | ' | ' | |||
Payments for interest in subsidiary | ' | ' | ' | ' | ' | ' | ' | ' | 425,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 275,000,000 | ' | ' | ' | ' | ' | |||
Statutory surplus, balance | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 400,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | |||
Intercompany, ceded premiums | ' | ' | ' | ' | ' | ' | ' | ' | 87,000,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 24,000,000,000 | ' | ' | ' | ' | ' | |||
Intercompany, ceded unearned premiums | ' | ' | ' | ' | ' | ' | ' | ' | 468,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 249,000,000 | ' | ' | ' | ' | ' | |||
Contingency reserves reassumed, remainder of fiscal year, percent | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 33.00% | ' | 33.00% | 33.00% | |||
Contingency reserves reassumed, release of assets | 130,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Contingency reserves reassumed, remainder of fiscal year, amount | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 267,000,000 | ' | 250,000,000 | ' | |||
Contingency reserves reassumed, year two, percentage | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 50.00% | ' | 50.00% | ' | |||
Contingency reserves reassumed, year three, percentage | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 17.00% | ' | 17.00% | ' | |||
Threshold for dividend payments as a percentage of policyholder surplus | ' | ' | ' | ' | ' | 10.00% | ' | ' | ' | ' | ' | ' | ' | 10.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 10.00% | ' | ' | |||
Threshold for dividend payments, percentage of adjusted net investment income | ' | ' | ' | ' | ' | 100.00% | ' | ' | ' | ' | ' | ' | ' | 100.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 100.00% | ' | ' | |||
Amount available for distribution, current year | ' | ' | ' | ' | ' | 2,000,000 | ' | ' | ' | ' | ' | ' | ' | 10,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 281,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Amount available for distribution, 2014 | ' | ' | ' | ' | ' | 69,000,000 | ' | ' | ' | ' | ' | ' | ' | 173,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Period in which no dividends would be paid | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '2 years | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Unencumbered assets | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 238,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Dividend restrictions on outstanding statutory surplus | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 278,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Dividend restrictions on statutory capital and surplus (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 25.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Period for filing affidavit prior to dividend payment (in days) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '7 days | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Dividend restrictions on statutory capital (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 15.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Dividend restrictions on statutory capital | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 126,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Relevant assets as a percentage of relevant liabilities | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 75.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Repayment of surplus note | ' | ' | ' | ' | ' | ' | ' | ' | ' | 50,000,000 | 50,000,000 | 50,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Issuance of surplus notes | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ($400,000,000) | $0 | $0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
[1] | Represents the consolidated amounts of AGM and all of its U.S. and foreign subsidiaries. |
Income_Taxes_Effective_Tax_Rat
Income Taxes - Effective Tax Rate Reconciliation and Pretax Income (Loss) and Revenue by Tax Jurisdiction (Details) (USD $) | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||||||||||
In Millions, unless otherwise specified | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Jun. 30, 2012 | Mar. 31, 2012 | Mar. 31, 2011 | Dec. 31, 2013 | Dec. 31, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 |
Operating Loss Carryforwards [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
U.K. marginal corporate tax rate (as a percent) | ' | ' | ' | ' | ' | ' | ' | 26.00% | 28.00% | 23.00% | 23.25% | 24.00% | 24.50% | 26.50% |
Expected tax provision (benefit) at statutory rates in taxable jurisdictions | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $390 | ' | $76 | $313 |
Tax-exempt interest | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -57 | ' | -61 | -62 |
Change in liability for uncertain tax positions | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -2 | ' | 2 | 2 |
Other | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 3 | ' | 5 | 3 |
Total provision (benefit) for income taxes | 140 | 152 | 110 | -68 | 21 | 37 | 177 | -213 | ' | ' | 334 | ' | 22 | 256 |
Effective tax rate (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 29.20% | ' | 16.50% | 24.90% |
Income (loss) before provision for income taxes | 489 | 536 | 329 | -212 | 95 | 179 | 554 | -696 | ' | ' | 1,142 | ' | 132 | 1,029 |
Revenue | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,608 | ' | 954 | 1,805 |
United States | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Operating Loss Carryforwards [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Income (loss) before provision for income taxes | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,118 | ' | 218 | 896 |
Revenue | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,389 | ' | 875 | 1,504 |
Bermuda | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Operating Loss Carryforwards [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Income (loss) before provision for income taxes | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 27 | ' | -86 | 133 |
Revenue | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 219 | ' | 79 | 301 |
United Kingdom | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Operating Loss Carryforwards [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Income (loss) before provision for income taxes | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -3 | ' | 0 | 0 |
Revenue | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $0 | ' | $0 | $0 |
Income_Taxes_Components_of_Net
Income Taxes - Components of Net Deferred Tax Assets (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 |
In Millions, unless otherwise specified | ||
Deferred tax assets: | ' | ' |
Unrealized losses on credit derivative financial instruments, net | $402 | $425 |
Unearned premium reserves, net | 63 | 109 |
Loss and LAE reserve | 134 | 90 |
Tax and loss bonds | 33 | 15 |
Net operating loss (NOL) carry forward | 5 | 7 |
Alternative minimum tax credit | 90 | 58 |
Tax basis step-up | 5 | 5 |
Foreign tax credit | 37 | 30 |
FG VIEs | 29 | 179 |
DAC | 40 | 59 |
Investment basis difference | 73 | 82 |
Other | 64 | 48 |
Total deferred income tax assets | 975 | 1,107 |
Deferred tax liabilities: | ' | ' |
Contingency reserves | 47 | 15 |
Public debt | 98 | 100 |
Unrealized appreciation on investments | 68 | 198 |
Unrealized gains on CCS | 16 | 12 |
Market discount | 24 | 42 |
Other | 34 | 19 |
Total deferred income tax liabilities | 287 | 386 |
Net deferred income tax asset | $688 | $721 |
Income_Taxes_Uncertain_Tax_Pos
Income Taxes - Uncertain Tax Positions (Details) (USD $) | 12 Months Ended | ||
In Millions, unless otherwise specified | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 |
Reconciliation of Unrecognized Tax Benefits, Excluding Amounts Pertaining to Examined Tax Returns [Roll Forward] | ' | ' | ' |
Balance as of January 1, | $22 | $20 | $18 |
True-up from tax return filings | 4 | 0 | 0 |
Increase in unrecognized tax benefits as a result of position taken during the current period | 3 | 2 | 2 |
Decrease due to closing of IRS audit | -9 | 0 | 0 |
Balance as of December 31, | $20 | $22 | $20 |
Income_Taxes_Narrative_Details
Income Taxes - Narrative (Details) (USD $) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||||
In Millions, unless otherwise specified | Mar. 31, 2012 | Mar. 31, 2011 | Dec. 31, 2013 | Dec. 31, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 |
Operating Loss Carryforwards [Line Items] | ' | ' | ' | ' | ' | ' | ' |
Effective income tax rate reconciliation US income tax rate (as a percent) | ' | ' | ' | 35.00% | ' | ' | ' |
U.K. marginal corporate tax rate (as a percent) | 26.00% | 28.00% | 23.00% | 23.25% | 24.00% | 24.50% | 26.50% |
Foreign tax credit | ' | ' | $37 | $37 | ' | $30 | ' |
Alternative minimum tax credit | ' | ' | 90 | 90 | ' | 58 | ' |
Tax credit carryforward foreign acquired in business combination transaction | ' | ' | 22 | 22 | ' | ' | ' |
Realization assessment period for which cumulative operating income considered | ' | ' | ' | '3 years | ' | ' | ' |
Interest and penalties related to uncertain tax positions | ' | ' | ' | 1 | ' | 1 | 1 |
Accrued interest and penalties, uncertain tax positions | ' | ' | 3 | 3 | ' | 3 | ' |
Unrecognized tax benefits that would impact effective tax rate | ' | ' | 20 | 20 | ' | ' | ' |
Liability under tax allocation agreement | ' | ' | 5 | 5 | ' | 6 | ' |
Reduction in liability for tax basis step-up adjustment | ' | ' | ' | 1 | ' | ' | ' |
AGRO | ' | ' | ' | ' | ' | ' | ' |
Operating Loss Carryforwards [Line Items] | ' | ' | ' | ' | ' | ' | ' |
Operating loss carryforwards | ' | ' | $13 | $13 | ' | $20 | ' |
United Kingdom | ' | ' | ' | ' | ' | ' | ' |
Operating Loss Carryforwards [Line Items] | ' | ' | ' | ' | ' | ' | ' |
Corporate tax rate | ' | ' | ' | 23.00% | ' | ' | ' |
Value added tax rate | ' | ' | ' | 20.00% | ' | ' | ' |
April 1, 2014 to April 1, 2015 | United Kingdom | ' | ' | ' | ' | ' | ' | ' |
Operating Loss Carryforwards [Line Items] | ' | ' | ' | ' | ' | ' | ' |
Corporate tax rate | ' | ' | ' | 21.00% | ' | ' | ' |
Subsequent to April 1, 2015 | United Kingdom | ' | ' | ' | ' | ' | ' | ' |
Operating Loss Carryforwards [Line Items] | ' | ' | ' | ' | ' | ' | ' |
Corporate tax rate | ' | ' | ' | 20.00% | ' | ' | ' |
Reinsurance_and_Other_Monoline2
Reinsurance and Other Monoline Exposures - Net Effect of Commutations of Ceded and Cancellations of Assumed Reinsurance Contracts (Details) (USD $) | 12 Months Ended | ||
In Millions, unless otherwise specified | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 |
Reinsurance and Other Monoline Exposures [abstract] | ' | ' | ' |
Increase (decrease) in net unearned premium reserve | $11 | $109 | ($20) |
Increase (decrease) in net par outstanding | $151 | $19,173 | ($780) |
Reinsurance_and_Other_Monoline3
Reinsurance and Other Monoline Exposures - Effect of Reinsurance on Statement of Operations (Details) (USD $) | 3 Months Ended | 12 Months Ended | ||||||||||||
In Millions, unless otherwise specified | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Jun. 30, 2012 | Mar. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | |||
Premiums Written: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Direct | ' | ' | ' | ' | ' | ' | ' | ' | $106 | $244 | $190 | |||
Assumed | ' | ' | ' | ' | ' | ' | ' | ' | 17 | [1] | 9 | [1] | -63 | [1] |
Ceded | ' | ' | ' | ' | ' | ' | ' | ' | 2 | [2] | 51 | [2] | 4 | [2] |
Net | ' | ' | ' | ' | ' | ' | ' | ' | 125 | 304 | 131 | |||
Premiums Earned: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Direct | ' | ' | ' | ' | ' | ' | ' | ' | 819 | 936 | 997 | |||
Assumed | ' | ' | ' | ' | ' | ' | ' | ' | 40 | 50 | 46 | |||
Ceded | ' | ' | ' | ' | ' | ' | ' | ' | -107 | -133 | -123 | |||
Net earned premiums | 182 | 159 | 163 | 248 | 218 | 222 | 219 | 194 | 752 | [3] | 853 | [3] | 920 | [3] |
Loss and LAE: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Direct | ' | ' | ' | ' | ' | ' | ' | ' | 110 | 636 | 564 | |||
Assumed | ' | ' | ' | ' | ' | ' | ' | ' | 73 | -4 | 4 | |||
Ceded | ' | ' | ' | ' | ' | ' | ' | ' | -29 | -128 | -120 | |||
Loss and LAE | $85 | $55 | $62 | ($48) | $58 | $86 | $118 | $242 | $154 | $504 | $448 | |||
[1] | Negative assumed premiums written were due to cancellations and changes in expected Debt Service schedules. | |||||||||||||
[2] | Positive ceded premiums written were due to commutations and changes in expected Debt Service schedules. | |||||||||||||
[3] | Excludes $60 million, $153 million and $75 million for the year ended December 31, 2013, 2012 and 2011, respectively, related to consolidated FG VIEs. |
Reinsurance_and_Other_Monoline4
Reinsurance and Other Monoline Exposures - Exposure by Reinsurer and Credit Rating (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | |
In Millions, unless otherwise specified | |||
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | $28,788 | [1] | $32,135 |
Second-to- Pay Insured Par Outstanding | 22,830 | ' | |
Assumed Par Outstanding | 32,937 | ' | |
Ceded par outstanding related to insured credit derivatives | 3,172 | ' | |
Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 23,711 | 25,715 | |
Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 5,077 | 6,420 | |
AAA | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 2,475 | ' | |
AAA | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 255 | ' | |
AAA | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 597 | ' | |
AA | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 5,764 | ' | |
AA | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 3,828 | ' | |
AA | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 1,688 | ' | |
A | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 10,294 | ' | |
A | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 10,947 | ' | |
A | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 168 | ' | |
BBB | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 7,014 | ' | |
BBB | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 3,553 | ' | |
BBB | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 408 | ' | |
BIG | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 3,241 | ' | |
BIG | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 794 | ' | |
BIG | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 592 | ' | |
American Overseas Reinsurance Company Limited (f/k/a Ram Re) | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 8,331 | [1] | ' |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Assumed Par Outstanding | 30 | ' | |
American Overseas Reinsurance Company Limited (f/k/a Ram Re) | AAA | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 967 | ' | |
American Overseas Reinsurance Company Limited (f/k/a Ram Re) | AA | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 2,871 | ' | |
American Overseas Reinsurance Company Limited (f/k/a Ram Re) | A | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 2,605 | ' | |
American Overseas Reinsurance Company Limited (f/k/a Ram Re) | BBB | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 1,327 | ' | |
American Overseas Reinsurance Company Limited (f/k/a Ram Re) | BIG | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 561 | ' | |
Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokioâ€) | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 7,279 | [1] | ' |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Assumed Par Outstanding | 0 | ' | |
Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokioâ€) | AAA | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 1,127 | ' | |
Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokioâ€) | AA | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 1,122 | ' | |
Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokioâ€) | A | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 2,291 | ' | |
Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokioâ€) | BBB | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 1,793 | ' | |
Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokioâ€) | BIG | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 946 | ' | |
Radian | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 4,709 | [1] | ' |
Second-to- Pay Insured Par Outstanding | 38 | ' | |
Assumed Par Outstanding | 1,082 | ' | |
Radian | AAA | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 235 | ' | |
Radian | AAA | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Radian | AAA | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Radian | AA | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 296 | ' | |
Radian | AA | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Radian | AA | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Radian | A | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 2,365 | ' | |
Radian | A | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 13 | ' | |
Radian | A | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Radian | BBB | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 1,241 | ' | |
Radian | BBB | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 17 | ' | |
Radian | BBB | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Radian | BIG | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 572 | ' | |
Radian | BIG | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 8 | ' | |
Radian | BIG | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Syncora Guarantee Inc. | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 4,201 | [1] | ' |
Second-to- Pay Insured Par Outstanding | 1,771 | ' | |
Assumed Par Outstanding | 162 | ' | |
Syncora Guarantee Inc. | AAA | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 0 | ' | |
Syncora Guarantee Inc. | AAA | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Syncora Guarantee Inc. | AAA | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 77 | ' | |
Syncora Guarantee Inc. | AA | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 223 | ' | |
Syncora Guarantee Inc. | AA | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 25 | ' | |
Syncora Guarantee Inc. | AA | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 56 | ' | |
Syncora Guarantee Inc. | A | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 764 | ' | |
Syncora Guarantee Inc. | A | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 369 | ' | |
Syncora Guarantee Inc. | A | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Syncora Guarantee Inc. | BBB | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 2,334 | ' | |
Syncora Guarantee Inc. | BBB | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 771 | ' | |
Syncora Guarantee Inc. | BBB | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Syncora Guarantee Inc. | BIG | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 880 | ' | |
Syncora Guarantee Inc. | BIG | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 301 | ' | |
Syncora Guarantee Inc. | BIG | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 172 | ' | |
Mitsui Sumitomo Insurance Co. Ltd. | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 2,144 | [1] | ' |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Assumed Par Outstanding | 0 | ' | |
Mitsui Sumitomo Insurance Co. Ltd. | AAA | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 146 | ' | |
Mitsui Sumitomo Insurance Co. Ltd. | AA | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 692 | ' | |
Mitsui Sumitomo Insurance Co. Ltd. | A | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 868 | ' | |
Mitsui Sumitomo Insurance Co. Ltd. | BBB | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 232 | ' | |
Mitsui Sumitomo Insurance Co. Ltd. | BIG | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 206 | ' | |
Aca Financial Guaranty Corp [Member] | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 809 | [1] | ' |
Second-to- Pay Insured Par Outstanding | 5 | ' | |
Assumed Par Outstanding | 9 | ' | |
Aca Financial Guaranty Corp [Member] | AAA | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 0 | ' | |
Aca Financial Guaranty Corp [Member] | AAA | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Aca Financial Guaranty Corp [Member] | AAA | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Aca Financial Guaranty Corp [Member] | AA | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 465 | ' | |
Aca Financial Guaranty Corp [Member] | AA | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 3 | ' | |
Aca Financial Guaranty Corp [Member] | AA | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Aca Financial Guaranty Corp [Member] | A | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 324 | ' | |
Aca Financial Guaranty Corp [Member] | A | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Aca Financial Guaranty Corp [Member] | A | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Aca Financial Guaranty Corp [Member] | BBB | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 20 | ' | |
Aca Financial Guaranty Corp [Member] | BBB | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 2 | ' | |
Aca Financial Guaranty Corp [Member] | BBB | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Aca Financial Guaranty Corp [Member] | BIG | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 0 | ' | |
Aca Financial Guaranty Corp [Member] | BIG | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Aca Financial Guaranty Corp [Member] | BIG | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Swiss Reinsurance Co. | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 346 | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Assumed Par Outstanding | 0 | ' | |
Swiss Reinsurance Co. | AAA | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 0 | ' | |
Swiss Reinsurance Co. | AA | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 2 | ' | |
Swiss Reinsurance Co. | A | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 241 | ' | |
Swiss Reinsurance Co. | BBB | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 27 | ' | |
Swiss Reinsurance Co. | BIG | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 76 | ' | |
Ambac (4) | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 85 | [2] | ' |
Second-to- Pay Insured Par Outstanding | 6,118 | [2] | ' |
Assumed Par Outstanding | 17,859 | [2] | ' |
Ambac (4) | AAA | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 0 | ' | |
Ambac (4) | AAA | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 30 | ' | |
Ambac (4) | AAA | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 2 | ' | |
Ambac (4) | AA | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 0 | ' | |
Ambac (4) | AA | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 1,366 | ' | |
Ambac (4) | AA | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 43 | ' | |
Ambac (4) | A | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 85 | ' | |
Ambac (4) | A | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 3,157 | ' | |
Ambac (4) | A | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 71 | ' | |
Ambac (4) | BBB | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 0 | ' | |
Ambac (4) | BBB | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 1,020 | ' | |
Ambac (4) | BBB | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 209 | ' | |
Ambac (4) | BIG | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 0 | ' | |
Ambac (4) | BIG | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 81 | ' | |
Ambac (4) | BIG | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 139 | ' | |
CIFG Assurance North America Inc. (CIFG) | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 2 | ' | |
Second-to- Pay Insured Par Outstanding | 178 | ' | |
Assumed Par Outstanding | 5,048 | ' | |
CIFG Assurance North America Inc. (CIFG) | AAA | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 0 | ' | |
CIFG Assurance North America Inc. (CIFG) | AAA | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
CIFG Assurance North America Inc. (CIFG) | AAA | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
CIFG Assurance North America Inc. (CIFG) | AA | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 0 | ' | |
CIFG Assurance North America Inc. (CIFG) | AA | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 11 | ' | |
CIFG Assurance North America Inc. (CIFG) | AA | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
CIFG Assurance North America Inc. (CIFG) | A | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 0 | ' | |
CIFG Assurance North America Inc. (CIFG) | A | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 69 | ' | |
CIFG Assurance North America Inc. (CIFG) | A | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
CIFG Assurance North America Inc. (CIFG) | BBB | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 2 | ' | |
CIFG Assurance North America Inc. (CIFG) | BBB | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 22 | ' | |
CIFG Assurance North America Inc. (CIFG) | BBB | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
CIFG Assurance North America Inc. (CIFG) | BIG | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 0 | ' | |
CIFG Assurance North America Inc. (CIFG) | BIG | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 76 | ' | |
CIFG Assurance North America Inc. (CIFG) | BIG | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
MBIA Inc. | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 0 | ' | |
Second-to- Pay Insured Par Outstanding | 10,292 | ' | |
Assumed Par Outstanding | 7,386 | ' | |
MBIA Inc. | AAA | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 225 | ' | |
MBIA Inc. | AAA | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
MBIA Inc. | AA | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 2,346 | ' | |
MBIA Inc. | AA | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 1,589 | ' | |
MBIA Inc. | A | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 4,250 | ' | |
MBIA Inc. | A | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 24 | ' | |
MBIA Inc. | BBB | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 1,425 | ' | |
MBIA Inc. | BBB | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 199 | ' | |
MBIA Inc. | BIG | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
MBIA Inc. | BIG | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 234 | ' | |
Financial Guaranty Insurance Co. | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 0 | ' | |
Second-to- Pay Insured Par Outstanding | 2,329 | ' | |
Assumed Par Outstanding | 1,315 | ' | |
Financial Guaranty Insurance Co. | AAA | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Financial Guaranty Insurance Co. | AAA | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 518 | ' | |
Financial Guaranty Insurance Co. | AA | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 77 | ' | |
Financial Guaranty Insurance Co. | AA | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Financial Guaranty Insurance Co. | A | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 990 | ' | |
Financial Guaranty Insurance Co. | A | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 73 | ' | |
Financial Guaranty Insurance Co. | BBB | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 296 | ' | |
Financial Guaranty Insurance Co. | BBB | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Financial Guaranty Insurance Co. | BIG | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 328 | ' | |
Financial Guaranty Insurance Co. | BIG | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 47 | ' | |
Other | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 882 | ' | |
Second-to- Pay Insured Par Outstanding | 2,099 | ' | |
Assumed Par Outstanding | 46 | ' | |
Other | AAA | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 0 | ' | |
Other | AAA | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Other | AAA | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Other | AA | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 93 | ' | |
Other | AA | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Other | AA | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Other | A | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 751 | ' | |
Other | A | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 2,099 | ' | |
Other | A | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Other | BBB | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 38 | ' | |
Other | BBB | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Other | BBB | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Other | BIG | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Ceded Par Outstanding | 0 | ' | |
Other | BIG | Public Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | 0 | ' | |
Other | BIG | Structured Finance | ' | ' | |
Ceded Credit Risk [Line Items] | ' | ' | |
Second-to- Pay Insured Par Outstanding | $0 | ' | |
[1] | Includes $3,172 million in ceded par outstanding related to insured credit derivatives. | ||
[2] | MBIA Inc. includes various subsidiaries which are rated A and B by S&P and Baa1, B1 and B3 by Moody’s. Ambac includes policies in their general and segregated account. |
Reinsurance_and_Other_Monoline5
Reinsurance and Other Monoline Exposures - Reinsurance and Other Monoline Exposures (Details) (USD $) | Dec. 31, 2013 |
In Millions, unless otherwise specified | |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' |
Assumed Premium, net of Commissions | $87 |
Ceded Premium, net of Commissions | -128 |
Assumed Expected Loss and LAE | -199 |
Ceded Expected Loss and LAE | 51 |
American Overseas Reinsurance Company Limited (f/k/a Ram Re) | ' |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | -9 |
Assumed Expected Loss and LAE | 0 |
Ceded Expected Loss and LAE | 9 |
Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokioâ€) | ' |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | -19 |
Assumed Expected Loss and LAE | 0 |
Ceded Expected Loss and LAE | 20 |
Radian | ' |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | -17 |
Assumed Expected Loss and LAE | 0 |
Ceded Expected Loss and LAE | 16 |
Syncora Guarantee Inc. | ' |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | -40 |
Assumed Expected Loss and LAE | 0 |
Ceded Expected Loss and LAE | 1 |
Mitsui Sumitomo Insurance Co. Ltd. | ' |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss and LAE | 0 |
Ceded Expected Loss and LAE | 2 |
Swiss Reinsurance Co. | ' |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss and LAE | 0 |
Ceded Expected Loss and LAE | 1 |
Ambac (4) | ' |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' |
Assumed Premium, net of Commissions | 67 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss and LAE | -79 |
Ceded Expected Loss and LAE | 0 |
CIFG Assurance North America Inc. (CIFG) | ' |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss and LAE | -6 |
Ceded Expected Loss and LAE | 2 |
MBIA Inc. | ' |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' |
Assumed Premium, net of Commissions | 13 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss and LAE | -11 |
Ceded Expected Loss and LAE | 0 |
Financial Guaranty Insurance Co. | ' |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' |
Assumed Premium, net of Commissions | 7 |
Ceded Premium, net of Commissions | 0 |
Assumed Expected Loss and LAE | -103 |
Ceded Expected Loss and LAE | 0 |
Other | ' |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' |
Assumed Premium, net of Commissions | 0 |
Ceded Premium, net of Commissions | -43 |
Assumed Expected Loss and LAE | 0 |
Ceded Expected Loss and LAE | $0 |
Reinsurance_and_Other_Monoline6
Reinsurance and Other Monoline Exposures - Narrative (Details) (USD $) | 12 Months Ended | 1 Months Ended | 1 Months Ended | ||||||||||||
Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Jan. 31, 2012 | Jan. 24, 2012 | Jan. 31, 2012 | Jan. 31, 2012 | Feb. 29, 2012 | Dec. 31, 2013 | Dec. 31, 2013 | Jan. 22, 2012 | Jan. 01, 2014 | |
National Public Finance Guarantee Corporation | Ambac (4) | Other | Radian | Radian | Radian | Radian | Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokioâ€) | AG Re | AGC | AGM and AGC | Subsequent Event [Member] | ||||
Public Finance | Other structured finance | Public Finance | AGM, AGC and MAC [Member] | ||||||||||||
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Amounts could be required to pay if third party exercised right to recapture business | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $293,000,000 | $61,000,000 | ' | ' |
Fair market value of company's pledged securities | 677,000,000 | 660,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Commutation gains (losses) | 2,000,000 | 82,000,000 | 32,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fixed maturity securities wrapped by monoline reinsurer | ' | ' | ' | 461,000,000 | 455,000,000 | 27,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Collateral posted by non-affiliated reinsurers | 658,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Minimum net losses required for attachment of excess of loss reinsurance facility | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,500,000,000 |
Amount of losses covered under the facility | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 500,000,000 |
Amount of losses which the reinsurers will assume on pro rata basis | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 435,000,000 | 450,000,000 |
Remaining amount of losses covered under the facility | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 50,000,000 |
Premiums paid during the period | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 19,000,000 |
Remaining insurance premium payable | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 19,000,000 |
Amount agreed to be reassumed | ' | ' | ' | ' | ' | ' | 12,900,000,000 | ' | ' | ' | 6,200,000,000 | ' | ' | ' | ' |
Approximate amount of insurance risk agreed to be assumed | ' | ' | ' | ' | ' | ' | 1,800,000,000 | ' | ' | ' | ' | ' | ' | ' | ' |
Payment receivable for re-assumption of ceded risk | ' | ' | ' | ' | ' | ' | ' | 86,000,000 | ' | ' | ' | ' | ' | ' | ' |
Percentage of obligations insured | ' | ' | ' | ' | ' | ' | ' | ' | 96.00% | 4.00% | ' | ' | ' | ' | ' |
Payment receivable in connection with reinsurance | ' | ' | ' | ' | ' | ' | ' | $22,000,000 | ' | ' | ' | ' | ' | ' | ' |
Related_Party_Transactions_Det
Related Party Transactions (Details) (USD $) | 12 Months Ended | ||
In Millions, unless otherwise specified | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 |
Related Party Transaction [Line Items] | ' | ' | ' |
Expenses from transactions with related party | ($2.50) | ($3.40) | ($2.60) |
Maximum | ' | ' | ' |
Related Party Transaction [Line Items] | ' | ' | ' |
Expenses from transactions with related party | ($1.90) | ($2) | ($1.90) |
WLR Funds | ' | ' | ' |
Related Party Transaction [Line Items] | ' | ' | ' |
Percentage of ownership by related party | 8.20% | 10.20% | 10.90% |
Wellington Management Company LLP | ' | ' | ' |
Related Party Transaction [Line Items] | ' | ' | ' |
Percentage of ownership by related party | 6.60% | 8.60% | 9.60% |
Commitments_and_Contingencies_1
Commitments and Contingencies - Future Minimum Rental Payments (Details) (USD $) | Dec. 31, 2013 |
In Millions, unless otherwise specified | |
Commitments and Contingencies Disclosure [Abstract] | ' |
2014 | $8 |
2015 | 8 |
2016 | 8 |
2017 | 7 |
2018 | 8 |
Thereafter | 59 |
Total | $98 |
Commitments_and_Contingencies_2
Commitments and Contingencies - Narrative (Details) (USD $) | 12 Months Ended | 1 Months Ended | 12 Months Ended | 1 Months Ended | 12 Months Ended | 0 Months Ended | ||||||||||
Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Dec. 31, 2008 | Jul. 31, 2010 | Sep. 30, 2009 | Dec. 31, 2008 | Dec. 31, 2008 | 31-May-10 | Apr. 30, 2010 | Dec. 31, 2009 | Nov. 28, 2011 | Nov. 19, 2012 | Nov. 19, 2012 | Sep. 25, 2013 | Sep. 25, 2013 | |
Lawsuit | Proceedings Related to Former Financial Products Business | AGMH | AGMH | AGMH | AGM and AGMH | AGM and AGUS | AGM and AGUS | AGM and AGUS | LBIE vs. AG Financial Products | LBHI and LBSF vs CPT 283, FSA and AGM | LBHI and LBSF vs CPT 207, FSA and AGM | Minimum | Maximum | |||
Lawsuit | Person | Proceedings Related to Former Financial Products Business | Proceedings Related to Former Financial Products Business | Proceedings Related to Former Financial Products Business | Proceedings Related to Former Financial Products Business | Proceedings Related to Former Financial Products Business | Proceedings Related to Former Financial Products Business | AG Financial Products Inc. | AGM | AGM | Pending Litigation | Pending Litigation | ||||
Plaintiff | Lawsuit | Lawsuit | Lawsuit | Lawsuit | Lawsuit | Guarantee Obligations | Wells Fargo Bank, N.A., Interpleader Complaint | Wells Fargo Bank, N.A., Interpleader Complaint | ||||||||
Transaction | AGM | AGM | ||||||||||||||
Commitments and Contingencies Legal Proceedings | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Rent expense | $9,900,000 | $10,000,000 | $10,700,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Minimum number of proceedings for recoveries to have potential material impact | 1 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Number of credit derivative transactions for which termination payment is alleged to be improperly calculated | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 9 | ' | ' | ' | ' |
Number of credit derivative transactions alleged to be improperly terminated | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 28 | ' | ' | ' | ' |
Termination payments which LBIE owes to AG Financial Products as per calculation of AG Financial Products | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 25,000,000 | ' | ' | ' | ' |
Termination payments which AG Financial Products owes to LBIE as per calculation of LBIE | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,400,000,000 | ' | ' | ' | ' |
Termination payments which LBSF owes to CPT 283 and AG Financial Products as per calculation of AG Financial Products | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 43,800,000 | ' | ' | ' |
Termination payments which AG Financial Products and CPT 283 owes to LBHI and LBSF as per calculation of LBHI and LBSF | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 67,300,000 | ' | ' | ' |
Termination payments which LBSF owes to CPT 207 and AG Financial Products as per calculation of AG Financial Products | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 492,555 | ' | ' |
Termination payments which AG Financial Products and CPT 207 owes to LBHI and LBSF as per calculation of LBHI and LBSF | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,500,000 | ' | ' |
Increase in losses as a result of an adverse outcome | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $10,000,000 | $20,000,000 |
Number of persons indicted who worked at Financial Guaranty Insurance Company | ' | ' | ' | ' | 2 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Number of persons convicted of conspiracy and fraud who worked at Financial Guaranty Insurance Company | ' | ' | ' | ' | 2 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Number of putative class action lawsuits filed in federal court | ' | ' | ' | 9 | ' | ' | 4 | 5 | ' | ' | ' | ' | ' | ' | ' | ' |
Number of plaintiffs filing consolidated complaints | ' | ' | ' | ' | ' | 4 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Number of non-class action lawsuits filed | ' | ' | ' | ' | ' | ' | ' | 5 | 5 | ' | 6 | ' | ' | ' | ' | ' |
Number of non-class action lawsuits for which dismissal was denied | ' | ' | ' | ' | ' | ' | ' | ' | ' | 11 | ' | ' | ' | ' | ' | ' |
LongTerm_Debt_and_Credit_Facil2
Long-Term Debt and Credit Facilities - Principal and Carrying Amounts of Debt (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | 18-May-04 |
In Millions, unless otherwise specified | |||
Debt Instrument [Line Items] | ' | ' | ' |
Principal | $1,114 | $1,141 | ' |
Carrying Value | 816 | 836 | ' |
AGUS | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' |
Principal | 350 | 350 | ' |
Carrying Value | 348 | 347 | ' |
AGUS | 7.0% Senior Notes | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' |
Principal | 200 | 200 | ' |
Carrying Value | 198 | 197 | ' |
Interest rate of debt (as a percent) | 7.00% | 7.00% | 7.00% |
AGUS | 8.50% Senior Notes | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' |
Principal | 0 | 0 | ' |
Carrying Value | 0 | 0 | ' |
Interest rate of debt (as a percent) | 8.50% | 8.50% | ' |
AGUS | Enhanced Junior Subordinated Debentures | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' |
Principal | 150 | 150 | ' |
Carrying Value | 150 | 150 | ' |
AGMH | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' |
Principal | 730 | 730 | ' |
Carrying Value | 430 | 423 | ' |
AGMH | 6 7/8% QUIBS | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' |
Principal | 100 | 100 | ' |
Carrying Value | 68 | 68 | ' |
Interest rate of debt (as a percent) | 6.88% | 6.88% | ' |
AGMH | 6.25% Notes | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' |
Principal | 230 | 230 | ' |
Carrying Value | 138 | 137 | ' |
Interest rate of debt (as a percent) | 6.25% | 6.25% | ' |
AGMH | 5.60% Notes | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' |
Principal | 100 | 100 | ' |
Carrying Value | 55 | 54 | ' |
Interest rate of debt (as a percent) | 5.60% | 5.60% | ' |
AGMH | Junior Subordinated Debentures | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' |
Principal | 300 | 300 | ' |
Carrying Value | 169 | 164 | ' |
Interest rate of debt (as a percent) | 6.40% | ' | ' |
AGM | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' |
Principal | 34 | 61 | ' |
Carrying Value | 38 | 66 | ' |
AGM | Notes Payable | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' |
Principal | 34 | 61 | ' |
Carrying Value | $38 | $66 | ' |
LongTerm_Debt_and_Credit_Facil3
Long-Term Debt and Credit Facilities - Expected Maturity Schedule of Debt (Details) (USD $) | Dec. 31, 2013 |
Long-term Debt, Fiscal Year Maturity [Abstract] | ' |
2014 | $10,000,000 |
2015 | 9,000,000 |
2016 | 4,000,000 |
2017 | 10,000,000 |
2018 | 1,000,000 |
2019-2038 | 200,000,000 |
2039-2058 | 0 |
2059-2078 | 450,000,000 |
Thereafter | 430,000,000 |
Total | 1,114,000,000 |
AGUS | ' |
Long-term Debt, Fiscal Year Maturity [Abstract] | ' |
2014 | 0 |
2015 | 0 |
2016 | 0 |
2017 | 0 |
2018 | 0 |
2019-2038 | 200,000,000 |
2039-2058 | 0 |
2059-2078 | 150,000,000 |
Thereafter | 0 |
Total | 350,000,000 |
AGMH | ' |
Long-term Debt, Fiscal Year Maturity [Abstract] | ' |
2014 | 0 |
2015 | 0 |
2016 | 0 |
2017 | 0 |
2018 | 0 |
2019-2038 | 0 |
2039-2058 | 0 |
2059-2078 | 300,000,000 |
Thereafter | 430,000,000 |
Total | 730,000,000 |
AGM | ' |
Long-term Debt, Fiscal Year Maturity [Abstract] | ' |
2014 | 10,000,000 |
2015 | 9,000,000 |
2016 | 4,000,000 |
2017 | 10,000,000 |
2018 | 1,000,000 |
2019-2038 | 0 |
2039-2058 | 0 |
2059-2078 | 0 |
Thereafter | 0 |
Total | $34,000,000 |
LongTerm_Debt_and_Credit_Facil4
Long-Term Debt and Credit Facilities - Interest Expense (Details) (USD $) | 3 Months Ended | 12 Months Ended | |||||||||
In Millions, unless otherwise specified | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Jun. 30, 2012 | Mar. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 |
Debt Instrument [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest expense | $19 | $21 | $21 | $21 | $21 | $21 | $25 | $25 | $82 | $92 | $99 |
AGUS | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest expense | ' | ' | ' | ' | ' | ' | ' | ' | 23 | 31 | 39 |
AGUS | 7.0% Senior Notes | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest expense | ' | ' | ' | ' | ' | ' | ' | ' | 13 | 13 | 13 |
AGUS | 8.50% Senior Notes | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest expense | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 8 | 16 |
AGUS | Series A Enhanced Junior Subordinated Debentures | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest expense | ' | ' | ' | ' | ' | ' | ' | ' | 10 | 10 | 10 |
AGMH | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest expense | ' | ' | ' | ' | ' | ' | ' | ' | 54 | 54 | 54 |
AGMH | 6 7/8% QUIBS | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest expense | ' | ' | ' | ' | ' | ' | ' | ' | 7 | 7 | 7 |
AGMH | 6.25% Notes | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest expense | ' | ' | ' | ' | ' | ' | ' | ' | 16 | 16 | 16 |
AGMH | 5.60% Notes | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest expense | ' | ' | ' | ' | ' | ' | ' | ' | 6 | 6 | 6 |
AGMH | Junior Subordinated Debentures | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest expense | ' | ' | ' | ' | ' | ' | ' | ' | 25 | 25 | 25 |
AGM | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest expense | ' | ' | ' | ' | ' | ' | ' | ' | 5 | 7 | 6 |
AGM | Notes Payable | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest expense | ' | ' | ' | ' | ' | ' | ' | ' | $5 | $7 | $6 |
LongTerm_Debt_and_Credit_Facil5
Long-Term Debt and Credit Facilities - Narrative (Details) (USD $) | 0 Months Ended | 3 Months Ended | 12 Months Ended | 11 Months Ended | 12 Months Ended | 5 Months Ended | 6 Months Ended | 12 Months Ended | 12 Months Ended | 1 Months Ended | 1 Months Ended | 1 Months Ended | 12 Months Ended | 0 Months Ended | ||||||||||||||||||||||||||||||
Jun. 01, 2012 | Dec. 31, 2013 | Dec. 31, 2012 | Apr. 08, 2008 | Dec. 31, 2013 | Apr. 08, 2005 | Dec. 31, 2013 | Jun. 30, 2003 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Jun. 01, 2012 | Nov. 30, 2006 | Dec. 31, 2013 | Dec. 31, 2013 | 18-May-04 | Dec. 31, 2013 | Dec. 31, 2012 | Jun. 30, 2009 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Jun. 01, 2012 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2006 | Dec. 31, 2013 | Dec. 19, 2001 | Dec. 31, 2013 | Dec. 31, 2012 | Nov. 26, 2002 | Dec. 31, 2013 | Dec. 31, 2012 | Jul. 31, 2003 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Jul. 01, 2009 | Jun. 30, 2009 | Oct. 25, 2013 | Dec. 31, 2013 | Feb. 07, 2014 | Feb. 02, 2014 | ||
AGC CCS securities | AGC CCS securities | AGC CCS securities | AGM CPS securities | AGM CPS securities | AGMH | AGUS | AGM | Forward Contracts | Junior Subordinated Debentures | Junior Subordinated Debentures | Junior Subordinated Debentures | 7.0% Senior Notes | 7.0% Senior Notes | 7.0% Senior Notes | 8.50% Senior Notes | 8.50% Senior Notes | 8.50% Senior Notes | 8.50% Senior Notes | 8.50% Senior Notes | Series A Enhanced Junior Subordinated Debentures | Series A Enhanced Junior Subordinated Debentures | Series A Enhanced Junior Subordinated Debentures | Series A Enhanced Junior Subordinated Debentures | 6 7/8% QUIBS | 6 7/8% QUIBS | 6 7/8% QUIBS | 6.25% Notes | 6.25% Notes | 6.25% Notes | 5.60% Notes | 5.60% Notes | 5.60% Notes | 2009 Strip Coverage Facility | 2009 Strip Coverage Facility | 2009 Strip Coverage Facility | Revolving Credit Facility | Limited Recourse Credit Facilities | Subsequent Event [Member] | Subsequent Event [Member] | |||||
Trust | Trust | AGL | AGMH | AGMH | Maximum | AGUS | AGUS | AGUS | AGUS | AGUS | AGUS | Forward Contracts | Forward Contracts | AGMH | AGUS | AGUS | Minimum | AGMH | AGMH | AGMH | AGMH | AGMH | AGMH | AGMH | AGMH | AGMH | AGM | AGM | AGM | Affiliated Entity | 2009 Strip Coverage Facility | 2009 Strip Coverage Facility | ||||||||||||
AGMH | AGUS | AGUS | AGMH | AGM | AGM | |||||||||||||||||||||||||||||||||||||||
extension | period | |||||||||||||||||||||||||||||||||||||||||||
Debt Instrument [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Debt issued | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $300,000,000 | ' | ' | $200,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | $150,000,000 | ' | $100,000,000 | ' | ' | $230,000,000 | ' | ' | $100,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Net proceeds from issuance of debt | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 197,000,000 | ' | ' | 167,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Interest rate of debt (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 6.40% | ' | 7.00% | 7.00% | 7.00% | ' | 8.50% | 8.50% | ' | ' | ' | ' | ' | ' | ' | 6.88% | 6.88% | ' | 6.25% | 6.25% | ' | 5.60% | 5.60% | ' | ' | ' | ' | ' | ' | ' | |
Effective interest rate of debt (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 6.40% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Number of equity units issued (in shares) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 3,450,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Percentage of undivided beneficial ownership interest in debt principal per equity unit | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 5.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Principal amount of debt for percentage of undivided beneficial ownership interest per equity unit | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Price for which shares are issuable under forward purchase contract for each equity unit | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 50 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Aggregate principal amount | ' | 1,114,000,000 | ' | ' | ' | ' | ' | ' | 730,000,000 | 350,000,000 | 34,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 173,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Repurchase of Debt, Purchase Price, Percent of Principal Amount | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 100.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
AGL common shares issued for each $50 of proceeds received from remarketing Senior Notes | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 3.8924 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Settlement rate in common shares after anti-dilution adjustments | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 3.8685 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Common shares issued | ' | 182,177,866 | 194,003,297 | ' | ' | ' | ' | ' | ' | ' | ' | 13,428,770 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Price per share of stock issued (in dollars per share) | $12.85 | [1] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest rate, description | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 'one month LIBOR | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 'three month LIBOR | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Interest rate, added to base rate (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 2.22% | 2.38% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Number of times interest payment may be deferred | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Number of consecutive periods for which interest payments may be deferred | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Period for which interest payment may be deferred (in years) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '10 years | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Number of times repayment date may be extended | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 4 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Period for increments of repayment date extension | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '5 years | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Period prior to final repayment date before which debt cannot be repaid, redeemed, repurchased or defeased (in years) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '20 years | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Possible liquidity claims, gross exposure | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,500,000,000 | ' | ' | ' | ' | ' | ' | |
Cumulative strip par exposure terminated | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,200,000,000 | ' | ' | ' | ' | ' | ' | |
Commitment amount | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 968,000,000 | 1,000,000,000 | ' | 225,000,000 | 200,000,000 | 500,000,000 | 960,000,000 | |
Decrease in maximum commitment amount | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 460,000,000 | ' | |
Reduced borrowing capacity if specified consolidated net worth is not maintained | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 750,000,000 | ' | ' | ' | ' | ' | ' | |
Covenant terms, additional net worth requirement under reduced borrowing capacity | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | ' | ' | ' | ' | ' | |
Covenant terms, maximum debt-to-capital ratio | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 30.00% | ' | ' | ' | ' | |
Covenant terms, minimum net worth percentage | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 75.00% | ' | ' | ' | ' | |
Covenant terms, minimum percentage of aggregate consolidated net income (or loss) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 25.00% | ' | ' | ' | ' | ' | ' | |
Interest rate, as a percentage of Federal short-term or mid-term interest rate | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 100.00% | ' | ' | ' | |
Covenant terms, cumulative municipal losses (net of any recoveries) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 260,000,000 | ' | ' | |
Covenant terms, average annual Debt Service of covered portfolio multiplier percentage | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 4.50% | ' | ' | |
Number of custodial trusts | ' | ' | ' | ' | ' | 4 | ' | 4 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Maximum stock purchase obligation of each custodial trust | ' | ' | ' | ' | ' | 50,000,000 | ' | 50,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Aggregate maximum stock purchase obligation of the custodial trusts | ' | ' | ' | ' | ' | $200,000,000 | ' | $200,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Rate basis for income distributions | ' | ' | ' | 'one-month LIBOR | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Rate added to basis for income distributions (as a percent) | ' | ' | ' | 1.10% | 2.50% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Auction interval (in days) | ' | ' | ' | ' | ' | ' | '28 days | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Maximum rate added to basis for income distributions, based on auction process (as a percent) | ' | ' | ' | ' | ' | ' | 2.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
[1] | Relates to the settlement of forward purchase contracts. See Note 17, Long-Term Debt and Credit Facilities. |
Earnings_Per_Share_Details
Earnings Per Share (Details) (USD $) | 3 Months Ended | 12 Months Ended | |||||||||||||||||||
In Millions, except Per Share data, unless otherwise specified | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Jun. 30, 2012 | Mar. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | ||||||||||
Basic EPS: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||
Net income (loss) attributable to AGL | ' | ' | ' | ' | ' | ' | ' | ' | $808 | $110 | $773 | ||||||||||
Less: Distributed and undistributed income (loss) available to nonvested shareholders | ' | ' | ' | ' | ' | ' | ' | ' | 1 | 0 | 1 | ||||||||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | ' | ' | ' | ' | ' | ' | ' | ' | 807 | 110 | 772 | ||||||||||
Basic shares | ' | ' | ' | ' | ' | ' | ' | ' | 186.6 | 189.2 | 183.4 | ||||||||||
Basic EPS (in dollars per share) | $1.91 | [1] | $2.10 | [1] | $1.17 | [1] | ($0.74) | [1] | $0.38 | [1] | $0.73 | [1] | $2.02 | [1] | ($2.65) | [1] | $4.32 | [1] | $0.58 | [1] | $4.21 |
Diluted EPS: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | ' | ' | ' | ' | ' | ' | ' | ' | 807 | 110 | 772 | ||||||||||
Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | ||||||||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted | ' | ' | ' | ' | ' | ' | ' | ' | $807 | $110 | $772 | ||||||||||
Basic shares | ' | ' | ' | ' | ' | ' | ' | ' | 186.6 | 189.2 | 183.4 | ||||||||||
Effect of dilutive securities: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||
Options and restricted stock awards (in shares) | ' | ' | ' | ' | ' | ' | ' | ' | 1 | 0.8 | 0.9 | ||||||||||
Equity units (in shares) | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0.7 | 1.2 | ||||||||||
Diluted shares | ' | ' | ' | ' | ' | ' | ' | ' | 187.6 | 190.7 | 185.5 | ||||||||||
Diluted EPS (in dollars per share) | $1.90 | [1] | $2.09 | [1] | $1.16 | [1] | ($0.74) | [1] | $0.38 | [1] | $0.73 | [1] | $2.01 | [1] | ($2.65) | [1] | $4.30 | [1] | $0.57 | [1] | $4.16 |
Potentially dilutive securities excluded from computation of EPS because of antidilutive effect | ' | ' | ' | ' | ' | ' | ' | ' | 2.7 | 9.9 | 7.2 | ||||||||||
[1] | Per share amounts for the quarters and the full years have each been calculated separately. Accordingly, quarterly amounts may not sum up to the annual amounts because of differences in the average common shares outstanding during each period and, with regard to diluted per share amounts only, because of the inclusion of the effect of potentially dilutive securities only in the periods in which such effect would have been dilutive. |
Shareholders_Equity_Details
Shareholders' Equity (Details) (USD $) | 0 Months Ended | 3 Months Ended | 12 Months Ended | 10 Months Ended | 12 Months Ended | 0 Months Ended | 12 Months Ended | 12 Months Ended | |||||||||||||||||||||||||||||
Feb. 07, 2013 | Jun. 01, 2012 | Feb. 09, 2012 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Jun. 30, 2012 | Mar. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Dec. 31, 2010 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Nov. 11, 2013 | Dec. 31, 2013 | Jun. 05, 2013 | Feb. 05, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 | ||||||||||||
vote | Common Stock [Member] | Common Stock [Member] | Common Stock [Member] | Common Stock [Member] | Common Stock [Member] | Common Stock [Member] | Subsequent Event [Member] | Supplemental Employee Retirement Plan, Defined Benefit [Member] | Supplemental Employee Retirement Plan, Defined Benefit [Member] | Supplemental Employee Retirement Plan, Defined Benefit [Member] | Supplemental Employee Retirement Plan, Defined Benefit [Member] | ||||||||||||||||||||||||||
Limited Liability Company [Member] | AGC | AGC | |||||||||||||||||||||||||||||||||||
Unit | Unit | ||||||||||||||||||||||||||||||||||||
Share Issuances | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||
Authorized share capital | ' | ' | ' | $5,000,000 | ' | ' | ' | ' | ' | ' | ' | $5,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||
Common stock, shares authorized | ' | ' | ' | 500,000,000 | ' | ' | ' | 500,000,000 | ' | ' | ' | 500,000,000 | 500,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||
Common stock par value (in dollars per share) | ' | ' | ' | $0.01 | ' | ' | ' | $0.01 | ' | ' | ' | $0.01 | $0.01 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||
Number of votes per share of common stock | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||
Percentage of controlled shares | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 9.50% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||
Percentage of voting power held by one shareholder | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 75.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||
Issuance of Shares, Number of Shares | ' | 13,428,770 | [1] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 13,428,770 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||
Issuance of Shares, Price per Share (in dollars per share) | ' | $12.85 | [1] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||
Issuance of Shares, Proceeds | ' | 173,000,000 | [1] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||
Issuance of Shares, Net Proceeds | ' | 173,000,000 | [1] | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 173,000,000 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||
Share Repurchases | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||
Share repurchase program, authorized amount | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 400,000,000 | ' | ' | ' | ' | ' | ' | |||||||||||
Share repurchase | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 264,000,000 | ' | 23,000,000 | ' | 0 | 0 | 0 | 264,000,000 | ' | 109,700,000 | ' | ' | ' | ' | ' | |||||||||||
Share repurchase, average price per share | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $21.12 | ' | ' | ' | ' | ' | ' | ' | |||||||||||
Number of shares held by related party | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 14,900,000 | ' | ' | ' | ' | ' | |||||||||||
Percentage of ownership by related party | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 8.00% | ' | ' | ' | ' | ' | |||||||||||
Previous percentage of ownership by related party | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 10.50% | ' | ' | ' | ' | ' | |||||||||||
Number of Shares Repurchased | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 12,512,759 | 2,066,759 | 2,000,000 | 12,500,000 | ' | 5,000,000 | ' | ' | ' | ' | ' | |||||||||||
Total Payments | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $264,000,000 | $24,000,000 | $23,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||
Deferred Compensation | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||
Number of AGL common shares represented by each unit in employer stock fund | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1 | ' | 1 | ' | |||||||||||
Number of shares in AGL SERP (in shares) | ' | ' | ' | 320,193 | ' | ' | ' | 320,193 | ' | ' | ' | 320,193 | 320,193 | ' | ' | ' | ' | ' | ' | ' | ' | ' | 320,193 | 320,193 | ' | ' | |||||||||||
Number of units in AGC SERP (in units) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 74,309 | 68,181 | |||||||||||
Dividends | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||
Dividends, per share (in dollars per share) | $0.10 | ' | $0.09 | $0.10 | [2] | $0.10 | [2] | $0.10 | [2] | $0.10 | [2] | $0.09 | [2] | $0.09 | [2] | $0.09 | [2] | $0.09 | [2] | $0.40 | [2] | $0.36 | [2] | $0.18 | ' | ' | ' | ' | ' | ' | ' | $0.11 | ' | ' | ' | ' | |
Increase in common stock dividend (as a percent) | 11.00% | ' | 100.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 10.00% | ' | ' | ' | ' | |||||||||||
Dividend paid on common share (in dollars per share) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $0.05 | $0.05 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||
[1] | Relates to the settlement of forward purchase contracts. See Note 17, Long-Term Debt and Credit Facilities. | ||||||||||||||||||||||||||||||||||||
[2] | Per share amounts for the quarters and the full years have each been calculated separately. Accordingly, quarterly amounts may not sum up to the annual amounts because of differences in the average common shares outstanding during each period and, with regard to diluted per share amounts only, because of the inclusion of the effect of potentially dilutive securities only in the periods in which such effect would have been dilutive. |
Employee_Benefit_Plans_Awards_
Employee Benefit Plans - Awards Activity (Details) (USD $) | 12 Months Ended |
Dec. 31, 2013 | |
Stock Options | ' |
Summary of options issued and outstanding | ' |
Balance at the beginning of the period (in shares) | 4,229,555 |
Options granted (in shares) | 102,355 |
Options exercised (in shares) | -1,199,339 |
Options forfeited/expired (in shares) | -3,320 |
Balance at the end of the period (in shares) | 3,129,251 |
Weighted Average Exercise Price | ' |
Balance at the beginning of the period (in dollars per share) | $20.10 |
Options granted (in dollars per share) | $19.36 |
Options exercised (in dollars per share) | $17.75 |
Options forfeited (in dollars per share) | $24.21 |
Balance at the end of the period (in dollars per share) | $20.97 |
Weighted Average Grant Date Fair Value (in dollars per share) | $8.94 |
Number of Exercisable Options at the beginning of the period (in shares) | 4,047,374 |
Number of Exercisable Options at the end of the period (in shares) | 2,987,088 |
Performance Stock Options | ' |
Summary of options issued and outstanding | ' |
Balance at the beginning of the period (in shares) | 293,077 |
Options granted (in shares) | 72,640 |
Options exercised (in shares) | 0 |
Options forfeited/expired (in shares) | 0 |
Balance at the end of the period (in shares) | 365,717 |
Weighted Average Exercise Price | ' |
Balance at the beginning of the period (in dollars per share) | $17.44 |
Options granted (in dollars per share) | $19.24 |
Options exercised (in dollars per share) | $0 |
Options forfeited (in dollars per share) | $0 |
Balance at the end of the period (in dollars per share) | $17.80 |
Weighted Average Grant Date Fair Value (in dollars per share) | $8.17 |
Number of Exercisable Options at the beginning of the period (in shares) | 0 |
Number of Exercisable Options at the end of the period (in shares) | 0 |
Restricted Stock Awards | ' |
Restricted Stock Award and Restricted Stock Unit Activity | ' |
Nonvested at the beginning of the period (in shares) | 88,549 |
Granted (in shares) | 48,273 |
Vested (in shares) | -88,549 |
Forfeited (in shares) | 0 |
Nonvested at the end of the period (in shares) | 48,273 |
Weighted Average Grant-Date Fair Value | ' |
Nonvested at the beginning of the period (in dollars per share) | $12.93 |
Granted (in dollars per share) | $23.20 |
Vested (in dollars per share) | $12.93 |
Forfeited (in dollars per share) | $0 |
Nonvested at the end of the period (in dollars per share) | $23.20 |
Restricted Stock Units | ' |
Restricted Stock Award and Restricted Stock Unit Activity | ' |
Nonvested at the beginning of the period (in shares) | 1,006,411 |
Granted (in shares) | 93,580 |
Delivered (in shares) | -361,157 |
Forfeited (in shares) | -2,425 |
Nonvested at the end of the period (in shares) | 736,409 |
Weighted Average Grant-Date Fair Value | ' |
Nonvested at the beginning of the period (in dollars per share) | $16.78 |
Granted (in dollars per share) | $19.29 |
Delivered (in dollars per share) | $15.04 |
Forfeited (in dollars per share) | $17.85 |
Nonvested at the end of the period (in dollars per share) | $17.63 |
Performance Restricted Stock Units | ' |
Restricted Stock Award and Restricted Stock Unit Activity | ' |
Nonvested at the beginning of the period (in shares) | 178,970 |
Granted (in shares) | 44,440 |
Delivered (in shares) | 0 |
Forfeited (in shares) | 0 |
Nonvested at the end of the period (in shares) | 223,410 |
Weighted Average Grant-Date Fair Value | ' |
Nonvested at the beginning of the period (in dollars per share) | $27.35 |
Granted (in dollars per share) | $29.54 |
Delivered (in dollars per share) | $0 |
Forfeited (in dollars per share) | $0 |
Nonvested at the end of the period (in dollars per share) | $27.79 |
Employee_Benefit_Plans_Weighte
Employee Benefit Plans - Weighted Average Assumptions on Option Pricing (Details) (Stock Options, USD $) | 12 Months Ended | |||
Dec. 31, 2013 | Dec. 31, 2012 | |||
Employee benefit plans | ' | ' | ||
Weighted average grant date fair value (in dollars per share) | $8.94 | ' | ||
Lattice Option Pricing | ' | ' | ||
Employee benefit plans | ' | ' | ||
Dividend yield (as a percent) | 2.07% | [1] | 2.06% | [1] |
Expected volatility (as a percent) | 53.41% | [1] | 58.89% | [1] |
Risk free interest rate (as a percent) | 1.35% | [1] | 1.45% | [1] |
Expected life (in years) | '6 years 7 months 6 days | [1] | '6 years 7 months 6 days | [1] |
Forfeiture rate (as a percent) | 4.50% | [1] | 4.50% | [1] |
Weighted average grant date fair value (in dollars per share) | $8.94 | [1] | $8.62 | [1] |
Monte Carlo and Lattice Option Pricing | ' | ' | ||
Employee benefit plans | ' | ' | ||
Dividend yield (as a percent) | 2.07% | 2.06% | ||
Expected volatility (as a percent) | 53.50% | 58.89% | ||
Risk free interest rate (as a percent) | 1.36% | 1.45% | ||
Expected life (in years) | '6 years 3 months 18 days | '6 years 3 months 18 days | ||
Forfeiture rate (as a percent) | 4.50% | 4.50% | ||
Weighted average grant date fair value (in dollars per share) | $8.17 | $7.84 | ||
[1] | No options were granted in 2011. |
Employee_Benefit_Plans_Stock_P
Employee Benefit Plans - Stock Purchase Plan (Details) (USD $) | 12 Months Ended | ||
In Millions, except Share data, unless otherwise specified | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 |
Defined contribution plan | ' | ' | ' |
Recorded in share-based compensation, after the effects of DAC | $8 | $7 | $8 |
Stock Purchase Plan | ' | ' | ' |
Defined contribution plan | ' | ' | ' |
Proceeds from purchase of shares by employees | 0.9 | 0.6 | 0.7 |
Number of shares issued by the Company | 57,980 | 54,612 | 50,523 |
Recorded in share-based compensation, after the effects of DAC | $0.30 | $0.20 | $0.20 |
Employee_Benefit_Plans_ShareBa
Employee Benefit Plans - Share-Based Compensation Expense (Details) (USD $) | 12 Months Ended | ||
In Millions, unless otherwise specified | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 |
Share-Based Compensation Expense | ' | ' | ' |
Recurring amortization | $7 | $6 | $5 |
Accelerated amortization for retirement eligible employees | 0 | 1 | 5 |
Total Share‑Based Cost | 8 | 8 | 11 |
Less: Share-based compensation capitalized as DAC | 0 | 1 | 3 |
Share-based compensation expense | 8 | 7 | 8 |
Income tax benefit | 2 | 2 | 2 |
Employee | ' | ' | ' |
Share-Based Compensation Expense | ' | ' | ' |
Total Share‑Based Cost | 7 | 7 | 10 |
Employee | Restricted Stock Awards | ' | ' | ' |
Share-Based Compensation Expense | ' | ' | ' |
Total Share‑Based Cost | 7 | 7 | 10 |
Directors | ' | ' | ' |
Share-Based Compensation Expense | ' | ' | ' |
Total Share‑Based Cost | 1 | 1 | 1 |
Stock Purchase Plan | ' | ' | ' |
Share-Based Compensation Expense | ' | ' | ' |
Share-based compensation expense | 0.3 | 0.2 | 0.2 |
Stock Purchase Plan | Employee | ' | ' | ' |
Share-Based Compensation Expense | ' | ' | ' |
Total Share‑Based Cost | $0 | $0 | $0 |
Employee_Benefit_Plans_Narrati
Employee Benefit Plans - Narrative (Details) (USD $) | 12 Months Ended | ||
Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | |
installments | |||
PRP awards | ' | ' | ' |
Employee benefit plans | ' | ' | ' |
Defined contribution expenses | $17,000,000 | $13,000,000 | $8,000,000 |
Limit on tax deductible compensation | 1,000,000 | ' | ' |
Number of installments for award vesting | 3 | ' | ' |
Percentage of awards allocated to a performance period that includes the year of the award and the next year | 25.00% | ' | ' |
Percentage of awards allocated to a performance period that includes the year of the award and the next two years | 25.00% | ' | ' |
Percentage of awards allocated to a performance period that includes the year of the award and the next three years | 50.00% | ' | ' |
Percentage of each installment that is increased or decreased in proportion to increase or decrease of per share adjusted book value during the performance period | 50.00% | ' | ' |
Percentage of each installment that is increased or decreased in proportion to the operating return on equity during the performance period | 50.00% | ' | ' |
Defined Contribution Plan | ' | ' | ' |
Employee benefit plans | ' | ' | ' |
Defined contribution expenses | 10,000,000 | 9,000,000 | 10,000,000 |
Defined Contribution Plan | United States | ' | ' | ' |
Employee benefit plans | ' | ' | ' |
Maximum amount that can be contributed by eligible participants | 17,500 | ' | ' |
Percentage by which employer contribution matches up to 6% of participant's compensation | 100.00% | ' | ' |
Maximum percentage of participant's compensation eligible for employer contribution match | 6.00% | ' | ' |
Core contribution made by the company as a percentage of participant's compensation | 6.00% | ' | ' |
Number of years of service to become fully vested | '1 year | ' | ' |
Stock Options | ' | ' | ' |
Employee benefit plans | ' | ' | ' |
Aggregate intrinsic value of awards outstanding | 11,000,000 | ' | ' |
Weighted average remaining contractual term of awards outstanding (in years) | '3 years 6 months | ' | ' |
Aggregate intrinsic value of exercisable awards | 10,000,000 | ' | ' |
Weighted average remaining contractual term of exercisable awards (in years) | '3 years 4 months 24 days | ' | ' |
Unrecognized compensation expense | 1,000,000 | ' | ' |
Expected weighted-average remaining service period for recognition of unrecognized compensation cost (in years) | '1 year 4 months 24 days | ' | ' |
Total intrinsic value of awards exercised | 7,500,000 | 100,000 | 300,000 |
Amount received from exercise of awards | 2,600,000 | 44,000 | 600,000 |
Stock Options | Employee | ' | ' | ' |
Employee benefit plans | ' | ' | ' |
Vesting period of awards (in years) | '3 years | ' | ' |
Stock Options | Directors | ' | ' | ' |
Employee benefit plans | ' | ' | ' |
Vesting period of awards (in years) | '1 year | ' | ' |
Stock Options | Directors | Minimum | ' | ' | ' |
Employee benefit plans | ' | ' | ' |
Years from grant date until expiration | '7 years | ' | ' |
Stock Options | Directors | Maximum | ' | ' | ' |
Employee benefit plans | ' | ' | ' |
Years from grant date until expiration | '10 years | ' | ' |
Performance Stock Options | ' | ' | ' |
Employee benefit plans | ' | ' | ' |
Years from grant date until expiration | '7 years | ' | ' |
Aggregate intrinsic value of awards outstanding | 2,000,000 | ' | ' |
Weighted average remaining contractual term of awards outstanding (in years) | '5 years 3 months 18 days | ' | ' |
Unrecognized compensation expense | 1,000,000 | ' | ' |
Expected weighted-average remaining service period for recognition of unrecognized compensation cost (in years) | '1 year 4 months 24 days | ' | ' |
Restricted Stock Awards | ' | ' | ' |
Employee benefit plans | ' | ' | ' |
Unrecognized compensation expense | 400,000 | ' | ' |
Expected weighted-average remaining service period for recognition of unrecognized compensation cost (in years) | '0 years 4 months 24 days | ' | ' |
Total fair value of awards vested | 1,000,000 | 1,000,000 | 4,000,000 |
Restricted Stock Awards | Employee | ' | ' | ' |
Employee benefit plans | ' | ' | ' |
Vesting period of awards (in years) | '4 years | ' | ' |
Restricted Stock Awards | Outside directors | ' | ' | ' |
Employee benefit plans | ' | ' | ' |
Vesting period of awards (in years) | '1 year | ' | ' |
Restricted Stock Awards | Directors | ' | ' | ' |
Employee benefit plans | ' | ' | ' |
Vesting period of awards (in years) | '1 year | ' | ' |
Restricted Stock Units | ' | ' | ' |
Employee benefit plans | ' | ' | ' |
Unrecognized compensation expense | 4,000,000 | ' | ' |
Expected weighted-average remaining service period for recognition of unrecognized compensation cost (in years) | '1 year 6 months | ' | ' |
Total fair value of awards delivered | 5,000,000 | 6,000,000 | 5,000,000 |
Performance Restricted Stock Units | ' | ' | ' |
Employee benefit plans | ' | ' | ' |
Unrecognized compensation expense | 3,000,000 | ' | ' |
Expected weighted-average remaining service period for recognition of unrecognized compensation cost (in years) | '1 year 4 months 24 days | ' | ' |
Assured Guaranty Ltd. 2004 Long-Term Incentive Plan | ' | ' | ' |
Employee benefit plans | ' | ' | ' |
Maximum number of common shares that may be delivered | 10,970,000 | ' | ' |
Number of common shares available for grant | 3,189,396 | ' | ' |
Stock Purchase Plan | ' | ' | ' |
Employee benefit plans | ' | ' | ' |
Maximum number of common shares that may be delivered | 600,000 | ' | ' |
Value of shares that can be purchased as a percentage of participant's compensation | 10.00% | ' | ' |
Value of shares that can be purchased | ' | $25,000 | ' |
Purchase price of shares as a percentage of the fair market value of the stock | 85.00% | ' | ' |
Monte Carlo and Lattice Option Pricing | Stock Options | ' | ' | ' |
Employee benefit plans | ' | ' | ' |
Expected volatility, inputs, average historical share price volatility and implied volatilities of certain at-the-money actively traded call options | '7 years | ' | ' |
Risk free interest rate, inputs, implied U.S. Treasury yield currently available, term | '7 years | ' | ' |
Lattice Option Pricing | Stock Options | ' | ' | ' |
Employee benefit plans | ' | ' | ' |
Expected volatility, inputs, average historical share price volatility and implied volatilities of certain at-the-money actively traded call options | '7 years | ' | ' |
Risk free interest rate, inputs, implied U.S. Treasury yield currently available, term | '7 years | ' | ' |
Share-based Compensation Award, Tranche One | ' | ' | ' |
Employee benefit plans | ' | ' | ' |
Vesting percentage | 35.00% | ' | ' |
Share-based Compensation Award, Tranche One | Performance Stock Options | ' | ' | ' |
Employee benefit plans | ' | ' | ' |
Vesting percentage | 35.00% | ' | ' |
Share-based Compensation Award, Tranche Two | Performance Stock Options | ' | ' | ' |
Employee benefit plans | ' | ' | ' |
Vesting percentage | 50.00% | ' | ' |
Share-based Compensation Award, Tranche Two | Performance Restricted Stock Units | ' | ' | ' |
Employee benefit plans | ' | ' | ' |
Vesting percentage | 100.00% | ' | ' |
Share-based Compensation Award, Tranche Three | Performance Stock Options | ' | ' | ' |
Employee benefit plans | ' | ' | ' |
Vesting percentage | 100.00% | ' | ' |
Share-based Compensation Award, Tranche Three | Performance Restricted Stock Units | ' | ' | ' |
Employee benefit plans | ' | ' | ' |
Vesting percentage | 200.00% | ' | ' |
Other_Comprehensive_Income_Det
Other Comprehensive Income (Details) (USD $) | 12 Months Ended | ||
In Millions, unless otherwise specified | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ' | ' | ' |
Balance at beginning of period | $515 | ' | ' |
Other comprehensive income (loss) | -355 | 147 | 256 |
Balance at end of period | 160 | 515 | ' |
Net Unrealized Gains (Losses) on Investments with no OTTI | ' | ' | ' |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ' | ' | ' |
Balance at beginning of period | 517 | 365 | 116 |
Other comprehensive income (loss) before reclassified | -309 | ' | ' |
Other net realized investment gain (losses) | -43 | ' | ' |
Interest expense | 0 | ' | ' |
Total before tax | -43 | ' | ' |
Tax (provision) benefit | 13 | ' | ' |
Total amount reclassified from AOCI, net of tax | -30 | ' | ' |
Other comprehensive income (loss) | -339 | 152 | 249 |
Balance at end of period | 178 | 517 | 365 |
Net Unrealized Gains (Losses) on Investments with OTTI | ' | ' | ' |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ' | ' | ' |
Balance at beginning of period | -5 | 2 | -6 |
Other comprehensive income (loss) before reclassified | -35 | ' | ' |
Other net realized investment gain (losses) | 24 | ' | ' |
Interest expense | 0 | ' | ' |
Total before tax | 24 | ' | ' |
Tax (provision) benefit | -8 | ' | ' |
Total amount reclassified from AOCI, net of tax | 16 | ' | ' |
Other comprehensive income (loss) | -19 | -7 | 8 |
Balance at end of period | -24 | -5 | 2 |
Cumulative Translation Adjustment | ' | ' | ' |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ' | ' | ' |
Balance at beginning of period | -6 | -8 | -8 |
Other comprehensive income (loss) before reclassified | 3 | ' | ' |
Other net realized investment gain (losses) | 0 | ' | ' |
Interest expense | 0 | ' | ' |
Total before tax | 0 | ' | ' |
Tax (provision) benefit | 0 | ' | ' |
Total amount reclassified from AOCI, net of tax | 0 | ' | ' |
Other comprehensive income (loss) | 3 | 2 | 0 |
Balance at end of period | -3 | -6 | -8 |
Cash Flow Hedge | ' | ' | ' |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ' | ' | ' |
Balance at beginning of period | 9 | 9 | 10 |
Other comprehensive income (loss) before reclassified | 0 | ' | ' |
Other net realized investment gain (losses) | 0 | ' | ' |
Interest expense | -1 | ' | ' |
Total before tax | -1 | ' | ' |
Tax (provision) benefit | 1 | ' | ' |
Total amount reclassified from AOCI, net of tax | 0 | ' | ' |
Other comprehensive income (loss) | 0 | 0 | -1 |
Balance at end of period | 9 | 9 | 9 |
Total Accumulated Other Comprehensive Income | ' | ' | ' |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ' | ' | ' |
Balance at beginning of period | 515 | 368 | 112 |
Other comprehensive income (loss) before reclassified | -341 | ' | ' |
Other net realized investment gain (losses) | -19 | ' | ' |
Interest expense | -1 | ' | ' |
Total before tax | -20 | ' | ' |
Tax (provision) benefit | 6 | ' | ' |
Total amount reclassified from AOCI, net of tax | -14 | ' | ' |
Other comprehensive income (loss) | -355 | 147 | 256 |
Balance at end of period | $160 | $515 | $368 |
Subsidiary_Information_Condens
Subsidiary Information - Condensed Consolidating Balance Sheet (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Dec. 31, 2010 | |||
In Millions, unless otherwise specified | |||||||
Assets | ' | ' | ' | ' | |||
Total investment portfolio and cash | $10,969 | $11,223 | ' | ' | |||
Investment in subsidiaries | 0 | 0 | ' | ' | |||
Premiums receivable, net of commissions payable | 876 | [1] | 1,005 | [1] | 1,003 | [1] | 1,168 |
Ceded unearned premium reserve | 452 | 561 | ' | ' | |||
Deferred acquisition costs | 124 | 116 | 132 | 146 | |||
Reinsurance recoverable on unpaid losses | 36 | 58 | ' | ' | |||
Credit derivative assets | 94 | 141 | ' | ' | |||
Deferred tax asset, net | 688 | 721 | ' | ' | |||
Intercompany receivable | 0 | 0 | ' | ' | |||
Financial guaranty variable interest entities’ assets, at fair value | 2,565 | 2,688 | ' | ' | |||
Other | 483 | 729 | ' | ' | |||
Total assets | 16,287 | 17,242 | ' | ' | |||
Liabilities and shareholders’ equity | ' | ' | ' | ' | |||
Unearned premium reserve | 4,595 | 5,207 | ' | ' | |||
Loss and loss adjustment expense reserve | 592 | 601 | ' | ' | |||
Long-term debt | 816 | 836 | ' | ' | |||
Intercompany payable | 0 | 0 | ' | ' | |||
Credit derivative liabilities | 1,787 | 1,934 | ' | ' | |||
Deferred tax liabilities, net | 0 | ' | ' | ' | |||
Financial guaranty variable interest entities’ liabilities, at fair value | 2,871 | 3,141 | ' | ' | |||
Other | 511 | 529 | ' | ' | |||
Total liabilities | 11,172 | 12,248 | ' | ' | |||
Total shareholders' equity attributable to Assured Guaranty Ltd. | 5,115 | 4,994 | 4,652 | 3,670 | |||
Noncontrolling interest | 0 | ' | ' | ' | |||
Total shareholders' equity | 5,115 | ' | ' | ' | |||
Total liabilities and shareholders’ equity | 16,287 | 17,242 | ' | ' | |||
Assured Guaranty Ltd. (Parent) | ' | ' | ' | ' | |||
Assets | ' | ' | ' | ' | |||
Total investment portfolio and cash | 33 | 245 | ' | ' | |||
Investment in subsidiaries | 5,066 | 4,734 | ' | ' | |||
Premiums receivable, net of commissions payable | 0 | 0 | ' | ' | |||
Ceded unearned premium reserve | 0 | 0 | ' | ' | |||
Deferred acquisition costs | 0 | 0 | ' | ' | |||
Reinsurance recoverable on unpaid losses | 0 | 0 | ' | ' | |||
Credit derivative assets | 0 | 0 | ' | ' | |||
Deferred tax asset, net | 0 | 0 | ' | ' | |||
Intercompany receivable | 0 | 0 | ' | ' | |||
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 | ' | ' | |||
Other | 23 | 23 | ' | ' | |||
Total assets | 5,122 | 5,002 | ' | ' | |||
Liabilities and shareholders’ equity | ' | ' | ' | ' | |||
Unearned premium reserve | 0 | 0 | ' | ' | |||
Loss and loss adjustment expense reserve | 0 | 0 | ' | ' | |||
Long-term debt | 0 | 0 | ' | ' | |||
Intercompany payable | 0 | 0 | ' | ' | |||
Credit derivative liabilities | 0 | 0 | ' | ' | |||
Deferred tax liabilities, net | 0 | ' | ' | ' | |||
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 | ' | ' | |||
Other | 7 | 8 | ' | ' | |||
Total liabilities | 7 | 8 | ' | ' | |||
Total shareholders' equity attributable to Assured Guaranty Ltd. | 5,115 | 4,994 | ' | ' | |||
Noncontrolling interest | 0 | ' | ' | ' | |||
Total shareholders' equity | 5,115 | ' | ' | ' | |||
Total liabilities and shareholders’ equity | 5,122 | 5,002 | ' | ' | |||
AGUS (Issuer) | ' | ' | ' | ' | |||
Assets | ' | ' | ' | ' | |||
Total investment portfolio and cash | 186 | 15 | ' | ' | |||
Investment in subsidiaries | 4,191 | 3,958 | ' | ' | |||
Premiums receivable, net of commissions payable | 0 | 0 | ' | ' | |||
Ceded unearned premium reserve | 0 | 0 | ' | ' | |||
Deferred acquisition costs | 0 | 0 | ' | ' | |||
Reinsurance recoverable on unpaid losses | 0 | 0 | ' | ' | |||
Credit derivative assets | 0 | 0 | ' | ' | |||
Deferred tax asset, net | 97 | 48 | ' | ' | |||
Intercompany receivable | 0 | 0 | ' | ' | |||
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 | ' | ' | |||
Other | 17 | 29 | ' | ' | |||
Total assets | 4,491 | 4,050 | ' | ' | |||
Liabilities and shareholders’ equity | ' | ' | ' | ' | |||
Unearned premium reserve | 0 | 0 | ' | ' | |||
Loss and loss adjustment expense reserve | 0 | 0 | ' | ' | |||
Long-term debt | 348 | 347 | ' | ' | |||
Intercompany payable | 90 | 173 | ' | ' | |||
Credit derivative liabilities | 0 | 0 | ' | ' | |||
Deferred tax liabilities, net | 0 | ' | ' | ' | |||
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 | ' | ' | |||
Other | 7 | 6 | ' | ' | |||
Total liabilities | 445 | 526 | ' | ' | |||
Total shareholders' equity attributable to Assured Guaranty Ltd. | 4,046 | 3,524 | ' | ' | |||
Noncontrolling interest | 0 | ' | ' | ' | |||
Total shareholders' equity | 4,046 | ' | ' | ' | |||
Total liabilities and shareholders’ equity | 4,491 | 4,050 | ' | ' | |||
AGMH (Issuer) | ' | ' | ' | ' | |||
Assets | ' | ' | ' | ' | |||
Total investment portfolio and cash | 42 | 30 | ' | ' | |||
Investment in subsidiaries | 3,574 | 3,225 | ' | ' | |||
Premiums receivable, net of commissions payable | 0 | 0 | ' | ' | |||
Ceded unearned premium reserve | 0 | 0 | ' | ' | |||
Deferred acquisition costs | 0 | 0 | ' | ' | |||
Reinsurance recoverable on unpaid losses | 0 | 0 | ' | ' | |||
Credit derivative assets | 0 | 0 | ' | ' | |||
Deferred tax asset, net | 0 | -94 | ' | ' | |||
Intercompany receivable | 0 | 0 | ' | ' | |||
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 | ' | ' | |||
Other | 31 | 26 | ' | ' | |||
Total assets | 3,647 | 3,187 | ' | ' | |||
Liabilities and shareholders’ equity | ' | ' | ' | ' | |||
Unearned premium reserve | 0 | 0 | ' | ' | |||
Loss and loss adjustment expense reserve | 0 | 0 | ' | ' | |||
Long-term debt | 430 | 423 | ' | ' | |||
Intercompany payable | 0 | 0 | ' | ' | |||
Credit derivative liabilities | 0 | 0 | ' | ' | |||
Deferred tax liabilities, net | 95 | ' | ' | ' | |||
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 | ' | ' | |||
Other | 16 | 15 | ' | ' | |||
Total liabilities | 541 | 438 | ' | ' | |||
Total shareholders' equity attributable to Assured Guaranty Ltd. | 3,106 | 2,749 | ' | ' | |||
Noncontrolling interest | 0 | ' | ' | ' | |||
Total shareholders' equity | 3,106 | ' | ' | ' | |||
Total liabilities and shareholders’ equity | 3,647 | 3,187 | ' | ' | |||
Other Entities | ' | ' | ' | ' | |||
Assets | ' | ' | ' | ' | |||
Total investment portfolio and cash | 11,008 | 11,233 | ' | ' | |||
Investment in subsidiaries | 289 | 3,524 | ' | ' | |||
Premiums receivable, net of commissions payable | 1,025 | 1,147 | ' | ' | |||
Ceded unearned premium reserve | 1,598 | 1,550 | ' | ' | |||
Deferred acquisition costs | 198 | 190 | ' | ' | |||
Reinsurance recoverable on unpaid losses | 170 | 223 | ' | ' | |||
Credit derivative assets | 482 | 553 | ' | ' | |||
Deferred tax asset, net | 681 | 789 | ' | ' | |||
Intercompany receivable | 90 | 173 | ' | ' | |||
Financial guaranty variable interest entities’ assets, at fair value | 2,565 | 2,688 | ' | ' | |||
Other | 638 | 816 | ' | ' | |||
Total assets | 18,744 | 22,886 | ' | ' | |||
Liabilities and shareholders’ equity | ' | ' | ' | ' | |||
Unearned premium reserve | 5,720 | 6,168 | ' | ' | |||
Loss and loss adjustment expense reserve | 733 | 778 | ' | ' | |||
Long-term debt | 38 | 66 | ' | ' | |||
Intercompany payable | 300 | 300 | ' | ' | |||
Credit derivative liabilities | 2,175 | 2,346 | ' | ' | |||
Deferred tax liabilities, net | 0 | ' | ' | ' | |||
Financial guaranty variable interest entities’ liabilities, at fair value | 2,871 | 3,141 | ' | ' | |||
Other | 853 | 803 | ' | ' | |||
Total liabilities | 12,690 | 13,602 | ' | ' | |||
Total shareholders' equity attributable to Assured Guaranty Ltd. | 5,765 | 9,284 | ' | ' | |||
Noncontrolling interest | 289 | ' | ' | ' | |||
Total shareholders' equity | 6,054 | ' | ' | ' | |||
Total liabilities and shareholders’ equity | 18,744 | 22,886 | ' | ' | |||
Consolidating Adjustments | ' | ' | ' | ' | |||
Assets | ' | ' | ' | ' | |||
Total investment portfolio and cash | -300 | -300 | ' | ' | |||
Investment in subsidiaries | -13,120 | -15,441 | ' | ' | |||
Premiums receivable, net of commissions payable | -149 | -142 | ' | ' | |||
Ceded unearned premium reserve | -1,146 | -989 | ' | ' | |||
Deferred acquisition costs | -74 | -74 | ' | ' | |||
Reinsurance recoverable on unpaid losses | -134 | -165 | ' | ' | |||
Credit derivative assets | -388 | -412 | ' | ' | |||
Deferred tax asset, net | -90 | -22 | ' | ' | |||
Intercompany receivable | -90 | -173 | ' | ' | |||
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 | ' | ' | |||
Other | -226 | -165 | ' | ' | |||
Total assets | -15,717 | -17,883 | ' | ' | |||
Liabilities and shareholders’ equity | ' | ' | ' | ' | |||
Unearned premium reserve | -1,125 | -961 | ' | ' | |||
Loss and loss adjustment expense reserve | -141 | -177 | ' | ' | |||
Long-term debt | 0 | 0 | ' | ' | |||
Intercompany payable | -390 | -473 | ' | ' | |||
Credit derivative liabilities | -388 | -412 | ' | ' | |||
Deferred tax liabilities, net | -95 | ' | ' | ' | |||
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 | ' | ' | |||
Other | -372 | -303 | ' | ' | |||
Total liabilities | -2,511 | -2,326 | ' | ' | |||
Total shareholders' equity attributable to Assured Guaranty Ltd. | -12,917 | -15,557 | ' | ' | |||
Noncontrolling interest | -289 | ' | ' | ' | |||
Total shareholders' equity | -13,206 | ' | ' | ' | |||
Total liabilities and shareholders’ equity | ($15,717) | ($17,883) | ' | ' | |||
[1] | Excludes $21 million, $29 million and $28 million as of December 31, 2013 , 2012 and 2011, respectively, related to consolidated FG VIEs. |
Subsidiary_Information_Condens1
Subsidiary Information - Condensed Consolidating Statement of Operations (Details) (USD $) | 3 Months Ended | 12 Months Ended | ||||||||||||
In Millions, unless otherwise specified | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Jun. 30, 2012 | Mar. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | |||
Revenues | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Net earned premiums | $182 | $159 | $163 | $248 | $218 | $222 | $219 | $194 | $752 | [1] | $853 | [1] | $920 | [1] |
Net investment income | 107 | 99 | 93 | 94 | 103 | 102 | 101 | 98 | 393 | 404 | 396 | |||
Net realized investment gains (losses) | 29 | -7 | 2 | 28 | 1 | 2 | -3 | 1 | 52 | 1 | -18 | |||
Net change in fair value of credit derivatives: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Realized gains (losses) and other settlements | ' | ' | ' | ' | ' | ' | ' | ' | -42 | -108 | 6 | |||
Net unrealized gains (losses) | ' | ' | ' | ' | ' | ' | ' | ' | 107 | [2] | -477 | [2] | 554 | [2] |
Net change in fair value of credit derivatives | 229 | 354 | 74 | -592 | -119 | -36 | 261 | -691 | 65 | -585 | 560 | |||
Other | ' | ' | ' | ' | ' | ' | ' | ' | 346 | 281 | -53 | |||
Total revenues | ' | ' | ' | ' | ' | ' | ' | ' | 1,608 | 954 | 1,805 | |||
Expenses | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Loss and LAE | 85 | 55 | 62 | -48 | 58 | 86 | 118 | 242 | 154 | 504 | 448 | |||
Amortization of DAC | 4 | 4 | 1 | 3 | 0 | 4 | 5 | 5 | 12 | 14 | 17 | |||
Interest expense | 19 | 21 | 21 | 21 | 21 | 21 | 25 | 25 | 82 | 92 | 99 | |||
Other operating expenses | ' | ' | ' | ' | ' | ' | ' | ' | 218 | 212 | 212 | |||
Total expenses | ' | ' | ' | ' | ' | ' | ' | ' | 466 | 822 | 776 | |||
Income (loss) before income taxes | 489 | 536 | 329 | -212 | 95 | 179 | 554 | -696 | 1,142 | 132 | 1,029 | |||
Total (provision) benefit for income taxes | -140 | -152 | -110 | 68 | -21 | -37 | -177 | 213 | -334 | -22 | -256 | |||
Equity in earnings of subsidiaries | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Net income (loss) | 349 | 384 | 219 | -144 | 74 | 142 | 377 | -483 | 808 | 110 | 773 | |||
Less: noncontrolling interest | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | ' | |||
Net income (loss) attributable to Assured Guaranty Ltd. | ' | ' | ' | ' | ' | ' | ' | ' | 808 | ' | ' | |||
Net income (loss) | ' | ' | ' | ' | ' | ' | ' | ' | 808 | 110 | 773 | |||
Comprehensive income (loss) | ' | ' | ' | ' | ' | ' | ' | ' | 453 | 257 | 1,029 | |||
Assured Guaranty Ltd. (Parent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Revenues | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Net earned premiums | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Net investment income | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Net realized investment gains (losses) | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Net change in fair value of credit derivatives: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Realized gains (losses) and other settlements | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Net unrealized gains (losses) | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Net change in fair value of credit derivatives | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Other | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Total revenues | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Expenses | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Loss and LAE | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Amortization of DAC | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Interest expense | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Other operating expenses | ' | ' | ' | ' | ' | ' | ' | ' | 22 | 21 | 25 | |||
Total expenses | ' | ' | ' | ' | ' | ' | ' | ' | 22 | 21 | 25 | |||
Income (loss) before income taxes | ' | ' | ' | ' | ' | ' | ' | ' | -22 | -21 | -25 | |||
Total (provision) benefit for income taxes | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Equity in earnings of subsidiaries | ' | ' | ' | ' | ' | ' | ' | ' | 830 | 131 | 798 | |||
Net income (loss) | ' | ' | ' | ' | ' | ' | ' | ' | 808 | ' | ' | |||
Less: noncontrolling interest | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | ' | |||
Net income (loss) attributable to Assured Guaranty Ltd. | ' | ' | ' | ' | ' | ' | ' | ' | 808 | ' | ' | |||
Net income (loss) | ' | ' | ' | ' | ' | ' | ' | ' | ' | 110 | 773 | |||
Comprehensive income (loss) | ' | ' | ' | ' | ' | ' | ' | ' | 453 | 257 | 1,029 | |||
AGUS (Issuer) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Revenues | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Net earned premiums | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Net investment income | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Net realized investment gains (losses) | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Net change in fair value of credit derivatives: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Realized gains (losses) and other settlements | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Net unrealized gains (losses) | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Net change in fair value of credit derivatives | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Other | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Total revenues | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Expenses | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Loss and LAE | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Amortization of DAC | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Interest expense | ' | ' | ' | ' | ' | ' | ' | ' | 28 | 35 | 39 | |||
Other operating expenses | ' | ' | ' | ' | ' | ' | ' | ' | 1 | 2 | 1 | |||
Total expenses | ' | ' | ' | ' | ' | ' | ' | ' | 29 | 37 | 40 | |||
Income (loss) before income taxes | ' | ' | ' | ' | ' | ' | ' | ' | -29 | -37 | -40 | |||
Total (provision) benefit for income taxes | ' | ' | ' | ' | ' | ' | ' | ' | 9 | 13 | 14 | |||
Equity in earnings of subsidiaries | ' | ' | ' | ' | ' | ' | ' | ' | 768 | 177 | 640 | |||
Net income (loss) | ' | ' | ' | ' | ' | ' | ' | ' | 748 | ' | ' | |||
Less: noncontrolling interest | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | ' | |||
Net income (loss) attributable to Assured Guaranty Ltd. | ' | ' | ' | ' | ' | ' | ' | ' | 748 | ' | ' | |||
Net income (loss) | ' | ' | ' | ' | ' | ' | ' | ' | ' | 153 | 614 | |||
Comprehensive income (loss) | ' | ' | ' | ' | ' | ' | ' | ' | 522 | 266 | 824 | |||
AGMH (Issuer) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Revenues | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Net earned premiums | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Net investment income | ' | ' | ' | ' | ' | ' | ' | ' | 1 | 1 | 1 | |||
Net realized investment gains (losses) | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Net change in fair value of credit derivatives: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Realized gains (losses) and other settlements | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Net unrealized gains (losses) | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Net change in fair value of credit derivatives | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Other | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Total revenues | ' | ' | ' | ' | ' | ' | ' | ' | 1 | 1 | 1 | |||
Expenses | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Loss and LAE | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Amortization of DAC | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Interest expense | ' | ' | ' | ' | ' | ' | ' | ' | 54 | 54 | 54 | |||
Other operating expenses | ' | ' | ' | ' | ' | ' | ' | ' | 1 | 1 | 1 | |||
Total expenses | ' | ' | ' | ' | ' | ' | ' | ' | 55 | 55 | 55 | |||
Income (loss) before income taxes | ' | ' | ' | ' | ' | ' | ' | ' | -54 | -54 | -54 | |||
Total (provision) benefit for income taxes | ' | ' | ' | ' | ' | ' | ' | ' | 17 | 19 | 19 | |||
Equity in earnings of subsidiaries | ' | ' | ' | ' | ' | ' | ' | ' | 701 | 424 | 398 | |||
Net income (loss) | ' | ' | ' | ' | ' | ' | ' | ' | 664 | ' | ' | |||
Less: noncontrolling interest | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | ' | |||
Net income (loss) attributable to Assured Guaranty Ltd. | ' | ' | ' | ' | ' | ' | ' | ' | 664 | ' | ' | |||
Net income (loss) | ' | ' | ' | ' | ' | ' | ' | ' | ' | 389 | 363 | |||
Comprehensive income (loss) | ' | ' | ' | ' | ' | ' | ' | ' | 515 | 465 | 507 | |||
Other Entities | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Revenues | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Net earned premiums | ' | ' | ' | ' | ' | ' | ' | ' | 740 | 833 | 904 | |||
Net investment income | ' | ' | ' | ' | ' | ' | ' | ' | 408 | 422 | 410 | |||
Net realized investment gains (losses) | ' | ' | ' | ' | ' | ' | ' | ' | 87 | 1 | -18 | |||
Net change in fair value of credit derivatives: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Realized gains (losses) and other settlements | ' | ' | ' | ' | ' | ' | ' | ' | -42 | -108 | 6 | |||
Net unrealized gains (losses) | ' | ' | ' | ' | ' | ' | ' | ' | 107 | -477 | 554 | |||
Net change in fair value of credit derivatives | ' | ' | ' | ' | ' | ' | ' | ' | 65 | -585 | 560 | |||
Other | ' | ' | ' | ' | ' | ' | ' | ' | 348 | 284 | -48 | |||
Total revenues | ' | ' | ' | ' | ' | ' | ' | ' | 1,648 | 955 | 1,808 | |||
Expenses | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Loss and LAE | ' | ' | ' | ' | ' | ' | ' | ' | 144 | 509 | 440 | |||
Amortization of DAC | ' | ' | ' | ' | ' | ' | ' | ' | 12 | 28 | 37 | |||
Interest expense | ' | ' | ' | ' | ' | ' | ' | ' | 20 | 22 | 21 | |||
Other operating expenses | ' | ' | ' | ' | ' | ' | ' | ' | 199 | 194 | 194 | |||
Total expenses | ' | ' | ' | ' | ' | ' | ' | ' | 375 | 753 | 692 | |||
Income (loss) before income taxes | ' | ' | ' | ' | ' | ' | ' | ' | 1,273 | 202 | 1,116 | |||
Total (provision) benefit for income taxes | ' | ' | ' | ' | ' | ' | ' | ' | -387 | -38 | -277 | |||
Equity in earnings of subsidiaries | ' | ' | ' | ' | ' | ' | ' | ' | 19 | 153 | 614 | |||
Net income (loss) | ' | ' | ' | ' | ' | ' | ' | ' | 905 | ' | ' | |||
Less: noncontrolling interest | ' | ' | ' | ' | ' | ' | ' | ' | 19 | ' | ' | |||
Net income (loss) attributable to Assured Guaranty Ltd. | ' | ' | ' | ' | ' | ' | ' | ' | 886 | ' | ' | |||
Net income (loss) | ' | ' | ' | ' | ' | ' | ' | ' | ' | 317 | 1,453 | |||
Comprehensive income (loss) | ' | ' | ' | ' | ' | ' | ' | ' | 309 | 577 | 1,918 | |||
Consolidating Adjustments | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Revenues | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Net earned premiums | ' | ' | ' | ' | ' | ' | ' | ' | 12 | 20 | 16 | |||
Net investment income | ' | ' | ' | ' | ' | ' | ' | ' | -16 | -19 | -15 | |||
Net realized investment gains (losses) | ' | ' | ' | ' | ' | ' | ' | ' | -35 | 0 | 0 | |||
Net change in fair value of credit derivatives: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Realized gains (losses) and other settlements | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Net unrealized gains (losses) | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Net change in fair value of credit derivatives | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | |||
Other | ' | ' | ' | ' | ' | ' | ' | ' | -2 | -3 | -5 | |||
Total revenues | ' | ' | ' | ' | ' | ' | ' | ' | -41 | -2 | -4 | |||
Expenses | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Loss and LAE | ' | ' | ' | ' | ' | ' | ' | ' | 10 | -5 | 8 | |||
Amortization of DAC | ' | ' | ' | ' | ' | ' | ' | ' | 0 | -14 | -20 | |||
Interest expense | ' | ' | ' | ' | ' | ' | ' | ' | -20 | -19 | -15 | |||
Other operating expenses | ' | ' | ' | ' | ' | ' | ' | ' | -5 | -6 | -9 | |||
Total expenses | ' | ' | ' | ' | ' | ' | ' | ' | -15 | -44 | -36 | |||
Income (loss) before income taxes | ' | ' | ' | ' | ' | ' | ' | ' | -26 | 42 | 32 | |||
Total (provision) benefit for income taxes | ' | ' | ' | ' | ' | ' | ' | ' | 27 | -16 | -12 | |||
Equity in earnings of subsidiaries | ' | ' | ' | ' | ' | ' | ' | ' | -2,318 | -885 | -2,450 | |||
Net income (loss) | ' | ' | ' | ' | ' | ' | ' | ' | -2,317 | ' | ' | |||
Less: noncontrolling interest | ' | ' | ' | ' | ' | ' | ' | ' | -19 | ' | ' | |||
Net income (loss) attributable to Assured Guaranty Ltd. | ' | ' | ' | ' | ' | ' | ' | ' | -2,298 | ' | ' | |||
Net income (loss) | ' | ' | ' | ' | ' | ' | ' | ' | ' | -859 | -2,430 | |||
Comprehensive income (loss) | ' | ' | ' | ' | ' | ' | ' | ' | ($1,346) | ($1,308) | ($3,249) | |||
[1] | Excludes $60 million, $153 million and $75 million for the year ended December 31, 2013, 2012 and 2011, respectively, related to consolidated FG VIEs. | |||||||||||||
[2] | Except for net estimated credit impairments (i.e., net expected loss to be paid as discussed in Note 6), the unrealized gains and losses on credit derivatives are expected to reduce to zero as the exposure approaches its maturity date. With considerable volatility continuing in the market, unrealized gains (losses) on credit derivatives may fluctuate significantly in future periods. |
Subsidiary_Information_Condens2
Subsidiary Information - Condensed Consolidating Statement of Cash Flows (Details) (USD $) | 12 Months Ended | ||
In Millions, unless otherwise specified | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 |
Condensed financial statements | ' | ' | ' |
Net cash flows provided by (used in) operating activities | $244 | ($165) | $676 |
Fixed-maturity securities: | ' | ' | ' |
Purchases | -1,886 | -1,649 | -2,308 |
Sales | 1,029 | 912 | 1,107 |
Maturities | 883 | 1,105 | 663 |
Sales (purchases) of short-term investments, net | -87 | 29 | 320 |
Net proceeds from financial guaranty variable entities’ assets | 663 | 545 | 760 |
Acquisition of MAC | 0 | -91 | 0 |
Intercompany debt | 0 | 0 | ' |
Investment in subsidiary | 0 | 0 | 0 |
Other | 79 | 92 | 19 |
Net cash flows provided by (used in) investing activities | 681 | 943 | 561 |
Cash flows from financing activities | ' | ' | ' |
Issuance of common stock | 0 | 173 | 0 |
Return of capital | 0 | 0 | 0 |
Capital contribution from parent | 0 | 0 | ' |
Dividends paid | -75 | -69 | -33 |
Repurchases of common stock | -264 | -24 | -23 |
Share activity under option and incentive plans | -1 | -3 | -1 |
Net paydowns of financial guaranty variable entities’ liabilities | -511 | -724 | -1,053 |
Repayment of long-term debt | -27 | -209 | -22 |
Intercompany debt | 0 | 0 | ' |
Net cash flows provided by (used in) financing activities | -878 | -856 | -1,132 |
Effect of exchange rate changes | -1 | 1 | 2 |
Increase (decrease) in cash | 46 | -77 | 107 |
Cash at beginning of period | 138 | 215 | 108 |
Cash at end of period | 184 | 138 | 215 |
Assured Guaranty Ltd. (Parent) | ' | ' | ' |
Condensed financial statements | ' | ' | ' |
Net cash flows provided by (used in) operating activities | 128 | 138 | 68 |
Fixed-maturity securities: | ' | ' | ' |
Purchases | 0 | -211 | 0 |
Sales | 176 | 0 | 0 |
Maturities | 29 | 3 | 0 |
Sales (purchases) of short-term investments, net | 7 | -7 | -11 |
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | 0 |
Acquisition of MAC | ' | 0 | ' |
Intercompany debt | 0 | 0 | ' |
Investment in subsidiary | 0 | 0 | 0 |
Other | 0 | 0 | 0 |
Net cash flows provided by (used in) investing activities | 212 | -215 | -11 |
Cash flows from financing activities | ' | ' | ' |
Issuance of common stock | ' | 173 | ' |
Return of capital | 0 | 0 | 0 |
Capital contribution from parent | 0 | 0 | ' |
Dividends paid | -75 | -69 | -33 |
Repurchases of common stock | -264 | -24 | -23 |
Share activity under option and incentive plans | -1 | -3 | -1 |
Net paydowns of financial guaranty variable entities’ liabilities | 0 | 0 | 0 |
Repayment of long-term debt | 0 | 0 | 0 |
Intercompany debt | 0 | 0 | ' |
Net cash flows provided by (used in) financing activities | -340 | 77 | -57 |
Effect of exchange rate changes | 0 | 0 | 0 |
Increase (decrease) in cash | 0 | 0 | 0 |
Cash at beginning of period | 0 | 0 | 0 |
Cash at end of period | 0 | 0 | 0 |
AGUS (Issuer) | ' | ' | ' |
Condensed financial statements | ' | ' | ' |
Net cash flows provided by (used in) operating activities | 178 | 6 | 84 |
Fixed-maturity securities: | ' | ' | ' |
Purchases | -93 | -1 | 0 |
Sales | 1 | 0 | 0 |
Maturities | 3 | 0 | 0 |
Sales (purchases) of short-term investments, net | -28 | 27 | -25 |
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | 0 |
Acquisition of MAC | ' | -91 | ' |
Intercompany debt | 0 | 0 | ' |
Investment in subsidiary | 0 | 0 | 0 |
Other | 0 | 0 | 0 |
Net cash flows provided by (used in) investing activities | -117 | -65 | -25 |
Cash flows from financing activities | ' | ' | ' |
Issuance of common stock | ' | 0 | ' |
Return of capital | 0 | 0 | 0 |
Capital contribution from parent | 0 | 0 | ' |
Dividends paid | 0 | 0 | 0 |
Repurchases of common stock | 0 | 0 | 0 |
Share activity under option and incentive plans | 0 | 0 | 0 |
Net paydowns of financial guaranty variable entities’ liabilities | 0 | 0 | 0 |
Repayment of long-term debt | 0 | -173 | 0 |
Intercompany debt | -7 | 173 | ' |
Net cash flows provided by (used in) financing activities | -7 | 0 | 0 |
Effect of exchange rate changes | 0 | 0 | 0 |
Increase (decrease) in cash | 54 | -59 | 59 |
Cash at beginning of period | 13 | 72 | 13 |
Cash at end of period | 67 | 13 | 72 |
AGMH (Issuer) | ' | ' | ' |
Condensed financial statements | ' | ' | ' |
Net cash flows provided by (used in) operating activities | 133 | 20 | -36 |
Fixed-maturity securities: | ' | ' | ' |
Purchases | -26 | -13 | -14 |
Sales | 25 | 13 | 0 |
Maturities | 2 | 6 | 1 |
Sales (purchases) of short-term investments, net | -15 | 26 | -1 |
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | 0 |
Acquisition of MAC | ' | 0 | ' |
Intercompany debt | 0 | 0 | ' |
Investment in subsidiary | 49 | 46 | 50 |
Other | 0 | 0 | 0 |
Net cash flows provided by (used in) investing activities | 35 | 78 | 36 |
Cash flows from financing activities | ' | ' | ' |
Issuance of common stock | ' | 0 | ' |
Return of capital | 0 | 0 | 0 |
Capital contribution from parent | 0 | 0 | ' |
Dividends paid | -168 | -98 | 0 |
Repurchases of common stock | 0 | 0 | 0 |
Share activity under option and incentive plans | 0 | 0 | 0 |
Net paydowns of financial guaranty variable entities’ liabilities | 0 | 0 | 0 |
Repayment of long-term debt | 0 | 0 | 0 |
Intercompany debt | 0 | 0 | ' |
Net cash flows provided by (used in) financing activities | -168 | -98 | 0 |
Effect of exchange rate changes | 0 | 0 | 0 |
Increase (decrease) in cash | 0 | 0 | 0 |
Cash at beginning of period | 0 | 0 | 0 |
Cash at end of period | 0 | 0 | 0 |
Other Entities | ' | ' | ' |
Condensed financial statements | ' | ' | ' |
Net cash flows provided by (used in) operating activities | 347 | 5 | 676 |
Fixed-maturity securities: | ' | ' | ' |
Purchases | -1,832 | -1,424 | -2,294 |
Sales | 892 | 899 | 1,107 |
Maturities | 849 | 1,096 | 662 |
Sales (purchases) of short-term investments, net | -51 | -17 | 357 |
Net proceeds from financial guaranty variable entities’ assets | 663 | 545 | 760 |
Acquisition of MAC | ' | 0 | ' |
Intercompany debt | 7 | -173 | ' |
Investment in subsidiary | 0 | 0 | 0 |
Other | 79 | 92 | 19 |
Net cash flows provided by (used in) investing activities | 607 | 1,018 | 611 |
Cash flows from financing activities | ' | ' | ' |
Issuance of common stock | ' | 0 | ' |
Return of capital | -50 | -50 | -50 |
Capital contribution from parent | 1 | 4 | ' |
Dividends paid | -374 | -236 | -116 |
Repurchases of common stock | 0 | 0 | 0 |
Share activity under option and incentive plans | 0 | 0 | 0 |
Net paydowns of financial guaranty variable entities’ liabilities | -511 | -724 | -1,053 |
Repayment of long-term debt | -27 | -36 | -22 |
Intercompany debt | 0 | 0 | ' |
Net cash flows provided by (used in) financing activities | -961 | -1,042 | -1,241 |
Effect of exchange rate changes | -1 | 1 | 2 |
Increase (decrease) in cash | -8 | -18 | 48 |
Cash at beginning of period | 125 | 143 | 95 |
Cash at end of period | 117 | 125 | 143 |
Consolidating Adjustments | ' | ' | ' |
Condensed financial statements | ' | ' | ' |
Net cash flows provided by (used in) operating activities | -542 | -334 | -116 |
Fixed-maturity securities: | ' | ' | ' |
Purchases | 65 | 0 | 0 |
Sales | -65 | 0 | 0 |
Maturities | 0 | 0 | 0 |
Sales (purchases) of short-term investments, net | 0 | 0 | 0 |
Net proceeds from financial guaranty variable entities’ assets | 0 | 0 | 0 |
Acquisition of MAC | ' | 0 | ' |
Intercompany debt | -7 | 173 | ' |
Investment in subsidiary | -49 | -46 | -50 |
Other | 0 | 0 | 0 |
Net cash flows provided by (used in) investing activities | -56 | 127 | -50 |
Cash flows from financing activities | ' | ' | ' |
Issuance of common stock | ' | 0 | ' |
Return of capital | 50 | 50 | 50 |
Capital contribution from parent | -1 | -4 | ' |
Dividends paid | 542 | 334 | 116 |
Repurchases of common stock | 0 | 0 | 0 |
Share activity under option and incentive plans | 0 | 0 | 0 |
Net paydowns of financial guaranty variable entities’ liabilities | 0 | 0 | 0 |
Repayment of long-term debt | 0 | 0 | 0 |
Intercompany debt | 7 | -173 | ' |
Net cash flows provided by (used in) financing activities | 598 | 207 | 166 |
Effect of exchange rate changes | 0 | 0 | 0 |
Increase (decrease) in cash | 0 | 0 | 0 |
Cash at beginning of period | 0 | 0 | 0 |
Cash at end of period | $0 | $0 | $0 |
Quarterly_Financial_Informatio2
Quarterly Financial Information (Unaudited) (Details) (USD $) | 0 Months Ended | 3 Months Ended | 12 Months Ended | |||||||||||||||||||||
In Millions, except Per Share data, unless otherwise specified | Feb. 07, 2013 | Feb. 09, 2012 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Jun. 30, 2012 | Mar. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | |||||||||||
Revenues | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||
Net earned premiums | ' | ' | $182 | $159 | $163 | $248 | $218 | $222 | $219 | $194 | $752 | [1] | $853 | [1] | $920 | [1] | ||||||||
Net investment income | ' | ' | 107 | 99 | 93 | 94 | 103 | 102 | 101 | 98 | 393 | 404 | 396 | |||||||||||
Net realized investment gains (losses) | ' | ' | 29 | -7 | 2 | 28 | 1 | 2 | -3 | 1 | 52 | 1 | -18 | |||||||||||
Net change in fair value of credit derivatives | ' | ' | 229 | 354 | 74 | -592 | -119 | -36 | 261 | -691 | 65 | -585 | 560 | |||||||||||
Fair value gains (losses) on CCS | ' | ' | 14 | 9 | -3 | -10 | -6 | -2 | 4 | -14 | 10 | -18 | 35 | |||||||||||
Fair value gains (losses) on FG VIEs | ' | ' | 93 | 40 | 143 | 70 | 30 | 34 | 168 | -41 | 346 | 191 | -146 | |||||||||||
Other income (loss) | ' | ' | -5 | 16 | -7 | -14 | -4 | 16 | 5 | 91 | -10 | 108 | 58 | |||||||||||
Expenses | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||
Loss and LAE | ' | ' | 85 | 55 | 62 | -48 | 58 | 86 | 118 | 242 | 154 | 504 | 448 | |||||||||||
Amortization of DAC | ' | ' | 4 | 4 | 1 | 3 | 0 | 4 | 5 | 5 | 12 | 14 | 17 | |||||||||||
Interest expense | ' | ' | 19 | 21 | 21 | 21 | 21 | 21 | 25 | 25 | 82 | 92 | 99 | |||||||||||
Other operating expenses | ' | ' | 52 | 54 | 52 | 60 | 49 | 48 | 53 | 62 | 218 | 212 | 212 | |||||||||||
Income (loss) before provision for income taxes | ' | ' | 489 | 536 | 329 | -212 | 95 | 179 | 554 | -696 | 1,142 | 132 | 1,029 | |||||||||||
Provision (benefit) for income taxes | ' | ' | 140 | 152 | 110 | -68 | 21 | 37 | 177 | -213 | 334 | 22 | 256 | |||||||||||
Net income (loss) | ' | ' | $349 | $384 | $219 | ($144) | $74 | $142 | $377 | ($483) | $808 | $110 | $773 | |||||||||||
Earnings (loss) per share, Basic (in dollars per share) | ' | ' | $1.91 | [2] | $2.10 | [2] | $1.17 | [2] | ($0.74) | [2] | $0.38 | [2] | $0.73 | [2] | $2.02 | [2] | ($2.65) | [2] | $4.32 | [2] | $0.58 | [2] | $4.21 | |
Earnings (loss) per share, Diluted (in dollars per share) | ' | ' | $1.90 | [2] | $2.09 | [2] | $1.16 | [2] | ($0.74) | [2] | $0.38 | [2] | $0.73 | [2] | $2.01 | [2] | ($2.65) | [2] | $4.30 | [2] | $0.57 | [2] | $4.16 | |
Dividends per share | $0.10 | $0.09 | $0.10 | [2] | $0.10 | [2] | $0.10 | [2] | $0.10 | [2] | $0.09 | [2] | $0.09 | [2] | $0.09 | [2] | $0.09 | [2] | $0.40 | [2] | $0.36 | [2] | $0.18 | |
[1] | Excludes $60 million, $153 million and $75 million for the year ended December 31, 2013, 2012 and 2011, respectively, related to consolidated FG VIEs. | |||||||||||||||||||||||
[2] | Per share amounts for the quarters and the full years have each been calculated separately. Accordingly, quarterly amounts may not sum up to the annual amounts because of differences in the average common shares outstanding during each period and, with regard to diluted per share amounts only, because of the inclusion of the effect of potentially dilutive securities only in the periods in which such effect would have been dilutive. |