Document_and_Entity_Informatio
Document and Entity Information | 9 Months Ended | |
Sep. 30, 2014 | Nov. 03, 2014 | |
Document And Entity Information [Abstract] | ' | ' |
Entity Registrant Name | 'ASSURED GUARANTY LTD | ' |
Entity Central Index Key | '0001273813 | ' |
Document Type | '10-Q | ' |
Document Period End Date | 30-Sep-14 | ' |
Amendment Flag | 'false | ' |
Current Fiscal Year End Date | '--12-31 | ' |
Entity Current Reporting Status | 'Yes | ' |
Entity Filer Category | 'Large Accelerated Filer | ' |
Entity Common Stock, Shares Outstanding | ' | 161,989,034 |
Document Fiscal Year Focus | '2014 | ' |
Document Fiscal Period Focus | 'Q3 | ' |
Consolidated_Balance_Sheets
Consolidated Balance Sheets (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | |
In Millions, unless otherwise specified | |||
Investment portfolio: | ' | ' | |
Fixed-maturity securities, available-for-sale, at fair value (amortized cost of $10,019 and $9,488) | $10,485 | $9,711 | |
Short-term investments, at fair value | 837 | 904 | |
Other invested assets | 127 | 170 | |
Total investment portfolio | 11,449 | 10,785 | |
Cash | 82 | 184 | |
Premiums receivable, net of commissions payable | 801 | [1] | 876 |
Ceded unearned premium reserve | 420 | 452 | |
Deferred acquisition costs | 120 | 124 | |
Reinsurance recoverable on unpaid losses | 56 | 36 | |
Salvage and subrogation recoverable | 294 | 174 | |
Credit derivative assets | 86 | 94 | |
Deferred tax asset, net | 474 | 688 | |
Financial guaranty variable interest entities’ assets, at fair value | 1,296 | 2,565 | |
Other assets | 291 | 309 | |
Total assets | 15,369 | 16,287 | |
Liabilities and shareholders’ equity | ' | ' | |
Unearned premium reserve | 4,263 | 4,595 | |
Loss and loss adjustment expense reserve | 760 | 592 | |
Reinsurance balances payable, net | 148 | 148 | |
Long-term debt | 1,303 | 816 | |
Credit derivative liabilities | 1,654 | 1,787 | |
Current income tax payable | 40 | 44 | |
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 1,326 | 1,790 | |
Financial guaranty variable interest entities’ liabilities without recourse, at fair value | 133 | 1,081 | |
Other liabilities | 388 | 319 | |
Total liabilities | 10,015 | 11,172 | |
Commitments and contingencies (See Note 14) | ' | ' | |
Common stock ($0.01 par value, 500,000,000 shares authorized; 164,580,427 and 182,177,866 shares issued and outstanding in 2014 and 2013) | 2 | 2 | |
Additional paid-in capital | 2,035 | 2,466 | |
Retained earnings | 2,979 | 2,482 | |
Accumulated other comprehensive income, net of tax of $148 and $71 | 333 | 160 | |
Deferred equity compensation (320,193 and 320,193 shares) | 5 | 5 | |
Total shareholders’ equity | 5,354 | 5,115 | |
Total liabilities and shareholders’ equity | $15,369 | $16,287 | |
[1] | Excludes $18 million and $19 million as of September 30, 2014 and September 30, 2013, respectively, related to consolidated FG VIEs. |
Consolidated_Balance_Sheets_Pa
Consolidated Balance Sheets (Parenthetical) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
In Millions, except Share data, unless otherwise specified | ||
Statement of Financial Position [Abstract] | ' | ' |
Fixed maturity securities, available-for-sale, at fair value | $10,019 | $9,488 |
Common stock Par Value (per share) | $0.01 | $0.01 |
Common stock, shares authorized | 500,000,000 | 500,000,000 |
Common stock, shares issued | 164,580,427 | 182,177,866 |
Common stock, shares outstanding | 164,580,427 | 182,177,866 |
Accumulated other comprehensive income, tax provision | $148 | $71 |
Deferred equity compensation, shares | 320,193 | 320,193 |
Consolidated_Statements_of_Ope
Consolidated Statements of Operations (USD $) | 3 Months Ended | 9 Months Ended | ||||||
In Millions, except Per Share data, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | ||||
Revenues | ' | ' | ' | ' | ||||
Net earned premiums | $144 | [1] | $159 | [1] | $412 | [1] | $570 | [1] |
Net investment income | 102 | 99 | 301 | 286 | ||||
Net realized investment gains (losses): | ' | ' | ' | ' | ||||
Other-than-temporary impairment losses | -17 | -3 | -47 | -20 | ||||
Less: portion of other-than-temporary impairment loss recognized in other comprehensive income | 4 | 5 | -9 | 0 | ||||
Net impairment loss | -21 | -8 | -38 | -20 | ||||
Other net realized investment gains (losses) | 2 | 1 | 13 | 43 | ||||
Net realized investment gains (losses) | -19 | -7 | -25 | 23 | ||||
Net change in fair value of credit derivatives: | ' | ' | ' | ' | ||||
Realized gains (losses) and other settlements | -14 | 24 | 20 | -44 | ||||
Net unrealized gains (losses) | 269 | [2] | 330 | [2] | 127 | [2] | -120 | [2] |
Net change in fair value of credit derivatives | 255 | 354 | 147 | -164 | ||||
Fair value gains (losses) on committed capital securities | 4 | 9 | -11 | -4 | ||||
Fair value gains (losses) on financial guaranty variable interest entities | 50 | 40 | 232 | 253 | ||||
Other income (loss) | -11 | 16 | 17 | -5 | ||||
Total revenues | 525 | 670 | 1,073 | 959 | ||||
Expenses | ' | ' | ' | ' | ||||
Loss and loss adjustment expenses | -44 | 55 | 54 | 69 | ||||
Amortization of deferred acquisition costs | 4 | 4 | 12 | 8 | ||||
Interest expense | 27 | 21 | 67 | 63 | ||||
Other operating expenses | 50 | 54 | 165 | 166 | ||||
Total expenses | 37 | 134 | 298 | 306 | ||||
Income (loss) before income taxes | 488 | 536 | 775 | 653 | ||||
Provision (benefit) for income taxes | ' | ' | ' | ' | ||||
Current | 36 | 67 | 75 | 125 | ||||
Deferred | 97 | 85 | 144 | 69 | ||||
Total provision (benefit) for income taxes | 133 | 152 | 219 | 194 | ||||
Net income (loss) | $355 | $384 | $556 | $459 | ||||
Earnings per share: | ' | ' | ' | ' | ||||
Basic (per share) | $2.10 | $2.10 | $3.15 | $2.44 | ||||
Diluted (per share) | $2.09 | $2.09 | $3.13 | $2.43 | ||||
Dividends, per share (in dollars per share) | $0.11 | $0.10 | $0.33 | $0.30 | ||||
[1] | Excludes $5 million and $14 million for Third Quarter 2014 and 2013, respectively, and $27 million and $47 million for Nine Months 2014 and 2013, 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 5), 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. |
Consolidated_Statements_of_Com
Consolidated Statements of Comprehensive Income (USD $) | 3 Months Ended | 9 Months Ended | ||
In Millions, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Statement of Comprehensive Income [Abstract] | ' | ' | ' | ' |
Net income (loss) | $355 | $384 | $556 | $459 |
Unrealized holding gains (losses) arising during the period on: | ' | ' | ' | ' |
Investments with no other-than-temporary impairment, net of tax provision (benefit) of $4, $(1), $74 and $(99) | -5 | -11 | 164 | -280 |
Investments with other-than-temporary impairment, net of tax provision (benefit) of $1, $(2), $(4) and $(17) | 1 | -2 | -8 | -34 |
Unrealized holding gains (losses) arising during the period, net of tax | -4 | -13 | 156 | -314 |
Less: reclassification adjustment for gains (losses) included in net income (loss), net of tax provision (benefit) of $(5), $(2), $(9) and $(4) | -10 | -3 | -19 | -4 |
Change in net unrealized gains on investments | 6 | -10 | 175 | -310 |
Other, net of tax provision | -5 | 7 | -2 | 1 |
Other comprehensive income (loss) | 1 | -3 | 173 | -309 |
Comprehensive income (loss) | $356 | $381 | $729 | $150 |
Consolidated_Statements_of_Com1
Consolidated Statements of Comprehensive Income (Parenthetical) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Millions, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Statement of Comprehensive Income [Abstract] | ' | ' | ' | ' |
Investments with no other-than-temporary impairment, tax provision (benefit) | $4 | ($1) | $74 | ($99) |
Investments with other-than-temporary impairment, tax provision (benefit) | 1 | -2 | -4 | -17 |
Reclassification adjustment for gains (losses) included in net income (loss), tax provision (benefit) | ($5) | ($2) | ($9) | ($4) |
Consolidated_Statement_of_Shar
Consolidated Statement of Shareholders' Equity (USD $) | Total | 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, 2013 | $5,115 | $2 | $2,466 | $2,482 | $160 | $5 |
Balance (in shares) at Dec. 31, 2013 | ' | 182,177,866 | ' | ' | ' | ' |
Increase (Decrease) in Shareholders' Equity | ' | ' | ' | ' | ' | ' |
Net income (loss) | 556 | ' | ' | 556 | ' | ' |
Dividends ($0.33 per share) | -59 | ' | ' | -59 | ' | ' |
Common stock repurchases (in shares) | ' | -18,025,594 | ' | ' | ' | ' |
Common stock repurchases | -438 | ' | -438 | ' | ' | ' |
Share-based compensation and other (in shares) | ' | 428,155 | ' | ' | ' | ' |
Share-based compensation and other | 7 | ' | 7 | ' | ' | ' |
Other comprehensive income | 173 | ' | ' | ' | 173 | ' |
Balance at Sep. 30, 2014 | 5,354 | 2 | 2,035 | 2,979 | 333 | 5 |
Balance (in shares) at Sep. 30, 2014 | ' | 164,580,427 | ' | ' | ' | ' |
Balance at Jun. 30, 2014 | ' | ' | ' | ' | ' | ' |
Increase (Decrease) in Shareholders' Equity | ' | ' | ' | ' | ' | ' |
Net income (loss) | 355 | ' | ' | ' | ' | ' |
Other comprehensive income | 1 | ' | ' | ' | 1 | ' |
Balance at Sep. 30, 2014 | $5,354 | ' | ' | ' | $333 | $5 |
Consolidated_Statement_of_Shar1
Consolidated Statement of Shareholders' Equity (Parenthetical) (USD $) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | |
Statement of Stockholders' Equity [Abstract] | ' | ' | ' | ' |
Dividends, per share (in dollars per share) | $0.11 | $0.10 | $0.33 | $0.30 |
Consolidated_Statements_of_Cas
Consolidated Statements of Cash Flows (USD $) | 9 Months Ended | |||
In Millions, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | ||
Statement of Cash Flows [Abstract] | ' | ' | ||
Net cash flows provided by (used in) operating activities | $347 | [1] | $146 | [1] |
Fixed-maturity securities: | ' | ' | ||
Purchases | -2,031 | -1,563 | ||
Sales | 951 | 812 | ||
Maturities | 557 | 643 | ||
Net sales (purchases) of short-term investments | 89 | 44 | ||
Proceeds from paydowns on financial guaranty variable interest entities’ assets | 346 | 553 | ||
Other | 9 | 81 | ||
Net cash flows provided by (used in) investing activities | -79 | 570 | ||
Financing activities | ' | ' | ||
Dividends paid | -58 | -57 | ||
Repurchases of common stock | -438 | -259 | ||
Share activity under option and incentive plans | -1 | 0 | ||
Paydowns of financial guaranty variable interest entities’ liabilities | -348 | -409 | ||
Net proceeds from issuance of long-term debt | 495 | 0 | ||
Repayment of long-term debt | -18 | -22 | ||
Net cash flows provided by (used in) financing activities | -368 | -747 | ||
Effect of exchange rate changes | -2 | -1 | ||
Increase (decrease) in cash | -102 | -32 | ||
Cash at beginning of period | 184 | 138 | ||
Cash at end of period | 82 | 106 | ||
Cash paid (received) during the period for: | ' | ' | ||
Income taxes | 68 | 81 | ||
Interest | $45 | $47 | ||
[1] | (1)Assured Guaranty Ltd., AGUS and AGMH net cash flows provided by (used in) operating activities includes dividends from subsidiaries. |
Business_and_Basis_of_Presenta
Business and Basis of Presentation | 9 Months Ended | |
Sep. 30, 2014 | ||
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 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 to 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 unaudited interim 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. These unaudited interim consolidated financial statements are as of September 30, 2014 and cover the three-month period ended September 30, 2014 ("Third Quarter 2014"), the three-month period ended September 30, 2013 ("Third Quarter 2013"), the nine-month period ended September 30, 2014 ("Nine Months 2014") and the nine-month period ended September 30, 2013 ("Nine Months 2013"). Certain financial information that is normally included in annual financial statements prepared in accordance with GAAP, but is not required for interim reporting purposes, has been condensed or omitted. The year-end balance sheet data was derived from audited financial statements. | ||
The unaudited interim 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. | ||
These unaudited interim consolidated financial statements should be read in conjunction with the consolidated financial statements included in AGL’s Annual Report on Form 10-K for the year ended December 31, 2013, filed with the U.S. Securities and Exchange Commission (the “SEC”). | ||
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. ("AGE"), organized in the United Kingdom; and | |
• | Assured Guaranty Re Ltd. (“AG Re”), domiciled in Bermuda. | |
The Company’s organizational structure includes various holding companies, two of which — Assured Guaranty US Holdings Inc. (“AGUS”) and Assured Guaranty Municipal Holdings Inc. (“AGMH”) — have public debt outstanding. See Note 15, Long Term Debt and Credit Facilities. |
Rating_Actions
Rating Actions | 9 Months Ended | |
Sep. 30, 2014 | ||
Business Changes, Risks, Uncertainties and Accounting Developments [Abstract] | ' | |
Rating Actions | ' | |
Rating Actions | ||
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 the rating agencies 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 strong financial strength ratings. However, the methodologies and models used by rating agencies 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 are subject to continuous review and revision or withdrawal at any time. 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. | ||
In the last several years, Standard & Poor's Ratings Services ("S&P") and Moody's Investors Service, Inc. ("Moody's") have changed, multiple times, their financial strength ratings of the Company's insurance subsidiaries, or changed the outlook on such ratings. On July 22, 2013 Kroll Bond Rating Agency ("KBRA") assigned a rating of AA+ to MAC. The rating agencies' most recent actions and proposals related to AGL's insurance subsidiaries are: | ||
• | On March 18, 2014, S&P upgraded the financial strength ratings of all of AGL's insurance subsidiaries to AA (stable outlook) from AA- (stable outlook); it affirmed such ratings in a credit analysis issued on July 2, 2014. | |
• | On July 2, 2014, Moody's affirmed the ratings of AGL and its subsidiaries, but changed to negative the outlook of the financial strength ratings of AGC and its subsidiary Assured Guaranty (UK) Ltd. ("AGUK"). | |
• | On July 15, 2014, Moody’s issued a “Request for Comment” on proposed changes to its credit rating methodology for financial guaranty insurance companies. While Moody’s noted that if changes to the credit rating methodology were adopted as proposed, Moody's does not expect to change outstanding ratings that it has assigned, there can be no assurance that the proposed changes will be adopted as proposed or that, even if they are, Moody’s would not change its ratings on AGM, AGC or AG Re. | |
• | On August 4, 2014, KBRA affirmed MAC's AA+ (stable outlook) financial strength rating. | |
There can be no assurance that any of the rating agencies will not take negative action on their financial strength ratings of the Company's insurance subsidiaries in the future. | ||
For a discussion of the effects of rating actions on the Company, see the following: | ||
• | Note 6, Financial Guaranty Insurance Losses | |
• | Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives | |
• | Note 13, Reinsurance and Other Monoline Exposures | |
• | Note 15, Long Term Debt and Credit Facilities (regarding the impact on the Company's insured leveraged lease transactions) |
Outstanding_Exposure
Outstanding Exposure | 9 Months Ended | |||||||||||||||||||||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||||||||||||||||||||
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, or in the case of restructurings of troubled credits, the Company may underwrite new issuances that one or more of the rating agencies may rate below-investment-grade ("BIG") as part of its loss mitigation strategy. The Company diversifies its insured portfolio across asset classes and, in the structured finance portfolio, maintains rigorous subordination or collateralization requirements. Reinsurance is utilized in order to reduce net exposure to certain insured transactions. | ||||||||||||||||||||||||||||||||||||
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, including variable interest entities ("VIEs"), and backed by pools of assets having an ascertainable cash flow or market value or other specialized financial obligations. Some of these VIEs are consolidated as described in Note 9, Consolidated Variable Interest Entities. Unless otherwise specified, the outstanding par and Debt Service amounts presented in this note include outstanding exposures on VIEs whether or not they are consolidated. | ||||||||||||||||||||||||||||||||||||
Surveillance Categories | ||||||||||||||||||||||||||||||||||||
The Company segregates its insured portfolio into investment grade and 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 the Company's internal credit ratings focus on future performance rather than lifetime performance. | ||||||||||||||||||||||||||||||||||||
The Company monitors its investment grade credits to determine whether any new credits need to be internally downgraded to BIG and 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 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 5, Expected Loss to be Paid, for additional information. 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. 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. 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. 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. | |||||||||||||||||||||||||||||||||||
Components of Outstanding Exposure | ||||||||||||||||||||||||||||||||||||
Unless otherwise noted, ratings disclosed herein on the Company's insured portfolio reflect its 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 | ||||||||||||||||||||||||||||||||||||
Debt Service Outstanding | ||||||||||||||||||||||||||||||||||||
Gross Debt Service | Net Debt Service | |||||||||||||||||||||||||||||||||||
Outstanding | Outstanding | |||||||||||||||||||||||||||||||||||
September 30, | December 31, | September 30, | December 31, | |||||||||||||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
Public finance | $ | 605,569 | $ | 650,924 | $ | 569,974 | $ | 610,011 | ||||||||||||||||||||||||||||
Structured finance | 66,479 | 86,456 | 61,479 | 80,524 | ||||||||||||||||||||||||||||||||
Total financial guaranty | $ | 672,048 | $ | 737,380 | $ | 631,453 | $ | 690,535 | ||||||||||||||||||||||||||||
In addition to the amounts shown in the table above, the Company’s net mortgage guaranty insurance debt service was approximately $140 million as of September 30, 2014 related to loans originated in Ireland and the U.K. | ||||||||||||||||||||||||||||||||||||
Financial Guaranty Portfolio by Internal Rating | ||||||||||||||||||||||||||||||||||||
As of September 30, 2014 | ||||||||||||||||||||||||||||||||||||
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 | Outstanding | Outstanding | Outstanding | Outstanding | Outstanding | |||||||||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||||||||||||
AAA | $ | 4,173 | 1.3 | % | $ | 1,011 | 3 | % | $ | 23,193 | 51.7 | % | $ | 6,442 | 61.8 | % | $ | 34,819 | 8.3 | % | ||||||||||||||||
AA | 96,107 | 29.2 | 388 | 1.2 | 8,115 | 18.1 | 539 | 5.2 | 105,149 | 25.2 | ||||||||||||||||||||||||||
A | 178,484 | 54.2 | 9,451 | 28.2 | 1,849 | 4.1 | 558 | 5.4 | 190,342 | 45.5 | ||||||||||||||||||||||||||
BBB | 41,919 | 12.7 | 21,159 | 63.2 | 3,044 | 6.8 | 1,937 | 18.5 | 68,059 | 16.3 | ||||||||||||||||||||||||||
BIG | 8,542 | 2.6 | 1,478 | 4.4 | 8,673 | 19.3 | 953 | 9.1 | 19,646 | 4.7 | ||||||||||||||||||||||||||
Total net par outstanding (excluding loss mitigation bonds) | $ | 329,225 | 100 | % | $ | 33,487 | 100 | % | $ | 44,874 | 100 | % | $ | 10,429 | 100 | % | $ | 418,015 | 100 | % | ||||||||||||||||
Loss Mitigation Bonds | 29 | — | 1,260 | — | 1,289 | |||||||||||||||||||||||||||||||
Net Par Outstanding (including loss mitigation bonds) | $ | 329,254 | $ | 33,487 | $ | 46,134 | $ | 10,429 | $ | 419,304 | ||||||||||||||||||||||||||
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 | 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 | |||||||||||||||||||||||||||||||
Net Par Outstanding (including loss mitigation bonds) | $ | 352,213 | $ | 33,998 | $ | 60,070 | $ | 14,021 | $ | 460,302 | ||||||||||||||||||||||||||
In addition to amounts shown in the tables above, the Company had outstanding commitments to provide guaranties of $294 million for structured finance and $459 million for public finance obligations at September 30, 2014. The structured finance commitments include the unfunded component of pooled corporate and other transactions. Public finance commitments relate to primary and secondary public finance debt issuances. The expiration dates for the public finance commitments range between October 1, 2014 and February 25, 2017, with $335 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 September 30, 2014 | ||||||||||||||||||||||||||||||||||||
BIG Net Par Outstanding | Net Par | |||||||||||||||||||||||||||||||||||
BIG 1 | BIG 2 | BIG 3 | Total BIG | Outstanding | ||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
First lien U.S. RMBS: | ||||||||||||||||||||||||||||||||||||
Prime first lien | $ | 70 | $ | 266 | $ | 29 | $ | 365 | $ | 488 | ||||||||||||||||||||||||||
Alt-A first lien | 601 | 653 | 658 | 1,912 | 2,986 | |||||||||||||||||||||||||||||||
Option ARM | 18 | 58 | 118 | 194 | 700 | |||||||||||||||||||||||||||||||
Subprime | 214 | 681 | 768 | 1,663 | 4,247 | |||||||||||||||||||||||||||||||
Second lien U.S. RMBS: | ||||||||||||||||||||||||||||||||||||
Closed-end second lien | 21 | 19 | 97 | 137 | 224 | |||||||||||||||||||||||||||||||
Home equity lines of credit (“HELOCs”) | 1,306 | 17 | 283 | 1,606 | 1,817 | |||||||||||||||||||||||||||||||
Total U.S. RMBS | 2,230 | 1,694 | 1,953 | 5,877 | 10,462 | |||||||||||||||||||||||||||||||
Trust preferred securities (“TruPS”) | 1,175 | — | 343 | 1,518 | 4,549 | |||||||||||||||||||||||||||||||
Other structured finance | 1,111 | 405 | 715 | 2,231 | 40,292 | |||||||||||||||||||||||||||||||
U.S. public finance | 6,934 | 1,188 | 420 | 8,542 | 329,225 | |||||||||||||||||||||||||||||||
Non-U.S. public finance | 891 | 587 | — | 1,478 | 33,487 | |||||||||||||||||||||||||||||||
Total | $ | 12,341 | $ | 3,874 | $ | 3,431 | $ | 19,646 | $ | 418,015 | ||||||||||||||||||||||||||
Components of BIG Net Par Outstanding | ||||||||||||||||||||||||||||||||||||
(Insurance and Credit Derivative Form) | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
BIG Net Par Outstanding | Net Par | |||||||||||||||||||||||||||||||||||
BIG 1 | BIG 2 | BIG 3 | Total BIG | Outstanding | ||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
First lien U.S. RMBS: | ||||||||||||||||||||||||||||||||||||
Prime first lien | $ | 52 | $ | 321 | $ | 30 | $ | 403 | $ | 541 | ||||||||||||||||||||||||||
Alt-A first lien | 656 | 1,137 | 935 | 2,728 | 3,590 | |||||||||||||||||||||||||||||||
Option ARM | 71 | 60 | 467 | 598 | 937 | |||||||||||||||||||||||||||||||
Subprime | 297 | 908 | 740 | 1,945 | 6,130 | |||||||||||||||||||||||||||||||
Second lien U.S. RMBS: | ||||||||||||||||||||||||||||||||||||
Closed-end second lien | 8 | 20 | 118 | 146 | 244 | |||||||||||||||||||||||||||||||
HELOCs | 1,499 | 20 | 378 | 1,897 | 2,279 | |||||||||||||||||||||||||||||||
Total U.S. RMBS | 2,583 | 2,466 | 2,668 | 7,717 | 13,721 | |||||||||||||||||||||||||||||||
TruPS | 1,587 | 135 | — | 1,722 | 4,970 | |||||||||||||||||||||||||||||||
Other structured finance | 1,367 | 309 | 721 | 2,397 | 54,237 | |||||||||||||||||||||||||||||||
U.S. public finance | 8,205 | 440 | 449 | 9,094 | 352,181 | |||||||||||||||||||||||||||||||
Non-U.S. public finance | 1,009 | 599 | — | 1,608 | 33,998 | |||||||||||||||||||||||||||||||
Total | $ | 14,751 | $ | 3,949 | $ | 3,838 | $ | 22,538 | $ | 459,107 | ||||||||||||||||||||||||||
BIG Net Par Outstanding | ||||||||||||||||||||||||||||||||||||
and Number of Risks | ||||||||||||||||||||||||||||||||||||
As of September 30, 2014 | ||||||||||||||||||||||||||||||||||||
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 | $ | 10,572 | $ | 1,769 | $ | 12,341 | 176 | 23 | 199 | |||||||||||||||||||||||||||
Category 2 | 2,786 | 1,088 | 3,874 | 79 | 19 | 98 | ||||||||||||||||||||||||||||||
Category 3 | 2,870 | 561 | 3,431 | 116 | 26 | 142 | ||||||||||||||||||||||||||||||
Total BIG | $ | 16,228 | $ | 3,418 | $ | 19,646 | 371 | 68 | 439 | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||
_____________________ | ||||||||||||||||||||||||||||||||||||
(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. | |||||||||||||||||||||||||||||||||||
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 the Company believes heightened uncertainties exist are: Greece, Hungary, Italy, Portugal and Spain (collectively, the “Selected European Countries”). The Company is closely monitoring its exposures in the Selected European Countries where it believes heightened uncertainties exist. Previously, the Company had included Ireland on this list but removed it during Third Quarter 2014 because of Ireland's strengthening economic performance and improving prospects; in 2014, Ireland's long-term foreign currency rating was upgraded one notch by S&P (to ‘A-’) and three notches by Moody’s (to ‘Baa1’). 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 September 30, 2014 | ||||||||||||||||||||||||||||||||||||
Hungary | Italy | Portugal | Spain | Total | ||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
Sovereign and sub-sovereign exposure: | ||||||||||||||||||||||||||||||||||||
Non-infrastructure public finance (2) | $ | — | $ | 929 | $ | 95 | $ | 250 | $ | 1,274 | ||||||||||||||||||||||||||
Infrastructure finance | 327 | 15 | 11 | 140 | 493 | |||||||||||||||||||||||||||||||
Sub-total | 327 | 944 | 106 | 390 | 1,767 | |||||||||||||||||||||||||||||||
Non-sovereign exposure: | ||||||||||||||||||||||||||||||||||||
Regulated utilities | — | 229 | — | — | 229 | |||||||||||||||||||||||||||||||
RMBS | 197 | 280 | — | — | 477 | |||||||||||||||||||||||||||||||
Sub-total | 197 | 509 | — | — | 706 | |||||||||||||||||||||||||||||||
Total | $ | 524 | $ | 1,453 | $ | 106 | $ | 390 | $ | 2,473 | ||||||||||||||||||||||||||
Total BIG (See Note 5) | $ | 524 | $ | — | $ | 106 | $ | 390 | $ | 1,020 | ||||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
-1 | While the Company’s exposures are shown in U.S. dollars, the obligations the Company insures are in various currencies, primarily Euros. 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 | 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. | |||||||||||||||||||||||||||||||||||
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. The Company may also have direct exposures to the Selected European Countries in business assumed from unaffiliated monoline insurance companies, in which case the Company depends upon geographic information provided by the primary insurer. | ||||||||||||||||||||||||||||||||||||
The Company has excluded from the exposure tables above its indirect economic exposure to the Selected European Countries through policies it provides on pooled corporate and 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. Total net indirect exposure to Selected European Countries in non-sovereign pooled corporate and non-sovereign commercial receivables is $425 million and $68 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. | ||||||||||||||||||||||||||||||||||||
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 $4.9 billion net par as of September 30, 2014. The Company rates $4.7 billion net par of that amount BIG. | ||||||||||||||||||||||||||||||||||||
Puerto Rico has experienced significant general fund budget deficits in recent years. These deficits have been covered primarily with the net proceeds of bond issuances, with interim financings provided by Government Development Bank for Puerto Rico (“GDB”) and, in some cases, with onetime revenue measures or expense adjustment measures. In addition to high debt levels, Puerto Rico faces a challenging economic environment. | ||||||||||||||||||||||||||||||||||||
In June 2014, the Puerto Rico legislature passed the Puerto Rico Public Corporation Debt Enforcement and Recovery Act (the "Recovery Act") in order to provide a legislative framework for certain public corporations experiencing severe financial stress to restructure their debt. In its Quarterly Report dated as of July 17, 2014, the Commonwealth stated the Puerto Rico Electric Power Authority (“PREPA”) may need to seek relief under the Recovery Act due to liquidity constraints. In the same report, the Commonwealth disclosed PREPA utilized approximately $42 million on deposit in its reserve account in order to pay debt service due on its bonds on July 1, 2014. Investors in bonds issued by PREPA have filed suit in the United States District Court for the District of Puerto Rico asserting the Recovery Act violates the U.S. Constitution. On August 14, 2014, PREPA entered into forbearance agreements with the GDB, its bank lenders, and bondholders and financial guaranty insurers (including AGM and AGC) that hold or guarantee more than 60% of PREPA's outstanding bonds, in order to address its near-term liquidity issues. Creditors, including those who have challenged the constitutionality of the Recovery Act, agreed not to exercise available rights and remedies until March 31, 2015, and the bank lenders agreed to extend the maturity of two revolving lines of credit to the same date. PREPA agreed it would continue to make principal and interest payments on its outstanding bonds, and interest payments on its lines of credit, and would develop a five year business plan and a recovery program in respect of its operations. | ||||||||||||||||||||||||||||||||||||
Following the enactment of the Recovery Act, S&P, Moody’s and Fitch Ratings lowered the credit rating of the Commonwealth’s bonds and the ratings on certain of Puerto Rico’s public corporations. The Commonwealth disclosed its liquidity has been adversely affected by rating agency downgrades and by the limited market access for its debt. The Commonwealth noted it has relied on short-term financings and interim loans from the GDB and other private lenders, which reliance has constrained its liquidity and increased its near-term refinancing risk. The Commonwealth has also noted it is committed to addressing its fiscal and economic challenges and to repaying the general obligation debt of the Commonwealth and the debt of GDB and the public corporations that are not eligible to seek relief under the Recovery Act. | ||||||||||||||||||||||||||||||||||||
On October 30, 2014, legislation designed to stabilize the Puerto Rico Highway and Transportation Authority ("PRHTA") (“Bill 2212”) was introduced in the Commonwealth legislature. This bill provides for new tax revenues that will support PRHTA and requires the transfer of certain revenues from PHRTA to the Puerto Rico Infrastructure Finance Authority (“PRIFA”) in exchange for PRIFA assuming PRHTA’s debt obligations to GDB and amounts owed under its Bond Anticipation Notes. In addition, Bill 2212 provides for the transfer of operations of the Tren Urbano mass transit system to a new agency, which will reduce PRHTA’s future operating expenses. If the legislation is passed, GDB has indicated that this will allow PRHTA to become self-sufficient and avoid a restructuring through the Recovery Act. | ||||||||||||||||||||||||||||||||||||
Puerto Rico | ||||||||||||||||||||||||||||||||||||
Gross Par and Gross Debt Service Outstanding | ||||||||||||||||||||||||||||||||||||
As of September 30, 2014 | ||||||||||||||||||||||||||||||||||||
Gross Par Outstanding | Gross Debt Service Outstanding | |||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
Subject to the terms of the Recovery Act | $ | 3,058 | $ | 5,328 | ||||||||||||||||||||||||||||||||
Not subject to the terms of the Recovery Act | 2,977 | 4,749 | ||||||||||||||||||||||||||||||||||
Total | $ | 6,035 | $ | 10,077 | ||||||||||||||||||||||||||||||||
The following table shows the Company’s exposure to general obligation bonds of Puerto Rico and various obligations of its related authorities and public corporations. | ||||||||||||||||||||||||||||||||||||
Puerto Rico | ||||||||||||||||||||||||||||||||||||
Net Par Outstanding | ||||||||||||||||||||||||||||||||||||
As of | As of | |||||||||||||||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | |||||||||||||||||||||||||||||||||||
Total | Internal Rating | Total | Internal Rating | |||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
Exposures subject to the terms of the Recovery Act: | ||||||||||||||||||||||||||||||||||||
PRHTA (Transportation revenue) | $ | 844 | BB- | $ | 872 | BB- | ||||||||||||||||||||||||||||||
PREPA | 772 | B- | 860 | BB- | ||||||||||||||||||||||||||||||||
Puerto Rico Aqueduct and Sewer Authority | 384 | BB- | 384 | BB- | ||||||||||||||||||||||||||||||||
PRHTA (Highway revenue) | 273 | BB | 302 | BB | ||||||||||||||||||||||||||||||||
Puerto Rico Convention Center District Authority | 174 | BB- | 185 | BB- | ||||||||||||||||||||||||||||||||
Puerto Rico Public Finance Corporation | — | - | 44 | B | ||||||||||||||||||||||||||||||||
Total | 2,447 | 2,647 | ||||||||||||||||||||||||||||||||||
Exposures not subject to the terms of the Recovery Act: | ||||||||||||||||||||||||||||||||||||
Commonwealth of Puerto Rico - General Obligation Bonds | 1,672 | BB | 1,885 | BB | ||||||||||||||||||||||||||||||||
Puerto Rico Municipal Finance Agency | 400 | BB- | 450 | BB- | ||||||||||||||||||||||||||||||||
Puerto Rico Sales Tax Financing Corporation | 268 | BBB | 268 | A- | ||||||||||||||||||||||||||||||||
Puerto Rico Public Buildings Authority | 101 | BB | 139 | BB | ||||||||||||||||||||||||||||||||
GDB | 33 | BB | 33 | BB | ||||||||||||||||||||||||||||||||
PRIFA | 18 | BB- | 18 | BB- | ||||||||||||||||||||||||||||||||
University of Puerto Rico | 1 | BB- | 1 | BB- | ||||||||||||||||||||||||||||||||
Total | 2,493 | 2,794 | ||||||||||||||||||||||||||||||||||
Total net exposure to Puerto Rico | $ | 4,940 | $ | 5,441 | ||||||||||||||||||||||||||||||||
The following table shows the scheduled 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. In the event that obligors default on their obligations, the Company would only be required to pay the shortfall between the principal and interest due in any given period and the amount paid by the obligors. | ||||||||||||||||||||||||||||||||||||
Amortization Schedule of Puerto Rico BIG Net Par Outstanding | ||||||||||||||||||||||||||||||||||||
and BIG Net Debt Service Outstanding | ||||||||||||||||||||||||||||||||||||
As of September 30, 2014 | ||||||||||||||||||||||||||||||||||||
Scheduled BIG Net Par Amortization | Scheduled BIG Net Debt Service Amortization | |||||||||||||||||||||||||||||||||||
Subject to the Terms of the Recovery Act | Not Subject to the Terms of the Recovery Act | Total | Subject to the Terms of the Recovery Act | Not Subject to the Terms of the Recovery Act | Total | |||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
2014 (October 1 - December 31) | $ | — | $ | — | $ | — | $ | 2 | $ | 1 | $ | 3 | ||||||||||||||||||||||||
2015 | 126 | 205 | 331 | 249 | 318 | 567 | ||||||||||||||||||||||||||||||
2016 | 84 | 183 | 267 | 199 | 287 | 486 | ||||||||||||||||||||||||||||||
2017 | 41 | 166 | 207 | 153 | 262 | 415 | ||||||||||||||||||||||||||||||
2018 | 48 | 109 | 157 | 158 | 195 | 353 | ||||||||||||||||||||||||||||||
2019 | 61 | 126 | 187 | 168 | 207 | 375 | ||||||||||||||||||||||||||||||
2020 | 73 | 182 | 255 | 176 | 258 | 434 | ||||||||||||||||||||||||||||||
2021 | 51 | 58 | 109 | 151 | 124 | 275 | ||||||||||||||||||||||||||||||
2022 | 42 | 67 | 109 | 140 | 129 | 269 | ||||||||||||||||||||||||||||||
2023 | 102 | 40 | 142 | 198 | 99 | 297 | ||||||||||||||||||||||||||||||
2024-2028 | 581 | 351 | 932 | 983 | 597 | 1,580 | ||||||||||||||||||||||||||||||
2029-2033 | 375 | 320 | 695 | 650 | 490 | 1,140 | ||||||||||||||||||||||||||||||
2034 -2038 | 460 | 405 | 865 | 613 | 459 | 1,072 | ||||||||||||||||||||||||||||||
2039 -2043 | 157 | 13 | 170 | 234 | 15 | 249 | ||||||||||||||||||||||||||||||
2044 -2047 | 246 | — | 246 | 284 | — | 284 | ||||||||||||||||||||||||||||||
Total | $ | 2,447 | $ | 2,225 | $ | 4,672 | $ | 4,358 | $ | 3,441 | $ | 7,799 | ||||||||||||||||||||||||
Financial_Guaranty_Insurance_P
Financial Guaranty Insurance Premiums | 9 Months Ended | |||||||||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||||||||
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, unless otherwise noted. See Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives for amounts that relate to CDS. | ||||||||||||||||||||||||
Net Earned Premiums | ||||||||||||||||||||||||
Third Quarter | Nine Months | |||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Scheduled net earned premiums | $ | 105 | $ | 117 | $ | 318 | $ | 358 | ||||||||||||||||
Acceleration of net earned premiums | 36 | 40 | 79 | 199 | ||||||||||||||||||||
Accretion of discount on net premiums receivable | 3 | 2 | 14 | 12 | ||||||||||||||||||||
Financial guaranty insurance net earned premiums | 144 | 159 | 411 | 569 | ||||||||||||||||||||
Other | 0 | 0 | 1 | 1 | ||||||||||||||||||||
Net earned premiums(1) | $ | 144 | $ | 159 | $ | 412 | $ | 570 | ||||||||||||||||
___________________ | ||||||||||||||||||||||||
-1 | Excludes $5 million and $14 million for Third Quarter 2014 and 2013, respectively, and $27 million and $47 million for Nine Months 2014 and 2013, respectively, related to consolidated FG VIEs. | |||||||||||||||||||||||
Components of Unearned Premium Reserve | ||||||||||||||||||||||||
As of September 30, 2014 | As of December 31, 2013 | |||||||||||||||||||||||
Gross | Ceded | Net(1) | Gross | Ceded | Net(1) | |||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Deferred premium revenue: | ||||||||||||||||||||||||
Financial guaranty insurance | $ | 4,322 | $ | 433 | $ | 3,889 | $ | 4,647 | $ | 470 | $ | 4,177 | ||||||||||||
Other | 4 | — | 4 | 5 | — | 5 | ||||||||||||||||||
Deferred premium revenue | $ | 4,326 | $ | 433 | $ | 3,893 | $ | 4,652 | $ | 470 | $ | 4,182 | ||||||||||||
Contra-paid (2) | (63 | ) | (13 | ) | (50 | ) | (57 | ) | (18 | ) | (39 | ) | ||||||||||||
Unearned premium reserve | $ | 4,263 | $ | 420 | $ | 3,843 | $ | 4,595 | $ | 452 | $ | 4,143 | ||||||||||||
____________________ | ||||||||||||||||||||||||
-1 | Excludes $128 million and $187 million of deferred premium revenue, and $49 million and $55 million of contra-paid related to FG VIEs as of September 30, 2014 and December 31, 2013, respectively. | |||||||||||||||||||||||
-2 | See Note 6, "Financial Guaranty Insurance Losses– Insurance Contracts' Loss Information" for an explanation of "contra-paid". | |||||||||||||||||||||||
Gross Premium Receivable, | ||||||||||||||||||||||||
Net of Commissions on Assumed Business | ||||||||||||||||||||||||
Roll Forward | ||||||||||||||||||||||||
Nine Months | ||||||||||||||||||||||||
2014 | 2013 | |||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Beginning of period, December 31 | $ | 876 | $ | 1,005 | ||||||||||||||||||||
Gross premium written, net of commissions on assumed business | 116 | 72 | ||||||||||||||||||||||
Gross premiums received, net of commissions on assumed business | (172 | ) | (167 | ) | ||||||||||||||||||||
Adjustments: | ||||||||||||||||||||||||
Changes in the expected term | (21 | ) | (14 | ) | ||||||||||||||||||||
Accretion of discount, net of commissions on assumed business | 17 | 15 | ||||||||||||||||||||||
Foreign exchange translation | (16 | ) | (7 | ) | ||||||||||||||||||||
Other adjustments | 1 | 2 | ||||||||||||||||||||||
End of period, September 30 (1) | $ | 801 | $ | 906 | ||||||||||||||||||||
____________________ | ||||||||||||||||||||||||
-1 | Excludes $18 million and $19 million as of September 30, 2014 and September 30, 2013, 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 49% and 48% of installment premiums at September 30, 2014 and December 31, 2013 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 September 30, 2014 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
2014 (October 1 – December 31) | $ | 37 | ||||||||||||||||||||||
2015 | 99 | |||||||||||||||||||||||
2016 | 84 | |||||||||||||||||||||||
2017 | 77 | |||||||||||||||||||||||
2018 | 69 | |||||||||||||||||||||||
2019-2023 | 275 | |||||||||||||||||||||||
2024-2028 | 169 | |||||||||||||||||||||||
2029-2033 | 117 | |||||||||||||||||||||||
After 2033 | 125 | |||||||||||||||||||||||
Total(1) | $ | 1,052 | ||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||
-1 | Excludes expected cash collections on FG VIEs of $23 million. | |||||||||||||||||||||||
Scheduled Net Earned Premiums | ||||||||||||||||||||||||
As of September 30, 2014 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
2014 (October 1–December 31) | $ | 99 | ||||||||||||||||||||||
2015 | 360 | |||||||||||||||||||||||
2016 | 334 | |||||||||||||||||||||||
2017 | 297 | |||||||||||||||||||||||
2018 | 271 | |||||||||||||||||||||||
2019 - 2023 | 1,056 | |||||||||||||||||||||||
2024 - 2028 | 678 | |||||||||||||||||||||||
2029 - 2033 | 414 | |||||||||||||||||||||||
After 2033 | 380 | |||||||||||||||||||||||
Total present value basis(1) | 3,889 | |||||||||||||||||||||||
Discount | 218 | |||||||||||||||||||||||
Total future value | $ | 4,107 | ||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||
-1 | Excludes scheduled net earned premiums on consolidated FG VIEs of $128 million. | |||||||||||||||||||||||
Selected Information for Policies Paid in Installments | ||||||||||||||||||||||||
As of | As of | |||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | |||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||
Premiums receivable, net of commission payable | $ | 801 | $ | 876 | ||||||||||||||||||||
Gross deferred premium revenue | 1,442 | 1,576 | ||||||||||||||||||||||
Weighted-average risk-free rate used to discount premiums | 3.4 | % | 3.4 | % | ||||||||||||||||||||
Weighted-average period of premiums receivable (in years) | 9.3 | 9.4 | ||||||||||||||||||||||
Expected_Losses_to_be_Paid
Expected Losses to be Paid | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||
Expected Losses [Abstract] | ' | ||||||||||||||||||||
Expected Loss to be Paid | ' | ||||||||||||||||||||
Expected Loss to be Paid | |||||||||||||||||||||
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 representations and warranties ("R&W"). The Company used weighted average risk-free rates for U.S. dollar denominated obligations that ranged from 0.0% to 3.68% as of September 30, 2014 and 0.0% to 4.44% as of December 31, 2013. | |||||||||||||||||||||
Net Expected Loss to be Paid | |||||||||||||||||||||
After Net Expected Recoveries for Breaches of R&W | |||||||||||||||||||||
Roll Forward by Sector | |||||||||||||||||||||
Third Quarter 2014 | |||||||||||||||||||||
Net Expected | Economic Loss | (Paid) | Net Expected | ||||||||||||||||||
Loss to be Paid (Recovered) | Development | Recovered | Loss to be | ||||||||||||||||||
as of | Losses(1) | Paid (Recovered) | |||||||||||||||||||
June 30, 2014 | as of | ||||||||||||||||||||
September 30, 2014(2) | |||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||
First lien: | |||||||||||||||||||||
Prime first lien | $ | 11 | $ | (1 | ) | $ | — | $ | 10 | ||||||||||||
Alt-A first lien | 301 | (18 | ) | (35 | ) | 248 | |||||||||||||||
Option ARM | (51 | ) | — | 20 | (31 | ) | |||||||||||||||
Subprime | 341 | (11 | ) | (23 | ) | 307 | |||||||||||||||
Total first lien | 602 | (30 | ) | (38 | ) | 534 | |||||||||||||||
Second lien: | |||||||||||||||||||||
Closed-end second lien | (9 | ) | 2 | 2 | (5 | ) | |||||||||||||||
HELOCs | (117 | ) | (34 | ) | 3 | (148 | ) | ||||||||||||||
Total second lien | (126 | ) | (32 | ) | 5 | (153 | ) | ||||||||||||||
Total U.S. RMBS | 476 | (62 | ) | (33 | ) | 381 | |||||||||||||||
TruPS | 32 | (5 | ) | (1 | ) | 26 | |||||||||||||||
Other structured finance | 140 | 3 | 3 | 146 | |||||||||||||||||
U.S. public finance | 339 | 2 | (8 | ) | 333 | ||||||||||||||||
Non-U.S public finance | 52 | (1 | ) | — | 51 | ||||||||||||||||
Other insurance | (4 | ) | — | — | (4 | ) | |||||||||||||||
Total | $ | 1,035 | $ | (63 | ) | $ | (39 | ) | $ | 933 | |||||||||||
Net Expected Loss to be Paid | |||||||||||||||||||||
After Net Expected Recoveries for Breaches of R&W | |||||||||||||||||||||
Roll Forward by Sector | |||||||||||||||||||||
Third Quarter 2013 | |||||||||||||||||||||
Net Expected | Economic Loss | (Paid) | Net Expected | ||||||||||||||||||
Loss to be | Development | Recovered | Loss to be | ||||||||||||||||||
Paid (Recovered) | Losses(1) | Paid (Recovered) | |||||||||||||||||||
as of | as of | ||||||||||||||||||||
30-Jun-13 | September 30, 2013 | ||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||
First lien: | |||||||||||||||||||||
Prime first lien | $ | 18 | $ | 3 | $ | — | $ | 21 | |||||||||||||
Alt-A first lien | 288 | (85 | ) | 3 | 206 | ||||||||||||||||
Option ARM | (20 | ) | 25 | 2 | 7 | ||||||||||||||||
Subprime | 274 | 38 | (9 | ) | 303 | ||||||||||||||||
Total first lien | 560 | (19 | ) | (4 | ) | 537 | |||||||||||||||
Second lien: | |||||||||||||||||||||
Closed-end second lien | (14 | ) | — | 1 | (13 | ) | |||||||||||||||
HELOCs | (97 | ) | (42 | ) | 10 | (129 | ) | ||||||||||||||
Total second lien | (111 | ) | (42 | ) | 11 | (142 | ) | ||||||||||||||
Total U.S. RMBS | 449 | (61 | ) | 7 | 395 | ||||||||||||||||
TruPS | 33 | 9 | 8 | 50 | |||||||||||||||||
Other structured finance | 158 | (13 | ) | (17 | ) | 128 | |||||||||||||||
U.S. public finance | 71 | 44 | 68 | 183 | |||||||||||||||||
Non-U.S public finance | 66 | (1 | ) | (12 | ) | 53 | |||||||||||||||
Other insurance | (3 | ) | — | — | (3 | ) | |||||||||||||||
Total | $ | 774 | $ | (22 | ) | $ | 54 | $ | 806 | ||||||||||||
Net Expected Loss to be Paid | |||||||||||||||||||||
After Net Expected Recoveries for Breaches of R&W | |||||||||||||||||||||
Roll Forward by Sector | |||||||||||||||||||||
Nine Months 2014 | |||||||||||||||||||||
Net Expected | Economic Loss | (Paid) | Net Expected | ||||||||||||||||||
Loss to be | Development | Recovered | Loss to be | ||||||||||||||||||
Paid (Recovered) | Losses(1) | Paid (Recovered) | |||||||||||||||||||
as of | as of | ||||||||||||||||||||
December 31, 2013(2) | September 30, 2014(2) | ||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||
First lien: | |||||||||||||||||||||
Prime first lien | $ | 21 | $ | (11 | ) | $ | — | $ | 10 | ||||||||||||
Alt-A first lien | 304 | (6 | ) | (50 | ) | 248 | |||||||||||||||
Option ARM | (9 | ) | (39 | ) | 17 | (31 | ) | ||||||||||||||
Subprime | 304 | (12 | ) | 15 | 307 | ||||||||||||||||
Total first lien | 620 | (68 | ) | (18 | ) | 534 | |||||||||||||||
Second lien: | |||||||||||||||||||||
Closed-end second lien | (11 | ) | 2 | 4 | (5 | ) | |||||||||||||||
HELOCs | (116 | ) | (65 | ) | 33 | (148 | ) | ||||||||||||||
Total second lien | (127 | ) | (63 | ) | 37 | (153 | ) | ||||||||||||||
Total U.S. RMBS | 493 | (131 | ) | 19 | 381 | ||||||||||||||||
TruPS | 51 | (24 | ) | (1 | ) | 26 | |||||||||||||||
Other structured finance | 120 | 27 | (1 | ) | 146 | ||||||||||||||||
U.S. public finance | 264 | 107 | (38 | ) | 333 | ||||||||||||||||
Non-U.S public finance | 57 | (6 | ) | — | 51 | ||||||||||||||||
Other insurance | (3 | ) | (1 | ) | — | (4 | ) | ||||||||||||||
Total | $ | 982 | $ | (28 | ) | $ | (21 | ) | $ | 933 | |||||||||||
Net Expected Loss to be Paid | |||||||||||||||||||||
After Net Expected Recoveries for Breaches of R&W | |||||||||||||||||||||
Roll Forward by Sector | |||||||||||||||||||||
Nine Months 2013 | |||||||||||||||||||||
Net Expected | Economic Loss | (Paid) | Net Expected | ||||||||||||||||||
Loss to be | Development | Recovered | Loss to be | ||||||||||||||||||
Paid (Recovered) | Losses(1) | Paid (Recovered) | |||||||||||||||||||
as of | as of | ||||||||||||||||||||
31-Dec-12 | September 30, 2013 | ||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||
First lien: | |||||||||||||||||||||
Prime first lien | $ | 6 | $ | 16 | $ | (1 | ) | $ | 21 | ||||||||||||
Alt-A first lien | 315 | (83 | ) | (26 | ) | 206 | |||||||||||||||
Option ARM | (131 | ) | (92 | ) | 230 | 7 | |||||||||||||||
Subprime | 242 | 86 | (25 | ) | 303 | ||||||||||||||||
Total first lien | 432 | (73 | ) | 178 | 537 | ||||||||||||||||
Second lien: | |||||||||||||||||||||
Closed-end second lien | (39 | ) | 7 | 19 | (13 | ) | |||||||||||||||
HELOCs | (111 | ) | (76 | ) | 58 | (129 | ) | ||||||||||||||
Total second lien | (150 | ) | (69 | ) | 77 | (142 | ) | ||||||||||||||
Total U.S. RMBS | 282 | (142 | ) | 255 | 395 | ||||||||||||||||
TruPS | 27 | 7 | 16 | 50 | |||||||||||||||||
Other structured finance | 312 | (39 | ) | (145 | ) | 128 | |||||||||||||||
U.S. public finance | 7 | 138 | 38 | 183 | |||||||||||||||||
Non-U.S public finance | 52 | 13 | (12 | ) | 53 | ||||||||||||||||
Other insurance | (3 | ) | (10 | ) | 10 | (3 | ) | ||||||||||||||
Total | $ | 677 | $ | (33 | ) | $ | 162 | $ | 806 | ||||||||||||
____________________ | |||||||||||||||||||||
-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 loss adjustment expenses ("LAE") to be paid of $28 million as of September 30, 2014 and $34 million as of December 31, 2013. The Company paid $6 million and $12 million in LAE for Third Quarter 2014 and 2013, respectively, and $20 million and $41 million in LAE for Nine Months 2014 and 2013, respectively. | ||||||||||||||||||||
Net Expected Recoveries from | |||||||||||||||||||||
Breaches of R&W Rollforward | |||||||||||||||||||||
Third Quarter 2014 | |||||||||||||||||||||
Future Net | R&W Development | R&W (Recovered) | Future Net | ||||||||||||||||||
R&W Benefit as of | and Accretion of | During Third Quarter 2014 | R&W Benefit as of | ||||||||||||||||||
30-Jun-14 | Discount | September 30, 2014(1) | |||||||||||||||||||
During Third Quarter 2014 | |||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||
First lien: | |||||||||||||||||||||
Prime first lien | $ | 3 | $ | 1 | $ | (1 | ) | $ | 3 | ||||||||||||
Alt-A first lien | 263 | 19 | (79 | ) | 203 | ||||||||||||||||
Option ARM | 144 | 10 | (76 | ) | 78 | ||||||||||||||||
Subprime | 99 | 5 | (7 | ) | 97 | ||||||||||||||||
Total first lien | 509 | 35 | (163 | ) | 381 | ||||||||||||||||
Second lien: | |||||||||||||||||||||
Closed-end second lien | 93 | (1 | ) | (3 | ) | 89 | |||||||||||||||
HELOC | 49 | 59 | — | 108 | |||||||||||||||||
Total second lien | 142 | 58 | (3 | ) | 197 | ||||||||||||||||
Total | $ | 651 | $ | 93 | $ | (166 | ) | $ | 578 | ||||||||||||
___________________ | |||||||||||||||||||||
(1) See the section "Breaches of Representations and Warranties" below for eligible assets held in trust. | |||||||||||||||||||||
Net Expected Recoveries from | |||||||||||||||||||||
Breaches of R&W Rollforward | |||||||||||||||||||||
Third Quarter 2013 | |||||||||||||||||||||
Future Net | R&W Development | R&W (Recovered) | Future Net | ||||||||||||||||||
R&W Benefit as of | and Accretion of | During Third Quarter 2013 | R&W Benefit as of | ||||||||||||||||||
30-Jun-13 | Discount | September 30, 2013 | |||||||||||||||||||
During Third Quarter 2013 | |||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||
First lien: | |||||||||||||||||||||
Prime first lien | $ | 4 | $ | (1 | ) | $ | — | $ | 3 | ||||||||||||
Alt-A first lien | 348 | 37 | (16 | ) | 369 | ||||||||||||||||
Option ARM | 293 | 40 | (80 | ) | 253 | ||||||||||||||||
Subprime | 108 | 7 | — | 115 | |||||||||||||||||
Total first lien | 753 | 83 | (96 | ) | 740 | ||||||||||||||||
Second lien: | |||||||||||||||||||||
Closed-end second lien | 102 | 1 | (3 | ) | 100 | ||||||||||||||||
HELOC | 109 | 2 | (56 | ) | 55 | ||||||||||||||||
Total second lien | 211 | 3 | (59 | ) | 155 | ||||||||||||||||
Total | $ | 964 | $ | 86 | $ | (155 | ) | $ | 895 | ||||||||||||
Net Expected Recoveries from | |||||||||||||||||||||
Breaches of R&W Rollforward | |||||||||||||||||||||
Nine Months 2014 | |||||||||||||||||||||
Future Net | R&W Development | R&W (Recovered) | Future Net | ||||||||||||||||||
R&W Benefit as of | and Accretion of | During 2014 | R&W Benefit as of | ||||||||||||||||||
December 31, 2013 | Discount | September 30, 2014(1) | |||||||||||||||||||
During 2014 | |||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||
First lien: | |||||||||||||||||||||
Prime first lien | $ | 4 | $ | — | $ | (1 | ) | $ | 3 | ||||||||||||
Alt-A first lien | 274 | 20 | (91 | ) | 203 | ||||||||||||||||
Option ARM | 173 | 30 | (125 | ) | 78 | ||||||||||||||||
Subprime | 118 | 34 | (55 | ) | 97 | ||||||||||||||||
Total first lien | 569 | 84 | (272 | ) | 381 | ||||||||||||||||
Second lien: | |||||||||||||||||||||
Closed-end second lien | 98 | (4 | ) | (5 | ) | 89 | |||||||||||||||
HELOC | 45 | 80 | (17 | ) | 108 | ||||||||||||||||
Total second lien | 143 | 76 | (22 | ) | 197 | ||||||||||||||||
Total | $ | 712 | $ | 160 | $ | (294 | ) | $ | 578 | ||||||||||||
___________________ | |||||||||||||||||||||
(1) See the section "Breaches of Representations and Warranties" below for eligible assets held in trust. | |||||||||||||||||||||
Net Expected Recoveries from | |||||||||||||||||||||
Breaches of R&W Rollforward | |||||||||||||||||||||
Nine Months 2013 | |||||||||||||||||||||
Future Net | R&W Development | R&W (Recovered) | Future Net | ||||||||||||||||||
R&W Benefit as of | and Accretion of | During 2013 | R&W Benefit as of | ||||||||||||||||||
31-Dec-12 | Discount | September 30, 2013 | |||||||||||||||||||
During 2013 | |||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||
First lien: | |||||||||||||||||||||
Prime first lien | $ | 4 | $ | (1 | ) | $ | — | $ | 3 | ||||||||||||
Alt-A first lien | 378 | 24 | (33 | ) | 369 | ||||||||||||||||
Option ARM | 591 | 206 | (544 | ) | 253 | ||||||||||||||||
Subprime | 109 | 6 | — | 115 | |||||||||||||||||
Total first lien | 1,082 | 235 | (577 | ) | 740 | ||||||||||||||||
Second lien: | |||||||||||||||||||||
Closed-end second lien | 138 | (11 | ) | (27 | ) | 100 | |||||||||||||||
HELOC | 150 | 70 | (165 | ) | 55 | ||||||||||||||||
Total second lien | 288 | 59 | (192 | ) | 155 | ||||||||||||||||
Total | $ | 1,370 | $ | 294 | $ | (769 | ) | $ | 895 | ||||||||||||
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 (Recovered) | |||||||||||||||||||||
By Accounting Model | |||||||||||||||||||||
As of September 30, 2014 | |||||||||||||||||||||
Financial | FG VIEs(1) | Credit | Total | ||||||||||||||||||
Guaranty | Derivatives | ||||||||||||||||||||
Insurance | |||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||
First lien: | |||||||||||||||||||||
Prime first lien | $ | 3 | $ | — | $ | 7 | $ | 10 | |||||||||||||
Alt-A first lien | 211 | 19 | 18 | 248 | |||||||||||||||||
Option ARM | (34 | ) | — | 3 | (31 | ) | |||||||||||||||
Subprime | 155 | 78 | 74 | 307 | |||||||||||||||||
Total first lien | 335 | 97 | 102 | 534 | |||||||||||||||||
Second lien: | |||||||||||||||||||||
Closed-end second lien | (28 | ) | 28 | (5 | ) | (5 | ) | ||||||||||||||
HELOCs | (145 | ) | (3 | ) | — | (148 | ) | ||||||||||||||
Total second lien | (173 | ) | 25 | (5 | ) | (153 | ) | ||||||||||||||
Total U.S. RMBS | 162 | 122 | 97 | 381 | |||||||||||||||||
TruPS | 1 | — | 25 | 26 | |||||||||||||||||
Other structured finance | 186 | — | (40 | ) | 146 | ||||||||||||||||
U.S. public finance | 333 | — | — | 333 | |||||||||||||||||
Non-U.S. public finance | 50 | — | 1 | 51 | |||||||||||||||||
Subtotal | $ | 732 | $ | 122 | $ | 83 | 937 | ||||||||||||||
Other | (4 | ) | |||||||||||||||||||
Total | $ | 933 | |||||||||||||||||||
Net Expected Loss to be Paid (Recovered) | |||||||||||||||||||||
By Accounting Model | |||||||||||||||||||||
As of December 31, 2013 | |||||||||||||||||||||
Financial | FG VIEs(1) | Credit | Total | ||||||||||||||||||
Guaranty | Derivatives | ||||||||||||||||||||
Insurance | |||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. 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 | |||||||||||||||||||
___________________ | |||||||||||||||||||||
(1) Refer to Note 9, Consolidated 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 (Benefit) | |||||||||||||||||||||
By Accounting Model | |||||||||||||||||||||
Third Quarter 2014 | |||||||||||||||||||||
Financial | FG VIEs(1) | Credit | Total | ||||||||||||||||||
Guaranty | Derivatives(2) | ||||||||||||||||||||
Insurance | |||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||
First lien: | |||||||||||||||||||||
Prime first lien | $ | (1 | ) | $ | — | $ | — | $ | (1 | ) | |||||||||||
Alt-A first lien | 6 | (2 | ) | (22 | ) | (18 | ) | ||||||||||||||
Option ARM | 7 | — | (7 | ) | — | ||||||||||||||||
Subprime | (21 | ) | 8 | 2 | (11 | ) | |||||||||||||||
Total first lien | (9 | ) | 6 | (27 | ) | (30 | ) | ||||||||||||||
Second lien: | |||||||||||||||||||||
Closed-end second lien | 2 | 1 | (1 | ) | 2 | ||||||||||||||||
HELOCs | (48 | ) | 14 | — | (34 | ) | |||||||||||||||
Total second lien | (46 | ) | 15 | (1 | ) | (32 | ) | ||||||||||||||
Total U.S. RMBS | (55 | ) | 21 | (28 | ) | (62 | ) | ||||||||||||||
TruPS | (1 | ) | — | (4 | ) | (5 | ) | ||||||||||||||
Other structured finance | 5 | — | (2 | ) | 3 | ||||||||||||||||
U.S. public finance | 2 | — | — | 2 | |||||||||||||||||
Non-U.S. public finance | (1 | ) | — | — | (1 | ) | |||||||||||||||
Subtotal | $ | (50 | ) | $ | 21 | $ | (34 | ) | (63 | ) | |||||||||||
Other | — | ||||||||||||||||||||
Total | $ | (63 | ) | ||||||||||||||||||
Net Economic Loss Development (Benefit) | |||||||||||||||||||||
By Accounting Model | |||||||||||||||||||||
Third Quarter 2013 | |||||||||||||||||||||
Financial | FG VIEs(1) | Credit | Total | ||||||||||||||||||
Guaranty | Derivatives(2) | ||||||||||||||||||||
Insurance | |||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||
First lien: | |||||||||||||||||||||
Prime first lien | $ | — | $ | — | $ | 3 | $ | 3 | |||||||||||||
Alt-A first lien | (53 | ) | 3 | (35 | ) | (85 | ) | ||||||||||||||
Option ARM | 20 | 1 | 4 | 25 | |||||||||||||||||
Subprime | 25 | 5 | 8 | 38 | |||||||||||||||||
Total first lien | (8 | ) | 9 | (20 | ) | (19 | ) | ||||||||||||||
Second lien: | |||||||||||||||||||||
Closed-end second lien | 2 | (3 | ) | 1 | — | ||||||||||||||||
HELOCs | (49 | ) | 8 | (1 | ) | (42 | ) | ||||||||||||||
Total second lien | (47 | ) | 5 | — | (42 | ) | |||||||||||||||
Total U.S. RMBS | (55 | ) | 14 | (20 | ) | (61 | ) | ||||||||||||||
TruPS | 1 | — | 8 | 9 | |||||||||||||||||
Other structured finance | (13 | ) | — | — | (13 | ) | |||||||||||||||
U.S. public finance | 43 | — | 1 | 44 | |||||||||||||||||
Non-U.S. public finance | (1 | ) | — | — | (1 | ) | |||||||||||||||
Subtotal | $ | (25 | ) | $ | 14 | $ | (11 | ) | (22 | ) | |||||||||||
Other | — | ||||||||||||||||||||
Total | $ | (22 | ) | ||||||||||||||||||
Net Economic Loss Development (Benefit) | |||||||||||||||||||||
By Accounting Model | |||||||||||||||||||||
Nine Months 2014 | |||||||||||||||||||||
Financial | FG VIEs(1) | Credit | Total | ||||||||||||||||||
Guaranty | Derivatives(2) | ||||||||||||||||||||
Insurance | |||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||
First lien: | |||||||||||||||||||||
Prime first lien | $ | — | $ | — | $ | (11 | ) | $ | (11 | ) | |||||||||||
Alt-A first lien | 32 | (12 | ) | (26 | ) | (6 | ) | ||||||||||||||
Option ARM | (32 | ) | 1 | (8 | ) | (39 | ) | ||||||||||||||
Subprime | (25 | ) | 9 | 4 | (12 | ) | |||||||||||||||
Total first lien | (25 | ) | (2 | ) | (41 | ) | (68 | ) | |||||||||||||
Second lien: | |||||||||||||||||||||
Closed-end second lien | — | 4 | (2 | ) | 2 | ||||||||||||||||
HELOCs | (138 | ) | 73 | — | (65 | ) | |||||||||||||||
Total second lien | (138 | ) | 77 | (2 | ) | (63 | ) | ||||||||||||||
Total U.S. RMBS | (163 | ) | 75 | (43 | ) | (131 | ) | ||||||||||||||
TruPS | (2 | ) | — | (22 | ) | (24 | ) | ||||||||||||||
Other structured finance | 26 | — | 1 | 27 | |||||||||||||||||
U.S. public finance | 107 | — | — | 107 | |||||||||||||||||
Non-U.S. public finance | (5 | ) | — | (1 | ) | (6 | ) | ||||||||||||||
Subtotal | $ | (37 | ) | $ | 75 | $ | (65 | ) | (27 | ) | |||||||||||
Other | (1 | ) | |||||||||||||||||||
Total | $ | (28 | ) | ||||||||||||||||||
Net Economic Loss Development (Benefit) | |||||||||||||||||||||
By Accounting Model | |||||||||||||||||||||
Nine Months 2013 | |||||||||||||||||||||
Financial | FG VIEs(1) | Credit | Total | ||||||||||||||||||
Guaranty | Derivatives(2) | ||||||||||||||||||||
Insurance | |||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||
First lien: | |||||||||||||||||||||
Prime first lien | $ | (1 | ) | $ | — | $ | 17 | $ | 16 | ||||||||||||
Alt-A first lien | (60 | ) | 3 | (26 | ) | (83 | ) | ||||||||||||||
Option ARM | (58 | ) | (32 | ) | (2 | ) | (92 | ) | |||||||||||||
Subprime | 40 | 25 | 21 | 86 | |||||||||||||||||
Total first lien | (79 | ) | (4 | ) | 10 | (73 | ) | ||||||||||||||
Second lien: | |||||||||||||||||||||
Closed-end second lien | — | (4 | ) | 11 | 7 | ||||||||||||||||
HELOCs | (66 | ) | (10 | ) | — | (76 | ) | ||||||||||||||
Total second lien | (66 | ) | (14 | ) | 11 | (69 | ) | ||||||||||||||
Total U.S. RMBS | (145 | ) | (18 | ) | 21 | (142 | ) | ||||||||||||||
TruPS | 1 | — | 6 | 7 | |||||||||||||||||
Other structured finance | (32 | ) | — | (7 | ) | (39 | ) | ||||||||||||||
U.S. public finance | 137 | — | 1 | 138 | |||||||||||||||||
Non-U.S. public finance | 12 | — | 1 | 13 | |||||||||||||||||
Subtotal | $ | (27 | ) | $ | (18 | ) | $ | 22 | (23 | ) | |||||||||||
Other | (10 | ) | |||||||||||||||||||
Total | $ | (33 | ) | ||||||||||||||||||
_________________ | |||||||||||||||||||||
(1) Refer to Note 9, Consolidated Variable Interest Entities. | |||||||||||||||||||||
(2) Refer to Note 8, 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. The Company continues to update its evaluation of these exposures as new information becomes available. | |||||||||||||||||||||
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 to loan files. Where the Company has an agreement with an R&W provider (such as its agreements with Bank of America, Deutsche Bank and UBS, which are described in more detail under "Breaches of Representations and Warranties" below) 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. | |||||||||||||||||||||
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 the collateral losses it projects as described above; assumed voluntary prepayments; and 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. 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 interrelated factors that are difficult to predict, 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. If actual experience differs from the Company’s assumptions, the losses incurred could be materially different from the estimate. | |||||||||||||||||||||
Third Quarter 2014 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. To the extent it observes changes, it makes a judgment as to whether those changes are normal fluctuations or part of a trend. Based on such observations, the Company chose to use the same general assumptions to project RMBS losses as of September 30, 2014 as it used as of June 30, 2014 and December 31, 2013, except that, with respect to first lien RMBS projections, it shortened the period it is projecting it will take to reach the final CDR, reflecting the Company's belief that performance of its insured transactions as well as the residential property market and economy in general are improving. In addition, the Company refined its approach to projections for most of its HELOCs as of September 30, 2014 to reflect increased recoveries on defaulted loans as well as incremental defaults associated with increased monthly payments that occur when interest-only payment periods end, both as a result of its observation of HELOC performance. | |||||||||||||||||||||
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, are two or more payments behind, are 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 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. The following table shows liquidation assumptions for various non-performing categories. | |||||||||||||||||||||
First Lien Liquidation Rates | |||||||||||||||||||||
30-Sep-14 | 30-Jun-14 | 31-Dec-13 | |||||||||||||||||||
Current Loans Modified in Previous 12 Months | |||||||||||||||||||||
Alt A and Prime | 35% | 35% | 35% | ||||||||||||||||||
Option ARM | 35 | 35 | 35 | ||||||||||||||||||
Subprime | 35 | 35 | 35 | ||||||||||||||||||
30 – 59 Days Delinquent | |||||||||||||||||||||
Alt A and Prime | 50 | 50 | 50 | ||||||||||||||||||
Option ARM | 50 | 50 | 50 | ||||||||||||||||||
Subprime | 45 | 45 | 45 | ||||||||||||||||||
60 – 89 Days Delinquent | |||||||||||||||||||||
Alt A and Prime | 60 | 60 | 60 | ||||||||||||||||||
Option ARM | 65 | 65 | 65 | ||||||||||||||||||
Subprime | 50 | 50 | 50 | ||||||||||||||||||
90+ Days Delinquent | |||||||||||||||||||||
Alt A and Prime | 75 | 75 | 75 | ||||||||||||||||||
Option ARM | 70 | 70 | 70 | ||||||||||||||||||
Subprime | 60 | 60 | 60 | ||||||||||||||||||
Bankruptcy | |||||||||||||||||||||
Alt A and Prime | 60 | 60 | 60 | ||||||||||||||||||
Option ARM | 60 | 60 | 60 | ||||||||||||||||||
Subprime | 55 | 55 | 55 | ||||||||||||||||||
Foreclosure | |||||||||||||||||||||
Alt A and Prime | 85 | 85 | 85 | ||||||||||||||||||
Option ARM | 80 | 80 | 80 | ||||||||||||||||||
Subprime | 70 | 70 | 70 | ||||||||||||||||||
Real Estate Owned | |||||||||||||||||||||
All | 100 | 100 | 100 | ||||||||||||||||||
While the Company uses liquidation rates as described above to project defaults of non-performing loans (including current loans modified within the last 12 months), 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, 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. | |||||||||||||||||||||
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. In the base case, the Company assumes the final CDR will be reached eight years and nine months after the initial 36-month CDR plateau period, which is three months shorter than assumed as of June 30, 2014 and December 31, 2013 but the same calendar date as it assumed as of June 30, 2014. Under the Company’s methodology, defaults projected to occur in the first 36 months represent defaults that can be attributed to loans that were modified in the last 12 months or 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, except that in the case of subprime loans, the Company assumes the 90% loss severity rate will continue for another nine months then drop to 80% for nine more months, 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 September 30, 2014 were the same as it used for June 30, 2014 and December 31, 2013. 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. | |||||||||||||||||||||
The following table shows the range as well as the average, weighted by outstanding net insured par, for 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 | |||||||||||||||||||
30-Sep-14 | 30-Jun-14 | 31-Dec-13 | |||||||||||||||||||
Range | Weighted Average | Range | Weighted Average | Range | Weighted Average | ||||||||||||||||
Alt-A First Lien | |||||||||||||||||||||
Plateau CDR | 2.1 | % | – | 15.70% | 8.50% | 2.9 | % | – | 16.80% | 9.00% | 2.8 | % | – | 18.40% | 9.70% | ||||||
Intermediate CDR | 0.4 | % | – | 3.10% | 1.70% | 0.6 | % | – | 3.40% | 1.80% | 0.6 | % | – | 3.70% | 1.90% | ||||||
Period until intermediate CDR | 48 months | 48 months | 48 months | ||||||||||||||||||
Final CDR | 0.1 | % | – | 0.80% | 0.40% | 0.1 | % | – | 0.80% | 0.40% | 0.1 | % | – | 0.90% | 0.50% | ||||||
Initial loss severity | 65% | 65% | 65% | ||||||||||||||||||
Initial conditional prepayment rate ("CPR") | 0 | % | – | 24.30% | 7.00% | 1 | % | – | 23.20% | 7.00% | 0 | % | – | 34.20% | 9.70% | ||||||
Final CPR(2) | 15% | 15% | 15% | ||||||||||||||||||
Option ARM | |||||||||||||||||||||
Plateau CDR | 3.9 | % | – | 15.70% | 10.70% | 5 | % | – | 15.80% | 11.10% | 4.9 | % | – | 16.80% | 11.90% | ||||||
Intermediate CDR | 0.8 | % | – | 3.10% | 2.10% | 1 | % | – | 3.20% | 2.20% | 1 | % | – | 3.40% | 2.40% | ||||||
Period until intermediate CDR | 48 months | 48 months | 48 months | ||||||||||||||||||
Final CDR | 0.2 | % | – | 0.80% | 0.50% | 0.2 | % | – | 0.80% | 0.50% | 0.2 | % | – | 0.80% | 0.50% | ||||||
Initial loss severity | 65% | 65% | 65% | ||||||||||||||||||
Initial CPR | 1 | % | – | 13.00% | 7.10% | 0.9 | % | – | 9.00% | 7.10% | 0.4 | % | – | 13.10% | 4.70% | ||||||
Final CPR(2) | 15% | 15% | 15% | ||||||||||||||||||
Subprime | |||||||||||||||||||||
Plateau CDR | 5.3 | % | – | 15.90% | 11.20% | 5.7 | % | – | 16.50% | 11.50% | 5.6 | % | – | 16.20% | 11.80% | ||||||
Intermediate CDR | 1.1 | % | – | 3.20% | 2.20% | 1.1 | % | – | 3.30% | 2.30% | 1.1 | % | – | 3.20% | 2.40% | ||||||
Period until intermediate CDR | 48 months | 48 months | 48 months | ||||||||||||||||||
Final CDR | 0.3 | % | – | 0.80% | 0.40% | 0.3 | % | – | 0.80% | 0.40% | 0.3 | % | – | 0.80% | 0.40% | ||||||
Initial loss severity | 90% | 90% | 90% | ||||||||||||||||||
Initial CPR | 0 | % | – | 10.80% | 6.50% | 0 | % | – | 13.70% | 6.40% | 0 | % | – | 15.70% | 4.10% | ||||||
Final CPR(2) | 15% | 15% | 15% | ||||||||||||||||||
____________________ | |||||||||||||||||||||
(1) Represents variables for most heavily weighted scenario (the “base case”). | |||||||||||||||||||||
(2) | For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used. | ||||||||||||||||||||
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 and the final CPR is not used. These assumptions are the same as those the Company used for June 30, 2014 and December 31, 2013. | |||||||||||||||||||||
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 September 30, 2014. The Company used a similar approach to establish its pessimistic and optimistic scenarios as of September 30, 2014 as it used as of June 30, 2014 and December 31, 2013, increasing and decreasing the periods of stress from those used in the base case. | |||||||||||||||||||||
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 $30 million for Alt-A first liens, $10 million for Option ARM, $73 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 $83 million for Alt-A first liens, $23 million for Option ARM, $107 million for subprime and $10 million for prime transactions. | |||||||||||||||||||||
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 $0.1 million for Alt-A first lien and would decrease by $10 million for Option ARM, $23 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), expected loss to be paid would decrease from current projections by approximately $26 million for Alt-A first lien, $25 million for Option ARM, $65 million for subprime and $5 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. | |||||||||||||||||||||
The following table shows the range as well as the average, weighted by outstanding net insured par, for 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 | ||||||||||||||||||
30-Sep-14 | 30-Jun-14 | 31-Dec-13 | |||||||||||||||||||
Range | Weighted Average | Range | Weighted Average | Range | Weighted Average | ||||||||||||||||
Plateau CDR | 2.8 | % | – | 8.50% | 4.20% | 2.2 | % | – | 9.60% | 4.30% | 2.3 | % | – | 7.70% | 4.90% | ||||||
Final CDR trended down to | 0.5 | % | – | 3.20% | 1.20% | 0.5 | % | – | 3.20% | 1.20% | 0.4 | % | – | 3.20% | 1.10% | ||||||
Period until final CDR | 34 months | 34 months | 34 months | ||||||||||||||||||
Initial CPR | 5.1 | % | – | 16.00% | 10.30% | 2.4 | % | – | 19.40% | 9.30% | 2.7 | % | – | 21.50% | 9.90% | ||||||
Final CPR(2) | 10% | 10% | 10% | ||||||||||||||||||
Loss severity | 90% | – | 98.00% | 91.50% | 98% | 98% | |||||||||||||||
Closed-end second lien key assumptions | As of | As of | As of | ||||||||||||||||||
30-Sep-14 | 30-Jun-14 | 31-Dec-13 | |||||||||||||||||||
Range | Weighted Average | Range | Weighted Average | Range | Weighted Average | ||||||||||||||||
Plateau CDR | 6.8 | % | – | 15.10% | 7.70% | 4.8 | % | – | 14.90% | 7.70% | 7.3 | % | – | 15.10% | 8.50% | ||||||
Final CDR trended down to | 3.5 | % | – | 9.10% | 4.90% | 3.5 | % | – | 9.10% | 5.00% | 3.5 | % | – | 9.10% | 5.00% | ||||||
Period until final CDR | 34 months | 34 months | 34 months | ||||||||||||||||||
Initial CPR | 3 | % | – | 11.40% | 9.20% | 2.6 | % | – | 10.40% | 8.40% | 3.1 | % | – | 12.00% | 7.10% | ||||||
Final CPR(2) | 10% | 10% | 10% | ||||||||||||||||||
Loss severity | 98% | 98% | 98% | ||||||||||||||||||
____________________ | |||||||||||||||||||||
-1 | Represents variables for most heavily weighted scenario (the “base case”). | ||||||||||||||||||||
(2) | For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used. | ||||||||||||||||||||
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. | |||||||||||||||||||||
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, the same as of June 30, 2014 and December 31, 2013. | |||||||||||||||||||||
HELOC loans generally permit the borrower to pay only interest for an initial period (often ten years) and, after that period, require the borrower to make both the monthly interest payment and a monthly principal payment, and so increase the borrower's aggregate monthly payment. Some of the HELOC loans underlying the Company's insured HELOC transactions have reached their principal amortization period. Based on the Company’s observation, including information obtained over the last quarter on the performance of certain loans reaching their principal amortization period and its views of the efficacy of planned servicer intervention, it introduced this quarter an assumption in the projections for most of its HELOC transactions that 7.5% of loans reaching their amortization periods will default around the time of the payment increase. These projected defaults are in addition to those generated using the CDR curve as described above. | |||||||||||||||||||||
When a second lien loan defaults, there is generally a very low recovery. The Company had assumed as of June 30, 2014 and December 31, 2013 that it will recover only 2% of the collateral defaulting. However, based on additional information the Company obtained over the last quarter, it increased this recovery assumption in the projections for most of its HELOC transactions as of September 30, 2014 to 10% of collateral defaulting in the future, and also assumed declining additional post-default receipts on previously defaulted collateral. The net impact of the two refinements the Company made to projecting expected losses in certain HELOC transactions described above (increased defaults of loans reaching their amortization period and increased recoveries) was an increase of approximately $36 million in expected losses in the Company's base case. | |||||||||||||||||||||
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 and the final CPR is not used. The final CPR is assumed to be 10% for both HELOC and closed-end second lien transactions, which is lower than the historical average but 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 June 30, 2014 and December 31, 2013. 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 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. However, in a number of HELOC transactions the servicers have been modifying poorly performing loans from floating to fixed rates, and, as a result, rising interest rates would negatively impact the excess spread available from these modified loans to support the transactions. The Company incorporated these modifications in its assumptions. | |||||||||||||||||||||
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 using the same approaches and weightings as it did as of June 30, 2014 and December 31, 2013. 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. The Company continues to evaluate the assumptions affecting its modeling results. | |||||||||||||||||||||
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. 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 $17 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 $17 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. The Company has pursued breaches of R&W on a loan-by-loan basis or in cases 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. In some instances, the entity providing the R&W (or an affiliate of that entity) also benefited from credit protection sold by the Company through a CDS, and the Company entered into an agreement terminating the CDS protection it provided (and so avoiding future losses on that transaction), again in return for releases of related liability by the Company and in certain instances other consideration. Such agreements with R&W providers 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. | |||||||||||||||||||||
Through September 30, 2014, the Company has caused entities providing R&Ws to pay, or agree to pay, or to terminate insurance protection on future projected losses of, approximately $3.8 billion (gross of reinsurance) in respect of their R&W liabilities for transactions in which the Company has provided insurance. | |||||||||||||||||||||
R&W Benefits (Gross of Reinsurance) | |||||||||||||||||||||
As of September 30, 2014 | |||||||||||||||||||||
(in millions) | |||||||||||||||||||||
Benefits already received (1) | $ | 2,954 | |||||||||||||||||||
Agreement amounts projected to be received in the future | 296 | ||||||||||||||||||||
Repurchase amounts paid into the relevant RMBS prior to settlement (2) | 579 | ||||||||||||||||||||
Total R&W receipts and losses avoided, gross of reinsurance | $ | 3,829 | |||||||||||||||||||
____________________ | |||||||||||||||||||||
-1 | Includes amounts already received plus projected losses avoided based on base case projections at the time of the termination, net of any payments made in connection with the termination. | ||||||||||||||||||||
-2 | 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 September 30, 2014 an estimated net benefit related to breaches of R&W of $578 million, which includes $284 million from agreements with R&W providers and $294 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 September 30, 2014 (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 | $ | 963 | $ | 511 | $ | 163 | $ | 581 | ||||||||||||
Bank of America - Second Lien | Apr-11 | 1,250 | 968 | NA | NA | ||||||||||||||||
Deutsche Bank | May 2012 and October 2013 | 1,226 | 249 | 73 | 135 | ||||||||||||||||
UBS | May-13 | 579 | 433 | 8 | 110 | ||||||||||||||||
Others | Various | 1,211 | 501 | 40 | NA | ||||||||||||||||
Total | $ | 5,229 | $ | 2,662 | $ | 284 | $ | 826 | |||||||||||||
____________________ | |||||||||||||||||||||
-1 | This table relates to past and projected future recoveries under R&W and related agreements. Excluded from this table is the $294 million of future net recoveries the Company projects receiving from R&W counterparties in transactions with $873 million of net par outstanding as of September 30, 2014 not covered by current agreements. | ||||||||||||||||||||
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 September 30, 2014 aggregate lifetime collateral losses on those transactions was $4.0 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 September 30, 2014, 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 the Company for 85% of such claims paid (in excess of $389 million) until such claims paid reach $600 million. | ||||||||||||||||||||
When the agreement was first signed, Deutsche Bank was also required to reimburse AGC for future claims it pays on certain RMBS resecuritizations. AGC and Deutsche Bank terminated one of the resecuritization transactions on October 10, 2013, another on September 12, 2014 and two more in the fourth quarter of 2014. In the fourth quarter of 2014, AGC and Deutsche Bank also terminated one other below investment grade transaction under which AGC had provided credit protection to Deutsche Bank through a CDS. In connection with the 2014 terminations, AGC and Deutsche Bank agreed to terminate Deutsche Bank’s reimbursement obligation on all of the RMBS resecuritizations, and AGC made a termination payment to Deutsche Bank and released some of the collateral that had been held in trust. Deutsche Bank remains liable to reimburse the Company for certain claims it pays on eight first and second lien transactions, as described above, and such reimbursement obligation remains secured by collateral held in trust for the Company’s benefit. | |||||||||||||||||||||
• | 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. | ||||||||||||||||||||
In addition to the agreements mentioned above, the Company entered into several other agreements with other R&W counterparties over the past several years. The results of those settlements have been included in the changes in the benefit for R&W in the appropriate reporting periods. | |||||||||||||||||||||
For the expected recovery of $294 million from breaches of R&W in transactions not covered by agreements as of September 30, 2014, 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. | |||||||||||||||||||||
U.S. RMBS Risks with R&W Benefit | |||||||||||||||||||||
Number of Risks (1) as of | Debt Service as of | ||||||||||||||||||||
September 30, 2014 | December 31, 2013 | September 30, 2014 | December 31, 2013 | ||||||||||||||||||
(dollars in millions) | |||||||||||||||||||||
Prime first lien | 1 | 1 | $ | 34 | $ | 38 | |||||||||||||||
Alt-A first lien | 21 | 19 | 1,758 | 2,856 | |||||||||||||||||
Option ARM | 8 | 9 | 184 | 641 | |||||||||||||||||
Subprime | 4 | 5 | 651 | 998 | |||||||||||||||||
Closed-end second lien | 4 | 4 | 143 | 158 | |||||||||||||||||
HELOC | 1 | 4 | 14 | 320 | |||||||||||||||||
Total | 39 | 42 | $ | 2,784 | $ | 5,011 | |||||||||||||||
____________________ | |||||||||||||||||||||
(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 claims for breaches of R&W. | |||||||||||||||||||||
Components of R&W Development | |||||||||||||||||||||
Third Quarter | Nine Months | ||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||||||
(in millions) | |||||||||||||||||||||
Inclusion or removal of deals with breaches of R&W during period | $ | — | $ | — | $ | — | $ | 6 | |||||||||||||
Change in recovery assumptions as the result of recovery success | 4 | 69 | 31 | 86 | |||||||||||||||||
Estimated increase (decrease) in defaults that will result in additional (lower) breaches | (4 | ) | 13 | (15 | ) | 10 | |||||||||||||||
Settlements and anticipated settlements | 90 | — | 96 | 180 | |||||||||||||||||
Accretion of discount on balance | 3 | 4 | 48 | 12 | |||||||||||||||||
Total | $ | 93 | $ | 86 | $ | 160 | $ | 294 | |||||||||||||
Trust Preferred Securities Collateralized Debt Obligations | |||||||||||||||||||||
The Company has insured or reinsured $4.5 billion of net par (71% of which is in CDS form) of collateralized debt obligations (“CDOs”) backed by TruPS and similar debt instruments, or “TruPS CDOs.” Of the $4.5 billion, $1.5 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 September 30, 2014, the Company has projected expected losses to be paid for TruPS CDOs of $26 million. During Third Quarter 2014, there was positive economic development of approximately $5 million, which was due primarily to redemption and cure activity of some of the underlying assets in the TruPS collateral pools. During Nine Months 2014, there was positive economic development of approximately $24 million, which was due primarily to improving collateral performance throughout Nine Months 2014. | |||||||||||||||||||||
“XXX” Life Insurance Transactions | |||||||||||||||||||||
The Company’s $2.7 billion net par of XXX life insurance transactions as of September 30, 2014 includes $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, notes issued by each of 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. 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 September 30, 2014, the Company’s projected net expected loss to be paid is $90 million. The economic loss development during Third Quarter 2014 was approximately $3 million, which was due primarily to modest deterioration in the life insurance cash flow projections as well as a decrease in the risk free rates used to discount the long dated losses. The economic loss development during Nine Months 2014 was approximately $19 million, which was due primarily to changes in lapse assumptions on the underlying life insurance policies, modest deterioration in life insurance cash flow projections, and a decrease in the risk free rates used to discount the losses. | |||||||||||||||||||||
Manufactured Housing | |||||||||||||||||||||
The Company insures or reinsures a total of $231 million net par of securities backed by manufactured housing loans, of which $164 million is rated BIG. The Company has expected loss to be paid of $25 million as of September 30, 2014. The economic loss development during the Third Quarter 2014 and Nine Months 2014 was relatively flat. | |||||||||||||||||||||
Student Loan Transactions | |||||||||||||||||||||
The Company has insured or reinsured $2.7 billion net par of student loan securitizations, of which $1.9 billion was issued by private issuers and classified as asset-backed and $0.8 billion was issued by public authorities and classified as public finance. Of these amounts, $198 million and $244 million, respectively, are rated BIG. The Company is projecting approximately $78 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 economic loss development during Third Quarter 2014 was approximately $5 million, which is primarily due to slower than expected default rate improvement, primarily on the private student loan exposure. The economic loss development during Nine Months 2014 was approximately $13 million, which, in addition to the third quarter effects mentioned above, was also due to a decrease during 2014 in the risk free rates used to discount the losses along with some deterioration in collateral performance during the first six months of 2014. | |||||||||||||||||||||
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 $4.9 billion net par. The Company rates $4.7 billion net par of that amount BIG. For additional information regarding the Company's exposure to general obligations of Commonwealth of Puerto Rico and various obligations of its related authorities and public corporations, please refer to "Exposure to Puerto Rico" in Note 3, Outstanding Exposure. | |||||||||||||||||||||
The Company has net par exposure to the City of Detroit, Michigan of $2.2 billion as of September 30, 2014 to the general obligation, general fund and water and sewer utility sectors, as described below. On July 18, 2013, the City of Detroit filed for bankruptcy under Chapter 9 of the U.S. Bankruptcy Code. The City has filed a proposed plan of adjustment and disclosure statement with the Bankruptcy Court. | |||||||||||||||||||||
• | The Company has net par exposure to $1.1 billion of sewer revenue bonds and $882 million of water revenue bonds. The Company rates the bonds, which are secured by a lien on "special revenues," BBB. The exposure reflects the City's issuance in September 2014 of new series of sewer and water revenue bonds to finance (i) the purchase of outstanding sewer and water revenue bonds offered and accepted under a tender offer commenced by the City and (ii) the refunding of certain other sewer revenue and revenue refunding bonds, and the Company's insurance of a portion of such issuance. In connection with these transactions, approximately $677 million of the Company's then combined $1.8 billion net par exposure to the sewer and water revenue bonds was purchased in the tender offer or refunded, and the Company insured approximately $841 million gross par of the new sewer and water revenue bonds. Under the City's amended plan of adjustment, the impairment of all outstanding sewer and water revenue bonds (even those not purchased pursuant to the tender offer or refunded) that had been proposed was removed, including those provisions which provided for the impairment of interest rates and call protection on such bonds. | ||||||||||||||||||||
• | The Company has net par exposure of $128 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. The Company rates this exposure BIG. On April 9, 2014, the City and the Company reached a tentative settlement with respect to the treatment of the unlimited tax general obligation bonds insured by the Company. The agreement provides for the confirmation of both the secured status of such general obligation bonds and the existence of a valid lien on the City’s pledged property tax revenues, a finding that such revenues constitute “special revenues” under the U.S. Bankruptcy Code, and the provision of additional security for such general obligation bonds in the form of a subordinate statutory lien on, and intercept of, the City’s distributable state aid. After giving effect to post-petition payments made by Assured Guaranty on such general obligation bonds, the settlement results in an ultimate recovery of approximately 74% on such general obligation bonds. The settlement is subject to a number of conditions, including confirmation of a plan of adjustment. | ||||||||||||||||||||
• | The Company has net par exposure of $175 million to the City's Certificates of Participation, which are unsecured unconditional contractual obligations of the City that the Company rates BIG. On October 26, 2014, AG Re and Financial Guaranty Insurance Co. ("FGIC") entered into a commutation agreement pursuant to which FGIC will commute all the reinsurance AG Re provides to FGIC with respect to the Certificates of Participation. The effectiveness of the commutation agreement is subject to the occurrence of the effective date of the City’s plan of adjustment. The Company currently anticipates the plan of adjustment will be confirmed in November 2014. | ||||||||||||||||||||
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 $117 million, consisting of pension obligation bonds. The Company also had exposure to lease revenue bonds; as of September 30, 2014, the Company owned all of such bonds and held them in its investment portfolio. On October 3, 2013, the Company reached a settlement with the City regarding the treatment of the bonds insured by the Company in the City's plan of adjustment. Under the terms of the settlement, the Company will continue to receive net revenues from an office building and an option to take title to that building, and will be entitled to certain fixed payments and certain variable payments contingent on the City's revenue growth. On October 30, 2014, the bankruptcy court confirmed the City's plan of adjustment, which includes the terms of such settlement. The Company expects the plan of adjustment to become effective by the end of 2014. | |||||||||||||||||||||
The Company has $338 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 net expected loss across its troubled U.S. public finance credits as of September 30, 2014, which incorporated the likelihood of the outcomes mentioned above, will be $333 million, compared with a net expected loss of $339 million as of June 30, 2014 and $264 million as of December 31, 2013. Economic loss development in Third Quarter 2014 was $2 million. Economic loss development in Nine Months 2014 was approximately $107 million, which was primarily attributable to Puerto Rico and Detroit exposures. | |||||||||||||||||||||
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 $544 million and $120 million, respectively and exposure net of reinsurance for Spanish and Portuguese credits is $390 million and $106 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 $555 million and its exposure net of reinsurance is $524 million, all of which all is rated BIG. The Company estimated net expected losses of $50 million related to these Spanish, Portuguese and Hungarian credits. The economic loss development during the Third Quarter and Nine Months 2014 was relatively flat. | |||||||||||||||||||||
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. If the issuer is unable to refinance the debt 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 from 10 to 35 years, depending on the transaction and the performance of the underlying collateral. The Company estimates total claims for the 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 a lawsuit pending against DLJ Mortgage Capital, Inc. (“DLJ”) and Credit Suisse Securities (USA) LLC (“Credit Suisse”), which had provided representations and warranties on first lien U.S. RMBS transactions insured by them, seeking damages for 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. AGM also had sued Deutsche Bank AG affiliates DB Structured Products, Inc. and ACE Securities Corp. on a second lien U.S. RMBS transaction that it had insured; AGM signed an agreement to resolve its claims against Deutsche Bank in November 2014 and expects to file a stipulation with the court to dismiss the lawsuit shortly. | |||||||||||||||||||||
With respect to the Credit Suisse action, on May 6, 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. 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. | |||||||||||||||||||||
On July 3, 2014, the Supreme Court of the State of New York issued decisions in both the Credit Suisse and the recently settled Deutsche Bank litigations and noted they were intended to be read together. In the Deutsche Bank action, Deutsche Bank had filed a motion to dismiss certain of AGM’s claims as well as a motion for partial summary judgment against AGM. The decision provided that AGM continued to have claims for a breach of contract cause of action, which the court deemed to consist of a claim for recovery of the portion of AGM’s paid claims attributable to all loans that breached R&W, not solely for claims attributable to loans that AGM had demanded that Deutsche Bank repurchase prior to the litigation. The court also held that sampling and expert evidence could be used to calculate damages, and that AGM could recover its reasonable litigation costs and expenses. In the Credit Suisse action, the court granted the defendants’ motion to dismiss certain of AGM’s and AGC’s fraud claims and all of the claims against Credit Suisse First Boston Mortgage Securities Corp., along with the remaining fraud claims and claims of material misrepresentation in the inducement of an insurance contract. On July 10, 2014, AGM and AGC filed a notice of appeal of the court’s dismissal action. AGM and AGC continue to have claims for breach of R&W and breach of DLJ’s repurchase obligations. | |||||||||||||||||||||
Separately, AGM had 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 a first lien U.S. RMBS transaction that it had insured, alleging 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 certificates issued in the transaction. AGM has resolved its claims against RBS and the lawsuit has been dismissed. | |||||||||||||||||||||
“XXX” Life Insurance Transactions | |||||||||||||||||||||
In December 2008, 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. |
Financial_Guaranty_Insurance_L
Financial Guaranty Insurance Losses | 9 Months Ended | |||||||||||||||||||||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||||||||||||||||||||
Financial Guaranty Insurance Losses [Abstract] | ' | |||||||||||||||||||||||||||||||||||
Financial Guaranty Insurance Losses | ' | |||||||||||||||||||||||||||||||||||
Financial Guaranty Insurance Losses | ||||||||||||||||||||||||||||||||||||
Insurance Contracts' Loss Information | ||||||||||||||||||||||||||||||||||||
The following table provides balance sheet information on loss and LAE reserves and salvage and subrogation recoverable, net of reinsurance. The Company used weighted average risk-free rates for U.S. dollar denominated financial guaranty insurance obligations that ranged from 0.0% to 3.68% as of September 30, 2014 and 0.0% to 4.44% as of December 31, 2013. Financial guaranty insurance expected LAE reserve was $24 million as of September 30, 2014 and $27 million as of December 31, 2013. | ||||||||||||||||||||||||||||||||||||
Loss and LAE Reserve and Salvage and Subrogation Recoverable | ||||||||||||||||||||||||||||||||||||
Net of Reinsurance | ||||||||||||||||||||||||||||||||||||
Insurance Contracts | ||||||||||||||||||||||||||||||||||||
As of September 30, 2014 | As of December 31, 2013 | |||||||||||||||||||||||||||||||||||
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 | 121 | — | 121 | 108 | — | 108 | ||||||||||||||||||||||||||||||
Option ARM | 30 | 57 | (27 | ) | 22 | 47 | (25 | ) | ||||||||||||||||||||||||||||
Subprime | 163 | 7 | 156 | 143 | 2 | 141 | ||||||||||||||||||||||||||||||
First lien | 317 | 64 | 253 | 276 | 49 | 227 | ||||||||||||||||||||||||||||||
Second lien: | ||||||||||||||||||||||||||||||||||||
Closed-end second lien | 5 | 40 | (35 | ) | 5 | 45 | (40 | ) | ||||||||||||||||||||||||||||
HELOC | 4 | 163 | (159 | ) | 5 | 127 | (122 | ) | ||||||||||||||||||||||||||||
Second lien | 9 | 203 | (194 | ) | 10 | 172 | (162 | ) | ||||||||||||||||||||||||||||
Total U.S. RMBS | 326 | 267 | 59 | 286 | 221 | 65 | ||||||||||||||||||||||||||||||
TruPS | 0 | — | 0 | 2 | — | 2 | ||||||||||||||||||||||||||||||
Other structured finance | 167 | 2 | 165 | 145 | 6 | 139 | ||||||||||||||||||||||||||||||
U.S. public finance | 265 | 8 | 257 | 189 | 8 | 181 | ||||||||||||||||||||||||||||||
Non-U.S. public finance | 32 | — | 32 | 35 | — | 35 | ||||||||||||||||||||||||||||||
Financial guaranty | 790 | 277 | 513 | 657 | 235 | 422 | ||||||||||||||||||||||||||||||
Other | 2 | 6 | (4 | ) | 2 | 5 | (3 | ) | ||||||||||||||||||||||||||||
Subtotal | 792 | 283 | 509 | 659 | 240 | 419 | ||||||||||||||||||||||||||||||
Effect of consolidating FG VIEs | (88 | ) | (6 | ) | (82 | ) | (103 | ) | (85 | ) | (18 | ) | ||||||||||||||||||||||||
Total (1) | $ | 704 | $ | 277 | $ | 427 | $ | 556 | $ | 155 | $ | 401 | ||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
-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 amount 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 | |||||||||||||||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | |||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
Loss and LAE reserve | $ | 760 | $ | 592 | ||||||||||||||||||||||||||||||||
Reinsurance recoverable on unpaid losses | (56 | ) | (36 | ) | ||||||||||||||||||||||||||||||||
Loss and LAE reserve, net | 704 | 556 | ||||||||||||||||||||||||||||||||||
Salvage and subrogation recoverable | (294 | ) | (174 | ) | ||||||||||||||||||||||||||||||||
Salvage and subrogation payable(1) | 17 | 19 | ||||||||||||||||||||||||||||||||||
Salvage and subrogation recoverable, net | (277 | ) | (155 | ) | ||||||||||||||||||||||||||||||||
Subtotal | 427 | 401 | ||||||||||||||||||||||||||||||||||
Other recoverables(2) | (15 | ) | (15 | ) | ||||||||||||||||||||||||||||||||
Net reserves (salvage) | 412 | 386 | ||||||||||||||||||||||||||||||||||
Less: other (non-financial guaranty business) | (4 | ) | (3 | ) | ||||||||||||||||||||||||||||||||
Net reserves (salvage) - financial guaranty | $ | 416 | $ | 389 | ||||||||||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
-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 September 30, 2014 | As of December 31, 2013 | |||||||||||||||||||||||||||||||||||
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 | $ | 165 | $ | — | $ | 165 | $ | 122 | $ | (49 | ) | $ | 73 | |||||||||||||||||||||||
Loss and LAE reserve, net | 285 | (11 | ) | 274 | 363 | (24 | ) | 339 | ||||||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
-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 | ||||||||||||||||||||||||||||||||||||
30-Sep-14 | ||||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
Net expected loss to be paid | $ | 854 | ||||||||||||||||||||||||||||||||||
Less: net expected loss to be paid for FG VIEs | 122 | |||||||||||||||||||||||||||||||||||
Total | 732 | |||||||||||||||||||||||||||||||||||
Contra-paid, net | 50 | |||||||||||||||||||||||||||||||||||
Salvage and subrogation recoverable, net of reinsurance | 271 | |||||||||||||||||||||||||||||||||||
Loss and LAE reserve, net of reinsurance | (702 | ) | ||||||||||||||||||||||||||||||||||
Other recoveries (1) | 15 | |||||||||||||||||||||||||||||||||||
Net expected loss to be expensed (present value) (2) | $ | 366 | ||||||||||||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
-1 | R&W recoverables recorded in other assets on the consolidated balance sheet. | |||||||||||||||||||||||||||||||||||
-2 | Excludes $88 million as of September 30, 2014, 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 FG VIEs, which are eliminated in consolidation. | ||||||||||||||||||||||||||||||||||||
Net Expected Loss to be Expensed | ||||||||||||||||||||||||||||||||||||
Financial Guaranty Insurance Contracts | ||||||||||||||||||||||||||||||||||||
As of | ||||||||||||||||||||||||||||||||||||
30-Sep-14 | ||||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
2014 (October 1–December 31) | $ | 11 | ||||||||||||||||||||||||||||||||||
2015 | 41 | |||||||||||||||||||||||||||||||||||
2016 | 38 | |||||||||||||||||||||||||||||||||||
2017 | 30 | |||||||||||||||||||||||||||||||||||
2018 | 27 | |||||||||||||||||||||||||||||||||||
2019 - 2023 | 98 | |||||||||||||||||||||||||||||||||||
2024 - 2028 | 57 | |||||||||||||||||||||||||||||||||||
2029 - 2033 | 37 | |||||||||||||||||||||||||||||||||||
After 2033 | 27 | |||||||||||||||||||||||||||||||||||
Net expected loss to be expensed (present value) (1) | 366 | |||||||||||||||||||||||||||||||||||
Discount | 374 | |||||||||||||||||||||||||||||||||||
Total future value | $ | 740 | ||||||||||||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
-1 | Consolidation of FG VIEs resulted in reductions of $88 million in net expected loss to be expensed 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 | ||||||||||||||||||||||||||||||||||||
Third Quarter | Nine Months | |||||||||||||||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
Structured Finance: | ||||||||||||||||||||||||||||||||||||
U.S. RMBS: | ||||||||||||||||||||||||||||||||||||
First lien: | ||||||||||||||||||||||||||||||||||||
Prime first lien | $ | 0 | $ | 1 | $ | 0 | $ | 1 | ||||||||||||||||||||||||||||
Alt-A first lien | 4 | (7 | ) | 21 | (7 | ) | ||||||||||||||||||||||||||||||
Option ARM | 9 | 22 | (21 | ) | (39 | ) | ||||||||||||||||||||||||||||||
Subprime | (7 | ) | 31 | (5 | ) | 65 | ||||||||||||||||||||||||||||||
First lien | 6 | 47 | (5 | ) | 20 | |||||||||||||||||||||||||||||||
Second lien: | ||||||||||||||||||||||||||||||||||||
Closed-end second lien | 1 | 0 | 0 | 19 | ||||||||||||||||||||||||||||||||
HELOC | (45 | ) | (28 | ) | (55 | ) | (44 | ) | ||||||||||||||||||||||||||||
Second lien | (44 | ) | (28 | ) | (55 | ) | (25 | ) | ||||||||||||||||||||||||||||
Total U.S. RMBS | (38 | ) | 19 | (60 | ) | (5 | ) | |||||||||||||||||||||||||||||
TruPS | 0 | — | (1 | ) | (1 | ) | ||||||||||||||||||||||||||||||
Other structured finance | 6 | (12 | ) | 26 | (33 | ) | ||||||||||||||||||||||||||||||
Structured finance | (32 | ) | 7 | (35 | ) | (39 | ) | |||||||||||||||||||||||||||||
Public Finance: | ||||||||||||||||||||||||||||||||||||
U.S. public finance | 3 | 47 | 112 | 121 | ||||||||||||||||||||||||||||||||
Non-U.S. public finance | (1 | ) | 12 | (1 | ) | 13 | ||||||||||||||||||||||||||||||
Public finance | 2 | 59 | 111 | 134 | ||||||||||||||||||||||||||||||||
Subtotal | (30 | ) | 66 | 76 | 95 | |||||||||||||||||||||||||||||||
Other | 0 | — | (1 | ) | — | |||||||||||||||||||||||||||||||
Loss and LAE on insurance contracts before FG VIE consolidation | (30 | ) | 66 | 75 | 95 | |||||||||||||||||||||||||||||||
Effect of consolidating FG VIEs | (14 | ) | (11 | ) | (21 | ) | (26 | ) | ||||||||||||||||||||||||||||
Loss and LAE | $ | (44 | ) | $ | 55 | $ | 54 | $ | 69 | |||||||||||||||||||||||||||
The following table provides information on financial guaranty insurance contracts categorized as BIG. | ||||||||||||||||||||||||||||||||||||
Financial Guaranty Insurance | ||||||||||||||||||||||||||||||||||||
BIG Transaction Loss Summary | ||||||||||||||||||||||||||||||||||||
As of September 30, 2014 | ||||||||||||||||||||||||||||||||||||
BIG Categories | ||||||||||||||||||||||||||||||||||||
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(1) | 176 | (66 | ) | 79 | (22 | ) | 116 | (35 | ) | 371 | — | 371 | ||||||||||||||||||||||||
Remaining weighted-average contract period (in years) | 10.5 | 7.7 | 8.8 | 7.5 | 9.8 | 7.3 | 10.5 | — | 10.5 | |||||||||||||||||||||||||||
Outstanding exposure: | ||||||||||||||||||||||||||||||||||||
Principal | $ | 12,751 | $ | (2,179 | ) | $ | 3,169 | $ | (383 | ) | $ | 3,020 | $ | (150 | ) | $ | 16,228 | $ | — | $ | 16,228 | |||||||||||||||
Interest | 6,919 | (877 | ) | 1,470 | (142 | ) | 1,172 | (49 | ) | 8,493 | — | 8,493 | ||||||||||||||||||||||||
Total(2) | $ | 19,670 | $ | (3,056 | ) | $ | 4,639 | $ | (525 | ) | $ | 4,192 | $ | (199 | ) | $ | 24,721 | $ | — | $ | 24,721 | |||||||||||||||
Expected cash outflows (inflows) | $ | 1,827 | $ | (498 | ) | $ | 703 | $ | (58 | ) | $ | 1,729 | $ | (73 | ) | $ | 3,630 | $ | (364 | ) | $ | 3,266 | ||||||||||||||
Potential recoveries | ||||||||||||||||||||||||||||||||||||
Undiscounted R&W | (228 | ) | 6 | (28 | ) | 1 | (311 | ) | 13 | (547 | ) | 12 | (535 | ) | ||||||||||||||||||||||
Other(3) | (1,698 | ) | 479 | (259 | ) | 16 | (379 | ) | 28 | (1,813 | ) | 188 | (1,625 | ) | ||||||||||||||||||||||
Total potential recoveries | (1,926 | ) | 485 | (287 | ) | 17 | (690 | ) | 41 | (2,360 | ) | 200 | (2,160 | ) | ||||||||||||||||||||||
Subtotal | (99 | ) | (13 | ) | 416 | (41 | ) | 1,039 | (32 | ) | 1,270 | (164 | ) | 1,106 | ||||||||||||||||||||||
Discount | 13 | 0 | (125 | ) | 8 | (320 | ) | 8 | (416 | ) | 42 | (374 | ) | |||||||||||||||||||||||
Present value of expected cash flows | $ | (86 | ) | $ | (13 | ) | $ | 291 | $ | (33 | ) | $ | 719 | $ | (24 | ) | $ | 854 | $ | (122 | ) | $ | 732 | |||||||||||||
Deferred premium revenue | $ | 465 | $ | (76 | ) | $ | 110 | $ | (5 | ) | $ | 275 | $ | (26 | ) | $ | 743 | $ | (120 | ) | $ | 623 | ||||||||||||||
Reserves (salvage)(4) | $ | (179 | ) | $ | 0 | $ | 200 | $ | (28 | ) | $ | 516 | $ | (11 | ) | $ | 498 | $ | (82 | ) | $ | 416 | ||||||||||||||
Financial Guaranty Insurance | ||||||||||||||||||||||||||||||||||||
BIG Transaction Loss Summary | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
BIG Categories | ||||||||||||||||||||||||||||||||||||
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(1) | 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(2) | $ | 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 | ||||||||||||||||||||||||||||||||||||
Undiscounted R&W | (105 | ) | 1 | (201 | ) | 8 | (356 | ) | 13 | (640 | ) | 72 | (568 | ) | ||||||||||||||||||||||
Other(3) | (1,774 | ) | 513 | (470 | ) | 19 | (351 | ) | 19 | (2,044 | ) | 507 | (1,537 | ) | ||||||||||||||||||||||
Total potential recoveries | (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)(4) | $ | (114 | ) | $ | 1 | $ | 117 | $ | (4 | ) | $ | 420 | $ | (13 | ) | $ | 407 | $ | (18 | ) | $ | 389 | ||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
-1 | The ceded number of risks represents the number of risks for which the Company ceded a portion of its exposure. | |||||||||||||||||||||||||||||||||||
-2 | Includes BIG amounts related to FG VIEs. | |||||||||||||||||||||||||||||||||||
-3 | Includes excess spread and draws on HELOCs. | |||||||||||||||||||||||||||||||||||
-4 | 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 $120 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 $353 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 September 30, 2014, AGM and AGC had insured approximately $5.2 billion net par of VRDOs, of which approximately $0.2 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, from which the Company had purchased AGMH and its subsidiaries, 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 the GIC holder to terminate the GIC and withdraw the funds in the event of a downgrade of AGM below A3 or A-, 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 $2.4 billion as of September 30, 2014 were terminated, the assets of the GIC issuers (which had an aggregate accreted principal of approximately $3.5 billion and an aggregate market value of approximately $3.3 billion) would be sufficient to fund the withdrawal of the GIC funds. |
Fair_Value_Measurement
Fair Value Measurement | 9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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 Nine Months 2014, 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, and sector groupings. 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 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. As of September 30, 2014, the Company used models to price 42 fixed-maturity securities, which was 8.1% or $913 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 include investments carried and measured at fair value on a recurring basis of $93 million, and include primarily fixed-maturity securities classified as trading carried as Level 2, investments in two vehicles that invest in the global property catastrophe risk market classified as Level 3 and an investment in a high yield fund that invests primarily in senior loans and bonds classified as Level 3. | |||||||||||||||||||||||||||||||||||||||||||||||||||
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 15, 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). The net asset values are based on observable information. | |||||||||||||||||||||||||||||||||||||||||||||||||||
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; 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 or for an amount negotiated as part of an R&W settlement, 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. 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 models that use both observable and unobservable market data inputs to derive an estimate of the fair value of the Company's contracts in its 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 at the reporting date 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 previous years, market conditions at September 30, 2014 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 Debt Service schedules. | |||||||||||||||||||||||||||||||||||||||||||||||||||
The rates used to discount future expected premium cash flows ranged from 0.15% to 3.18% at September 30, 2014 and 0.21% to 3.88% at December 31, 2013. | |||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Based on actual collateral specific spreads | 8 | % | 6 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Based on market indices | 84 | % | 88 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Provided by the CDS counterparty | 8 | % | 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 a similar 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 58%, 28% and 61%, based on number of deals, of the Company's CDS contracts are fair valued using this minimum premium as of September 30, 2014, June 30, 2014 and December 31, 2013, respectively. The percentage of deals that price using the minimum premiums has fluctuated since December 31, 2013 due to changes in AGM's and AGC's credit spreads. In general when AGM's and AGC's credit spreads narrow, the cost to hedge AGM's and AGC's name declines and more transactions price above previously established floor levels. Meanwhile, when AGM's and AGC's credit spreads widen, the cost to hedge AGM's and AGC's name increases causing more transactions to price at previously established floor levels. 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 and taking the present value of such amounts. | |||||||||||||||||||||||||||||||||||||||||||||||||||
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 premium the Company receives 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 receives 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 multiplied by the par outstanding as of the reporting period. | |||||||||||||||||||||||||||||||||||||||||||||||||||
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 September 30, 2014 and December 31, 2013, 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 9, Consolidated Variable Interest Entities. | |||||||||||||||||||||||||||||||||||||||||||||||||||
The FG VIEs issued securities collateralized by first lien and second lien RMBS as well as 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 are 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, 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 algorithms designed to aggregate market color, received by the third-party, on comparable bonds. | |||||||||||||||||||||||||||||||||||||||||||||||||||
The fair value of the Company’s FG VIE assets is generally 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 generally 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 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 a projection of the LIBOR rate, 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 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 a projection of the LIBOR rate 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 presented in the tables below. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Hierarchy of Financial Instruments Carried at Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||||||
As of September 30, 2014 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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 | $ | 5,615 | $ | — | $ | 5,577 | $ | 38 | |||||||||||||||||||||||||||||||||||||||||||
U.S. government and agencies | 560 | — | 560 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Corporate securities | 1,380 | — | 1,283 | 97 | |||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
RMBS | 1,416 | — | 904 | 512 | |||||||||||||||||||||||||||||||||||||||||||||||
Commercial mortgage-backed securities ("CMBS") | 703 | — | 703 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Asset-backed securities | 501 | — | 235 | 266 | |||||||||||||||||||||||||||||||||||||||||||||||
Foreign government securities | 310 | — | 310 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Total fixed-maturity securities | 10,485 | — | 9,572 | 913 | |||||||||||||||||||||||||||||||||||||||||||||||
Short-term investments | 837 | 465 | 372 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Other invested assets (1) | 99 | — | 17 | 82 | |||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative assets | 86 | — | — | 86 | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ assets, at fair value | 1,296 | — | — | 1,296 | |||||||||||||||||||||||||||||||||||||||||||||||
Other assets | 77 | 25 | 17 | 35 | |||||||||||||||||||||||||||||||||||||||||||||||
Total assets carried at fair value | $ | 12,880 | $ | 490 | $ | 9,978 | $ | 2,412 | |||||||||||||||||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative liabilities | $ | 1,654 | $ | — | $ | — | $ | 1,654 | |||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities with recourse, at fair value | 1,326 | — | — | 1,326 | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities without recourse, at fair value | 133 | — | — | 133 | |||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities carried at fair value | $ | 3,113 | $ | — | $ | — | $ | 3,113 | |||||||||||||||||||||||||||||||||||||||||||
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 | 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 | |||||||||||||||||||||||||||||||||||||||||||
____________________ | |||||||||||||||||||||||||||||||||||||||||||||||||||
-1 | Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis. | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 Third Quarter 2014 and 2013 and Nine Months 2014 and 2013. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Level 3 Rollforward | |||||||||||||||||||||||||||||||||||||||||||||||||||
Recurring Basis | |||||||||||||||||||||||||||||||||||||||||||||||||||
Third Quarter 2014 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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 June 30, 2014 | $ | 38 | $ | 106 | $ | 350 | $ | 254 | $ | 49 | $ | 1,284 | $ | 31 | $ | (1,837 | ) | $ | (1,366 | ) | $ | (124 | ) | ||||||||||||||||||||||||||||
Total pretax realized and unrealized gains/(losses) recorded in:(1) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | 1 | (2 | ) | (14 | ) | (2 | ) | 6 | (2 | ) | 3 | (2 | ) | — | (7 | ) | 43 | (3 | ) | 4 | (4 | ) | 255 | (6 | ) | 7 | (3 | ) | (13 | ) | (3 | ) | |||||||||||||||||||
Other comprehensive income (loss) | (1 | ) | 5 | 12 | 9 | 2 | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
Purchases | — | — | 159 | — | 25 | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Settlements | 0 | — | (15 | ) | — | 0 | (31 | ) | — | 14 | 33 | 4 | |||||||||||||||||||||||||||||||||||||||
FG VIE consolidations | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
FG VIE deconsolidations | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Fair value as of September 30, 2014 | $ | 38 | $ | 97 | $ | 512 | $ | 266 | $ | 76 | $ | 1,296 | $ | 35 | $ | (1,568 | ) | $ | (1,326 | ) | $ | (133 | ) | ||||||||||||||||||||||||||||
Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2014 | $ | (1 | ) | $ | 5 | $ | 12 | $ | 9 | $ | 2 | $ | 55 | $ | 4 | $ | 98 | $ | 6 | $ | (5 | ) | |||||||||||||||||||||||||||||
Fair Value Level 3 Rollforward | |||||||||||||||||||||||||||||||||||||||||||||||||||
Recurring Basis | |||||||||||||||||||||||||||||||||||||||||||||||||||
Third Quarter 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 June 30, 2013 | $ | 36 | $ | — | $ | 276 | $ | 300 | $ | 2 | $ | 2,674 | $ | 23 | $ | (2,248 | ) | $ | (1,940 | ) | $ | (1,134 | ) | ||||||||||||||||||||||||||||
Total pretax realized and unrealized gains/(losses) recorded in:(1) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | — | (2 | ) | 1 | (2 | ) | 4 | (2 | ) | 6 | (2 | ) | 0 | (7 | ) | (30 | ) | (3 | ) | 9 | (4 | ) | 354 | (6 | ) | 28 | (3 | ) | 35 | (3 | ) | ||||||||||||||||||||
Other comprehensive income (loss) | 6 | 4 | 12 | (2 | ) | 0 | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
Purchases | — | 130 | (8 | ) | 9 | 38 | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||
Settlements | (1 | ) | (3 | ) | (14 | ) | (2 | ) | (2 | ) | (113 | ) | — | (27 | ) | 84 | 36 | ||||||||||||||||||||||||||||||||||
FG VIE consolidations | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
FG VIE deconsolidations | — | — | — | — | — | (16 | ) | — | — | — | 16 | ||||||||||||||||||||||||||||||||||||||||
Fair value as of September 30, 2013 | $ | 41 | $ | 132 | $ | 287 | $ | 340 | $ | 0 | $ | 2,515 | $ | 32 | $ | (1,921 | ) | $ | (1,828 | ) | $ | (1,047 | ) | ||||||||||||||||||||||||||||
Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2013 | $ | 5 | $ | 4 | $ | 12 | $ | (2 | ) | $ | 0 | $ | 20 | $ | 9 | $ | 331 | $ | 24 | $ | (20 | ) | |||||||||||||||||||||||||||||
Fair Value Level 3 Rollforward | |||||||||||||||||||||||||||||||||||||||||||||||||||
Recurring Basis | |||||||||||||||||||||||||||||||||||||||||||||||||||
Nine Months 2014 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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, 2013 | $ | 36 | $ | 136 | $ | 290 | $ | 268 | $ | 2 | $ | 2,565 | $ | 46 | $ | (1,693 | ) | $ | (1,790 | ) | $ | (1,081 | ) | ||||||||||||||||||||||||||||
Total pretax realized and unrealized gains/(losses) recorded in:(1) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | 3 | (2 | ) | (18 | ) | (2 | ) | 16 | (2 | ) | 13 | (2 | ) | — | 160 | (3 | ) | (11 | ) | (4 | ) | 147 | (6 | ) | (90 | ) | (3 | ) | (49 | ) | (3 | ) | |||||||||||||||||||
Other comprehensive income (loss) | 0 | (16 | ) | 26 | 17 | 4 | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
Purchases | — | — | 212 | — | 70 | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Settlements | (1 | ) | (5 | ) | (45 | ) | (32 | ) | 0 | (346 | ) | — | (22 | ) | 332 | 16 | |||||||||||||||||||||||||||||||||||
FG VIE consolidations | — | — | — | — | — | 46 | — | — | (25 | ) | (21 | ) | |||||||||||||||||||||||||||||||||||||||
FG VIE deconsolidations | — | — | 13 | — | — | (1,129 | ) | — | — | 247 | 1,002 | ||||||||||||||||||||||||||||||||||||||||
Fair value as of September 30, 2014 | $ | 38 | $ | 97 | $ | 512 | $ | 266 | $ | 76 | $ | 1,296 | $ | 35 | $ | (1,568 | ) | $ | (1,326 | ) | $ | (133 | ) | ||||||||||||||||||||||||||||
Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2014 | $ | 0 | $ | (16 | ) | $ | 25 | $ | 16 | $ | 4 | $ | 120 | $ | (11 | ) | $ | (47 | ) | $ | (46 | ) | $ | (10 | ) | ||||||||||||||||||||||||||
Fair Value Level 3 Rollforward | |||||||||||||||||||||||||||||||||||||||||||||||||||
Recurring Basis | |||||||||||||||||||||||||||||||||||||||||||||||||||
Nine Months 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) | 1 | (2 | ) | 1 | (2 | ) | 15 | (2 | ) | 15 | (2 | ) | (1 | ) | (7 | ) | 526 | (3 | ) | (4 | ) | (4 | ) | (164 | ) | (6 | ) | (135 | ) | (3 | ) | (157 | ) | (3 | ) | ||||||||||||||||
Other comprehensive income (loss) | 7 | 4 | 16 | (24 | ) | 2 | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
Purchases | — | 130 | (8 | ) | 79 | 49 | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||
Settlements | (2 | ) | (3 | ) | (42 | ) | (6 | ) | (2 | ) | (553 | ) | — | 36 | 274 | 135 | |||||||||||||||||||||||||||||||||||
FG VIE consolidations | — | — | — | — | — | 48 | — | — | (12 | ) | (37 | ) | |||||||||||||||||||||||||||||||||||||||
FG VIE deconsolidations | — | — | — | — | — | (194 | ) | — | — | 135 | 63 | ||||||||||||||||||||||||||||||||||||||||
Fair value as of September 30, 2013 | $ | 41 | $ | 132 | $ | 287 | $ | 340 | $ | 0 | $ | 2,515 | $ | 32 | $ | (1,921 | ) | $ | (1,828 | ) | $ | (1,047 | ) | ||||||||||||||||||||||||||||
Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2013 | $ | 7 | $ | 4 | $ | 16 | $ | (23 | ) | $ | 2 | $ | 450 | $ | (4 | ) | $ | 14 | $ | (141 | ) | $ | (246 | ) | |||||||||||||||||||||||||||
______________ | |||||||||||||||||||||||||||||||||||||||||||||||||||
-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 September 30, 2014 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Instrument Description (1) | Fair Value at | Significant Unobservable Inputs | Range | Weighted Average as a Percentage of Current Par Outstanding | |||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2014 | |||||||||||||||||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fixed maturity securities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Obligations of state and political subdivisions | $ | 38 | Rate of inflation | 1 | % | - | 3.00% | 2.00% | |||||||||||||||||||||||||||||||||||||||||||
Cash flow receipts | 0.5 | % | - | 73.40% | 62.20% | ||||||||||||||||||||||||||||||||||||||||||||||
Yield | 4.6 | % | - | 8.00% | 7.30% | ||||||||||||||||||||||||||||||||||||||||||||||
Collateral recovery period | 3 months | - | 34 years | 28 years | |||||||||||||||||||||||||||||||||||||||||||||||
Corporate securities | 97 | Yield | 13.90% | ||||||||||||||||||||||||||||||||||||||||||||||||
RMBS | 512 | CPR | 0.3 | % | - | 31.30% | 3.00% | ||||||||||||||||||||||||||||||||||||||||||||
CDR | 2.5 | % | - | 13.10% | 6.10% | ||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 30.1 | % | - | 100.00% | 82.20% | ||||||||||||||||||||||||||||||||||||||||||||||
Yield | 0.8 | % | - | 11.50% | 7.50% | ||||||||||||||||||||||||||||||||||||||||||||||
Asset-backed securities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Investor owned utility | 123 | Collateral recovery period | 4 years | ||||||||||||||||||||||||||||||||||||||||||||||||
Discount factor | 7.00% | ||||||||||||||||||||||||||||||||||||||||||||||||||
XXX life insurance transactions | 143 | Yield | 7.50% | ||||||||||||||||||||||||||||||||||||||||||||||||
Other invested assets | 82 | Discount for lack of liquidity | 20.00% | ||||||||||||||||||||||||||||||||||||||||||||||||
Recovery on delinquent loans | 40.00% | ||||||||||||||||||||||||||||||||||||||||||||||||||
Default rates | 0 | % | - | 7.00% | 6.20% | ||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 40 | % | - | 90.00% | 76.30% | ||||||||||||||||||||||||||||||||||||||||||||||
Prepayment speeds | 5 | % | - | 15.00% | 12.10% | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value (per share) | $ | 1,085 | - | $1,091 | $1,088 | ||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ assets, at fair value | 1,296 | CPR | 0 | % | - | 11.40% | 3.60% | ||||||||||||||||||||||||||||||||||||||||||||
CDR | 1.2 | % | - | 13.30% | 6.50% | ||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 45 | % | - | 100.00% | 85.40% | ||||||||||||||||||||||||||||||||||||||||||||||
Yield | 2.5 | % | - | 17.60% | 8.30% | ||||||||||||||||||||||||||||||||||||||||||||||
Financial Instrument Description (1) | Fair Value at | Significant Unobservable Inputs | Range | Weighted Average as a Percentage of Current Par Outstanding | |||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2014 | |||||||||||||||||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets | 35 | Quotes from third party pricing | $ | 52 | - | $61 | $56.50 | ||||||||||||||||||||||||||||||||||||||||||||
Term (years) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative liabilities, net | (1,568 | ) | Year 1 loss estimates | 0 | % | - | 63.00% | 2.10% | |||||||||||||||||||||||||||||||||||||||||||
Hedge cost (in bps) | 30 | - | 345 | 73.3 | |||||||||||||||||||||||||||||||||||||||||||||||
Bank profit (in bps) | 1 | - | 1,450.90 | 113.5 | |||||||||||||||||||||||||||||||||||||||||||||||
Internal floor (in bps) | 7 | - | 100 | 13.9 | |||||||||||||||||||||||||||||||||||||||||||||||
Internal credit rating | AAA | - | CCC | AA | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities, at fair value | (1,459 | ) | CPR | 0 | % | - | 11.40% | 3.60% | |||||||||||||||||||||||||||||||||||||||||||
CDR | 1.2 | % | - | 13.30% | 6.50% | ||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 45 | % | - | 100.00% | 85.40% | ||||||||||||||||||||||||||||||||||||||||||||||
Yield | 2.5 | % | - | 7.70% | 5.20% | ||||||||||||||||||||||||||||||||||||||||||||||
___________________ | |||||||||||||||||||||||||||||||||||||||||||||||||||
-1 | Discounted cash flow is used as valuation technique for all financial instruments. | ||||||||||||||||||||||||||||||||||||||||||||||||||
Quantitative Information About Level 3 Fair Value Inputs | |||||||||||||||||||||||||||||||||||||||||||||||||||
At December 31, 2013 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Instrument Description (1) | Fair Value at | Significant Unobservable Inputs | Range | Weighted Average as a Percentage of Current Par Outstanding | |||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fixed-maturity securities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Obligations of state and political subdivisions | $ | 36 | Rate of inflation | 1 | % | - | 3.00% | 2.00% | |||||||||||||||||||||||||||||||||||||||||||
Cash flow receipts | 0.5 | % | - | 60.90% | 51.10% | ||||||||||||||||||||||||||||||||||||||||||||||
Discount rates | 4.6 | % | - | 9.00% | 8.00% | ||||||||||||||||||||||||||||||||||||||||||||||
Collateral recovery period | 1 month | - | 10 years | 3 years | |||||||||||||||||||||||||||||||||||||||||||||||
Corporate securities | 136 | Yield | 8.30% | ||||||||||||||||||||||||||||||||||||||||||||||||
RMBS | 290 | CPR | 1 | % | - | 15.80% | 4.10% | ||||||||||||||||||||||||||||||||||||||||||||
CDR | 5 | % | - | 25.80% | 17.90% | ||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 48.1 | % | - | 102.50% | 87.20% | ||||||||||||||||||||||||||||||||||||||||||||||
Yield | 2.5 | % | - | 9.40% | 5.70% | ||||||||||||||||||||||||||||||||||||||||||||||
Asset-backed securities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Investor owned utility | 141 | Liquidation value (in millions) | $195 | - | $245 | $228 | |||||||||||||||||||||||||||||||||||||||||||||
Years to liquidation | 0 years | - | 3 years | 2 years | |||||||||||||||||||||||||||||||||||||||||||||||
Collateral recovery period | 12 months | - | 6 years | 3.5 years | |||||||||||||||||||||||||||||||||||||||||||||||
Discount factor | 15.30% | ||||||||||||||||||||||||||||||||||||||||||||||||||
XXX life insurance transactions | 127 | Yield | 12.50% | ||||||||||||||||||||||||||||||||||||||||||||||||
Other invested assets | 8 | Discount for lack of liquidity | 10 | % | - | 20.00% | 20.00% | ||||||||||||||||||||||||||||||||||||||||||||
Recovery on delinquent loans | 20 | % | - | 60.00% | 40.00% | ||||||||||||||||||||||||||||||||||||||||||||||
Default rates | 1 | % | - | 10.00% | 3.20% | ||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 40 | % | - | 90.00% | 73.50% | ||||||||||||||||||||||||||||||||||||||||||||||
Prepayment speeds | 6 | % | - | 15.00% | 13.10% | ||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ assets, at fair value | 2,565 | CPR | 0.3 | % | - | 11.80% | 3.60% | ||||||||||||||||||||||||||||||||||||||||||||
CDR | 3 | % | - | 25.80% | 13.60% | ||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 37.5 | % | - | 102.00% | 94.60% | ||||||||||||||||||||||||||||||||||||||||||||||
Yield | 3.5 | % | - | 10.20% | 5.40% | ||||||||||||||||||||||||||||||||||||||||||||||
Financial Instrument Description (1) | Fair Value at | Significant Unobservable Inputs | Range | Weighted Average as a Percentage of Current Par Outstanding | |||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets | 46 | Quotes from third party pricing | $47 | - | $53 | $50 | |||||||||||||||||||||||||||||||||||||||||||||
Term (years) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative liabilities, net | (1,693 | ) | Year 1 loss estimates | 0 | % | - | 48.00% | 1.90% | |||||||||||||||||||||||||||||||||||||||||||
Hedge cost (in bps) | 46.3 | - | 525 | 110.1 | |||||||||||||||||||||||||||||||||||||||||||||||
Bank profit (in bps) | 1 | - | 1,418.50 | 250.4 | |||||||||||||||||||||||||||||||||||||||||||||||
Internal floor (in bps) | 7 | - | 100 | 15.6 | |||||||||||||||||||||||||||||||||||||||||||||||
Internal credit rating | AAA | - | CCC | AA+ | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities, at fair value | (2,871 | ) | CPR | 0.3 | % | - | 11.80% | 3.60% | |||||||||||||||||||||||||||||||||||||||||||
CDR | 3 | % | - | 25.80% | 13.60% | ||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 37.5 | % | - | 102.00% | 94.60% | ||||||||||||||||||||||||||||||||||||||||||||||
Yield | 3.5 | % | - | 10.20% | 5.40% | ||||||||||||||||||||||||||||||||||||||||||||||
____________________ | |||||||||||||||||||||||||||||||||||||||||||||||||||
-1 | Discounted cash flow is used as valuation technique for all 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Carrying | Estimated | Carrying | Estimated | ||||||||||||||||||||||||||||||||||||||||||||||||
Amount | Fair Value | Amount | Fair Value | ||||||||||||||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fixed-maturity securities | $ | 10,485 | $ | 10,485 | $ | 9,711 | $ | 9,711 | |||||||||||||||||||||||||||||||||||||||||||
Short-term investments | 837 | 837 | 904 | 904 | |||||||||||||||||||||||||||||||||||||||||||||||
Other invested assets | 108 | 111 | 147 | 155 | |||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative assets | 86 | 86 | 94 | 94 | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ assets, at fair value | 1,296 | 1,296 | 2,565 | 2,565 | |||||||||||||||||||||||||||||||||||||||||||||||
Other assets | 213 | 213 | 179 | 179 | |||||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Financial guaranty insurance contracts(1) | 3,586 | 6,147 | 3,783 | 5,128 | |||||||||||||||||||||||||||||||||||||||||||||||
Long-term debt | 1,303 | 1,579 | 816 | 970 | |||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative liabilities | 1,654 | 1,654 | 1,787 | 1,787 | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities with recourse, at fair value | 1,326 | 1,326 | 1,790 | 1,790 | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities without recourse, at fair value | 133 | 133 | 1,081 | 1,081 | |||||||||||||||||||||||||||||||||||||||||||||||
Other liabilities | 107 | 107 | 36 | 36 | |||||||||||||||||||||||||||||||||||||||||||||||
____________________ | |||||||||||||||||||||||||||||||||||||||||||||||||||
-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 | 9 Months Ended | |||||||||||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | |||||||||||||||||||||||||
Financial Guaranty Contracts Accounted for as Credit Derivatives | ' | |||||||||||||||||||||||||
Financial Guaranty Contracts Accounted for as 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). | ||||||||||||||||||||||||||
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, there are more circumstances under which the Company may be obligated to make payments. Similar to a financial guaranty insurance contract, the Company would be obligated to pay if the obligor failed to make a scheduled payment of principal or interest in full. However, the Company may also be required to pay if the obligor became bankrupt or if the reference obligation were restructured if, after negotiation, those credit events are specified in the documentation for the credit derivative transactions. Furthermore, the Company may be required to make a payment due to an event that is unrelated to the performance of the obligation referenced in the credit derivative. 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. In that case, 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 4.3 years at September 30, 2014 and 4.1 years at December 31, 2013. The components of the Company’s credit derivative net par outstanding are presented below. | ||||||||||||||||||||||||||
Credit Derivatives | ||||||||||||||||||||||||||
Subordination and Ratings | ||||||||||||||||||||||||||
As of September 30, 2014 | As of December 31, 2013 | |||||||||||||||||||||||||
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 | $ | 12,985 | 32 | % | 35.8 | % | AAA | $ | 19,323 | 32.4 | % | 34 | % | AAA | ||||||||||||
Synthetic investment grade pooled corporate | 9,301 | 21.3 | 19.9 | AAA | 9,754 | 21.6 | 20 | AAA | ||||||||||||||||||
Synthetic high yield pooled corporate | — | — | — | — | 2,690 | 47.2 | 41.1 | AAA | ||||||||||||||||||
TruPS CDOs | 3,242 | 45.3 | 34.9 | BB+ | 3,554 | 45.5 | 32.9 | BB+ | ||||||||||||||||||
Market value CDOs of corporate obligations | 1,352 | 21.4 | 26.5 | AAA | 2,000 | 24.4 | 30.5 | AAA | ||||||||||||||||||
Total pooled corporate obligations | 26,880 | 29.4 | 29.7 | AAA | 37,321 | 31.5 | 30.6 | AAA | ||||||||||||||||||
U.S. RMBS: | ||||||||||||||||||||||||||
Option ARM and Alt-A first lien(2) | 2,064 | 17.9 | 7.9 | BBB+ | 2,609 | 19.2 | 8.6 | BB- | ||||||||||||||||||
Subprime first lien | 1,428 | 30.9 | 51.2 | A | 2,930 | 30.5 | 51.9 | AA- | ||||||||||||||||||
Prime first lien | 233 | 10.9 | 0.4 | B | 264 | 10.9 | 3.2 | CCC | ||||||||||||||||||
Closed-end second lien | 20 | — | — | BB | 23 | — | — | B+ | ||||||||||||||||||
Total U.S. RMBS | 3,745 | 24.3 | 30.3 | BBB+ | 5,826 | 24.4 | 30.1 | BBB | ||||||||||||||||||
CMBS | 2,207 | 34.5 | 45.5 | AAA | 3,744 | 33.5 | 42.5 | AAA | ||||||||||||||||||
Other | 7,263 | — | — | A- | 7,591 | — | — | A- | ||||||||||||||||||
Total | $ | 40,095 | AA | $ | 54,482 | 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. | |||||||||||||||||||||||||
-2 | In the fourth quarter of 2014, $622 million in net par was terminated as part of a negotiated R&W settlement. | |||||||||||||||||||||||||
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 $2.4 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 $4.9 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 September 30, 2014 | As of December 31, 2013 | |||||||||||||||||||||||||
Ratings | Net Par | % of Total | Net Par | % of Total | ||||||||||||||||||||||
Outstanding | Outstanding | |||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||
AAA | $ | 26,263 | 65.5 | % | $ | 38,244 | 70.2 | % | ||||||||||||||||||
AA | 2,979 | 7.4 | 3,648 | 6.7 | ||||||||||||||||||||||
A | 3,529 | 8.8 | 3,636 | 6.7 | ||||||||||||||||||||||
BBB | 3,906 | 9.8 | 4,161 | 7.6 | ||||||||||||||||||||||
BIG | 3,418 | 8.5 | 4,793 | 8.8 | ||||||||||||||||||||||
Credit derivative net par outstanding | $ | 40,095 | 100 | % | $ | 54,482 | 100 | % | ||||||||||||||||||
Fair Value of Credit Derivatives | ||||||||||||||||||||||||||
Net Change in Fair Value of Credit Derivatives Gain (Loss) | ||||||||||||||||||||||||||
Third Quarter | Nine Months | |||||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Realized gains on credit derivatives (1) | $ | 17 | $ | 24 | $ | 58 | $ | 93 | ||||||||||||||||||
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements | (31 | ) | 0 | (38 | ) | (137 | ) | |||||||||||||||||||
Realized gains (losses) and other settlements on credit derivatives | (14 | ) | 24 | 20 | (44 | ) | ||||||||||||||||||||
Net change in unrealized gains (losses) on credit derivatives: | ||||||||||||||||||||||||||
Pooled corporate obligations | 4 | 96 | 10 | (43 | ) | |||||||||||||||||||||
U.S. RMBS | 252 | 195 | 117 | (248 | ) | |||||||||||||||||||||
CMBS | — | 3 | 2 | (1 | ) | |||||||||||||||||||||
Other(2) | 13 | 36 | (2 | ) | 172 | |||||||||||||||||||||
Net change in unrealized gains (losses) on credit derivatives (3) | 269 | 330 | 127 | (120 | ) | |||||||||||||||||||||
Net change in fair value of credit derivatives | $ | 255 | $ | 354 | $ | 147 | $ | (164 | ) | |||||||||||||||||
____________________ | ||||||||||||||||||||||||||
-1 | Includes accelerations due to terminations of CDS contracts of $(0.1) million and $0.1 million related to net par of $1.6 billion and $0.3 billion for Third Quarter 2014 and Third Quarter 2013, respectively, and $0.6 million and $15 million related to net par of $2.9 billion and $3.3 billion for Nine Months 2014 and Nine Months 2013, respectively. | |||||||||||||||||||||||||
-2 | “Other” includes all other U.S. and international asset classes, such as commercial receivables, international infrastructure, international RMBS securities, and pooled infrastructure securities. | |||||||||||||||||||||||||
-3 | Except for net estimated credit impairments (i.e., net expected loss to be paid as discussed in Note 5), 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. In the fourth quarter of 2014, $372 million in fair value losses will reverse as gains on three transactions that were terminated as part of a negotiated R&W settlement. | |||||||||||||||||||||||||
During Third Quarter 2014, unrealized fair value gains were generated primarily in the U.S. RMBS prime first lien and Option ARM and subprime sectors. This is due primarily to a significant unrealized fair value gain in the Option ARM sector as a result of the termination of a resecuritization transaction during the period. In addition, there were unrealized fair value gains due to tighter implied net spreads. The tighter implied net spreads were primarily a result of the increased cost to buy protection in AGC’s name, as the market cost of AGC's credit protection increased during the period, with the change in the one year CDS spread having the largest impact. These transactions were pricing at or 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, increased, the implied spreads that the Company would expect to receive on these transactions decreased. The cost of AGM’s credit protection did not change significantly during Third Quarter 2014, and did not lead to significant changes in the fair value of the Company’s CDS policies. | ||||||||||||||||||||||||||
During Nine Months 2014, unrealized fair value gains were generated primarily in the U.S. RMBS Option ARM sector due to the termination of a resecuritization transaction. The unrealized fair value gains were partially offset by unrealized fair value losses resulting from wider implied net spreads in the prime first lien and Option ARM sectors. 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 significantly during the period. 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 Nine Months 2014, but did not lead to significant fair value losses, as the majority of AGM policies continue to price at floor levels. | ||||||||||||||||||||||||||
During Third Quarter 2013, unrealized fair value gains were generated primarily in the U.S. RMBS prime first lien, Alt-A, Option ARM and subprime sectors, as well as pooled corporate obligations, due to tighter implied net spreads. The tighter implied net spreads were primarily a result of the increased cost to buy protection in AGC’s name as the market cost of AGC’s credit protection increased significantly during the period. These transactions were pricing at or 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 cost of AGM’s credit protection also increased during Third Quarter 2013, but did not lead to significant fair value gains, as a significant portion of AGM policies continue to price at floor levels. | ||||||||||||||||||||||||||
During Nine Months 2013, 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 Nine Months 2013, but did not lead to significant fair value losses, as the majority of AGM policies continue to price at floor levels. These unrealized fair value losses were partially offset by unrealized fair value gains in the Other sector driven primarily by the termination of a film securitization transaction and price improvement on a XXX life securitization transaction. The company terminated a film securitization CDS for a payment of $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. | ||||||||||||||||||||||||||
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. | ||||||||||||||||||||||||||
Five-Year CDS Spread | ||||||||||||||||||||||||||
on AGC and AGM | ||||||||||||||||||||||||||
Quoted price of CDS contract (in basis points) | ||||||||||||||||||||||||||
As of | As of | As of | As of September 30, 2013 | As of | As of | |||||||||||||||||||||
30-Sep-14 | 30-Jun-14 | 31-Dec-13 | 30-Jun-13 | 31-Dec-12 | ||||||||||||||||||||||
AGC | 345 | 327 | 460 | 465 | 343 | 678 | ||||||||||||||||||||
AGM | 344 | 346 | 525 | 502 | 365 | 536 | ||||||||||||||||||||
One-Year CDS Spread | ||||||||||||||||||||||||||
on AGC and AGM | ||||||||||||||||||||||||||
Quoted price of CDS contract (in basis points) | ||||||||||||||||||||||||||
As of | As of | As of | As of September 30, 2013 | As of | As of | |||||||||||||||||||||
30-Sep-14 | 30-Jun-14 | 31-Dec-13 | 30-Jun-13 | 31-Dec-12 | ||||||||||||||||||||||
AGC | 125 | 85 | 185 | 185 | 57 | 270 | ||||||||||||||||||||
AGM | 120 | 115 | 220 | 215 | 72 | 257 | ||||||||||||||||||||
Fair Value of Credit Derivatives Assets (Liabilities) | ||||||||||||||||||||||||||
and Effect of AGC and AGM | ||||||||||||||||||||||||||
Credit Spreads | ||||||||||||||||||||||||||
As of | As of | |||||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | |||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Fair value of credit derivatives before effect of AGC and AGM credit spreads | $ | (2,755 | ) | $ | (3,442 | ) | ||||||||||||||||||||
Plus: Effect of AGC and AGM credit spreads | 1,187 | 1,749 | ||||||||||||||||||||||||
Net fair value of credit derivatives | $ | (1,568 | ) | $ | (1,693 | ) | ||||||||||||||||||||
The fair value of CDS contracts at September 30, 2014, 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 September 30, 2014 with December 31, 2013, 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 CDS contracts, resulted in a gain of approximately $687 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 2005-2007 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 5) for contracts accounted for as derivatives. | ||||||||||||||||||||||||||
Net Fair Value and Expected Losses | ||||||||||||||||||||||||||
of Credit Derivatives by Sector | ||||||||||||||||||||||||||
Fair Value of Credit Derivative | Expected Loss to be (Paid) Recovered (1) | |||||||||||||||||||||||||
Asset (Liability), net | ||||||||||||||||||||||||||
Asset Type | As of | As of | As of | As of | ||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | 30-Sep-14 | 31-Dec-13 | |||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Pooled corporate obligations | $ | (22 | ) | $ | (30 | ) | $ | (26 | ) | $ | (48 | ) | ||||||||||||||
U.S. RMBS | (1,192 | ) | (1,308 | ) | (97 | ) | (175 | ) | ||||||||||||||||||
CMBS | — | (2 | ) | — | — | |||||||||||||||||||||
Other | (354 | ) | (353 | ) | 40 | 39 | ||||||||||||||||||||
Total | $ | (1,568 | ) | $ | (1,693 | ) | $ | (83 | ) | $ | (184 | ) | ||||||||||||||
____________________ | ||||||||||||||||||||||||||
(1) | Includes R&W benefit of $99 million as of September 30, 2014 and $180 million as of December 31, 2013. In the fourth quarter of 2014, $372 million in unrealized fair value losses will reverse as gains on three transactions that were terminated as part of a negotiated R&W settlement. | |||||||||||||||||||||||||
Ratings Sensitivities of Credit Derivative Contracts | ||||||||||||||||||||||||||
Within the Company's insured CDS portfolio, the transaction documentation for approximately $7.2 billion in CDS gross par insured as of September 30, 2014 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 $6.9 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 $337 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 September 30, 2014, the Company posted approximately $434 million to secure obligations under its CDS exposure, of which approximately $40 million related to such $337 million of notional. As of December 31, 2013, the Company posted approximately $677 million, of which approximately $62 million related to $347 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. | ||||||||||||||||||||||||||
On May 6, 2014, AGC’s affiliate AG Financial Products Inc. and one of its CDS counterparties amended the ISDA master agreement between them, at no cost, to remove a termination trigger based on a rating downgrade of the other party. With this termination, none of the Company's insured CDS portfolio is subject to a rating-based termination trigger that could result in the Company being obligated to make a termination payment to a CDS counterparty. | ||||||||||||||||||||||||||
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 September 30, 2014 | ||||||||||||||||||||||||||
Credit Spreads(1) | Estimated Net | Estimated Change | ||||||||||||||||||||||||
Fair Value | in Gain/(Loss) | |||||||||||||||||||||||||
(Pre-Tax) | (Pre-Tax) | |||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
100% widening in spreads | $ | (3,159 | ) | $ | (1,591 | ) | ||||||||||||||||||||
50% widening in spreads | (2,363 | ) | (795 | ) | ||||||||||||||||||||||
25% widening in spreads | (1,965 | ) | (397 | ) | ||||||||||||||||||||||
10% widening in spreads | (1,726 | ) | (158 | ) | ||||||||||||||||||||||
Base Scenario | (1,568 | ) | — | |||||||||||||||||||||||
10% narrowing in spreads | (1,414 | ) | 154 | |||||||||||||||||||||||
25% narrowing in spreads | (1,184 | ) | 384 | |||||||||||||||||||||||
50% narrowing in spreads | (791 | ) | 777 | |||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||
-1 | Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. |
Consolidated_Variable_Interest
Consolidated Variable Interest Entities | 9 Months Ended | ||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||
Consolidation of Variable Interest Entities [abstract] | ' | ||||||||||||||||
Consolidated Variable Interest Entities | ' | ||||||||||||||||
Consolidated 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 insured debt obligations in the event that the issuer of such debt obligations defaults on any principal or interest due and only for the amount of the shortfall. 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 5, Expected Loss to be Paid. | |||||||||||||||||
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 for certain VIEs 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. If the Company is deemed no longer to have those protective rights, the transaction is deconsolidated. | |||||||||||||||||
Consolidated FG VIEs | |||||||||||||||||
Number of FG VIE's Consolidated | |||||||||||||||||
Nine Months | |||||||||||||||||
2014 | 2013 | ||||||||||||||||
Beginning of period, December 31 | 40 | 33 | |||||||||||||||
Consolidated (1) | 1 | 11 | |||||||||||||||
Deconsolidated (1) | (8 | ) | (3 | ) | |||||||||||||
Matured | (2 | ) | (1 | ) | |||||||||||||
End of period, September 30 | 31 | 40 | |||||||||||||||
____________________ | |||||||||||||||||
-1 | Net gain on deconsolidation was $120 million in Nine Months 2014, and a net loss on consolidation and deconsolidation was $7 million in Nine Months 2013, 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 $188 million at September 30, 2014 and $750 million at December 31, 2013. The aggregate unpaid principal of the FG VIEs’ assets was approximately $847 million greater than the aggregate fair value at September 30, 2014, excluding the effect of R&W settlements. 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 change in the instrument-specific credit risk of the FG VIEs’ assets held as of September 30, 2014 that was recorded in the consolidated statements of operations for Third Quarter 2014 and Nine Months 2014 were gains of $86 million and $140 million, respectively. The change in the instrument-specific credit risk of the FG VIEs’ assets held as of September 30, 2013 that was recorded in the consolidated statements of operations for Third Quarter 2013 and Nine Months 2013 were gains of $83 million and $252 million, respectively. | |||||||||||||||||
The unpaid principal for FG VIE liabilities with recourse was $1,743 million and $2,316 million as of September 30, 2014 and December 31, 2013, respectively. FG VIE liabilities with recourse will mature at various dates ranging from 2025 to 2038. The aggregate unpaid principal balance was approximately $673 million greater than the aggregate fair value of the FG VIEs’ liabilities as of September 30, 2014. 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 September 30, 2014 | As of December 31, 2013 | ||||||||||||||||
Assets | Liabilities | Assets | Liabilities | ||||||||||||||
(in millions) | |||||||||||||||||
With recourse: | |||||||||||||||||
U.S. RMBS first lien | $ | 519 | $ | 600 | $ | 630 | $ | 791 | |||||||||
U.S. RMBS second lien | 249 | 353 | 460 | 640 | |||||||||||||
Other | 373 | 373 | 359 | 359 | |||||||||||||
Total with recourse | 1,141 | 1,326 | 1,449 | 1,790 | |||||||||||||
Without recourse | 155 | 133 | 1,116 | 1,081 | |||||||||||||
Total | $ | 1,296 | $ | 1,459 | $ | 2,565 | $ | 2,871 | |||||||||
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 | |||||||||||||||||
Third Quarter | Nine Months | ||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||
(in millions) | |||||||||||||||||
Net earned premiums | $ | (5 | ) | $ | (14 | ) | $ | (27 | ) | $ | (47 | ) | |||||
Net investment income | (2 | ) | (3 | ) | (8 | ) | (10 | ) | |||||||||
Net realized investment gains (losses) | 0 | 0 | (5 | ) | 2 | ||||||||||||
Fair value gains (losses) on FG VIEs | 50 | 40 | 232 | 253 | |||||||||||||
Other income | 0 | — | (2 | ) | — | ||||||||||||
Loss and LAE | 14 | 11 | 21 | 26 | |||||||||||||
Effect on net income before tax provision | 57 | 34 | 211 | 224 | |||||||||||||
Less: tax provision (benefit) | 20 | 12 | 74 | 78 | |||||||||||||
Effect on net income (loss) | $ | 37 | $ | 22 | $ | 137 | $ | 146 | |||||||||
Effect on cash flows from operating activities | $ | 18 | $ | (2 | ) | $ | 57 | $ | (143 | ) | |||||||
As of | As of | ||||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||
(in millions) | |||||||||||||||||
Effect on shareholders’ equity (decrease) increase | $ | (53 | ) | $ | (172 | ) | |||||||||||
Fair value gains (losses) on FG VIEs represent the net change in fair value on the consolidated FG VIEs’ assets and liabilities. During Third Quarter 2014, the Company recorded a pre-tax net fair value gain on consolidated FG VIEs of $50 million. This gain was primarily driven by price appreciation on the Company's FG VIE assets relating to HELOC transactions and principal payments. During Nine Months 2014, the Company recorded a pre-tax net fair value gain of consolidated FG VIEs of $232 million. The primary driver of this gain, $120 million, was a result of the deconsolidation of seven VIEs in the first quarter of 2014. There was an additional gain of $37 million resulting from the Company exercising its option to accelerate two second lien RMBS VIEs. These two VIEs were treated as maturities during the period. | |||||||||||||||||
During Third Quarter 2013, the Company recorded a pre-tax net fair value gain of consolidated FG VIEs of $40 million. The gain was primarily driven by price depreciation on the Company’s FG VIE liabilities. During the quarter, market participants gave less value to the guarantee provided by monoline insurers as a result of exposure to specific countries. The primary driver of the $253 million pre-tax fair value gain of consolidated FG VIEs during Nine Months 2013 was a result of R&W benefits received on several VIEs as a result of settlements with various counterparties during the first and second quarters. These settlements resulted in a gain of $213 million. During Third Quarter 2013, one of the Company's financial guaranty insurance policies was canceled, resulting in deconsolidation of one FG VIE. During the first half of 2013, the Company signed an agreement that resulted in the deconsolidation of two FG VIEs. | |||||||||||||||||
Non-Consolidated VIEs | |||||||||||||||||
As of September 30, 2014 and December 31, 2013, the Company had issued financial guaranty contracts for approximately 970 and 1,000 VIEs, respectively, that it did not consolidate. 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 | 9 Months Ended | |||||||||||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | ' | |||||||||||||||||||||||||
Investments and Cash | ' | |||||||||||||||||||||||||
Investments and Cash | ||||||||||||||||||||||||||
Net Investment Income and Realized Gains (Losses) | ||||||||||||||||||||||||||
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. Accrued investment income was $97 million and $93 million as of September 30, 2014 and December 31, 2013, respectively. | ||||||||||||||||||||||||||
Net Investment Income | ||||||||||||||||||||||||||
Third Quarter | Nine Months | |||||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Income from fixed-maturity securities managed by third parties | $ | 83 | $ | 80 | $ | 244 | $ | 239 | ||||||||||||||||||
Income from internally managed securities: | ||||||||||||||||||||||||||
Fixed maturities | 15 | 19 | 52 | 49 | ||||||||||||||||||||||
Other invested assets | 6 | 2 | 11 | 4 | ||||||||||||||||||||||
Gross investment income | 104 | 101 | 307 | 292 | ||||||||||||||||||||||
Investment expenses | (2 | ) | (2 | ) | (6 | ) | (6 | ) | ||||||||||||||||||
Net investment income | $ | 102 | $ | 99 | $ | 301 | $ | 286 | ||||||||||||||||||
Net Realized Investment Gains (Losses) | ||||||||||||||||||||||||||
Third Quarter | Nine Months | |||||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Gross realized gains on available-for-sale securities | $ | 3 | $ | 5 | $ | 10 | $ | 23 | ||||||||||||||||||
Gross realized gains on other assets in investment portfolio | 1 | 2 | 8 | 38 | ||||||||||||||||||||||
Gross realized losses on available-for-sale securities | (1 | ) | (2 | ) | (4 | ) | (11 | ) | ||||||||||||||||||
Gross realized losses on other assets in investment portfolio | (1 | ) | (4 | ) | (1 | ) | (7 | ) | ||||||||||||||||||
Other-than-temporary impairment | (21 | ) | (8 | ) | (38 | ) | (20 | ) | ||||||||||||||||||
Net realized investment gains (losses) | $ | (19 | ) | $ | (7 | ) | $ | (25 | ) | $ | 23 | |||||||||||||||
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 other comprehensive income ("OCI"). | ||||||||||||||||||||||||||
Roll Forward of Credit Losses | ||||||||||||||||||||||||||
in the Investment Portfolio | ||||||||||||||||||||||||||
Third Quarter | Nine Months | |||||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Balance, beginning of period | $ | 84 | $ | 72 | $ | 80 | $ | 64 | ||||||||||||||||||
Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized | 3 | 1 | 29 | 2 | ||||||||||||||||||||||
Reductions for securities sold during the period | — | — | (12 | ) | — | |||||||||||||||||||||
Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized | 17 | 6 | 7 | 13 | ||||||||||||||||||||||
Balance, end of period | $ | 104 | $ | 79 | $ | 104 | $ | 79 | ||||||||||||||||||
Investment Portfolio | ||||||||||||||||||||||||||
Fixed-Maturity Securities and Short-Term Investments | ||||||||||||||||||||||||||
by Security Type | ||||||||||||||||||||||||||
As of September 30, 2014 | ||||||||||||||||||||||||||
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) | |||||||||||||||||||||||||
Other-Than-Temporary Impairment | ||||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||
Fixed-maturity securities: | ||||||||||||||||||||||||||
Obligations of state and political subdivisions | 49 | % | $ | 5,256 | $ | 361 | $ | (2 | ) | $ | 5,615 | $ | 7 | AA | ||||||||||||
U.S. government and agencies | 5 | 533 | 30 | (3 | ) | 560 | — | AA+ | ||||||||||||||||||
Corporate securities | 12 | 1,351 | 47 | (18 | ) | 1,380 | (11 | ) | A | |||||||||||||||||
Mortgage-backed securities(4): | 0 | |||||||||||||||||||||||||
RMBS | 13 | 1,406 | 49 | (39 | ) | 1,416 | (14 | ) | A- | |||||||||||||||||
CMBS | 6 | 689 | 15 | (1 | ) | 703 | — | AAA | ||||||||||||||||||
Asset-backed securities | 4 | 483 | 19 | (1 | ) | 501 | 6 | BBB | ||||||||||||||||||
Foreign government securities | 3 | 301 | 10 | (1 | ) | 310 | — | AA+ | ||||||||||||||||||
Total fixed-maturity securities | 92 | 10,019 | 531 | (65 | ) | 10,485 | (12 | ) | AA- | |||||||||||||||||
Short-term investments | 8 | 837 | 0 | 0 | 837 | — | AAA | |||||||||||||||||||
Total investment portfolio | 100 | % | $ | 10,856 | $ | 531 | $ | (65 | ) | $ | 11,322 | $ | (12 | ) | AA- | |||||||||||
Fixed-Maturity Securities and Short-Term Investments | ||||||||||||||||||||||||||
by Security Type | ||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||
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) | |||||||||||||||||||||||||
Other-Than-Temporary Impairment | ||||||||||||||||||||||||||
(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): | ||||||||||||||||||||||||||
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- | |||||||||||
____________________ | ||||||||||||||||||||||||||
-1 | Based on amortized cost. | |||||||||||||||||||||||||
-2 | Accumulated OCI ("AOCI"). See also Note 17, Shareholders' Equity. | |||||||||||||||||||||||||
-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 43% of mortgage backed securities as of September 30, 2014 and 50% as of December 31, 2013 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 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. | ||||||||||||||||||||||||||
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 September 30, 2014 | ||||||||||||||||||||||||||
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 | $ | 93 | $ | (1 | ) | $ | 72 | $ | (1 | ) | $ | 165 | $ | (2 | ) | |||||||||||
U.S. government and agencies | 28 | 0 | 162 | (3 | ) | 190 | (3 | ) | ||||||||||||||||||
Corporate securities | 247 | (13 | ) | 127 | (5 | ) | 374 | (18 | ) | |||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||||
RMBS | 312 | (3 | ) | 226 | (36 | ) | 538 | (39 | ) | |||||||||||||||||
CMBS | 82 | 0 | 26 | (1 | ) | 108 | (1 | ) | ||||||||||||||||||
Asset-backed securities | 39 | 0 | 19 | (1 | ) | 58 | (1 | ) | ||||||||||||||||||
Foreign government securities | 60 | (1 | ) | 19 | 0 | 79 | (1 | ) | ||||||||||||||||||
Total | $ | 861 | $ | (18 | ) | $ | 651 | $ | (47 | ) | $ | 1,512 | $ | (65 | ) | |||||||||||
Number of securities (1) | 143 | 123 | 260 | |||||||||||||||||||||||
Number of securities with other-than-temporary impairment | 4 | 7 | 11 | |||||||||||||||||||||||
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 other-than-temporary impairment | 13 | 11 | 24 | |||||||||||||||||||||||
___________________ | ||||||||||||||||||||||||||
-1 | The number of securities does not add across because of lots of the same securities that have been purchased at different times and appear in both categories above (i.e. Less than 12 months and 12 months or more). If a security appears in both categories, it is counted only once in the Total column. | |||||||||||||||||||||||||
Of the securities in an unrealized loss position for 12 months or more as of September 30, 2014, seven securities had unrealized losses greater than 10% of book value. The total unrealized loss for these securities as of September 30, 2014 was $31 million. The Company has determined that the unrealized losses recorded as of September 30, 2014 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 September 30, 2014 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 September 30, 2014 | ||||||||||||||||||||||||||
Amortized | Estimated | |||||||||||||||||||||||||
Cost | Fair Value | |||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Due within one year | $ | 146 | $ | 148 | ||||||||||||||||||||||
Due after one year through five years | 1,906 | 1,978 | ||||||||||||||||||||||||
Due after five years through 10 years | 2,225 | 2,349 | ||||||||||||||||||||||||
Due after 10 years | 3,647 | 3,891 | ||||||||||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||||
RMBS | 1,406 | 1,416 | ||||||||||||||||||||||||
CMBS | 689 | 703 | ||||||||||||||||||||||||
Total | $ | 10,019 | $ | 10,485 | ||||||||||||||||||||||
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 $427 million and $377 million as of September 30, 2014 and December 31, 2013, respectively, based on fair value. In addition, to fulfill state licensing requirements the Company has placed on deposit eligible securities of $19 million as of both September 30, 2014 and December 31, 2013, based on fair value. | ||||||||||||||||||||||||||
The fair value of the Company’s pledged securities to secure its obligations under its CDS exposure totaled $434 million and $677 million as of September 30, 2014 and December 31, 2013, respectively. | ||||||||||||||||||||||||||
No material investments of the Company were non-income producing for Nine Months 2014 and 2013, respectively. | ||||||||||||||||||||||||||
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 10% and 9% of the investment portfolio, on a fair value basis as of September 30, 2014 and December 31, 2013, respectively. 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 (the "trading portfolio"). | ||||||||||||||||||||||||||
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). | ||||||||||||||||||||||||||
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 | As of | |||||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | |||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Assets purchased for loss mitigation purposes: | ||||||||||||||||||||||||||
Fixed maturity securities: | ||||||||||||||||||||||||||
Obligations of state and political subdivisions | $ | 30 | $ | 28 | ||||||||||||||||||||||
RMBS | 439 | 284 | ||||||||||||||||||||||||
Asset-backed securities | 143 | 127 | ||||||||||||||||||||||||
Other invested assets | 15 | 47 | ||||||||||||||||||||||||
Other risk management assets: | ||||||||||||||||||||||||||
Fixed maturity securities | 353 | 322 | ||||||||||||||||||||||||
Other | 108 | 35 | ||||||||||||||||||||||||
Trading portfolio (other invested assets) | 4 | 88 | ||||||||||||||||||||||||
Total | $ | 1,092 | $ | 931 | ||||||||||||||||||||||
Insurance_Company_Regulatory_R
Insurance Company Regulatory Requirements | 9 Months Ended | ||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||
Insurance Company Regulatory Requirements [Abstract] | ' | ||||||||||||||||
Insurance Company Regulatory Requirements | ' | ||||||||||||||||
Insurance Company Regulatory Requirements | |||||||||||||||||
Contingency Reserves | |||||||||||||||||
On July 15, 2013, AGM and its wholly-owned subsidiary, AGE (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 (“MIA”) 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 MIA and the NYSDFS. | ||||||||||||||||
• | 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 has the effect of increasing contingency reserves by the amount reassumed and decreasing policyholders' surplus by the same amount; there would be no impact on the statutory or rating agency capital as a result of the reassumption. The reassumption of contingency reserves would permit the release of amounts from the AG Re trust accounts securing AG Re's reinsurance of the AGM Group and AGC. | |||||||||||||||||
In the third quarter of 2013, AGM and AGC reassumed 33% of their respective contingency reserve bases, which permitted the release of approximately $130 million of assets from the AG Re trust accounts securing AG Re's reinsurance of AGM and AGC, after adjusting for increases in the amounts required to be held in such accounts due to changes in asset values. | |||||||||||||||||
In the third quarter of 2014, AGM and AGC reassumed 50% of their respective contingency reserve bases (approximately $244 million in the aggregate), which permitted the release of approximately $249 million of assets from the AG Re trust accounts securing AG Re's reinsurance of AGM and AGC, after taking into account other, normal-course adjustments to AG Re’s collateral requirements such as changes in asset values and changes in assumed reserves. | |||||||||||||||||
Dividend Restrictions and Capital Requirements | |||||||||||||||||
Under New York insurance law, AGM may only 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 dividends without the prior approval of the NYSDFS that, together with all dividends declared or distributed by it during the preceding 12 months, does not exceed the lesser of 10% of its policyholders' surplus (as of the last annual or quarterly statement filed with the New York Superintendent of Financial Services ("New York Superintendent")) or 100% of its adjusted net investment income during that period. The aggregate amount available for AGM to distribute as dividends in the next twelve months without regulatory approval is estimated to be approximately $161 million. | |||||||||||||||||
Under Maryland 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. The aggregate amount available for AGC to distribute as ordinary dividends in 2014, including amounts already paid per the table below, is approximately $69 million. | |||||||||||||||||
MAC is subject to the same dividend limitations described above for AGM. The Company does not currently anticipate that MAC will distribute any dividends. | |||||||||||||||||
As of September 30, 2014, AG Re had unencumbered assets of $483 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 $784 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 or approximately $267 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 $280 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 $127 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. | ||||||||||||||||
U.K. company law prohibits each of AGE and AGUK from declaring a dividend to its shareholders unless it has “profits available for distribution.” The determination of whether a company has profits available for distribution is based on its accumulated realized profits less its accumulated realized losses. While the U.K. insurance regulatory laws impose no statutory restrictions on a general insurer's ability to declare a dividend, the Prudential Regulation Authority's capital requirements may in practice act as a restriction on dividends. The Company does not expect AGE or AGUK to distribute any dividends at this time. | |||||||||||||||||
Dividends and Surplus Notes | |||||||||||||||||
By Insurance Company Subsidiaries | |||||||||||||||||
Third Quarter | Nine Months | ||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||
(in millions) | |||||||||||||||||
Dividends paid by AGC to AGUS | $ | 15 | $ | 25 | $ | 30 | $ | 42 | |||||||||
Dividends paid by AGM to AGMH | 60 | 60 | 105 | 98 | |||||||||||||
Dividends paid by AG Re to AGL | — | 22 | 82 | 122 | |||||||||||||
Repayment of surplus note by AGM to AGMH | 25 | 25 | 50 | 50 | |||||||||||||
Issuance of surplus notes by MAC to AGM and Municipal Assurance Holdings Inc. | — | (400 | ) | — | (400 | ) | |||||||||||
Income_Taxes
Income Taxes | 9 Months Ended | ||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||
Income Tax Disclosure [Abstract] | ' | ||||||||||||||||
Income Taxes | ' | ||||||||||||||||
Income Taxes | |||||||||||||||||
Overview | |||||||||||||||||
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 AGE, 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 and its administrative and head office functions will continue to be carried on 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 21% currently; such rate fell to 21% as of April 1, 2014 and will fall 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, AG Financial Products Inc. ("AGFP") and AG Analytics Inc. (“AGUS consolidated tax group”). Beginning on May 12, 2012, MAC also joined the AGUS consolidated tax group. Assured Guaranty Overseas US Holdings Inc. and its subsidiaries AGRO and AG Intermediary Inc., file their own consolidated federal income tax return. | |||||||||||||||||
Provision for Income Taxes | |||||||||||||||||
The Company's provision for income taxes for interim financial periods is not based on an estimated annual effective rate, due, for example, to the variability in fair value of its credit derivatives, which prevents the Company from projecting a reliable estimated annual effective tax rate and pretax income for the full year 2014. A discrete calculation of the provision is calculated for each interim period. | |||||||||||||||||
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 21.5% 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, 2014, the U.K. corporation tax rate has been reduced to 21%, for the period April 1, 2013 to April 1, 2014 the U.K. corporation tax rate was 23% resulting in a blended tax rate of 21.5% in 2014, and prior to April 1, 2013, the U.K. corporation tax rate was 24% resulting in a blended tax rate of 23.25% in 2013. 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 | |||||||||||||||||
Third Quarter | Nine Months | ||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||
(in millions) | |||||||||||||||||
Expected tax provision (benefit) at statutory rates in taxable jurisdictions | $ | 145 | $ | 165 | $ | 255 | $ | 241 | |||||||||
Tax-exempt interest | (15 | ) | (14 | ) | (43 | ) | (43 | ) | |||||||||
Change in liability for uncertain tax positions | 6 | 4 | 7 | (3 | ) | ||||||||||||
Other | (3 | ) | (3 | ) | 0 | (1 | ) | ||||||||||
Total provision (benefit) for income taxes | $ | 133 | $ | 152 | $ | 219 | $ | 194 | |||||||||
Effective tax rate | 27.3 | % | 28.2 | % | 28.3 | % | 29.7 | % | |||||||||
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. or U.K. domiciled but are subject to U.S. or U.K. tax by election, establishment of tax residency or as controlled foreign corporations are included at the U.S. or U.K. 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 | |||||||||||||||||
Third Quarter | Nine Months | ||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||
(in millions) | |||||||||||||||||
United States | $ | 419 | $ | 469 | $ | 741 | $ | 688 | |||||||||
Bermuda | 76 | 67 | 57 | (35 | ) | ||||||||||||
U.K. | (7 | ) | 0 | (23 | ) | 0 | |||||||||||
Total | $ | 488 | $ | 536 | $ | 775 | $ | 653 | |||||||||
Revenue by Tax Jurisdiction | |||||||||||||||||
Third Quarter | Nine Months | ||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||
(in millions) | |||||||||||||||||
United States | $ | 420 | $ | 548 | $ | 908 | $ | 846 | |||||||||
Bermuda | 106 | 122 | 168 | 113 | |||||||||||||
U.K. | (1 | ) | 0 | (3 | ) | 0 | |||||||||||
Total | $ | 525 | $ | 670 | $ | 1,073 | $ | 959 | |||||||||
Pretax income by jurisdiction may be disproportionate to revenue by jurisdiction to the extent that insurance losses incurred are disproportionate. | |||||||||||||||||
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 2009-2012 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 SA and Dexia Crédit Local S.A. for any potential liability associated with this audit of any periods prior to the Company's acquisition of AGMH on July 1, 2009. The Company's U.K. subsidiaries are not currently under examination and have open tax years of 2011 forward. | |||||||||||||||||
Uncertain Tax Positions | |||||||||||||||||
The Company's policy is to recognize interest and penalties related to uncertain tax positions in income tax expense and has accrued $1 million for Nine Months 2014 and $1 million for 2013. For Nine Months 2014, an amount of $6 million was recorded as a return to provision adjustment and for Nine Months 2013, an amount of $9 million was released following the closing of an IRS audit. As of September 30, 2014 and December 31, 2013, the Company had accrued $5 million and $3 million of interest, respectively. | |||||||||||||||||
The total amount of unrecognized tax benefits as of September 30, 2014 and December 31, 2013, that would affect the effective tax rate, if recognized, was $27 million and $20 million, respectively. |
Reinsurance_and_Other_Monoline
Reinsurance and Other Monoline Exposures | 9 Months Ended | ||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||
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. | |||||||||||||||||
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 September 30, 2014, 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 $288 million and $50 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. | |||||||||||||||||
In Nine Months 2014, the Company entered into commutation agreements to reassume previously ceded business consisting of approximately $856 million par of almost exclusively U.S. public finance and European (predominantly UK) utility and infrastructure exposures outstanding as of February 28, 2014. For such reassumptions, the Company received the statutory unearned premium outstanding as of the commutation dates plus, in one case, a commutation premium. There were no commutations in Nine Months 2013. | |||||||||||||||||
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 | |||||||||||||||||
Third Quarter | Nine Months | ||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||
(in millions) | |||||||||||||||||
Premiums Written: | |||||||||||||||||
Direct | $ | 52 | $ | 28 | $ | 100 | $ | 48 | |||||||||
Assumed(1) | (5 | ) | (2 | ) | (6 | ) | 17 | ||||||||||
Ceded(2) | 0 | 4 | (22 | ) | 3 | ||||||||||||
Net | $ | 47 | $ | 30 | $ | 72 | $ | 68 | |||||||||
Premiums Earned: | |||||||||||||||||
Direct | $ | 151 | $ | 173 | $ | 438 | $ | 627 | |||||||||
Assumed | 12 | 12 | 32 | 26 | |||||||||||||
Ceded | (19 | ) | (26 | ) | (58 | ) | (83 | ) | |||||||||
Net | $ | 144 | $ | 159 | $ | 412 | $ | 570 | |||||||||
Loss and LAE: | |||||||||||||||||
Direct | $ | (58 | ) | $ | 25 | $ | 46 | $ | 18 | ||||||||
Assumed | 11 | 35 | 26 | 70 | |||||||||||||
Ceded | 3 | (5 | ) | (18 | ) | (19 | ) | ||||||||||
Net | $ | (44 | ) | $ | 55 | $ | 54 | $ | 69 | ||||||||
____________________ | |||||||||||||||||
-1 | Negative assumed premiums written were due to changes in expected Debt Service schedules. | ||||||||||||||||
(2) Positive ceded premiums written were due to 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. At September 30, 2014, based on fair value, the Company had fixed-maturity securities in its investment portfolio consisting of $416 million insured by National Public Finance Guarantee Corporation, $415 million insured by Ambac Assurance Corporation ("Ambac") and $29 million insured by other guarantors. | |||||||||||||||||
Exposure by Reinsurer | |||||||||||||||||
Ratings at | Par Outstanding | ||||||||||||||||
November 5, 2014 | As of September 30, 2014 | ||||||||||||||||
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 | $ | 7,233 | $ | — | $ | 30 | |||||||||
Tokio Marine & Nichido Fire Insurance Co., Ltd. | Aa3 (3) | AA- (3) | 5,653 | — | — | ||||||||||||
Radian Asset Assurance Inc. | Ba1 | B+ | 4,307 | 21 | 756 | ||||||||||||
Syncora Guarantee Inc. | WR | WR | 3,940 | 1,702 | 161 | ||||||||||||
Mitsui Sumitomo Insurance Co. Ltd. | A1 | A+ (3) | 2,062 | — | — | ||||||||||||
ACA Financial Guaranty Corp. | NR (5) | WR | 752 | 2 | — | ||||||||||||
Federal Insurance Company | Aa2 | AA | 382 | — | — | ||||||||||||
Swiss Reinsurance Co. | Aa3 | AA- | 332 | — | — | ||||||||||||
Security Life of Denver Insurance Company | A3 | A- | 239 | — | — | ||||||||||||
Ambac | WR | WR | 82 | 5,437 | 15,424 | ||||||||||||
Ambac Assurance Corp. Segregated Account | NR | NR | — | 114 | 1,106 | ||||||||||||
CIFG Assurance North America Inc. | WR | WR | — | 107 | 4,495 | ||||||||||||
MBIA | -4 | -4 | — | 3,146 | 609 | ||||||||||||
National Public Finance Guarantee Corporation | A3 | AA- | — | 6,375 | 6,067 | ||||||||||||
FGIC | WR | WR | — | 2,145 | 1,135 | ||||||||||||
Other | Various | Various | 206 | 902 | 46 | ||||||||||||
Total | $ | 25,188 | $ | 19,951 | $ | 29,829 | |||||||||||
____________________ | |||||||||||||||||
-1 | Includes $2,540 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 includes subsidiaries MBIA Insurance Corp. rated B by S&P and B2 by Moody's and MBIA U.K. Insurance Ltd. rated B by S&P and Ba2 by Moody’s. | ||||||||||||||||
(5) Represents “Not Rated.” | |||||||||||||||||
Amounts Due (To) From Reinsurers | |||||||||||||||||
As of September 30, 2014 | |||||||||||||||||
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 | $ | — | $ | (8 | ) | $ | — | $ | 9 | ||||||||
Tokio Marine & Nichido Fire Insurance Co., Ltd. | — | (16 | ) | — | 31 | ||||||||||||
Radian Asset Assurance Inc. | — | (16 | ) | — | 16 | ||||||||||||
Syncora Guarantee Inc. | — | (35 | ) | — | 2 | ||||||||||||
Mitsui Sumitomo Insurance Co. Ltd. | — | (3 | ) | — | 9 | ||||||||||||
Federal Insurance Company | — | (16 | ) | — | — | ||||||||||||
Swiss Reinsurance Co. | — | (3 | ) | — | 4 | ||||||||||||
Security Life of Denver Insurance Company | — | (9 | ) | — | — | ||||||||||||
Ambac | 45 | — | (19 | ) | — | ||||||||||||
Ambac Assurance Corp. Segregated Account | 15 | — | (79 | ) | — | ||||||||||||
CIFG Assurance North America Inc. | — | — | (6 | ) | — | ||||||||||||
MBIA | 5 | — | (9 | ) | — | ||||||||||||
National Public Finance Guarantee Corporation | 7 | — | (3 | ) | — | ||||||||||||
FGIC | 6 | — | (109 | ) | — | ||||||||||||
Other | 0 | (24 | ) | — | — | ||||||||||||
Total | $ | 78 | $ | (130 | ) | $ | (225 | ) | $ | 71 | |||||||
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. |
Commitments_and_Contingencies
Commitments and Contingencies | 9 Months Ended | |
Sep. 30, 2014 | ||
Commitments and Contingencies Disclosure [Abstract] | ' | |
Commitments and Contingencies | ' | |
Commitments and Contingencies | ||
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 5, 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 and on September 30, 2013, AGC, AGM and the other bond insurer defendants filed a notice of cross-appeal. On July 7, 2014, the bond insurer defendants, as cross-appellants, filed their opening brief in the Court of Appeal of the State of California First Appellate District, Division 2. The complaints generally seek unspecified monetary damages, interest, attorneys' fees, costs and other expenses. On October 29, 2014, AGC and AGM filed a good faith settlement notice with the Superior Court for the State of California, City and County of San Francisco, informing the court and co-defendants that AGC, AGM and the plaintiffs had reached an agreement to settle and resolve the cases as between them. Barring any objections from the co-defendants, the court will rule and enter a good faith order that bars any claims for contribution by co-defendants. Upon entry of the good faith order, the Company expects the parties will consummate the settlement and the claims against AGC and AGM will be dismissed with prejudice. | ||
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. | ||
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., jointly and severally, have agreed to indemnify the Company against liability arising out of the proceedings described below, 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 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; the motions were denied on August 15, 2014. | ||
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 complaint generally seeks unspecified monetary damages, interest, attorneys’ fees and other costs. The other four 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. The Company cannot reasonably estimate the possible loss, if any, or range of loss that may arise from these lawsuits. | ||
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 11 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 | 9 Months Ended | |||||||||||||||
Sep. 30, 2014 | ||||||||||||||||
Debt Disclosure [Abstract] | ' | |||||||||||||||
Long-Term Debt and Credit Facilities | ' | |||||||||||||||
Long-Term Debt and Credit Facilities | ||||||||||||||||
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 September 30, 2014 | As of December 31, 2013 | |||||||||||||||
Principal | Carrying | Principal | Carrying | |||||||||||||
Value | Value | |||||||||||||||
(in millions) | ||||||||||||||||
AGUS: | ||||||||||||||||
7.0% Senior Notes | $ | 200 | $ | 198 | $ | 200 | $ | 198 | ||||||||
5.0% Senior Notes | 500 | 499 | — | — | ||||||||||||
Series A Enhanced Junior Subordinated Debentures | 150 | 150 | 150 | 150 | ||||||||||||
Total AGUS | 850 | 847 | 350 | 348 | ||||||||||||
AGMH: | ||||||||||||||||
67/8% QUIBS | 100 | 68 | 100 | 68 | ||||||||||||
6.25% Notes | 230 | 139 | 230 | 138 | ||||||||||||
5.60% Notes | 100 | 55 | 100 | 55 | ||||||||||||
Junior Subordinated Debentures | 300 | 174 | 300 | 169 | ||||||||||||
Total AGMH | 730 | 436 | 730 | 430 | ||||||||||||
AGM: | ||||||||||||||||
AGM Notes Payable | 17 | 20 | 34 | 38 | ||||||||||||
Total | $ | 1,597 | $ | 1,303 | $ | 1,114 | $ | 816 | ||||||||
5.0% Senior Notes | ||||||||||||||||
On June 20, 2014, AGUS issued $500 million of 5.0% Senior Notes due 2024 ("5.0% Senior Notes") for net proceeds of $495 million. The notes are guaranteed by AGL. The net proceeds from the sale of the notes are being used for general corporate purposes, including the purchase of AGL common shares. | ||||||||||||||||
Recourse Credit Facilities | ||||||||||||||||
2009 Strip Coverage Facility | ||||||||||||||||
In connection with the Company's acquisition of AGMH and its subsidiaries from Dexia Holdings Inc., 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 “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 $1.2 billion as of September 30, 2014. 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 September 30, 2014, approximately $1.4 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 Dexia Crédit Local S.A., 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 Company's acquisition of AGMH. AGM has reduced the maximum commitment amount from time to time, after taking into account its experience with its exposure to leveraged lease transactions. Most recently, as of June 30, 2014, AGM reduced the maximum commitment amount to $495 million and agreed with Dexia Crédit Local (NY) that the commitment amount would no longer amortize on a scheduled monthly basis. | ||||||||||||||||
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. On June 30, 2014, AGM and Dexia Crédit Local (NY) agreed to shorten the duration of the facility. Accordingly, 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 in accordance with the terms of the facility, and June 30, 2024 (rather than 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 | ||||||||||||||||
• | a minimum net worth of 75% of consolidated net worth as of July 1, 2009, plus, beginning June 30, 2015 and on each anniversary of such date, an amount equal to the product of (i) 25% of the aggregate consolidated net income (or loss) for the period beginning July 2, 2009 and ending on June 30, 2014 and (ii) a fraction, the numerator of which is the commitment amount as of the relevant calculation date and the denominator of which is $1 billion. | |||||||||||||||
The Company was in compliance with all financial covenants as of September 30, 2014. | ||||||||||||||||
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 September 30, 2014, 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 the 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. | ||||||||||||||||
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 Securities 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 September 30, 2014 the put option had not been exercised. The Company does not consider itself to be the primary beneficiary of the trusts. See Note 7, Fair Value Measurement, –Other Assets–Committed Capital Securities, for a fair value measurement discussion. |
Earnings_Per_Share
Earnings Per Share | 9 Months Ended | ||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||
Earnings Per Share [Abstract] | ' | ||||||||||||||||
Earnings Per Share | ' | ||||||||||||||||
Earnings Per Share | |||||||||||||||||
Computation of Earnings Per Share | |||||||||||||||||
Third Quarter | Nine Months | ||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||
(in millions, except per share amounts) | |||||||||||||||||
Basic earnings per share ("EPS"): | |||||||||||||||||
Net income (loss) attributable to AGL | $ | 355 | $ | 384 | $ | 556 | $ | 459 | |||||||||
Less: Distributed and undistributed income (loss) available to nonvested shareholders | 1 | 0 | 0 | 0 | |||||||||||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | $ | 354 | $ | 384 | $ | 556 | $ | 459 | |||||||||
Basic shares | 168.8 | 182.9 | 176.4 | 188.2 | |||||||||||||
Basic EPS | $ | 2.1 | $ | 2.1 | $ | 3.15 | $ | 2.44 | |||||||||
Diluted EPS: | |||||||||||||||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | $ | 354 | $ | 384 | $ | 556 | $ | 459 | |||||||||
Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries | 0 | 0 | 0 | 0 | |||||||||||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted | $ | 354 | $ | 384 | $ | 556 | $ | 459 | |||||||||
Basic shares | 168.8 | 182.9 | 176.4 | 188.2 | |||||||||||||
Effect of dilutive securities: | |||||||||||||||||
Options and restricted stock awards | 0.9 | 1 | 1 | 0.9 | |||||||||||||
Diluted shares | 169.7 | 183.9 | 177.4 | 189.1 | |||||||||||||
Diluted EPS | $ | 2.09 | $ | 2.09 | $ | 3.13 | $ | 2.43 | |||||||||
Potentially dilutive securities excluded from computation of EPS because of antidilutive effect | 1.9 | 1.9 | 1.6 | 3 | |||||||||||||
Shareholders_Equity
Shareholders' Equity | 9 Months Ended | |||||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||||
Equity [Abstract] | ' | |||||||||||||||||||
Shareholders' Equity | ' | |||||||||||||||||||
Shareholders' Equity | ||||||||||||||||||||
Other Comprehensive Income | ||||||||||||||||||||
The following tables present the changes in 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 | ||||||||||||||||||||
Third Quarter 2014 | ||||||||||||||||||||
Net Unrealized | Net Unrealized | Cumulative | Cash Flow Hedge | Total Accumulated | ||||||||||||||||
Gains (Losses) on | Gains (Losses) on | Translation | Other | |||||||||||||||||
Investments with no Other-Than-Temporary Impairment | Investments with Other-Than-Temporary Impairment | Adjustment | Comprehensive | |||||||||||||||||
Income | ||||||||||||||||||||
(in millions) | ||||||||||||||||||||
Balance, June 30, 2014 | $ | 345 | $ | (22 | ) | $ | 1 | $ | 8 | $ | 332 | |||||||||
Other comprehensive income (loss) before reclassifications | (5 | ) | 1 | (5 | ) | — | (9 | ) | ||||||||||||
Amounts reclassified from AOCI to: | ||||||||||||||||||||
Net realized investment gains (losses) | (5 | ) | 20 | — | — | 15 | ||||||||||||||
Interest expense | — | — | — | 0 | 0 | |||||||||||||||
Total before tax | (5 | ) | 20 | — | 0 | 15 | ||||||||||||||
Tax (provision) benefit | 2 | (7 | ) | — | 0 | (5 | ) | |||||||||||||
Total amount reclassified from AOCI, net of tax | (3 | ) | 13 | — | 0 | 10 | ||||||||||||||
Net current period other comprehensive income | (8 | ) | 14 | (5 | ) | 0 | 1 | |||||||||||||
Balance, September 30, 2014 | $ | 337 | $ | (8 | ) | $ | (4 | ) | $ | 8 | $ | 333 | ||||||||
Changes in Accumulated Other Comprehensive Income by Component | ||||||||||||||||||||
Third Quarter 2013 | ||||||||||||||||||||
Net Unrealized | Net Unrealized | Cumulative | Cash Flow Hedge | Total Accumulated | ||||||||||||||||
Gains (Losses) on | Gains (Losses) on | Translation | Other | |||||||||||||||||
Investments with no Other-Than-Temporary Impairment | Investments with Other-Than-Temporary Impairment | Adjustment | Comprehensive | |||||||||||||||||
Income | ||||||||||||||||||||
(in millions) | ||||||||||||||||||||
Balance, June 30, 2013 | $ | 237 | $ | (25 | ) | $ | (12 | ) | $ | 9 | $ | 209 | ||||||||
Other comprehensive income (loss) before reclassifications | (11 | ) | (2 | ) | 7 | — | (6 | ) | ||||||||||||
Amounts reclassified from AOCI to: | ||||||||||||||||||||
Other net realized investment gains (losses) | (2 | ) | 7 | — | — | 5 | ||||||||||||||
Interest expense | — | — | — | 0 | 0 | |||||||||||||||
Total before tax | (2 | ) | 7 | — | 0 | 5 | ||||||||||||||
Tax (provision) benefit | 1 | (3 | ) | — | 0 | (2 | ) | |||||||||||||
Total amount reclassified from AOCI, net of tax | (1 | ) | 4 | — | 0 | 3 | ||||||||||||||
Net current period other comprehensive income | (12 | ) | 2 | 7 | 0 | (3 | ) | |||||||||||||
Balance, September 30, 2013 | $ | 225 | $ | (23 | ) | $ | (5 | ) | $ | 9 | $ | 206 | ||||||||
Changes in Accumulated Other Comprehensive Income by Component | ||||||||||||||||||||
Nine Months 2014 | ||||||||||||||||||||
Net Unrealized | Net Unrealized | Cumulative | Cash Flow Hedge | Total Accumulated | ||||||||||||||||
Gains (Losses) on | Gains (Losses) on | Translation | Other | |||||||||||||||||
Investments with no Other-Than-Temporary Impairment | Investments with Other-Than-Temporary Impairment | Adjustment | Comprehensive | |||||||||||||||||
Income | ||||||||||||||||||||
(in millions) | ||||||||||||||||||||
Balance, December 31, 2013 | $ | 178 | $ | (24 | ) | $ | (3 | ) | $ | 9 | $ | 160 | ||||||||
Other comprehensive income (loss) before reclassifications | 164 | (8 | ) | (1 | ) | — | 155 | |||||||||||||
Amounts reclassified from AOCI to: | ||||||||||||||||||||
Other net realized investment gains (losses) | (9 | ) | 37 | — | — | 28 | ||||||||||||||
Interest expense | — | — | — | 0 | 0 | |||||||||||||||
Total before tax | (9 | ) | 37 | — | 0 | 28 | ||||||||||||||
Tax (provision) benefit | 4 | (13 | ) | — | (1 | ) | (10 | ) | ||||||||||||
Total amount reclassified from AOCI, net of tax | (5 | ) | 24 | — | (1 | ) | 18 | |||||||||||||
Net current period other comprehensive income | 159 | 16 | (1 | ) | (1 | ) | 173 | |||||||||||||
Balance, September 30, 2014 | $ | 337 | $ | (8 | ) | $ | (4 | ) | $ | 8 | $ | 333 | ||||||||
Changes in Accumulated Other Comprehensive Income by Component | ||||||||||||||||||||
Nine Months 2013 | ||||||||||||||||||||
Net Unrealized | Net Unrealized | Cumulative | Cash Flow Hedge | Total Accumulated | ||||||||||||||||
Gains (Losses) on | Gains (Losses) on | Translation | Other | |||||||||||||||||
Investments with no Other-Than-Temporary Impairment | Investments with Other-Than-Temporary Impairment | Adjustment | Comprehensive | |||||||||||||||||
Income | ||||||||||||||||||||
(in millions) | ||||||||||||||||||||
Balance, December 31, 2012 | $ | 517 | $ | (5 | ) | $ | (6 | ) | $ | 9 | $ | 515 | ||||||||
Other comprehensive income (loss) before reclassifications | (280 | ) | (34 | ) | 1 | — | (313 | ) | ||||||||||||
Amounts reclassified from AOCI to: | ||||||||||||||||||||
Other net realized investment gains (losses) | (16 | ) | 24 | — | — | 8 | ||||||||||||||
Interest expense | — | — | — | (1 | ) | (1 | ) | |||||||||||||
Total before tax | (16 | ) | 24 | — | (1 | ) | 7 | |||||||||||||
Tax (provision) benefit | 4 | (8 | ) | — | 1 | (3 | ) | |||||||||||||
Total amount reclassified from AOCI, net of tax | (12 | ) | 16 | — | 0 | 4 | ||||||||||||||
Net current period other comprehensive income | (292 | ) | (18 | ) | 1 | 0 | (309 | ) | ||||||||||||
Balance, September 30, 2013 | $ | 225 | $ | (23 | ) | $ | (5 | ) | $ | 9 | $ | 206 | ||||||||
Share Repurchase | ||||||||||||||||||||
The following table presents share repurchases by quarter since January 2013. | ||||||||||||||||||||
Share Repurchases | ||||||||||||||||||||
Period | Number of Shares Repurchased | Total Payments(in millions) | Average Price Paid Per Share | |||||||||||||||||
2013 (January 1 - March 31) | 1,914,566 | $ | 39 | $ | 20.46 | |||||||||||||||
2013 (April 1 - June 30) | 9,574,963 | 205 | 21.42 | |||||||||||||||||
2013 (July 1 - September 30) | 732,092 | 14 | 19.47 | |||||||||||||||||
2013 (October 1 - December 31) | 291,138 | 6 | 19.74 | |||||||||||||||||
Total 2013 | 12,512,759 | 264 | 21.12 | |||||||||||||||||
2014 (January 1 - March 31) | 1,350,443 | 35 | 25.92 | |||||||||||||||||
2014 (April 1 - June 30) | 7,051,842 | 177 | 25.14 | |||||||||||||||||
2014 (July 1 - September 30) | 9,623,309 | 226 | 23.47 | |||||||||||||||||
Total 2014 (through September 30) | 18,025,594 | 438 | $ | 24.3 | ||||||||||||||||
2014 (October 1 through November 6) | 2,766,854 | 61 | $ | 22.08 | ||||||||||||||||
Total 2014 | 20,792,448 | 499 | $ | 24.01 | ||||||||||||||||
Cumulative repurchases since the beginning of 2013 | 33,305,207 | $ | 763 | $ | 22.92 | |||||||||||||||
As of November 6, 2014, approximately $301 million of capacity remains from the August 6, 2014 $400 million share repurchase authorization. | ||||||||||||||||||||
The Company expects to repurchase shares 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 free funds available at the parent company, 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. | ||||||||||||||||||||
Related Party | ||||||||||||||||||||
On March 19, 2014, funds associated with WL Ross & Co. LLC and its affiliates (collectively, the “WLR Funds”) and AGL director Wilbur L. Ross, Jr. sold an aggregate of 4.0 million shares. On June 30, 2014, the WLR Funds and Mr. Ross sold an aggregate of 10.9 million shares. Immediately following such sale, the WLR Funds did not own any AGL common shares and Mr. Ross owned less than 0.1% of AGL's total common shares outstanding. |
Subsidiary_Information
Subsidiary Information | 9 Months Ended | |||||||||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||||||||
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 15, Long Term Debt and Credit Facilities) as of September 30, 2014 and December 31, 2013 and for the three and nine months ended September 30, 2014 and 2013. The information for AGUS and AGMH presents its subsidiaries on the equity method of accounting. | ||||||||||||||||||||||||
CONDENSED CONSOLIDATING BALANCE SHEET | ||||||||||||||||||||||||
AS OF SEPTEMBER 30, 2014 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Assured | AGUS | AGMH | Other | Consolidating | Assured | |||||||||||||||||||
Guaranty Ltd. | (Issuer) | (Issuer) | Entities | Adjustments | Guaranty Ltd. | |||||||||||||||||||
(Parent) | (Consolidated) | |||||||||||||||||||||||
ASSETS | ||||||||||||||||||||||||
Total investment portfolio and cash | $ | 298 | $ | 150 | $ | 28 | $ | 11,355 | $ | (300 | ) | $ | 11,531 | |||||||||||
Investment in subsidiaries | 5,035 | 4,677 | 3,929 | 330 | (13,971 | ) | — | |||||||||||||||||
Premiums receivable, net of commissions payable | — | — | — | 936 | (135 | ) | 801 | |||||||||||||||||
Ceded unearned premium reserve | — | — | — | 1,513 | (1,093 | ) | 420 | |||||||||||||||||
Deferred acquisition costs | — | — | — | 189 | (69 | ) | 120 | |||||||||||||||||
Reinsurance recoverable on unpaid losses | — | — | — | 228 | (172 | ) | 56 | |||||||||||||||||
Credit derivative assets | — | — | — | 436 | (350 | ) | 86 | |||||||||||||||||
Deferred tax asset, net | — | 98 | — | 464 | (88 | ) | 474 | |||||||||||||||||
Intercompany receivable | — | — | — | 90 | (90 | ) | — | |||||||||||||||||
Financial guaranty variable interest entities’ assets, at fair value | — | — | — | 1,296 | — | 1,296 | ||||||||||||||||||
Other | 27 | 29 | 43 | 709 | (223 | ) | 585 | |||||||||||||||||
TOTAL ASSETS | $ | 5,360 | $ | 4,954 | $ | 4,000 | $ | 17,546 | $ | (16,491 | ) | $ | 15,369 | |||||||||||
LIABILITIES AND SHAREHOLDERS’ EQUITY | ||||||||||||||||||||||||
Unearned premium reserves | $ | — | $ | — | $ | — | $ | 5,336 | $ | (1,073 | ) | $ | 4,263 | |||||||||||
Loss and LAE reserve | — | — | — | 938 | (178 | ) | 760 | |||||||||||||||||
Long-term debt | — | 847 | 436 | 20 | — | 1,303 | ||||||||||||||||||
Intercompany payable | — | 90 | — | 300 | (390 | ) | — | |||||||||||||||||
Credit derivative liabilities | — | — | — | 2,004 | (350 | ) | 1,654 | |||||||||||||||||
Deferred tax liabilities, net | — | — | 94 | — | (94 | ) | — | |||||||||||||||||
Financial guaranty variable interest entities’ liabilities, at fair value | — | — | — | 1,459 | — | 1,459 | ||||||||||||||||||
Other | 6 | 22 | 21 | 879 | (352 | ) | 576 | |||||||||||||||||
TOTAL LIABILITIES | 6 | 959 | 551 | 10,936 | (2,437 | ) | 10,015 | |||||||||||||||||
TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. | 5,354 | 3,995 | 3,449 | 6,280 | (13,724 | ) | 5,354 | |||||||||||||||||
Noncontrolling interest | — | — | — | 330 | (330 | ) | — | |||||||||||||||||
TOTAL SHAREHOLDERS' EQUITY | 5,354 | 3,995 | 3,449 | 6,610 | (14,054 | ) | 5,354 | |||||||||||||||||
TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY | $ | 5,360 | $ | 4,954 | $ | 4,000 | $ | 17,546 | $ | (16,491 | ) | $ | 15,369 | |||||||||||
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 STATEMENT OF OPERATIONS | ||||||||||||||||||||||||
AND COMPREHENSIVE INCOME | ||||||||||||||||||||||||
FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2014 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Assured | AGUS | AGMH | Other | Consolidating | Assured | |||||||||||||||||||
Guaranty Ltd. | (Issuer) | (Issuer) | Entities | Adjustments | Guaranty Ltd. | |||||||||||||||||||
(Parent) | (Consolidated) | |||||||||||||||||||||||
REVENUES | ||||||||||||||||||||||||
Net earned premiums | $ | — | $ | — | $ | — | $ | 142 | $ | 2 | $ | 144 | ||||||||||||
Net investment income | 0 | 0 | 1 | 104 | (3 | ) | 102 | |||||||||||||||||
Net realized investment gains (losses) | 0 | 0 | 0 | (19 | ) | 0 | (19 | ) | ||||||||||||||||
Net change in fair value of credit derivatives: | ||||||||||||||||||||||||
Realized gains (losses) and other settlements | — | — | — | (14 | ) | 0 | (14 | ) | ||||||||||||||||
Net unrealized gains (losses) | — | — | — | 269 | — | 269 | ||||||||||||||||||
Net change in fair value of credit derivatives | — | — | — | 255 | 0 | 255 | ||||||||||||||||||
Other | — | — | — | 43 | — | 43 | ||||||||||||||||||
TOTAL REVENUES | 0 | 0 | 1 | 525 | (1 | ) | 525 | |||||||||||||||||
EXPENSES | ||||||||||||||||||||||||
Loss and LAE | — | — | — | (44 | ) | — | (44 | ) | ||||||||||||||||
Amortization of deferred acquisition costs | — | — | — | 6 | (2 | ) | 4 | |||||||||||||||||
Interest expense | — | 13 | 13 | 5 | (4 | ) | 27 | |||||||||||||||||
Other operating expenses | 8 | 0 | 1 | 43 | (2 | ) | 50 | |||||||||||||||||
TOTAL EXPENSES | 8 | 13 | 14 | 10 | (8 | ) | 37 | |||||||||||||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES | (8 | ) | (13 | ) | (13 | ) | 515 | 7 | 488 | |||||||||||||||
Total (provision) benefit for income taxes | — | 4 | 5 | (140 | ) | (2 | ) | (133 | ) | |||||||||||||||
Equity in net earnings of subsidiaries | 363 | 290 | 147 | 8 | (808 | ) | — | |||||||||||||||||
NET INCOME (LOSS) | $ | 355 | $ | 281 | $ | 139 | $ | 383 | $ | (803 | ) | $ | 355 | |||||||||||
Less: noncontrolling interest | — | — | — | 24 | (24 | ) | — | |||||||||||||||||
NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. | $ | 355 | $ | 281 | $ | 139 | $ | 359 | $ | (779 | ) | $ | 355 | |||||||||||
COMPREHENSIVE INCOME (LOSS) | $ | 356 | $ | 294 | $ | 146 | $ | 397 | $ | (837 | ) | $ | 356 | |||||||||||
CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS | ||||||||||||||||||||||||
AND COMPREHENSIVE INCOME | ||||||||||||||||||||||||
FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2013 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Assured | AGUS | AGMH | Other | Consolidating | Assured | |||||||||||||||||||
Guaranty Ltd. | (Issuer) | (Issuer) | Entities | Adjustments | Guaranty Ltd. | |||||||||||||||||||
(Parent) | (Consolidated) | |||||||||||||||||||||||
REVENUES | ||||||||||||||||||||||||
Net earned premiums | $ | — | $ | — | $ | — | $ | 156 | $ | 3 | $ | 159 | ||||||||||||
Net investment income | — | — | 1 | 101 | (3 | ) | 99 | |||||||||||||||||
Net realized investment gains (losses) | — | — | (1 | ) | 33 | (39 | ) | (7 | ) | |||||||||||||||
Net change in fair value of credit derivatives: | ||||||||||||||||||||||||
Realized gains (losses) and other settlements | — | — | — | 24 | — | 24 | ||||||||||||||||||
Net unrealized gains (losses) | — | — | — | 330 | — | 330 | ||||||||||||||||||
Net change in fair value of credit derivatives | — | — | — | 354 | — | 354 | ||||||||||||||||||
Other | — | — | — | 65 | — | 65 | ||||||||||||||||||
TOTAL REVENUES | — | — | — | 709 | (39 | ) | 670 | |||||||||||||||||
EXPENSES | ||||||||||||||||||||||||
Loss and LAE | — | — | — | 52 | 3 | 55 | ||||||||||||||||||
Amortization of deferred acquisition costs | — | — | — | 6 | (2 | ) | 4 | |||||||||||||||||
Interest expense | — | 6 | 13 | 6 | (4 | ) | 21 | |||||||||||||||||
Other operating expenses | 5 | — | 1 | 49 | (1 | ) | 54 | |||||||||||||||||
TOTAL EXPENSES | 5 | 6 | 14 | 113 | (4 | ) | 134 | |||||||||||||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES | (5 | ) | (6 | ) | (14 | ) | 596 | (35 | ) | 536 | ||||||||||||||
Total (provision) benefit for income taxes | — | 3 | 5 | (172 | ) | 12 | (152 | ) | ||||||||||||||||
Equity in net earnings of subsidiaries | 389 | 316 | 151 | 10 | (866 | ) | — | |||||||||||||||||
NET INCOME (LOSS) | $ | 384 | $ | 313 | $ | 142 | $ | 434 | $ | (889 | ) | $ | 384 | |||||||||||
Less: Noncontrolling interest | — | — | — | 10 | (10 | ) | — | |||||||||||||||||
NET INCOME (LOSS) Attributable to Assured Guaranty LTD. | $ | 384 | $ | 313 | $ | 142 | $ | 424 | $ | (879 | ) | $ | 384 | |||||||||||
COMPREHENSIVE INCOME (LOSS) | $ | 381 | $ | 317 | $ | 145 | $ | 411 | $ | (873 | ) | $ | 381 | |||||||||||
CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS | ||||||||||||||||||||||||
AND COMPREHENSIVE INCOME | ||||||||||||||||||||||||
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Assured | AGUS | AGMH | Other | Consolidating | Assured | |||||||||||||||||||
Guaranty Ltd. | (Issuer) | (Issuer) | Entities | Adjustments | Guaranty Ltd. | |||||||||||||||||||
(Parent) | (Consolidated) | |||||||||||||||||||||||
REVENUES | ||||||||||||||||||||||||
Net earned premiums | $ | — | $ | — | $ | — | $ | 408 | $ | 4 | $ | 412 | ||||||||||||
Net investment income | 0 | 0 | 1 | 307 | (7 | ) | 301 | |||||||||||||||||
Net realized investment gains (losses) | 0 | 0 | 0 | (23 | ) | (2 | ) | (25 | ) | |||||||||||||||
Net change in fair value of credit derivatives: | ||||||||||||||||||||||||
Realized gains (losses) and other settlements | — | — | — | 20 | 0 | 20 | ||||||||||||||||||
Net unrealized gains (losses) | — | — | — | 127 | — | 127 | ||||||||||||||||||
Net change in fair value of credit derivatives | — | — | — | 147 | 0 | 147 | ||||||||||||||||||
Other | — | — | — | 239 | (1 | ) | 238 | |||||||||||||||||
TOTAL REVENUES | 0 | 0 | 1 | 1,078 | (6 | ) | 1,073 | |||||||||||||||||
EXPENSES | ||||||||||||||||||||||||
Loss and LAE | — | — | — | 48 | 6 | 54 | ||||||||||||||||||
Amortization of deferred acquisition costs | — | — | — | 17 | (5 | ) | 12 | |||||||||||||||||
Interest expense | — | 27 | 40 | 13 | (13 | ) | 67 | |||||||||||||||||
Other operating expenses | 24 | 1 | 1 | 142 | (3 | ) | 165 | |||||||||||||||||
TOTAL EXPENSES | 24 | 28 | 41 | 220 | (15 | ) | 298 | |||||||||||||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES | (24 | ) | (28 | ) | (40 | ) | 858 | 9 | 775 | |||||||||||||||
Total (provision) benefit for income taxes | — | 9 | 14 | (240 | ) | (2 | ) | (219 | ) | |||||||||||||||
Equity in net earnings of subsidiaries | 580 | 529 | 436 | 24 | (1,569 | ) | — | |||||||||||||||||
NET INCOME (LOSS) | $ | 556 | $ | 510 | $ | 410 | $ | 642 | $ | (1,562 | ) | $ | 556 | |||||||||||
Less: noncontrolling interest | — | — | — | 24 | (24 | ) | — | |||||||||||||||||
NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. | $ | 556 | $ | 510 | $ | 410 | $ | 618 | $ | (1,538 | ) | $ | 556 | |||||||||||
COMPREHENSIVE INCOME (LOSS) | $ | 729 | $ | 650 | $ | 495 | $ | 957 | $ | (2,102 | ) | $ | 729 | |||||||||||
CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS | ||||||||||||||||||||||||
AND COMPREHENSIVE INCOME | ||||||||||||||||||||||||
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Assured | AGUS | AGMH | Other | Consolidating | Assured | |||||||||||||||||||
Guaranty Ltd. | (Issuer) | (Issuer) | Entities | Adjustments | Guaranty Ltd. | |||||||||||||||||||
(Parent) | (Consolidated) | |||||||||||||||||||||||
REVENUES | ||||||||||||||||||||||||
Net earned premiums | $ | — | $ | — | $ | — | $ | 563 | $ | 7 | $ | 570 | ||||||||||||
Net investment income | 0 | 0 | 1 | 298 | (13 | ) | 286 | |||||||||||||||||
Net realized investment gains (losses) | 0 | — | 0 | 58 | (35 | ) | 23 | |||||||||||||||||
Net change in fair value of credit derivatives: | ||||||||||||||||||||||||
Realized gains (losses) and other settlements | — | — | — | (44 | ) | — | (44 | ) | ||||||||||||||||
Net unrealized gains (losses) | — | — | — | (120 | ) | — | (120 | ) | ||||||||||||||||
Net change in fair value of credit derivatives | — | — | — | (164 | ) | — | (164 | ) | ||||||||||||||||
Other | — | — | — | 244 | — | 244 | ||||||||||||||||||
TOTAL REVENUES | 0 | 0 | 1 | 999 | (41 | ) | 959 | |||||||||||||||||
EXPENSES | ||||||||||||||||||||||||
Loss and LAE | — | — | — | 69 | — | 69 | ||||||||||||||||||
Amortization of deferred acquisition costs | — | — | — | 3 | 5 | 8 | ||||||||||||||||||
Interest expense | — | 21 | 40 | 17 | (15 | ) | 63 | |||||||||||||||||
Other operating expenses | 17 | — | 1 | 151 | (3 | ) | 166 | |||||||||||||||||
TOTAL EXPENSES | 17 | 21 | 41 | 240 | (13 | ) | 306 | |||||||||||||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES | (17 | ) | (21 | ) | (40 | ) | 759 | (28 | ) | 653 | ||||||||||||||
Total (provision) benefit for income taxes | — | 8 | 14 | (226 | ) | 10 | (194 | ) | ||||||||||||||||
Equity in net earnings of subsidiaries | 476 | 486 | 533 | 10 | (1,505 | ) | — | |||||||||||||||||
NET INCOME (LOSS) | $ | 459 | $ | 473 | $ | 507 | $ | 543 | $ | (1,523 | ) | $ | 459 | |||||||||||
Less: noncontrolling interest | — | — | — | 10 | (10 | ) | — | |||||||||||||||||
NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. | $ | 459 | $ | 473 | $ | 507 | $ | 533 | $ | (1,513 | ) | $ | 459 | |||||||||||
COMPREHENSIVE INCOME (LOSS) | $ | 150 | $ | 272 | $ | 384 | $ | 16 | $ | (672 | ) | $ | 150 | |||||||||||
CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS | ||||||||||||||||||||||||
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 | ||||||||||||||||||||||||
(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(1) | $ | 762 | $ | 170 | $ | 84 | $ | 408 | $ | (1,077 | ) | $ | 347 | |||||||||||
Cash flows from investing activities | ||||||||||||||||||||||||
Fixed-maturity securities: | ||||||||||||||||||||||||
Purchases | — | (356 | ) | (7 | ) | (1,668 | ) | — | (2,031 | ) | ||||||||||||||
Sales | — | 399 | 8 | 544 | — | 951 | ||||||||||||||||||
Maturities | — | 4 | 1 | 552 | — | 557 | ||||||||||||||||||
Sales (purchases) of short-term investments, net | (265 | ) | (74 | ) | 14 | 414 | — | 89 | ||||||||||||||||
Net proceeds from financial guaranty variable entities’ assets | — | — | — | 346 | — | 346 | ||||||||||||||||||
Investment in subsidiary | — | — | 50 | — | (50 | ) | — | |||||||||||||||||
Other | — | — | — | 9 | — | 9 | ||||||||||||||||||
Net cash flows provided by (used in) investing activities | (265 | ) | (27 | ) | 66 | 197 | (50 | ) | (79 | ) | ||||||||||||||
Cash flows from financing activities | ||||||||||||||||||||||||
Return of capital | — | — | — | (50 | ) | 50 | — | |||||||||||||||||
Dividends paid | (58 | ) | (700 | ) | (150 | ) | (227 | ) | 1,077 | (58 | ) | |||||||||||||
Repurchases of common stock | (438 | ) | — | — | — | — | (438 | ) | ||||||||||||||||
Share activity under option and incentive plans | (1 | ) | — | — | — | — | (1 | ) | ||||||||||||||||
Net paydowns of financial guaranty variable entities’ liabilities | — | — | — | (348 | ) | — | (348 | ) | ||||||||||||||||
Net proceeds from issuance of long-term debt | — | 495 | — | — | — | 495 | ||||||||||||||||||
Payment of long-term debt | — | — | — | (18 | ) | — | (18 | ) | ||||||||||||||||
Net cash flows provided by (used in) financing activities | (497 | ) | (205 | ) | (150 | ) | (643 | ) | 1,127 | (368 | ) | |||||||||||||
Effect of exchange rate changes | — | — | — | (2 | ) | — | (2 | ) | ||||||||||||||||
Increase (decrease) in cash | — | (62 | ) | — | (40 | ) | — | (102 | ) | |||||||||||||||
Cash at beginning of period | 0 | 67 | 0 | 117 | — | 184 | ||||||||||||||||||
Cash at end of period | $ | 0 | $ | 5 | $ | 0 | $ | 77 | $ | — | $ | 82 | ||||||||||||
____________________ | ||||||||||||||||||||||||
-1 | Assured Guaranty Ltd., AGUS and AGMH net cash flows provided by (used in) operating activities includes dividends from subsidiaries. | |||||||||||||||||||||||
CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS | ||||||||||||||||||||||||
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 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(1) | $ | 108 | $ | 123 | $ | 68 | $ | 207 | $ | (360 | ) | $ | 146 | |||||||||||
Cash flows from investing activities | ||||||||||||||||||||||||
Fixed-maturity securities: | ||||||||||||||||||||||||
Purchases | — | (35 | ) | (23 | ) | (1,570 | ) | 65 | (1,563 | ) | ||||||||||||||
Sales | 171 | 1 | 25 | 680 | (65 | ) | 812 | |||||||||||||||||
Maturities | 21 | — | 2 | 620 | — | 643 | ||||||||||||||||||
Sales (purchases) of short-term investments, net | 16 | (94 | ) | (24 | ) | 146 | — | 44 | ||||||||||||||||
Net proceeds from financial guaranty variable entities’ assets | — | — | — | 553 | — | 553 | ||||||||||||||||||
Intercompany debt | — | — | — | 7 | (7 | ) | — | |||||||||||||||||
Investment in subsidiary | — | — | 50 | — | (50 | ) | — | |||||||||||||||||
Other | — | — | — | 81 | — | 81 | ||||||||||||||||||
Net cash flows provided by (used in) investing activities | 208 | (128 | ) | 30 | 517 | (57 | ) | 570 | ||||||||||||||||
Cash flows from financing activities | ||||||||||||||||||||||||
Return of capital | — | — | — | (50 | ) | 50 | — | |||||||||||||||||
Dividends paid | (57 | ) | — | (98 | ) | (262 | ) | 360 | (57 | ) | ||||||||||||||
Repurchases of common stock | (259 | ) | — | — | — | — | (259 | ) | ||||||||||||||||
Share activity under option and incentive plans | — | — | — | — | — | — | ||||||||||||||||||
Net paydowns of financial guaranty variable entities’ liabilities | — | — | — | (409 | ) | — | (409 | ) | ||||||||||||||||
Payment of long-term debt | — | — | — | (22 | ) | — | (22 | ) | ||||||||||||||||
Intercompany debt | — | (7 | ) | — | — | 7 | — | |||||||||||||||||
Net cash flows provided by (used in) financing activities | (316 | ) | (7 | ) | (98 | ) | (743 | ) | 417 | (747 | ) | |||||||||||||
Effect of exchange rate changes | — | — | — | (1 | ) | — | (1 | ) | ||||||||||||||||
Increase (decrease) in cash | — | (12 | ) | — | (20 | ) | — | (32 | ) | |||||||||||||||
Cash at beginning of period | — | 13 | 0 | 125 | — | 138 | ||||||||||||||||||
Cash at end of period | $ | — | $ | 1 | $ | 0 | $ | 105 | $ | — | $ | 106 | ||||||||||||
____________________ | ||||||||||||||||||||||||
-1 | Assured Guaranty Ltd., AGUS and AGMH net cash flows provided by (used in) operating activities include dividends from subsidiaries. |
Business_and_Basis_of_Presenta1
Business and Basis of Presentation (Policies) | 9 Months Ended |
Sep. 30, 2014 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ' |
Basis of Presentation | ' |
The unaudited interim 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. These unaudited interim consolidated financial statements are as of September 30, 2014 and cover the three-month period ended September 30, 2014 ("Third Quarter 2014"), the three-month period ended September 30, 2013 ("Third Quarter 2013"), the nine-month period ended September 30, 2014 ("Nine Months 2014") and the nine-month period ended September 30, 2013 ("Nine Months 2013"). Certain financial information that is normally included in annual financial statements prepared in accordance with GAAP, but is not required for interim reporting purposes, has been condensed or omitted. The year-end balance sheet data was derived from audited financial statements. | |
Consolidation | ' |
The unaudited interim 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. | |
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 Nine Months 2014, 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. | |
Consolidation, Variable Interest Entity | ' |
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 for certain VIEs 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. If the Company is deemed no longer to have those protective rights, the transaction is deconsolidated. |
Outstanding_Exposure_Tables
Outstanding Exposure (Tables) | 9 Months Ended | |||||||||||||||||||||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||||||||||||||||||||
Outstanding Exposure Disclosure | ' | |||||||||||||||||||||||||||||||||||
Debt Service Outstanding | ' | |||||||||||||||||||||||||||||||||||
Debt Service Outstanding | ||||||||||||||||||||||||||||||||||||
Gross Debt Service | Net Debt Service | |||||||||||||||||||||||||||||||||||
Outstanding | Outstanding | |||||||||||||||||||||||||||||||||||
September 30, | December 31, | September 30, | December 31, | |||||||||||||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
Public finance | $ | 605,569 | $ | 650,924 | $ | 569,974 | $ | 610,011 | ||||||||||||||||||||||||||||
Structured finance | 66,479 | 86,456 | 61,479 | 80,524 | ||||||||||||||||||||||||||||||||
Total financial guaranty | $ | 672,048 | $ | 737,380 | $ | 631,453 | $ | 690,535 | ||||||||||||||||||||||||||||
Financial Guaranty Portfolio by Internal Rating | ' | |||||||||||||||||||||||||||||||||||
Financial Guaranty Portfolio by Internal Rating | ||||||||||||||||||||||||||||||||||||
As of September 30, 2014 | ||||||||||||||||||||||||||||||||||||
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 | Outstanding | Outstanding | Outstanding | Outstanding | Outstanding | |||||||||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||||||||||||
AAA | $ | 4,173 | 1.3 | % | $ | 1,011 | 3 | % | $ | 23,193 | 51.7 | % | $ | 6,442 | 61.8 | % | $ | 34,819 | 8.3 | % | ||||||||||||||||
AA | 96,107 | 29.2 | 388 | 1.2 | 8,115 | 18.1 | 539 | 5.2 | 105,149 | 25.2 | ||||||||||||||||||||||||||
A | 178,484 | 54.2 | 9,451 | 28.2 | 1,849 | 4.1 | 558 | 5.4 | 190,342 | 45.5 | ||||||||||||||||||||||||||
BBB | 41,919 | 12.7 | 21,159 | 63.2 | 3,044 | 6.8 | 1,937 | 18.5 | 68,059 | 16.3 | ||||||||||||||||||||||||||
BIG | 8,542 | 2.6 | 1,478 | 4.4 | 8,673 | 19.3 | 953 | 9.1 | 19,646 | 4.7 | ||||||||||||||||||||||||||
Total net par outstanding (excluding loss mitigation bonds) | $ | 329,225 | 100 | % | $ | 33,487 | 100 | % | $ | 44,874 | 100 | % | $ | 10,429 | 100 | % | $ | 418,015 | 100 | % | ||||||||||||||||
Loss Mitigation Bonds | 29 | — | 1,260 | — | 1,289 | |||||||||||||||||||||||||||||||
Net Par Outstanding (including loss mitigation bonds) | $ | 329,254 | $ | 33,487 | $ | 46,134 | $ | 10,429 | $ | 419,304 | ||||||||||||||||||||||||||
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 | 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 | |||||||||||||||||||||||||||||||
Net Par Outstanding (including loss mitigation bonds) | $ | 352,213 | $ | 33,998 | $ | 60,070 | $ | 14,021 | $ | 460,302 | ||||||||||||||||||||||||||
Financial Guaranty Exposures (Insurance and Credit Derivative Form) | ' | |||||||||||||||||||||||||||||||||||
Components of BIG Net Par Outstanding | ||||||||||||||||||||||||||||||||||||
(Insurance and Credit Derivative Form) | ||||||||||||||||||||||||||||||||||||
As of September 30, 2014 | ||||||||||||||||||||||||||||||||||||
BIG Net Par Outstanding | Net Par | |||||||||||||||||||||||||||||||||||
BIG 1 | BIG 2 | BIG 3 | Total BIG | Outstanding | ||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
First lien U.S. RMBS: | ||||||||||||||||||||||||||||||||||||
Prime first lien | $ | 70 | $ | 266 | $ | 29 | $ | 365 | $ | 488 | ||||||||||||||||||||||||||
Alt-A first lien | 601 | 653 | 658 | 1,912 | 2,986 | |||||||||||||||||||||||||||||||
Option ARM | 18 | 58 | 118 | 194 | 700 | |||||||||||||||||||||||||||||||
Subprime | 214 | 681 | 768 | 1,663 | 4,247 | |||||||||||||||||||||||||||||||
Second lien U.S. RMBS: | ||||||||||||||||||||||||||||||||||||
Closed-end second lien | 21 | 19 | 97 | 137 | 224 | |||||||||||||||||||||||||||||||
Home equity lines of credit (“HELOCs”) | 1,306 | 17 | 283 | 1,606 | 1,817 | |||||||||||||||||||||||||||||||
Total U.S. RMBS | 2,230 | 1,694 | 1,953 | 5,877 | 10,462 | |||||||||||||||||||||||||||||||
Trust preferred securities (“TruPS”) | 1,175 | — | 343 | 1,518 | 4,549 | |||||||||||||||||||||||||||||||
Other structured finance | 1,111 | 405 | 715 | 2,231 | 40,292 | |||||||||||||||||||||||||||||||
U.S. public finance | 6,934 | 1,188 | 420 | 8,542 | 329,225 | |||||||||||||||||||||||||||||||
Non-U.S. public finance | 891 | 587 | — | 1,478 | 33,487 | |||||||||||||||||||||||||||||||
Total | $ | 12,341 | $ | 3,874 | $ | 3,431 | $ | 19,646 | $ | 418,015 | ||||||||||||||||||||||||||
Components of BIG Net Par Outstanding | ||||||||||||||||||||||||||||||||||||
(Insurance and Credit Derivative Form) | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
BIG Net Par Outstanding | Net Par | |||||||||||||||||||||||||||||||||||
BIG 1 | BIG 2 | BIG 3 | Total BIG | Outstanding | ||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
First lien U.S. RMBS: | ||||||||||||||||||||||||||||||||||||
Prime first lien | $ | 52 | $ | 321 | $ | 30 | $ | 403 | $ | 541 | ||||||||||||||||||||||||||
Alt-A first lien | 656 | 1,137 | 935 | 2,728 | 3,590 | |||||||||||||||||||||||||||||||
Option ARM | 71 | 60 | 467 | 598 | 937 | |||||||||||||||||||||||||||||||
Subprime | 297 | 908 | 740 | 1,945 | 6,130 | |||||||||||||||||||||||||||||||
Second lien U.S. RMBS: | ||||||||||||||||||||||||||||||||||||
Closed-end second lien | 8 | 20 | 118 | 146 | 244 | |||||||||||||||||||||||||||||||
HELOCs | 1,499 | 20 | 378 | 1,897 | 2,279 | |||||||||||||||||||||||||||||||
Total U.S. RMBS | 2,583 | 2,466 | 2,668 | 7,717 | 13,721 | |||||||||||||||||||||||||||||||
TruPS | 1,587 | 135 | — | 1,722 | 4,970 | |||||||||||||||||||||||||||||||
Other structured finance | 1,367 | 309 | 721 | 2,397 | 54,237 | |||||||||||||||||||||||||||||||
U.S. public finance | 8,205 | 440 | 449 | 9,094 | 352,181 | |||||||||||||||||||||||||||||||
Non-U.S. public finance | 1,009 | 599 | — | 1,608 | 33,998 | |||||||||||||||||||||||||||||||
Total | $ | 14,751 | $ | 3,949 | $ | 3,838 | $ | 22,538 | $ | 459,107 | ||||||||||||||||||||||||||
Net Par Outstanding for Below Investment Grade Credits | ' | |||||||||||||||||||||||||||||||||||
BIG Net Par Outstanding | ||||||||||||||||||||||||||||||||||||
and Number of Risks | ||||||||||||||||||||||||||||||||||||
As of September 30, 2014 | ||||||||||||||||||||||||||||||||||||
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 | $ | 10,572 | $ | 1,769 | $ | 12,341 | 176 | 23 | 199 | |||||||||||||||||||||||||||
Category 2 | 2,786 | 1,088 | 3,874 | 79 | 19 | 98 | ||||||||||||||||||||||||||||||
Category 3 | 2,870 | 561 | 3,431 | 116 | 26 | 142 | ||||||||||||||||||||||||||||||
Total BIG | $ | 16,228 | $ | 3,418 | $ | 19,646 | 371 | 68 | 439 | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||
_____________________ | ||||||||||||||||||||||||||||||||||||
(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. | |||||||||||||||||||||||||||||||||||
Net Direct Economic Exposure to Selected European Countries | ' | |||||||||||||||||||||||||||||||||||
Net Direct Economic Exposure to Selected European Countries(1) | ||||||||||||||||||||||||||||||||||||
As of September 30, 2014 | ||||||||||||||||||||||||||||||||||||
Hungary | Italy | Portugal | Spain | Total | ||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
Sovereign and sub-sovereign exposure: | ||||||||||||||||||||||||||||||||||||
Non-infrastructure public finance (2) | $ | — | $ | 929 | $ | 95 | $ | 250 | $ | 1,274 | ||||||||||||||||||||||||||
Infrastructure finance | 327 | 15 | 11 | 140 | 493 | |||||||||||||||||||||||||||||||
Sub-total | 327 | 944 | 106 | 390 | 1,767 | |||||||||||||||||||||||||||||||
Non-sovereign exposure: | ||||||||||||||||||||||||||||||||||||
Regulated utilities | — | 229 | — | — | 229 | |||||||||||||||||||||||||||||||
RMBS | 197 | 280 | — | — | 477 | |||||||||||||||||||||||||||||||
Sub-total | 197 | 509 | — | — | 706 | |||||||||||||||||||||||||||||||
Total | $ | 524 | $ | 1,453 | $ | 106 | $ | 390 | $ | 2,473 | ||||||||||||||||||||||||||
Total BIG (See Note 5) | $ | 524 | $ | — | $ | 106 | $ | 390 | $ | 1,020 | ||||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
-1 | While the Company’s exposures are shown in U.S. dollars, the obligations the Company insures are in various currencies, primarily Euros. 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 | 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. | |||||||||||||||||||||||||||||||||||
Gross Par and Gross Debt Service Outstanding | ' | |||||||||||||||||||||||||||||||||||
Puerto Rico | ||||||||||||||||||||||||||||||||||||
Gross Par and Gross Debt Service Outstanding | ||||||||||||||||||||||||||||||||||||
As of September 30, 2014 | ||||||||||||||||||||||||||||||||||||
Gross Par Outstanding | Gross Debt Service Outstanding | |||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
Subject to the terms of the Recovery Act | $ | 3,058 | $ | 5,328 | ||||||||||||||||||||||||||||||||
Not subject to the terms of the Recovery Act | 2,977 | 4,749 | ||||||||||||||||||||||||||||||||||
Total | $ | 6,035 | $ | 10,077 | ||||||||||||||||||||||||||||||||
Net Exposure Outstanding of Puerto Rico | ' | |||||||||||||||||||||||||||||||||||
Puerto Rico | ||||||||||||||||||||||||||||||||||||
Net Par Outstanding | ||||||||||||||||||||||||||||||||||||
As of | As of | |||||||||||||||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | |||||||||||||||||||||||||||||||||||
Total | Internal Rating | Total | Internal Rating | |||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
Exposures subject to the terms of the Recovery Act: | ||||||||||||||||||||||||||||||||||||
PRHTA (Transportation revenue) | $ | 844 | BB- | $ | 872 | BB- | ||||||||||||||||||||||||||||||
PREPA | 772 | B- | 860 | BB- | ||||||||||||||||||||||||||||||||
Puerto Rico Aqueduct and Sewer Authority | 384 | BB- | 384 | BB- | ||||||||||||||||||||||||||||||||
PRHTA (Highway revenue) | 273 | BB | 302 | BB | ||||||||||||||||||||||||||||||||
Puerto Rico Convention Center District Authority | 174 | BB- | 185 | BB- | ||||||||||||||||||||||||||||||||
Puerto Rico Public Finance Corporation | — | - | 44 | B | ||||||||||||||||||||||||||||||||
Total | 2,447 | 2,647 | ||||||||||||||||||||||||||||||||||
Exposures not subject to the terms of the Recovery Act: | ||||||||||||||||||||||||||||||||||||
Commonwealth of Puerto Rico - General Obligation Bonds | 1,672 | BB | 1,885 | BB | ||||||||||||||||||||||||||||||||
Puerto Rico Municipal Finance Agency | 400 | BB- | 450 | BB- | ||||||||||||||||||||||||||||||||
Puerto Rico Sales Tax Financing Corporation | 268 | BBB | 268 | A- | ||||||||||||||||||||||||||||||||
Puerto Rico Public Buildings Authority | 101 | BB | 139 | BB | ||||||||||||||||||||||||||||||||
GDB | 33 | BB | 33 | BB | ||||||||||||||||||||||||||||||||
PRIFA | 18 | BB- | 18 | BB- | ||||||||||||||||||||||||||||||||
University of Puerto Rico | 1 | BB- | 1 | BB- | ||||||||||||||||||||||||||||||||
Total | 2,493 | 2,794 | ||||||||||||||||||||||||||||||||||
Total net exposure to Puerto Rico | $ | 4,940 | $ | 5,441 | ||||||||||||||||||||||||||||||||
Amortization Schedule of BIG Net Par Outstanding and BIG Net Debt Service Outstanding of Puerto Rico | ' | |||||||||||||||||||||||||||||||||||
Amortization Schedule of Puerto Rico BIG Net Par Outstanding | ||||||||||||||||||||||||||||||||||||
and BIG Net Debt Service Outstanding | ||||||||||||||||||||||||||||||||||||
As of September 30, 2014 | ||||||||||||||||||||||||||||||||||||
Scheduled BIG Net Par Amortization | Scheduled BIG Net Debt Service Amortization | |||||||||||||||||||||||||||||||||||
Subject to the Terms of the Recovery Act | Not Subject to the Terms of the Recovery Act | Total | Subject to the Terms of the Recovery Act | Not Subject to the Terms of the Recovery Act | Total | |||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
2014 (October 1 - December 31) | $ | — | $ | — | $ | — | $ | 2 | $ | 1 | $ | 3 | ||||||||||||||||||||||||
2015 | 126 | 205 | 331 | 249 | 318 | 567 | ||||||||||||||||||||||||||||||
2016 | 84 | 183 | 267 | 199 | 287 | 486 | ||||||||||||||||||||||||||||||
2017 | 41 | 166 | 207 | 153 | 262 | 415 | ||||||||||||||||||||||||||||||
2018 | 48 | 109 | 157 | 158 | 195 | 353 | ||||||||||||||||||||||||||||||
2019 | 61 | 126 | 187 | 168 | 207 | 375 | ||||||||||||||||||||||||||||||
2020 | 73 | 182 | 255 | 176 | 258 | 434 | ||||||||||||||||||||||||||||||
2021 | 51 | 58 | 109 | 151 | 124 | 275 | ||||||||||||||||||||||||||||||
2022 | 42 | 67 | 109 | 140 | 129 | 269 | ||||||||||||||||||||||||||||||
2023 | 102 | 40 | 142 | 198 | 99 | 297 | ||||||||||||||||||||||||||||||
2024-2028 | 581 | 351 | 932 | 983 | 597 | 1,580 | ||||||||||||||||||||||||||||||
2029-2033 | 375 | 320 | 695 | 650 | 490 | 1,140 | ||||||||||||||||||||||||||||||
2034 -2038 | 460 | 405 | 865 | 613 | 459 | 1,072 | ||||||||||||||||||||||||||||||
2039 -2043 | 157 | 13 | 170 | 234 | 15 | 249 | ||||||||||||||||||||||||||||||
2044 -2047 | 246 | — | 246 | 284 | — | 284 | ||||||||||||||||||||||||||||||
Total | $ | 2,447 | $ | 2,225 | $ | 4,672 | $ | 4,358 | $ | 3,441 | $ | 7,799 | ||||||||||||||||||||||||
Financial_Guaranty_Insurance_P1
Financial Guaranty Insurance Premiums (Tables) | 9 Months Ended | |||||||||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||||||||
Financial Guaranty Insurance Premiums [Abstract] | ' | |||||||||||||||||||||||
Financial Guaranty Insurance Contracts, Net Earned Premiums | ' | |||||||||||||||||||||||
Net Earned Premiums | ||||||||||||||||||||||||
Third Quarter | Nine Months | |||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Scheduled net earned premiums | $ | 105 | $ | 117 | $ | 318 | $ | 358 | ||||||||||||||||
Acceleration of net earned premiums | 36 | 40 | 79 | 199 | ||||||||||||||||||||
Accretion of discount on net premiums receivable | 3 | 2 | 14 | 12 | ||||||||||||||||||||
Financial guaranty insurance net earned premiums | 144 | 159 | 411 | 569 | ||||||||||||||||||||
Other | 0 | 0 | 1 | 1 | ||||||||||||||||||||
Net earned premiums(1) | $ | 144 | $ | 159 | $ | 412 | $ | 570 | ||||||||||||||||
___________________ | ||||||||||||||||||||||||
-1 | Excludes $5 million and $14 million for Third Quarter 2014 and 2013, respectively, and $27 million and $47 million for Nine Months 2014 and 2013, respectively, related to consolidated FG VIEs. | |||||||||||||||||||||||
Financial Guaranty Insurance Contracts, Net Unearned Premium Reserve | ' | |||||||||||||||||||||||
Components of Unearned Premium Reserve | ||||||||||||||||||||||||
As of September 30, 2014 | As of December 31, 2013 | |||||||||||||||||||||||
Gross | Ceded | Net(1) | Gross | Ceded | Net(1) | |||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Deferred premium revenue: | ||||||||||||||||||||||||
Financial guaranty insurance | $ | 4,322 | $ | 433 | $ | 3,889 | $ | 4,647 | $ | 470 | $ | 4,177 | ||||||||||||
Other | 4 | — | 4 | 5 | — | 5 | ||||||||||||||||||
Deferred premium revenue | $ | 4,326 | $ | 433 | $ | 3,893 | $ | 4,652 | $ | 470 | $ | 4,182 | ||||||||||||
Contra-paid (2) | (63 | ) | (13 | ) | (50 | ) | (57 | ) | (18 | ) | (39 | ) | ||||||||||||
Unearned premium reserve | $ | 4,263 | $ | 420 | $ | 3,843 | $ | 4,595 | $ | 452 | $ | 4,143 | ||||||||||||
____________________ | ||||||||||||||||||||||||
-1 | Excludes $128 million and $187 million of deferred premium revenue, and $49 million and $55 million of contra-paid related to FG VIEs as of September 30, 2014 and December 31, 2013, respectively. | |||||||||||||||||||||||
-2 | See Note 6, "Financial Guaranty Insurance Losses– Insurance Contracts' Loss Information" for an explanation of "contra-paid". | |||||||||||||||||||||||
Financial Guaranty Insurance Contracts, Premium Receivable Activity | ' | |||||||||||||||||||||||
Gross Premium Receivable, | ||||||||||||||||||||||||
Net of Commissions on Assumed Business | ||||||||||||||||||||||||
Roll Forward | ||||||||||||||||||||||||
Nine Months | ||||||||||||||||||||||||
2014 | 2013 | |||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Beginning of period, December 31 | $ | 876 | $ | 1,005 | ||||||||||||||||||||
Gross premium written, net of commissions on assumed business | 116 | 72 | ||||||||||||||||||||||
Gross premiums received, net of commissions on assumed business | (172 | ) | (167 | ) | ||||||||||||||||||||
Adjustments: | ||||||||||||||||||||||||
Changes in the expected term | (21 | ) | (14 | ) | ||||||||||||||||||||
Accretion of discount, net of commissions on assumed business | 17 | 15 | ||||||||||||||||||||||
Foreign exchange translation | (16 | ) | (7 | ) | ||||||||||||||||||||
Other adjustments | 1 | 2 | ||||||||||||||||||||||
End of period, September 30 (1) | $ | 801 | $ | 906 | ||||||||||||||||||||
____________________ | ||||||||||||||||||||||||
-1 | Excludes $18 million and $19 million as of September 30, 2014 and September 30, 2013, respectively, related to consolidated FG VIEs. | |||||||||||||||||||||||
Financial Guaranty Insurance Contracts, Premium Receivable Premium Expected to be Collected | ' | |||||||||||||||||||||||
Expected Collections of | ||||||||||||||||||||||||
Gross Premiums Receivable, | ||||||||||||||||||||||||
Net of Commissions on Assumed Business | ||||||||||||||||||||||||
(Undiscounted) | ||||||||||||||||||||||||
As of September 30, 2014 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
2014 (October 1 – December 31) | $ | 37 | ||||||||||||||||||||||
2015 | 99 | |||||||||||||||||||||||
2016 | 84 | |||||||||||||||||||||||
2017 | 77 | |||||||||||||||||||||||
2018 | 69 | |||||||||||||||||||||||
2019-2023 | 275 | |||||||||||||||||||||||
2024-2028 | 169 | |||||||||||||||||||||||
2029-2033 | 117 | |||||||||||||||||||||||
After 2033 | 125 | |||||||||||||||||||||||
Total(1) | $ | 1,052 | ||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||
-1 | Excludes expected cash collections on FG VIEs of $23 million. | |||||||||||||||||||||||
Schedule of Net Earned Premiums Financial Guaranty Contracts | ' | |||||||||||||||||||||||
Scheduled Net Earned Premiums | ||||||||||||||||||||||||
As of September 30, 2014 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
2014 (October 1–December 31) | $ | 99 | ||||||||||||||||||||||
2015 | 360 | |||||||||||||||||||||||
2016 | 334 | |||||||||||||||||||||||
2017 | 297 | |||||||||||||||||||||||
2018 | 271 | |||||||||||||||||||||||
2019 - 2023 | 1,056 | |||||||||||||||||||||||
2024 - 2028 | 678 | |||||||||||||||||||||||
2029 - 2033 | 414 | |||||||||||||||||||||||
After 2033 | 380 | |||||||||||||||||||||||
Total present value basis(1) | 3,889 | |||||||||||||||||||||||
Discount | 218 | |||||||||||||||||||||||
Total future value | $ | 4,107 | ||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||
-1 | Excludes scheduled net earned premiums on consolidated FG VIEs of $128 million. | |||||||||||||||||||||||
Financial Guaranty Insurance Contracts, Policies Paid in Installments | ' | |||||||||||||||||||||||
Selected Information for Policies Paid in Installments | ||||||||||||||||||||||||
As of | As of | |||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | |||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||
Premiums receivable, net of commission payable | $ | 801 | $ | 876 | ||||||||||||||||||||
Gross deferred premium revenue | 1,442 | 1,576 | ||||||||||||||||||||||
Weighted-average risk-free rate used to discount premiums | 3.4 | % | 3.4 | % | ||||||||||||||||||||
Weighted-average period of premiums receivable (in years) | 9.3 | 9.4 | ||||||||||||||||||||||
Expected_Losses_to_be_Paid_Tab
Expected Losses to be Paid (Tables) | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||
Expected Losses [Abstract] | ' | ||||||||||||||||||||
Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Rollforward | ' | ||||||||||||||||||||
Net Expected Loss to be Paid | |||||||||||||||||||||
After Net Expected Recoveries for Breaches of R&W | |||||||||||||||||||||
Roll Forward by Sector | |||||||||||||||||||||
Third Quarter 2014 | |||||||||||||||||||||
Net Expected | Economic Loss | (Paid) | Net Expected | ||||||||||||||||||
Loss to be Paid (Recovered) | Development | Recovered | Loss to be | ||||||||||||||||||
as of | Losses(1) | Paid (Recovered) | |||||||||||||||||||
June 30, 2014 | as of | ||||||||||||||||||||
September 30, 2014(2) | |||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||
First lien: | |||||||||||||||||||||
Prime first lien | $ | 11 | $ | (1 | ) | $ | — | $ | 10 | ||||||||||||
Alt-A first lien | 301 | (18 | ) | (35 | ) | 248 | |||||||||||||||
Option ARM | (51 | ) | — | 20 | (31 | ) | |||||||||||||||
Subprime | 341 | (11 | ) | (23 | ) | 307 | |||||||||||||||
Total first lien | 602 | (30 | ) | (38 | ) | 534 | |||||||||||||||
Second lien: | |||||||||||||||||||||
Closed-end second lien | (9 | ) | 2 | 2 | (5 | ) | |||||||||||||||
HELOCs | (117 | ) | (34 | ) | 3 | (148 | ) | ||||||||||||||
Total second lien | (126 | ) | (32 | ) | 5 | (153 | ) | ||||||||||||||
Total U.S. RMBS | 476 | (62 | ) | (33 | ) | 381 | |||||||||||||||
TruPS | 32 | (5 | ) | (1 | ) | 26 | |||||||||||||||
Other structured finance | 140 | 3 | 3 | 146 | |||||||||||||||||
U.S. public finance | 339 | 2 | (8 | ) | 333 | ||||||||||||||||
Non-U.S public finance | 52 | (1 | ) | — | 51 | ||||||||||||||||
Other insurance | (4 | ) | — | — | (4 | ) | |||||||||||||||
Total | $ | 1,035 | $ | (63 | ) | $ | (39 | ) | $ | 933 | |||||||||||
Net Expected Loss to be Paid | |||||||||||||||||||||
After Net Expected Recoveries for Breaches of R&W | |||||||||||||||||||||
Roll Forward by Sector | |||||||||||||||||||||
Third Quarter 2013 | |||||||||||||||||||||
Net Expected | Economic Loss | (Paid) | Net Expected | ||||||||||||||||||
Loss to be | Development | Recovered | Loss to be | ||||||||||||||||||
Paid (Recovered) | Losses(1) | Paid (Recovered) | |||||||||||||||||||
as of | as of | ||||||||||||||||||||
30-Jun-13 | September 30, 2013 | ||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||
First lien: | |||||||||||||||||||||
Prime first lien | $ | 18 | $ | 3 | $ | — | $ | 21 | |||||||||||||
Alt-A first lien | 288 | (85 | ) | 3 | 206 | ||||||||||||||||
Option ARM | (20 | ) | 25 | 2 | 7 | ||||||||||||||||
Subprime | 274 | 38 | (9 | ) | 303 | ||||||||||||||||
Total first lien | 560 | (19 | ) | (4 | ) | 537 | |||||||||||||||
Second lien: | |||||||||||||||||||||
Closed-end second lien | (14 | ) | — | 1 | (13 | ) | |||||||||||||||
HELOCs | (97 | ) | (42 | ) | 10 | (129 | ) | ||||||||||||||
Total second lien | (111 | ) | (42 | ) | 11 | (142 | ) | ||||||||||||||
Total U.S. RMBS | 449 | (61 | ) | 7 | 395 | ||||||||||||||||
TruPS | 33 | 9 | 8 | 50 | |||||||||||||||||
Other structured finance | 158 | (13 | ) | (17 | ) | 128 | |||||||||||||||
U.S. public finance | 71 | 44 | 68 | 183 | |||||||||||||||||
Non-U.S public finance | 66 | (1 | ) | (12 | ) | 53 | |||||||||||||||
Other insurance | (3 | ) | — | — | (3 | ) | |||||||||||||||
Total | $ | 774 | $ | (22 | ) | $ | 54 | $ | 806 | ||||||||||||
Net Expected Loss to be Paid | |||||||||||||||||||||
After Net Expected Recoveries for Breaches of R&W | |||||||||||||||||||||
Roll Forward by Sector | |||||||||||||||||||||
Nine Months 2014 | |||||||||||||||||||||
Net Expected | Economic Loss | (Paid) | Net Expected | ||||||||||||||||||
Loss to be | Development | Recovered | Loss to be | ||||||||||||||||||
Paid (Recovered) | Losses(1) | Paid (Recovered) | |||||||||||||||||||
as of | as of | ||||||||||||||||||||
December 31, 2013(2) | September 30, 2014(2) | ||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||
First lien: | |||||||||||||||||||||
Prime first lien | $ | 21 | $ | (11 | ) | $ | — | $ | 10 | ||||||||||||
Alt-A first lien | 304 | (6 | ) | (50 | ) | 248 | |||||||||||||||
Option ARM | (9 | ) | (39 | ) | 17 | (31 | ) | ||||||||||||||
Subprime | 304 | (12 | ) | 15 | 307 | ||||||||||||||||
Total first lien | 620 | (68 | ) | (18 | ) | 534 | |||||||||||||||
Second lien: | |||||||||||||||||||||
Closed-end second lien | (11 | ) | 2 | 4 | (5 | ) | |||||||||||||||
HELOCs | (116 | ) | (65 | ) | 33 | (148 | ) | ||||||||||||||
Total second lien | (127 | ) | (63 | ) | 37 | (153 | ) | ||||||||||||||
Total U.S. RMBS | 493 | (131 | ) | 19 | 381 | ||||||||||||||||
TruPS | 51 | (24 | ) | (1 | ) | 26 | |||||||||||||||
Other structured finance | 120 | 27 | (1 | ) | 146 | ||||||||||||||||
U.S. public finance | 264 | 107 | (38 | ) | 333 | ||||||||||||||||
Non-U.S public finance | 57 | (6 | ) | — | 51 | ||||||||||||||||
Other insurance | (3 | ) | (1 | ) | — | (4 | ) | ||||||||||||||
Total | $ | 982 | $ | (28 | ) | $ | (21 | ) | $ | 933 | |||||||||||
Net Expected Loss to be Paid | |||||||||||||||||||||
After Net Expected Recoveries for Breaches of R&W | |||||||||||||||||||||
Roll Forward by Sector | |||||||||||||||||||||
Nine Months 2013 | |||||||||||||||||||||
Net Expected | Economic Loss | (Paid) | Net Expected | ||||||||||||||||||
Loss to be | Development | Recovered | Loss to be | ||||||||||||||||||
Paid (Recovered) | Losses(1) | Paid (Recovered) | |||||||||||||||||||
as of | as of | ||||||||||||||||||||
31-Dec-12 | September 30, 2013 | ||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||
First lien: | |||||||||||||||||||||
Prime first lien | $ | 6 | $ | 16 | $ | (1 | ) | $ | 21 | ||||||||||||
Alt-A first lien | 315 | (83 | ) | (26 | ) | 206 | |||||||||||||||
Option ARM | (131 | ) | (92 | ) | 230 | 7 | |||||||||||||||
Subprime | 242 | 86 | (25 | ) | 303 | ||||||||||||||||
Total first lien | 432 | (73 | ) | 178 | 537 | ||||||||||||||||
Second lien: | |||||||||||||||||||||
Closed-end second lien | (39 | ) | 7 | 19 | (13 | ) | |||||||||||||||
HELOCs | (111 | ) | (76 | ) | 58 | (129 | ) | ||||||||||||||
Total second lien | (150 | ) | (69 | ) | 77 | (142 | ) | ||||||||||||||
Total U.S. RMBS | 282 | (142 | ) | 255 | 395 | ||||||||||||||||
TruPS | 27 | 7 | 16 | 50 | |||||||||||||||||
Other structured finance | 312 | (39 | ) | (145 | ) | 128 | |||||||||||||||
U.S. public finance | 7 | 138 | 38 | 183 | |||||||||||||||||
Non-U.S public finance | 52 | 13 | (12 | ) | 53 | ||||||||||||||||
Other insurance | (3 | ) | (10 | ) | 10 | (3 | ) | ||||||||||||||
Total | $ | 677 | $ | (33 | ) | $ | 162 | $ | 806 | ||||||||||||
____________________ | |||||||||||||||||||||
-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 loss adjustment expenses ("LAE") to be paid of $28 million as of September 30, 2014 and $34 million as of December 31, 2013. The Company paid $6 million and $12 million in LAE for Third Quarter 2014 and 2013, respectively, and $20 million and $41 million in LAE for Nine Months 2014 and 2013, respectively. | ||||||||||||||||||||
Net Expected Recoveries from Breaches of R&W Rollforward | ' | ||||||||||||||||||||
Net Expected Recoveries from | |||||||||||||||||||||
Breaches of R&W Rollforward | |||||||||||||||||||||
Third Quarter 2014 | |||||||||||||||||||||
Future Net | R&W Development | R&W (Recovered) | Future Net | ||||||||||||||||||
R&W Benefit as of | and Accretion of | During Third Quarter 2014 | R&W Benefit as of | ||||||||||||||||||
30-Jun-14 | Discount | September 30, 2014(1) | |||||||||||||||||||
During Third Quarter 2014 | |||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||
First lien: | |||||||||||||||||||||
Prime first lien | $ | 3 | $ | 1 | $ | (1 | ) | $ | 3 | ||||||||||||
Alt-A first lien | 263 | 19 | (79 | ) | 203 | ||||||||||||||||
Option ARM | 144 | 10 | (76 | ) | 78 | ||||||||||||||||
Subprime | 99 | 5 | (7 | ) | 97 | ||||||||||||||||
Total first lien | 509 | 35 | (163 | ) | 381 | ||||||||||||||||
Second lien: | |||||||||||||||||||||
Closed-end second lien | 93 | (1 | ) | (3 | ) | 89 | |||||||||||||||
HELOC | 49 | 59 | — | 108 | |||||||||||||||||
Total second lien | 142 | 58 | (3 | ) | 197 | ||||||||||||||||
Total | $ | 651 | $ | 93 | $ | (166 | ) | $ | 578 | ||||||||||||
___________________ | |||||||||||||||||||||
(1) See the section "Breaches of Representations and Warranties" below for eligible assets held in trust. | |||||||||||||||||||||
Net Expected Recoveries from | |||||||||||||||||||||
Breaches of R&W Rollforward | |||||||||||||||||||||
Third Quarter 2013 | |||||||||||||||||||||
Future Net | R&W Development | R&W (Recovered) | Future Net | ||||||||||||||||||
R&W Benefit as of | and Accretion of | During Third Quarter 2013 | R&W Benefit as of | ||||||||||||||||||
30-Jun-13 | Discount | September 30, 2013 | |||||||||||||||||||
During Third Quarter 2013 | |||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||
First lien: | |||||||||||||||||||||
Prime first lien | $ | 4 | $ | (1 | ) | $ | — | $ | 3 | ||||||||||||
Alt-A first lien | 348 | 37 | (16 | ) | 369 | ||||||||||||||||
Option ARM | 293 | 40 | (80 | ) | 253 | ||||||||||||||||
Subprime | 108 | 7 | — | 115 | |||||||||||||||||
Total first lien | 753 | 83 | (96 | ) | 740 | ||||||||||||||||
Second lien: | |||||||||||||||||||||
Closed-end second lien | 102 | 1 | (3 | ) | 100 | ||||||||||||||||
HELOC | 109 | 2 | (56 | ) | 55 | ||||||||||||||||
Total second lien | 211 | 3 | (59 | ) | 155 | ||||||||||||||||
Total | $ | 964 | $ | 86 | $ | (155 | ) | $ | 895 | ||||||||||||
Net Expected Recoveries from | |||||||||||||||||||||
Breaches of R&W Rollforward | |||||||||||||||||||||
Nine Months 2014 | |||||||||||||||||||||
Future Net | R&W Development | R&W (Recovered) | Future Net | ||||||||||||||||||
R&W Benefit as of | and Accretion of | During 2014 | R&W Benefit as of | ||||||||||||||||||
December 31, 2013 | Discount | September 30, 2014(1) | |||||||||||||||||||
During 2014 | |||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||
First lien: | |||||||||||||||||||||
Prime first lien | $ | 4 | $ | — | $ | (1 | ) | $ | 3 | ||||||||||||
Alt-A first lien | 274 | 20 | (91 | ) | 203 | ||||||||||||||||
Option ARM | 173 | 30 | (125 | ) | 78 | ||||||||||||||||
Subprime | 118 | 34 | (55 | ) | 97 | ||||||||||||||||
Total first lien | 569 | 84 | (272 | ) | 381 | ||||||||||||||||
Second lien: | |||||||||||||||||||||
Closed-end second lien | 98 | (4 | ) | (5 | ) | 89 | |||||||||||||||
HELOC | 45 | 80 | (17 | ) | 108 | ||||||||||||||||
Total second lien | 143 | 76 | (22 | ) | 197 | ||||||||||||||||
Total | $ | 712 | $ | 160 | $ | (294 | ) | $ | 578 | ||||||||||||
___________________ | |||||||||||||||||||||
(1) See the section "Breaches of Representations and Warranties" below for eligible assets held in trust. | |||||||||||||||||||||
Net Expected Recoveries from | |||||||||||||||||||||
Breaches of R&W Rollforward | |||||||||||||||||||||
Nine Months 2013 | |||||||||||||||||||||
Future Net | R&W Development | R&W (Recovered) | Future Net | ||||||||||||||||||
R&W Benefit as of | and Accretion of | During 2013 | R&W Benefit as of | ||||||||||||||||||
31-Dec-12 | Discount | September 30, 2013 | |||||||||||||||||||
During 2013 | |||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||
First lien: | |||||||||||||||||||||
Prime first lien | $ | 4 | $ | (1 | ) | $ | — | $ | 3 | ||||||||||||
Alt-A first lien | 378 | 24 | (33 | ) | 369 | ||||||||||||||||
Option ARM | 591 | 206 | (544 | ) | 253 | ||||||||||||||||
Subprime | 109 | 6 | — | 115 | |||||||||||||||||
Total first lien | 1,082 | 235 | (577 | ) | 740 | ||||||||||||||||
Second lien: | |||||||||||||||||||||
Closed-end second lien | 138 | (11 | ) | (27 | ) | 100 | |||||||||||||||
HELOC | 150 | 70 | (165 | ) | 55 | ||||||||||||||||
Total second lien | 288 | 59 | (192 | ) | 155 | ||||||||||||||||
Total | $ | 1,370 | $ | 294 | $ | (769 | ) | $ | 895 | ||||||||||||
Net Expected Loss to be Paid by Accounting Model | ' | ||||||||||||||||||||
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 (Recovered) | |||||||||||||||||||||
By Accounting Model | |||||||||||||||||||||
As of September 30, 2014 | |||||||||||||||||||||
Financial | FG VIEs(1) | Credit | Total | ||||||||||||||||||
Guaranty | Derivatives | ||||||||||||||||||||
Insurance | |||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||
First lien: | |||||||||||||||||||||
Prime first lien | $ | 3 | $ | — | $ | 7 | $ | 10 | |||||||||||||
Alt-A first lien | 211 | 19 | 18 | 248 | |||||||||||||||||
Option ARM | (34 | ) | — | 3 | (31 | ) | |||||||||||||||
Subprime | 155 | 78 | 74 | 307 | |||||||||||||||||
Total first lien | 335 | 97 | 102 | 534 | |||||||||||||||||
Second lien: | |||||||||||||||||||||
Closed-end second lien | (28 | ) | 28 | (5 | ) | (5 | ) | ||||||||||||||
HELOCs | (145 | ) | (3 | ) | — | (148 | ) | ||||||||||||||
Total second lien | (173 | ) | 25 | (5 | ) | (153 | ) | ||||||||||||||
Total U.S. RMBS | 162 | 122 | 97 | 381 | |||||||||||||||||
TruPS | 1 | — | 25 | 26 | |||||||||||||||||
Other structured finance | 186 | — | (40 | ) | 146 | ||||||||||||||||
U.S. public finance | 333 | — | — | 333 | |||||||||||||||||
Non-U.S. public finance | 50 | — | 1 | 51 | |||||||||||||||||
Subtotal | $ | 732 | $ | 122 | $ | 83 | 937 | ||||||||||||||
Other | (4 | ) | |||||||||||||||||||
Total | $ | 933 | |||||||||||||||||||
Net Expected Loss to be Paid (Recovered) | |||||||||||||||||||||
By Accounting Model | |||||||||||||||||||||
As of December 31, 2013 | |||||||||||||||||||||
Financial | FG VIEs(1) | Credit | Total | ||||||||||||||||||
Guaranty | Derivatives | ||||||||||||||||||||
Insurance | |||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. 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 | |||||||||||||||||||
___________________ | |||||||||||||||||||||
(1) Refer to Note 9, Consolidated Variable Interest Entities. | |||||||||||||||||||||
Net Economic Loss Development by Accounting Model | ' | ||||||||||||||||||||
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 (Benefit) | |||||||||||||||||||||
By Accounting Model | |||||||||||||||||||||
Third Quarter 2014 | |||||||||||||||||||||
Financial | FG VIEs(1) | Credit | Total | ||||||||||||||||||
Guaranty | Derivatives(2) | ||||||||||||||||||||
Insurance | |||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||
First lien: | |||||||||||||||||||||
Prime first lien | $ | (1 | ) | $ | — | $ | — | $ | (1 | ) | |||||||||||
Alt-A first lien | 6 | (2 | ) | (22 | ) | (18 | ) | ||||||||||||||
Option ARM | 7 | — | (7 | ) | — | ||||||||||||||||
Subprime | (21 | ) | 8 | 2 | (11 | ) | |||||||||||||||
Total first lien | (9 | ) | 6 | (27 | ) | (30 | ) | ||||||||||||||
Second lien: | |||||||||||||||||||||
Closed-end second lien | 2 | 1 | (1 | ) | 2 | ||||||||||||||||
HELOCs | (48 | ) | 14 | — | (34 | ) | |||||||||||||||
Total second lien | (46 | ) | 15 | (1 | ) | (32 | ) | ||||||||||||||
Total U.S. RMBS | (55 | ) | 21 | (28 | ) | (62 | ) | ||||||||||||||
TruPS | (1 | ) | — | (4 | ) | (5 | ) | ||||||||||||||
Other structured finance | 5 | — | (2 | ) | 3 | ||||||||||||||||
U.S. public finance | 2 | — | — | 2 | |||||||||||||||||
Non-U.S. public finance | (1 | ) | — | — | (1 | ) | |||||||||||||||
Subtotal | $ | (50 | ) | $ | 21 | $ | (34 | ) | (63 | ) | |||||||||||
Other | — | ||||||||||||||||||||
Total | $ | (63 | ) | ||||||||||||||||||
Net Economic Loss Development (Benefit) | |||||||||||||||||||||
By Accounting Model | |||||||||||||||||||||
Third Quarter 2013 | |||||||||||||||||||||
Financial | FG VIEs(1) | Credit | Total | ||||||||||||||||||
Guaranty | Derivatives(2) | ||||||||||||||||||||
Insurance | |||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||
First lien: | |||||||||||||||||||||
Prime first lien | $ | — | $ | — | $ | 3 | $ | 3 | |||||||||||||
Alt-A first lien | (53 | ) | 3 | (35 | ) | (85 | ) | ||||||||||||||
Option ARM | 20 | 1 | 4 | 25 | |||||||||||||||||
Subprime | 25 | 5 | 8 | 38 | |||||||||||||||||
Total first lien | (8 | ) | 9 | (20 | ) | (19 | ) | ||||||||||||||
Second lien: | |||||||||||||||||||||
Closed-end second lien | 2 | (3 | ) | 1 | — | ||||||||||||||||
HELOCs | (49 | ) | 8 | (1 | ) | (42 | ) | ||||||||||||||
Total second lien | (47 | ) | 5 | — | (42 | ) | |||||||||||||||
Total U.S. RMBS | (55 | ) | 14 | (20 | ) | (61 | ) | ||||||||||||||
TruPS | 1 | — | 8 | 9 | |||||||||||||||||
Other structured finance | (13 | ) | — | — | (13 | ) | |||||||||||||||
U.S. public finance | 43 | — | 1 | 44 | |||||||||||||||||
Non-U.S. public finance | (1 | ) | — | — | (1 | ) | |||||||||||||||
Subtotal | $ | (25 | ) | $ | 14 | $ | (11 | ) | (22 | ) | |||||||||||
Other | — | ||||||||||||||||||||
Total | $ | (22 | ) | ||||||||||||||||||
Net Economic Loss Development (Benefit) | |||||||||||||||||||||
By Accounting Model | |||||||||||||||||||||
Nine Months 2014 | |||||||||||||||||||||
Financial | FG VIEs(1) | Credit | Total | ||||||||||||||||||
Guaranty | Derivatives(2) | ||||||||||||||||||||
Insurance | |||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||
First lien: | |||||||||||||||||||||
Prime first lien | $ | — | $ | — | $ | (11 | ) | $ | (11 | ) | |||||||||||
Alt-A first lien | 32 | (12 | ) | (26 | ) | (6 | ) | ||||||||||||||
Option ARM | (32 | ) | 1 | (8 | ) | (39 | ) | ||||||||||||||
Subprime | (25 | ) | 9 | 4 | (12 | ) | |||||||||||||||
Total first lien | (25 | ) | (2 | ) | (41 | ) | (68 | ) | |||||||||||||
Second lien: | |||||||||||||||||||||
Closed-end second lien | — | 4 | (2 | ) | 2 | ||||||||||||||||
HELOCs | (138 | ) | 73 | — | (65 | ) | |||||||||||||||
Total second lien | (138 | ) | 77 | (2 | ) | (63 | ) | ||||||||||||||
Total U.S. RMBS | (163 | ) | 75 | (43 | ) | (131 | ) | ||||||||||||||
TruPS | (2 | ) | — | (22 | ) | (24 | ) | ||||||||||||||
Other structured finance | 26 | — | 1 | 27 | |||||||||||||||||
U.S. public finance | 107 | — | — | 107 | |||||||||||||||||
Non-U.S. public finance | (5 | ) | — | (1 | ) | (6 | ) | ||||||||||||||
Subtotal | $ | (37 | ) | $ | 75 | $ | (65 | ) | (27 | ) | |||||||||||
Other | (1 | ) | |||||||||||||||||||
Total | $ | (28 | ) | ||||||||||||||||||
Net Economic Loss Development (Benefit) | |||||||||||||||||||||
By Accounting Model | |||||||||||||||||||||
Nine Months 2013 | |||||||||||||||||||||
Financial | FG VIEs(1) | Credit | Total | ||||||||||||||||||
Guaranty | Derivatives(2) | ||||||||||||||||||||
Insurance | |||||||||||||||||||||
(in millions) | |||||||||||||||||||||
U.S. RMBS: | |||||||||||||||||||||
First lien: | |||||||||||||||||||||
Prime first lien | $ | (1 | ) | $ | — | $ | 17 | $ | 16 | ||||||||||||
Alt-A first lien | (60 | ) | 3 | (26 | ) | (83 | ) | ||||||||||||||
Option ARM | (58 | ) | (32 | ) | (2 | ) | (92 | ) | |||||||||||||
Subprime | 40 | 25 | 21 | 86 | |||||||||||||||||
Total first lien | (79 | ) | (4 | ) | 10 | (73 | ) | ||||||||||||||
Second lien: | |||||||||||||||||||||
Closed-end second lien | — | (4 | ) | 11 | 7 | ||||||||||||||||
HELOCs | (66 | ) | (10 | ) | — | (76 | ) | ||||||||||||||
Total second lien | (66 | ) | (14 | ) | 11 | (69 | ) | ||||||||||||||
Total U.S. RMBS | (145 | ) | (18 | ) | 21 | (142 | ) | ||||||||||||||
TruPS | 1 | — | 6 | 7 | |||||||||||||||||
Other structured finance | (32 | ) | — | (7 | ) | (39 | ) | ||||||||||||||
U.S. public finance | 137 | — | 1 | 138 | |||||||||||||||||
Non-U.S. public finance | 12 | — | 1 | 13 | |||||||||||||||||
Subtotal | $ | (27 | ) | $ | (18 | ) | $ | 22 | (23 | ) | |||||||||||
Other | (10 | ) | |||||||||||||||||||
Total | $ | (33 | ) | ||||||||||||||||||
_________________ | |||||||||||||||||||||
(1) Refer to Note 9, Consolidated Variable Interest Entities. | |||||||||||||||||||||
(2) Refer to Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives. | |||||||||||||||||||||
Schedule of Estimated Expected Losses Assumptions First Lien RMBS | ' | ||||||||||||||||||||
First Lien Liquidation Rates | |||||||||||||||||||||
30-Sep-14 | 30-Jun-14 | 31-Dec-13 | |||||||||||||||||||
Current Loans Modified in Previous 12 Months | |||||||||||||||||||||
Alt A and Prime | 35% | 35% | 35% | ||||||||||||||||||
Option ARM | 35 | 35 | 35 | ||||||||||||||||||
Subprime | 35 | 35 | 35 | ||||||||||||||||||
30 – 59 Days Delinquent | |||||||||||||||||||||
Alt A and Prime | 50 | 50 | 50 | ||||||||||||||||||
Option ARM | 50 | 50 | 50 | ||||||||||||||||||
Subprime | 45 | 45 | 45 | ||||||||||||||||||
60 – 89 Days Delinquent | |||||||||||||||||||||
Alt A and Prime | 60 | 60 | 60 | ||||||||||||||||||
Option ARM | 65 | 65 | 65 | ||||||||||||||||||
Subprime | 50 | 50 | 50 | ||||||||||||||||||
90+ Days Delinquent | |||||||||||||||||||||
Alt A and Prime | 75 | 75 | 75 | ||||||||||||||||||
Option ARM | 70 | 70 | 70 | ||||||||||||||||||
Subprime | 60 | 60 | 60 | ||||||||||||||||||
Bankruptcy | |||||||||||||||||||||
Alt A and Prime | 60 | 60 | 60 | ||||||||||||||||||
Option ARM | 60 | 60 | 60 | ||||||||||||||||||
Subprime | 55 | 55 | 55 | ||||||||||||||||||
Foreclosure | |||||||||||||||||||||
Alt A and Prime | 85 | 85 | 85 | ||||||||||||||||||
Option ARM | 80 | 80 | 80 | ||||||||||||||||||
Subprime | 70 | 70 | 70 | ||||||||||||||||||
Real Estate Owned | |||||||||||||||||||||
All | 100 | 100 | 100 | ||||||||||||||||||
Key Assumptions in Base Case Expected Loss Estimates | |||||||||||||||||||||
First Lien RMBS(1) | |||||||||||||||||||||
As of | As of | As of | |||||||||||||||||||
30-Sep-14 | 30-Jun-14 | 31-Dec-13 | |||||||||||||||||||
Range | Weighted Average | Range | Weighted Average | Range | Weighted Average | ||||||||||||||||
Alt-A First Lien | |||||||||||||||||||||
Plateau CDR | 2.1 | % | – | 15.70% | 8.50% | 2.9 | % | – | 16.80% | 9.00% | 2.8 | % | – | 18.40% | 9.70% | ||||||
Intermediate CDR | 0.4 | % | – | 3.10% | 1.70% | 0.6 | % | – | 3.40% | 1.80% | 0.6 | % | – | 3.70% | 1.90% | ||||||
Period until intermediate CDR | 48 months | 48 months | 48 months | ||||||||||||||||||
Final CDR | 0.1 | % | – | 0.80% | 0.40% | 0.1 | % | – | 0.80% | 0.40% | 0.1 | % | – | 0.90% | 0.50% | ||||||
Initial loss severity | 65% | 65% | 65% | ||||||||||||||||||
Initial conditional prepayment rate ("CPR") | 0 | % | – | 24.30% | 7.00% | 1 | % | – | 23.20% | 7.00% | 0 | % | – | 34.20% | 9.70% | ||||||
Final CPR(2) | 15% | 15% | 15% | ||||||||||||||||||
Option ARM | |||||||||||||||||||||
Plateau CDR | 3.9 | % | – | 15.70% | 10.70% | 5 | % | – | 15.80% | 11.10% | 4.9 | % | – | 16.80% | 11.90% | ||||||
Intermediate CDR | 0.8 | % | – | 3.10% | 2.10% | 1 | % | – | 3.20% | 2.20% | 1 | % | – | 3.40% | 2.40% | ||||||
Period until intermediate CDR | 48 months | 48 months | 48 months | ||||||||||||||||||
Final CDR | 0.2 | % | – | 0.80% | 0.50% | 0.2 | % | – | 0.80% | 0.50% | 0.2 | % | – | 0.80% | 0.50% | ||||||
Initial loss severity | 65% | 65% | 65% | ||||||||||||||||||
Initial CPR | 1 | % | – | 13.00% | 7.10% | 0.9 | % | – | 9.00% | 7.10% | 0.4 | % | – | 13.10% | 4.70% | ||||||
Final CPR(2) | 15% | 15% | 15% | ||||||||||||||||||
Subprime | |||||||||||||||||||||
Plateau CDR | 5.3 | % | – | 15.90% | 11.20% | 5.7 | % | – | 16.50% | 11.50% | 5.6 | % | – | 16.20% | 11.80% | ||||||
Intermediate CDR | 1.1 | % | – | 3.20% | 2.20% | 1.1 | % | – | 3.30% | 2.30% | 1.1 | % | – | 3.20% | 2.40% | ||||||
Period until intermediate CDR | 48 months | 48 months | 48 months | ||||||||||||||||||
Final CDR | 0.3 | % | – | 0.80% | 0.40% | 0.3 | % | – | 0.80% | 0.40% | 0.3 | % | – | 0.80% | 0.40% | ||||||
Initial loss severity | 90% | 90% | 90% | ||||||||||||||||||
Initial CPR | 0 | % | – | 10.80% | 6.50% | 0 | % | – | 13.70% | 6.40% | 0 | % | – | 15.70% | 4.10% | ||||||
Final CPR(2) | 15% | 15% | 15% | ||||||||||||||||||
____________________ | |||||||||||||||||||||
(1) Represents variables for most heavily weighted scenario (the “base case”). | |||||||||||||||||||||
Schedule of Estimated Expected Losses Assumptions Second Lien RMBS | ' | ||||||||||||||||||||
Key Assumptions in Base Case Expected Loss Estimates | |||||||||||||||||||||
Second Lien RMBS(1) | |||||||||||||||||||||
HELOC key assumptions | As of | As of | As of | ||||||||||||||||||
30-Sep-14 | 30-Jun-14 | 31-Dec-13 | |||||||||||||||||||
Range | Weighted Average | Range | Weighted Average | Range | Weighted Average | ||||||||||||||||
Plateau CDR | 2.8 | % | – | 8.50% | 4.20% | 2.2 | % | – | 9.60% | 4.30% | 2.3 | % | – | 7.70% | 4.90% | ||||||
Final CDR trended down to | 0.5 | % | – | 3.20% | 1.20% | 0.5 | % | – | 3.20% | 1.20% | 0.4 | % | – | 3.20% | 1.10% | ||||||
Period until final CDR | 34 months | 34 months | 34 months | ||||||||||||||||||
Initial CPR | 5.1 | % | – | 16.00% | 10.30% | 2.4 | % | – | 19.40% | 9.30% | 2.7 | % | – | 21.50% | 9.90% | ||||||
Final CPR(2) | 10% | 10% | 10% | ||||||||||||||||||
Loss severity | 90% | – | 98.00% | 91.50% | 98% | 98% | |||||||||||||||
Closed-end second lien key assumptions | As of | As of | As of | ||||||||||||||||||
30-Sep-14 | 30-Jun-14 | 31-Dec-13 | |||||||||||||||||||
Range | Weighted Average | Range | Weighted Average | Range | Weighted Average | ||||||||||||||||
Plateau CDR | 6.8 | % | – | 15.10% | 7.70% | 4.8 | % | – | 14.90% | 7.70% | 7.3 | % | – | 15.10% | 8.50% | ||||||
Final CDR trended down to | 3.5 | % | – | 9.10% | 4.90% | 3.5 | % | – | 9.10% | 5.00% | 3.5 | % | – | 9.10% | 5.00% | ||||||
Period until final CDR | 34 months | 34 months | 34 months | ||||||||||||||||||
Initial CPR | 3 | % | – | 11.40% | 9.20% | 2.6 | % | – | 10.40% | 8.40% | 3.1 | % | – | 12.00% | 7.10% | ||||||
Final CPR(2) | 10% | 10% | 10% | ||||||||||||||||||
Loss severity | 98% | 98% | 98% | ||||||||||||||||||
____________________ | |||||||||||||||||||||
-1 | Represents variables for most heavily weighted scenario (the “base case”). | ||||||||||||||||||||
Schedule of Representation and Warranty Reinsurance Agreement Amounts | ' | ||||||||||||||||||||
R&W Benefits (Gross of Reinsurance) | |||||||||||||||||||||
As of September 30, 2014 | |||||||||||||||||||||
(in millions) | |||||||||||||||||||||
Benefits already received (1) | $ | 2,954 | |||||||||||||||||||
Agreement amounts projected to be received in the future | 296 | ||||||||||||||||||||
Repurchase amounts paid into the relevant RMBS prior to settlement (2) | 579 | ||||||||||||||||||||
Total R&W receipts and losses avoided, gross of reinsurance | $ | 3,829 | |||||||||||||||||||
____________________ | |||||||||||||||||||||
-1 | Includes amounts already received plus projected losses avoided based on base case projections at the time of the termination, net of any payments made in connection with the termination. | ||||||||||||||||||||
-2 | 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. | ||||||||||||||||||||
Schedule of Representations and Warranties Agreements | ' | ||||||||||||||||||||
Representations and Warranties Agreements (1) | |||||||||||||||||||||
Agreement Date | Current Net Par Covered | Receipts to September 30, 2014 (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 | $ | 963 | $ | 511 | $ | 163 | $ | 581 | ||||||||||||
Bank of America - Second Lien | Apr-11 | 1,250 | 968 | NA | NA | ||||||||||||||||
Deutsche Bank | May 2012 and October 2013 | 1,226 | 249 | 73 | 135 | ||||||||||||||||
UBS | May-13 | 579 | 433 | 8 | 110 | ||||||||||||||||
Others | Various | 1,211 | 501 | 40 | NA | ||||||||||||||||
Total | $ | 5,229 | $ | 2,662 | $ | 284 | $ | 826 | |||||||||||||
____________________ | |||||||||||||||||||||
-1 | This table relates to past and projected future recoveries under R&W and related agreements. Excluded from this table is the $294 million of future net recoveries the Company projects receiving from R&W counterparties in transactions with $873 million of net par outstanding as of September 30, 2014 not covered by current agreements. | ||||||||||||||||||||
Schedule of Insured Financial Obligations with Credit Deterioration Estimated Benefit from Recoveries of Representation and Warranty Breaches Risks | ' | ||||||||||||||||||||
U.S. RMBS Risks with R&W Benefit | |||||||||||||||||||||
Number of Risks (1) as of | Debt Service as of | ||||||||||||||||||||
September 30, 2014 | December 31, 2013 | September 30, 2014 | December 31, 2013 | ||||||||||||||||||
(dollars in millions) | |||||||||||||||||||||
Prime first lien | 1 | 1 | $ | 34 | $ | 38 | |||||||||||||||
Alt-A first lien | 21 | 19 | 1,758 | 2,856 | |||||||||||||||||
Option ARM | 8 | 9 | 184 | 641 | |||||||||||||||||
Subprime | 4 | 5 | 651 | 998 | |||||||||||||||||
Closed-end second lien | 4 | 4 | 143 | 158 | |||||||||||||||||
HELOC | 1 | 4 | 14 | 320 | |||||||||||||||||
Total | 39 | 42 | $ | 2,784 | $ | 5,011 | |||||||||||||||
____________________ | |||||||||||||||||||||
(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. | |||||||||||||||||||||
Schedule of Insured Financial Obligations with Credit Deterioration, Estimated Benefit from Recoveries of Representation and Warranty Breaches Development and Accretion | ' | ||||||||||||||||||||
The following table provides a breakdown of the development and accretion amount in the roll forward of estimated recoveries associated with claims for breaches of R&W. | |||||||||||||||||||||
Components of R&W Development | |||||||||||||||||||||
Third Quarter | Nine Months | ||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||||||
(in millions) | |||||||||||||||||||||
Inclusion or removal of deals with breaches of R&W during period | $ | — | $ | — | $ | — | $ | 6 | |||||||||||||
Change in recovery assumptions as the result of recovery success | 4 | 69 | 31 | 86 | |||||||||||||||||
Estimated increase (decrease) in defaults that will result in additional (lower) breaches | (4 | ) | 13 | (15 | ) | 10 | |||||||||||||||
Settlements and anticipated settlements | 90 | — | 96 | 180 | |||||||||||||||||
Accretion of discount on balance | 3 | 4 | 48 | 12 | |||||||||||||||||
Total | $ | 93 | $ | 86 | $ | 160 | $ | 294 | |||||||||||||
Financial_Guaranty_Insurance_L1
Financial Guaranty Insurance Losses (Tables) | 9 Months Ended | |||||||||||||||||||||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||||||||||||||||||||
Financial Guaranty Insurance Losses [Abstract] | ' | |||||||||||||||||||||||||||||||||||
Loss and LAE Reserve, Net of Reinsurance and Salvage and Subrogation Recoverable | ' | |||||||||||||||||||||||||||||||||||
The following table provides balance sheet information on loss and LAE reserves and salvage and subrogation recoverable, net of reinsurance. The Company used weighted average risk-free rates for U.S. dollar denominated financial guaranty insurance obligations that ranged from 0.0% to 3.68% as of September 30, 2014 and 0.0% to 4.44% as of December 31, 2013. Financial guaranty insurance expected LAE reserve was $24 million as of September 30, 2014 and $27 million as of December 31, 2013. | ||||||||||||||||||||||||||||||||||||
Loss and LAE Reserve and Salvage and Subrogation Recoverable | ||||||||||||||||||||||||||||||||||||
Net of Reinsurance | ||||||||||||||||||||||||||||||||||||
Insurance Contracts | ||||||||||||||||||||||||||||||||||||
As of September 30, 2014 | As of December 31, 2013 | |||||||||||||||||||||||||||||||||||
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 | 121 | — | 121 | 108 | — | 108 | ||||||||||||||||||||||||||||||
Option ARM | 30 | 57 | (27 | ) | 22 | 47 | (25 | ) | ||||||||||||||||||||||||||||
Subprime | 163 | 7 | 156 | 143 | 2 | 141 | ||||||||||||||||||||||||||||||
First lien | 317 | 64 | 253 | 276 | 49 | 227 | ||||||||||||||||||||||||||||||
Second lien: | ||||||||||||||||||||||||||||||||||||
Closed-end second lien | 5 | 40 | (35 | ) | 5 | 45 | (40 | ) | ||||||||||||||||||||||||||||
HELOC | 4 | 163 | (159 | ) | 5 | 127 | (122 | ) | ||||||||||||||||||||||||||||
Second lien | 9 | 203 | (194 | ) | 10 | 172 | (162 | ) | ||||||||||||||||||||||||||||
Total U.S. RMBS | 326 | 267 | 59 | 286 | 221 | 65 | ||||||||||||||||||||||||||||||
TruPS | 0 | — | 0 | 2 | — | 2 | ||||||||||||||||||||||||||||||
Other structured finance | 167 | 2 | 165 | 145 | 6 | 139 | ||||||||||||||||||||||||||||||
U.S. public finance | 265 | 8 | 257 | 189 | 8 | 181 | ||||||||||||||||||||||||||||||
Non-U.S. public finance | 32 | — | 32 | 35 | — | 35 | ||||||||||||||||||||||||||||||
Financial guaranty | 790 | 277 | 513 | 657 | 235 | 422 | ||||||||||||||||||||||||||||||
Other | 2 | 6 | (4 | ) | 2 | 5 | (3 | ) | ||||||||||||||||||||||||||||
Subtotal | 792 | 283 | 509 | 659 | 240 | 419 | ||||||||||||||||||||||||||||||
Effect of consolidating FG VIEs | (88 | ) | (6 | ) | (82 | ) | (103 | ) | (85 | ) | (18 | ) | ||||||||||||||||||||||||
Total (1) | $ | 704 | $ | 277 | $ | 427 | $ | 556 | $ | 155 | $ | 401 | ||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
-1 | See “Components of Net Reserves (Salvage)” table for loss and LAE reserve and salvage and subrogation recoverable components. | |||||||||||||||||||||||||||||||||||
Components of Net Reserves (Salvage) | ' | |||||||||||||||||||||||||||||||||||
The following table reconciles the reported gross and ceded reserve and salvage and subrogation amount 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 | |||||||||||||||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | |||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
Loss and LAE reserve | $ | 760 | $ | 592 | ||||||||||||||||||||||||||||||||
Reinsurance recoverable on unpaid losses | (56 | ) | (36 | ) | ||||||||||||||||||||||||||||||||
Loss and LAE reserve, net | 704 | 556 | ||||||||||||||||||||||||||||||||||
Salvage and subrogation recoverable | (294 | ) | (174 | ) | ||||||||||||||||||||||||||||||||
Salvage and subrogation payable(1) | 17 | 19 | ||||||||||||||||||||||||||||||||||
Salvage and subrogation recoverable, net | (277 | ) | (155 | ) | ||||||||||||||||||||||||||||||||
Subtotal | 427 | 401 | ||||||||||||||||||||||||||||||||||
Other recoverables(2) | (15 | ) | (15 | ) | ||||||||||||||||||||||||||||||||
Net reserves (salvage) | 412 | 386 | ||||||||||||||||||||||||||||||||||
Less: other (non-financial guaranty business) | (4 | ) | (3 | ) | ||||||||||||||||||||||||||||||||
Net reserves (salvage) - financial guaranty | $ | 416 | $ | 389 | ||||||||||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
-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 R&W benefits, Net of Reinsurance | ' | |||||||||||||||||||||||||||||||||||
Balance Sheet Classification of | ||||||||||||||||||||||||||||||||||||
Net Expected Recoveries for Breaches of R&W | ||||||||||||||||||||||||||||||||||||
Insurance Contracts | ||||||||||||||||||||||||||||||||||||
As of September 30, 2014 | As of December 31, 2013 | |||||||||||||||||||||||||||||||||||
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 | $ | 165 | $ | — | $ | 165 | $ | 122 | $ | (49 | ) | $ | 73 | |||||||||||||||||||||||
Loss and LAE reserve, net | 285 | (11 | ) | 274 | 363 | (24 | ) | 339 | ||||||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
-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 | ' | |||||||||||||||||||||||||||||||||||
Reconciliation of Net Expected Loss to be Paid and | ||||||||||||||||||||||||||||||||||||
Net Expected Loss to be Expensed | ||||||||||||||||||||||||||||||||||||
Financial Guaranty Insurance Contracts | ||||||||||||||||||||||||||||||||||||
As of | ||||||||||||||||||||||||||||||||||||
30-Sep-14 | ||||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
Net expected loss to be paid | $ | 854 | ||||||||||||||||||||||||||||||||||
Less: net expected loss to be paid for FG VIEs | 122 | |||||||||||||||||||||||||||||||||||
Total | 732 | |||||||||||||||||||||||||||||||||||
Contra-paid, net | 50 | |||||||||||||||||||||||||||||||||||
Salvage and subrogation recoverable, net of reinsurance | 271 | |||||||||||||||||||||||||||||||||||
Loss and LAE reserve, net of reinsurance | (702 | ) | ||||||||||||||||||||||||||||||||||
Other recoveries (1) | 15 | |||||||||||||||||||||||||||||||||||
Net expected loss to be expensed (present value) (2) | $ | 366 | ||||||||||||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
-1 | R&W recoverables recorded in other assets on the consolidated balance sheet. | |||||||||||||||||||||||||||||||||||
-2 | Excludes $88 million as of September 30, 2014, related to consolidated FG VIEs. | |||||||||||||||||||||||||||||||||||
Net Expected Loss to be Expensed Insurance Contracts | ' | |||||||||||||||||||||||||||||||||||
The following table provides a schedule of the expected timing of net expected losses to be expensed. The amount and timing of actual loss and LAE may differ from the estimates shown below due to factors such as refundings, accelerations, commutations, changes in expected lives and updates to loss estimates. This table excludes amounts related to FG VIEs, which are eliminated in consolidation. | ||||||||||||||||||||||||||||||||||||
Net Expected Loss to be Expensed | ||||||||||||||||||||||||||||||||||||
Financial Guaranty Insurance Contracts | ||||||||||||||||||||||||||||||||||||
As of | ||||||||||||||||||||||||||||||||||||
30-Sep-14 | ||||||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
2014 (October 1–December 31) | $ | 11 | ||||||||||||||||||||||||||||||||||
2015 | 41 | |||||||||||||||||||||||||||||||||||
2016 | 38 | |||||||||||||||||||||||||||||||||||
2017 | 30 | |||||||||||||||||||||||||||||||||||
2018 | 27 | |||||||||||||||||||||||||||||||||||
2019 - 2023 | 98 | |||||||||||||||||||||||||||||||||||
2024 - 2028 | 57 | |||||||||||||||||||||||||||||||||||
2029 - 2033 | 37 | |||||||||||||||||||||||||||||||||||
After 2033 | 27 | |||||||||||||||||||||||||||||||||||
Net expected loss to be expensed (present value) (1) | 366 | |||||||||||||||||||||||||||||||||||
Discount | 374 | |||||||||||||||||||||||||||||||||||
Total future value | $ | 740 | ||||||||||||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
-1 | Consolidation of FG VIEs resulted in reductions of $88 million in net expected loss to be expensed on a present value basis. | |||||||||||||||||||||||||||||||||||
Loss and LAE Reported on the Consolidated Statements of Operations | ' | |||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Third Quarter | Nine Months | |||||||||||||||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||||||||||||
Structured Finance: | ||||||||||||||||||||||||||||||||||||
U.S. RMBS: | ||||||||||||||||||||||||||||||||||||
First lien: | ||||||||||||||||||||||||||||||||||||
Prime first lien | $ | 0 | $ | 1 | $ | 0 | $ | 1 | ||||||||||||||||||||||||||||
Alt-A first lien | 4 | (7 | ) | 21 | (7 | ) | ||||||||||||||||||||||||||||||
Option ARM | 9 | 22 | (21 | ) | (39 | ) | ||||||||||||||||||||||||||||||
Subprime | (7 | ) | 31 | (5 | ) | 65 | ||||||||||||||||||||||||||||||
First lien | 6 | 47 | (5 | ) | 20 | |||||||||||||||||||||||||||||||
Second lien: | ||||||||||||||||||||||||||||||||||||
Closed-end second lien | 1 | 0 | 0 | 19 | ||||||||||||||||||||||||||||||||
HELOC | (45 | ) | (28 | ) | (55 | ) | (44 | ) | ||||||||||||||||||||||||||||
Second lien | (44 | ) | (28 | ) | (55 | ) | (25 | ) | ||||||||||||||||||||||||||||
Total U.S. RMBS | (38 | ) | 19 | (60 | ) | (5 | ) | |||||||||||||||||||||||||||||
TruPS | 0 | — | (1 | ) | (1 | ) | ||||||||||||||||||||||||||||||
Other structured finance | 6 | (12 | ) | 26 | (33 | ) | ||||||||||||||||||||||||||||||
Structured finance | (32 | ) | 7 | (35 | ) | (39 | ) | |||||||||||||||||||||||||||||
Public Finance: | ||||||||||||||||||||||||||||||||||||
U.S. public finance | 3 | 47 | 112 | 121 | ||||||||||||||||||||||||||||||||
Non-U.S. public finance | (1 | ) | 12 | (1 | ) | 13 | ||||||||||||||||||||||||||||||
Public finance | 2 | 59 | 111 | 134 | ||||||||||||||||||||||||||||||||
Subtotal | (30 | ) | 66 | 76 | 95 | |||||||||||||||||||||||||||||||
Other | 0 | — | (1 | ) | — | |||||||||||||||||||||||||||||||
Loss and LAE on insurance contracts before FG VIE consolidation | (30 | ) | 66 | 75 | 95 | |||||||||||||||||||||||||||||||
Effect of consolidating FG VIEs | (14 | ) | (11 | ) | (21 | ) | (26 | ) | ||||||||||||||||||||||||||||
Loss and LAE | $ | (44 | ) | $ | 55 | $ | 54 | $ | 69 | |||||||||||||||||||||||||||
Financial Guaranty Insurance BIG Transaction Loss Summary | ' | |||||||||||||||||||||||||||||||||||
The following table provides information on financial guaranty insurance contracts categorized as BIG. | ||||||||||||||||||||||||||||||||||||
Financial Guaranty Insurance | ||||||||||||||||||||||||||||||||||||
BIG Transaction Loss Summary | ||||||||||||||||||||||||||||||||||||
As of September 30, 2014 | ||||||||||||||||||||||||||||||||||||
BIG Categories | ||||||||||||||||||||||||||||||||||||
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(1) | 176 | (66 | ) | 79 | (22 | ) | 116 | (35 | ) | 371 | — | 371 | ||||||||||||||||||||||||
Remaining weighted-average contract period (in years) | 10.5 | 7.7 | 8.8 | 7.5 | 9.8 | 7.3 | 10.5 | — | 10.5 | |||||||||||||||||||||||||||
Outstanding exposure: | ||||||||||||||||||||||||||||||||||||
Principal | $ | 12,751 | $ | (2,179 | ) | $ | 3,169 | $ | (383 | ) | $ | 3,020 | $ | (150 | ) | $ | 16,228 | $ | — | $ | 16,228 | |||||||||||||||
Interest | 6,919 | (877 | ) | 1,470 | (142 | ) | 1,172 | (49 | ) | 8,493 | — | 8,493 | ||||||||||||||||||||||||
Total(2) | $ | 19,670 | $ | (3,056 | ) | $ | 4,639 | $ | (525 | ) | $ | 4,192 | $ | (199 | ) | $ | 24,721 | $ | — | $ | 24,721 | |||||||||||||||
Expected cash outflows (inflows) | $ | 1,827 | $ | (498 | ) | $ | 703 | $ | (58 | ) | $ | 1,729 | $ | (73 | ) | $ | 3,630 | $ | (364 | ) | $ | 3,266 | ||||||||||||||
Potential recoveries | ||||||||||||||||||||||||||||||||||||
Undiscounted R&W | (228 | ) | 6 | (28 | ) | 1 | (311 | ) | 13 | (547 | ) | 12 | (535 | ) | ||||||||||||||||||||||
Other(3) | (1,698 | ) | 479 | (259 | ) | 16 | (379 | ) | 28 | (1,813 | ) | 188 | (1,625 | ) | ||||||||||||||||||||||
Total potential recoveries | (1,926 | ) | 485 | (287 | ) | 17 | (690 | ) | 41 | (2,360 | ) | 200 | (2,160 | ) | ||||||||||||||||||||||
Subtotal | (99 | ) | (13 | ) | 416 | (41 | ) | 1,039 | (32 | ) | 1,270 | (164 | ) | 1,106 | ||||||||||||||||||||||
Discount | 13 | 0 | (125 | ) | 8 | (320 | ) | 8 | (416 | ) | 42 | (374 | ) | |||||||||||||||||||||||
Present value of expected cash flows | $ | (86 | ) | $ | (13 | ) | $ | 291 | $ | (33 | ) | $ | 719 | $ | (24 | ) | $ | 854 | $ | (122 | ) | $ | 732 | |||||||||||||
Deferred premium revenue | $ | 465 | $ | (76 | ) | $ | 110 | $ | (5 | ) | $ | 275 | $ | (26 | ) | $ | 743 | $ | (120 | ) | $ | 623 | ||||||||||||||
Reserves (salvage)(4) | $ | (179 | ) | $ | 0 | $ | 200 | $ | (28 | ) | $ | 516 | $ | (11 | ) | $ | 498 | $ | (82 | ) | $ | 416 | ||||||||||||||
Financial Guaranty Insurance | ||||||||||||||||||||||||||||||||||||
BIG Transaction Loss Summary | ||||||||||||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
BIG Categories | ||||||||||||||||||||||||||||||||||||
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(1) | 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(2) | $ | 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 | ||||||||||||||||||||||||||||||||||||
Undiscounted R&W | (105 | ) | 1 | (201 | ) | 8 | (356 | ) | 13 | (640 | ) | 72 | (568 | ) | ||||||||||||||||||||||
Other(3) | (1,774 | ) | 513 | (470 | ) | 19 | (351 | ) | 19 | (2,044 | ) | 507 | (1,537 | ) | ||||||||||||||||||||||
Total potential recoveries | (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)(4) | $ | (114 | ) | $ | 1 | $ | 117 | $ | (4 | ) | $ | 420 | $ | (13 | ) | $ | 407 | $ | (18 | ) | $ | 389 | ||||||||||||||
____________________ | ||||||||||||||||||||||||||||||||||||
-1 | The ceded number of risks represents the number of risks for which the Company ceded a portion of its exposure. | |||||||||||||||||||||||||||||||||||
-2 | Includes BIG amounts related to FG VIEs. | |||||||||||||||||||||||||||||||||||
-3 | Includes excess spread and draws on HELOCs. | |||||||||||||||||||||||||||||||||||
-4 | See table “Components of net reserves (salvage).” |
Fair_Value_Measurement_Tables
Fair Value Measurement (Tables) | 9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||
Information by Credit Spread Type | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||
Information by Credit Spread Type (1) | |||||||||||||||||||||||||||||||||||||||||||||||||||
As of | As of | ||||||||||||||||||||||||||||||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Based on actual collateral specific spreads | 8 | % | 6 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Based on market indices | 84 | % | 88 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Provided by the CDS counterparty | 8 | % | 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 premium the Company receives 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 September 30, 2014 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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 | $ | 5,615 | $ | — | $ | 5,577 | $ | 38 | |||||||||||||||||||||||||||||||||||||||||||
U.S. government and agencies | 560 | — | 560 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Corporate securities | 1,380 | — | 1,283 | 97 | |||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
RMBS | 1,416 | — | 904 | 512 | |||||||||||||||||||||||||||||||||||||||||||||||
Commercial mortgage-backed securities ("CMBS") | 703 | — | 703 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Asset-backed securities | 501 | — | 235 | 266 | |||||||||||||||||||||||||||||||||||||||||||||||
Foreign government securities | 310 | — | 310 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Total fixed-maturity securities | 10,485 | — | 9,572 | 913 | |||||||||||||||||||||||||||||||||||||||||||||||
Short-term investments | 837 | 465 | 372 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Other invested assets (1) | 99 | — | 17 | 82 | |||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative assets | 86 | — | — | 86 | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ assets, at fair value | 1,296 | — | — | 1,296 | |||||||||||||||||||||||||||||||||||||||||||||||
Other assets | 77 | 25 | 17 | 35 | |||||||||||||||||||||||||||||||||||||||||||||||
Total assets carried at fair value | $ | 12,880 | $ | 490 | $ | 9,978 | $ | 2,412 | |||||||||||||||||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative liabilities | $ | 1,654 | $ | — | $ | — | $ | 1,654 | |||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities with recourse, at fair value | 1,326 | — | — | 1,326 | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities without recourse, at fair value | 133 | — | — | 133 | |||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities carried at fair value | $ | 3,113 | $ | — | $ | — | $ | 3,113 | |||||||||||||||||||||||||||||||||||||||||||
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 | 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 | |||||||||||||||||||||||||||||||||||||||||||
____________________ | |||||||||||||||||||||||||||||||||||||||||||||||||||
-1 | Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis. | ||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Level 3 Roll Forward | ' | ||||||||||||||||||||||||||||||||||||||||||||||||||
The table below presents a roll forward of the Company’s Level 3 financial instruments carried at fair value on a recurring basis during Third Quarter 2014 and 2013 and Nine Months 2014 and 2013. | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Level 3 Rollforward | |||||||||||||||||||||||||||||||||||||||||||||||||||
Recurring Basis | |||||||||||||||||||||||||||||||||||||||||||||||||||
Third Quarter 2014 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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 June 30, 2014 | $ | 38 | $ | 106 | $ | 350 | $ | 254 | $ | 49 | $ | 1,284 | $ | 31 | $ | (1,837 | ) | $ | (1,366 | ) | $ | (124 | ) | ||||||||||||||||||||||||||||
Total pretax realized and unrealized gains/(losses) recorded in:(1) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | 1 | (2 | ) | (14 | ) | (2 | ) | 6 | (2 | ) | 3 | (2 | ) | — | (7 | ) | 43 | (3 | ) | 4 | (4 | ) | 255 | (6 | ) | 7 | (3 | ) | (13 | ) | (3 | ) | |||||||||||||||||||
Other comprehensive income (loss) | (1 | ) | 5 | 12 | 9 | 2 | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
Purchases | — | — | 159 | — | 25 | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Settlements | 0 | — | (15 | ) | — | 0 | (31 | ) | — | 14 | 33 | 4 | |||||||||||||||||||||||||||||||||||||||
FG VIE consolidations | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
FG VIE deconsolidations | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Fair value as of September 30, 2014 | $ | 38 | $ | 97 | $ | 512 | $ | 266 | $ | 76 | $ | 1,296 | $ | 35 | $ | (1,568 | ) | $ | (1,326 | ) | $ | (133 | ) | ||||||||||||||||||||||||||||
Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2014 | $ | (1 | ) | $ | 5 | $ | 12 | $ | 9 | $ | 2 | $ | 55 | $ | 4 | $ | 98 | $ | 6 | $ | (5 | ) | |||||||||||||||||||||||||||||
Fair Value Level 3 Rollforward | |||||||||||||||||||||||||||||||||||||||||||||||||||
Recurring Basis | |||||||||||||||||||||||||||||||||||||||||||||||||||
Third Quarter 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 June 30, 2013 | $ | 36 | $ | — | $ | 276 | $ | 300 | $ | 2 | $ | 2,674 | $ | 23 | $ | (2,248 | ) | $ | (1,940 | ) | $ | (1,134 | ) | ||||||||||||||||||||||||||||
Total pretax realized and unrealized gains/(losses) recorded in:(1) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | — | (2 | ) | 1 | (2 | ) | 4 | (2 | ) | 6 | (2 | ) | 0 | (7 | ) | (30 | ) | (3 | ) | 9 | (4 | ) | 354 | (6 | ) | 28 | (3 | ) | 35 | (3 | ) | ||||||||||||||||||||
Other comprehensive income (loss) | 6 | 4 | 12 | (2 | ) | 0 | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
Purchases | — | 130 | (8 | ) | 9 | 38 | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||
Settlements | (1 | ) | (3 | ) | (14 | ) | (2 | ) | (2 | ) | (113 | ) | — | (27 | ) | 84 | 36 | ||||||||||||||||||||||||||||||||||
FG VIE consolidations | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
FG VIE deconsolidations | — | — | — | — | — | (16 | ) | — | — | — | 16 | ||||||||||||||||||||||||||||||||||||||||
Fair value as of September 30, 2013 | $ | 41 | $ | 132 | $ | 287 | $ | 340 | $ | 0 | $ | 2,515 | $ | 32 | $ | (1,921 | ) | $ | (1,828 | ) | $ | (1,047 | ) | ||||||||||||||||||||||||||||
Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2013 | $ | 5 | $ | 4 | $ | 12 | $ | (2 | ) | $ | 0 | $ | 20 | $ | 9 | $ | 331 | $ | 24 | $ | (20 | ) | |||||||||||||||||||||||||||||
Fair Value Level 3 Rollforward | |||||||||||||||||||||||||||||||||||||||||||||||||||
Recurring Basis | |||||||||||||||||||||||||||||||||||||||||||||||||||
Nine Months 2014 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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, 2013 | $ | 36 | $ | 136 | $ | 290 | $ | 268 | $ | 2 | $ | 2,565 | $ | 46 | $ | (1,693 | ) | $ | (1,790 | ) | $ | (1,081 | ) | ||||||||||||||||||||||||||||
Total pretax realized and unrealized gains/(losses) recorded in:(1) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | 3 | (2 | ) | (18 | ) | (2 | ) | 16 | (2 | ) | 13 | (2 | ) | — | 160 | (3 | ) | (11 | ) | (4 | ) | 147 | (6 | ) | (90 | ) | (3 | ) | (49 | ) | (3 | ) | |||||||||||||||||||
Other comprehensive income (loss) | 0 | (16 | ) | 26 | 17 | 4 | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
Purchases | — | — | 212 | — | 70 | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Settlements | (1 | ) | (5 | ) | (45 | ) | (32 | ) | 0 | (346 | ) | — | (22 | ) | 332 | 16 | |||||||||||||||||||||||||||||||||||
FG VIE consolidations | — | — | — | — | — | 46 | — | — | (25 | ) | (21 | ) | |||||||||||||||||||||||||||||||||||||||
FG VIE deconsolidations | — | — | 13 | — | — | (1,129 | ) | — | — | 247 | 1,002 | ||||||||||||||||||||||||||||||||||||||||
Fair value as of September 30, 2014 | $ | 38 | $ | 97 | $ | 512 | $ | 266 | $ | 76 | $ | 1,296 | $ | 35 | $ | (1,568 | ) | $ | (1,326 | ) | $ | (133 | ) | ||||||||||||||||||||||||||||
Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2014 | $ | 0 | $ | (16 | ) | $ | 25 | $ | 16 | $ | 4 | $ | 120 | $ | (11 | ) | $ | (47 | ) | $ | (46 | ) | $ | (10 | ) | ||||||||||||||||||||||||||
Fair Value Level 3 Rollforward | |||||||||||||||||||||||||||||||||||||||||||||||||||
Recurring Basis | |||||||||||||||||||||||||||||||||||||||||||||||||||
Nine Months 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) | 1 | (2 | ) | 1 | (2 | ) | 15 | (2 | ) | 15 | (2 | ) | (1 | ) | (7 | ) | 526 | (3 | ) | (4 | ) | (4 | ) | (164 | ) | (6 | ) | (135 | ) | (3 | ) | (157 | ) | (3 | ) | ||||||||||||||||
Other comprehensive income (loss) | 7 | 4 | 16 | (24 | ) | 2 | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
Purchases | — | 130 | (8 | ) | 79 | 49 | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||
Settlements | (2 | ) | (3 | ) | (42 | ) | (6 | ) | (2 | ) | (553 | ) | — | 36 | 274 | 135 | |||||||||||||||||||||||||||||||||||
FG VIE consolidations | — | — | — | — | — | 48 | — | — | (12 | ) | (37 | ) | |||||||||||||||||||||||||||||||||||||||
FG VIE deconsolidations | — | — | — | — | — | (194 | ) | — | — | 135 | 63 | ||||||||||||||||||||||||||||||||||||||||
Fair value as of September 30, 2013 | $ | 41 | $ | 132 | $ | 287 | $ | 340 | $ | 0 | $ | 2,515 | $ | 32 | $ | (1,921 | ) | $ | (1,828 | ) | $ | (1,047 | ) | ||||||||||||||||||||||||||||
Change in unrealized gains/(losses) related to financial instruments held as of September 30, 2013 | $ | 7 | $ | 4 | $ | 16 | $ | (23 | ) | $ | 2 | $ | 450 | $ | (4 | ) | $ | 14 | $ | (141 | ) | $ | (246 | ) | |||||||||||||||||||||||||||
______________ | |||||||||||||||||||||||||||||||||||||||||||||||||||
-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 September 30, 2014 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Instrument Description (1) | Fair Value at | Significant Unobservable Inputs | Range | Weighted Average as a Percentage of Current Par Outstanding | |||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2014 | |||||||||||||||||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fixed maturity securities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Obligations of state and political subdivisions | $ | 38 | Rate of inflation | 1 | % | - | 3.00% | 2.00% | |||||||||||||||||||||||||||||||||||||||||||
Cash flow receipts | 0.5 | % | - | 73.40% | 62.20% | ||||||||||||||||||||||||||||||||||||||||||||||
Yield | 4.6 | % | - | 8.00% | 7.30% | ||||||||||||||||||||||||||||||||||||||||||||||
Collateral recovery period | 3 months | - | 34 years | 28 years | |||||||||||||||||||||||||||||||||||||||||||||||
Corporate securities | 97 | Yield | 13.90% | ||||||||||||||||||||||||||||||||||||||||||||||||
RMBS | 512 | CPR | 0.3 | % | - | 31.30% | 3.00% | ||||||||||||||||||||||||||||||||||||||||||||
CDR | 2.5 | % | - | 13.10% | 6.10% | ||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 30.1 | % | - | 100.00% | 82.20% | ||||||||||||||||||||||||||||||||||||||||||||||
Yield | 0.8 | % | - | 11.50% | 7.50% | ||||||||||||||||||||||||||||||||||||||||||||||
Asset-backed securities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Investor owned utility | 123 | Collateral recovery period | 4 years | ||||||||||||||||||||||||||||||||||||||||||||||||
Discount factor | 7.00% | ||||||||||||||||||||||||||||||||||||||||||||||||||
XXX life insurance transactions | 143 | Yield | 7.50% | ||||||||||||||||||||||||||||||||||||||||||||||||
Other invested assets | 82 | Discount for lack of liquidity | 20.00% | ||||||||||||||||||||||||||||||||||||||||||||||||
Recovery on delinquent loans | 40.00% | ||||||||||||||||||||||||||||||||||||||||||||||||||
Default rates | 0 | % | - | 7.00% | 6.20% | ||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 40 | % | - | 90.00% | 76.30% | ||||||||||||||||||||||||||||||||||||||||||||||
Prepayment speeds | 5 | % | - | 15.00% | 12.10% | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value (per share) | $ | 1,085 | - | $1,091 | $1,088 | ||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ assets, at fair value | 1,296 | CPR | 0 | % | - | 11.40% | 3.60% | ||||||||||||||||||||||||||||||||||||||||||||
CDR | 1.2 | % | - | 13.30% | 6.50% | ||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 45 | % | - | 100.00% | 85.40% | ||||||||||||||||||||||||||||||||||||||||||||||
Yield | 2.5 | % | - | 17.60% | 8.30% | ||||||||||||||||||||||||||||||||||||||||||||||
Financial Instrument Description (1) | Fair Value at | Significant Unobservable Inputs | Range | Weighted Average as a Percentage of Current Par Outstanding | |||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2014 | |||||||||||||||||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets | 35 | Quotes from third party pricing | $ | 52 | - | $61 | $56.50 | ||||||||||||||||||||||||||||||||||||||||||||
Term (years) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative liabilities, net | (1,568 | ) | Year 1 loss estimates | 0 | % | - | 63.00% | 2.10% | |||||||||||||||||||||||||||||||||||||||||||
Hedge cost (in bps) | 30 | - | 345 | 73.3 | |||||||||||||||||||||||||||||||||||||||||||||||
Bank profit (in bps) | 1 | - | 1,450.90 | 113.5 | |||||||||||||||||||||||||||||||||||||||||||||||
Internal floor (in bps) | 7 | - | 100 | 13.9 | |||||||||||||||||||||||||||||||||||||||||||||||
Internal credit rating | AAA | - | CCC | AA | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities, at fair value | (1,459 | ) | CPR | 0 | % | - | 11.40% | 3.60% | |||||||||||||||||||||||||||||||||||||||||||
CDR | 1.2 | % | - | 13.30% | 6.50% | ||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 45 | % | - | 100.00% | 85.40% | ||||||||||||||||||||||||||||||||||||||||||||||
Yield | 2.5 | % | - | 7.70% | 5.20% | ||||||||||||||||||||||||||||||||||||||||||||||
___________________ | |||||||||||||||||||||||||||||||||||||||||||||||||||
-1 | Discounted cash flow is used as valuation technique for all financial instruments. | ||||||||||||||||||||||||||||||||||||||||||||||||||
Quantitative Information About Level 3 Fair Value Inputs | |||||||||||||||||||||||||||||||||||||||||||||||||||
At December 31, 2013 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Instrument Description (1) | Fair Value at | Significant Unobservable Inputs | Range | Weighted Average as a Percentage of Current Par Outstanding | |||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fixed-maturity securities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Obligations of state and political subdivisions | $ | 36 | Rate of inflation | 1 | % | - | 3.00% | 2.00% | |||||||||||||||||||||||||||||||||||||||||||
Cash flow receipts | 0.5 | % | - | 60.90% | 51.10% | ||||||||||||||||||||||||||||||||||||||||||||||
Discount rates | 4.6 | % | - | 9.00% | 8.00% | ||||||||||||||||||||||||||||||||||||||||||||||
Collateral recovery period | 1 month | - | 10 years | 3 years | |||||||||||||||||||||||||||||||||||||||||||||||
Corporate securities | 136 | Yield | 8.30% | ||||||||||||||||||||||||||||||||||||||||||||||||
RMBS | 290 | CPR | 1 | % | - | 15.80% | 4.10% | ||||||||||||||||||||||||||||||||||||||||||||
CDR | 5 | % | - | 25.80% | 17.90% | ||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 48.1 | % | - | 102.50% | 87.20% | ||||||||||||||||||||||||||||||||||||||||||||||
Yield | 2.5 | % | - | 9.40% | 5.70% | ||||||||||||||||||||||||||||||||||||||||||||||
Asset-backed securities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Investor owned utility | 141 | Liquidation value (in millions) | $195 | - | $245 | $228 | |||||||||||||||||||||||||||||||||||||||||||||
Years to liquidation | 0 years | - | 3 years | 2 years | |||||||||||||||||||||||||||||||||||||||||||||||
Collateral recovery period | 12 months | - | 6 years | 3.5 years | |||||||||||||||||||||||||||||||||||||||||||||||
Discount factor | 15.30% | ||||||||||||||||||||||||||||||||||||||||||||||||||
XXX life insurance transactions | 127 | Yield | 12.50% | ||||||||||||||||||||||||||||||||||||||||||||||||
Other invested assets | 8 | Discount for lack of liquidity | 10 | % | - | 20.00% | 20.00% | ||||||||||||||||||||||||||||||||||||||||||||
Recovery on delinquent loans | 20 | % | - | 60.00% | 40.00% | ||||||||||||||||||||||||||||||||||||||||||||||
Default rates | 1 | % | - | 10.00% | 3.20% | ||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 40 | % | - | 90.00% | 73.50% | ||||||||||||||||||||||||||||||||||||||||||||||
Prepayment speeds | 6 | % | - | 15.00% | 13.10% | ||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ assets, at fair value | 2,565 | CPR | 0.3 | % | - | 11.80% | 3.60% | ||||||||||||||||||||||||||||||||||||||||||||
CDR | 3 | % | - | 25.80% | 13.60% | ||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 37.5 | % | - | 102.00% | 94.60% | ||||||||||||||||||||||||||||||||||||||||||||||
Yield | 3.5 | % | - | 10.20% | 5.40% | ||||||||||||||||||||||||||||||||||||||||||||||
Financial Instrument Description (1) | Fair Value at | Significant Unobservable Inputs | Range | Weighted Average as a Percentage of Current Par Outstanding | |||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets | 46 | Quotes from third party pricing | $47 | - | $53 | $50 | |||||||||||||||||||||||||||||||||||||||||||||
Term (years) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative liabilities, net | (1,693 | ) | Year 1 loss estimates | 0 | % | - | 48.00% | 1.90% | |||||||||||||||||||||||||||||||||||||||||||
Hedge cost (in bps) | 46.3 | - | 525 | 110.1 | |||||||||||||||||||||||||||||||||||||||||||||||
Bank profit (in bps) | 1 | - | 1,418.50 | 250.4 | |||||||||||||||||||||||||||||||||||||||||||||||
Internal floor (in bps) | 7 | - | 100 | 15.6 | |||||||||||||||||||||||||||||||||||||||||||||||
Internal credit rating | AAA | - | CCC | AA+ | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities, at fair value | (2,871 | ) | CPR | 0.3 | % | - | 11.80% | 3.60% | |||||||||||||||||||||||||||||||||||||||||||
CDR | 3 | % | - | 25.80% | 13.60% | ||||||||||||||||||||||||||||||||||||||||||||||
Loss severity | 37.5 | % | - | 102.00% | 94.60% | ||||||||||||||||||||||||||||||||||||||||||||||
Yield | 3.5 | % | - | 10.20% | 5.40% | ||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Carrying | Estimated | Carrying | Estimated | ||||||||||||||||||||||||||||||||||||||||||||||||
Amount | Fair Value | Amount | Fair Value | ||||||||||||||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Fixed-maturity securities | $ | 10,485 | $ | 10,485 | $ | 9,711 | $ | 9,711 | |||||||||||||||||||||||||||||||||||||||||||
Short-term investments | 837 | 837 | 904 | 904 | |||||||||||||||||||||||||||||||||||||||||||||||
Other invested assets | 108 | 111 | 147 | 155 | |||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative assets | 86 | 86 | 94 | 94 | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ assets, at fair value | 1,296 | 1,296 | 2,565 | 2,565 | |||||||||||||||||||||||||||||||||||||||||||||||
Other assets | 213 | 213 | 179 | 179 | |||||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Financial guaranty insurance contracts(1) | 3,586 | 6,147 | 3,783 | 5,128 | |||||||||||||||||||||||||||||||||||||||||||||||
Long-term debt | 1,303 | 1,579 | 816 | 970 | |||||||||||||||||||||||||||||||||||||||||||||||
Credit derivative liabilities | 1,654 | 1,654 | 1,787 | 1,787 | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities with recourse, at fair value | 1,326 | 1,326 | 1,790 | 1,790 | |||||||||||||||||||||||||||||||||||||||||||||||
FG VIEs’ liabilities without recourse, at fair value | 133 | 133 | 1,081 | 1,081 | |||||||||||||||||||||||||||||||||||||||||||||||
Other liabilities | 107 | 107 | 36 | 36 | |||||||||||||||||||||||||||||||||||||||||||||||
____________________ | |||||||||||||||||||||||||||||||||||||||||||||||||||
-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) | 9 Months Ended | |||||||||||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | |||||||||||||||||||||||||
Credit Derivatives Net Par Outstanding | ' | |||||||||||||||||||||||||
Credit Derivatives | ||||||||||||||||||||||||||
Subordination and Ratings | ||||||||||||||||||||||||||
As of September 30, 2014 | As of December 31, 2013 | |||||||||||||||||||||||||
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 | $ | 12,985 | 32 | % | 35.8 | % | AAA | $ | 19,323 | 32.4 | % | 34 | % | AAA | ||||||||||||
Synthetic investment grade pooled corporate | 9,301 | 21.3 | 19.9 | AAA | 9,754 | 21.6 | 20 | AAA | ||||||||||||||||||
Synthetic high yield pooled corporate | — | — | — | — | 2,690 | 47.2 | 41.1 | AAA | ||||||||||||||||||
TruPS CDOs | 3,242 | 45.3 | 34.9 | BB+ | 3,554 | 45.5 | 32.9 | BB+ | ||||||||||||||||||
Market value CDOs of corporate obligations | 1,352 | 21.4 | 26.5 | AAA | 2,000 | 24.4 | 30.5 | AAA | ||||||||||||||||||
Total pooled corporate obligations | 26,880 | 29.4 | 29.7 | AAA | 37,321 | 31.5 | 30.6 | AAA | ||||||||||||||||||
U.S. RMBS: | ||||||||||||||||||||||||||
Option ARM and Alt-A first lien(2) | 2,064 | 17.9 | 7.9 | BBB+ | 2,609 | 19.2 | 8.6 | BB- | ||||||||||||||||||
Subprime first lien | 1,428 | 30.9 | 51.2 | A | 2,930 | 30.5 | 51.9 | AA- | ||||||||||||||||||
Prime first lien | 233 | 10.9 | 0.4 | B | 264 | 10.9 | 3.2 | CCC | ||||||||||||||||||
Closed-end second lien | 20 | — | — | BB | 23 | — | — | B+ | ||||||||||||||||||
Total U.S. RMBS | 3,745 | 24.3 | 30.3 | BBB+ | 5,826 | 24.4 | 30.1 | BBB | ||||||||||||||||||
CMBS | 2,207 | 34.5 | 45.5 | AAA | 3,744 | 33.5 | 42.5 | AAA | ||||||||||||||||||
Other | 7,263 | — | — | A- | 7,591 | — | — | A- | ||||||||||||||||||
Total | $ | 40,095 | AA | $ | 54,482 | 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. | |||||||||||||||||||||||||
-2 | In the fourth quarter of 2014, $622 million in net par was terminated as part of a negotiated R&W settlement. | |||||||||||||||||||||||||
Distribution of Credit Derivative Net Par Outstanding by Internal Rating | ' | |||||||||||||||||||||||||
Distribution of Credit Derivative Net Par Outstanding by Internal Rating | ||||||||||||||||||||||||||
As of September 30, 2014 | As of December 31, 2013 | |||||||||||||||||||||||||
Ratings | Net Par | % of Total | Net Par | % of Total | ||||||||||||||||||||||
Outstanding | Outstanding | |||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||
AAA | $ | 26,263 | 65.5 | % | $ | 38,244 | 70.2 | % | ||||||||||||||||||
AA | 2,979 | 7.4 | 3,648 | 6.7 | ||||||||||||||||||||||
A | 3,529 | 8.8 | 3,636 | 6.7 | ||||||||||||||||||||||
BBB | 3,906 | 9.8 | 4,161 | 7.6 | ||||||||||||||||||||||
BIG | 3,418 | 8.5 | 4,793 | 8.8 | ||||||||||||||||||||||
Credit derivative net par outstanding | $ | 40,095 | 100 | % | $ | 54,482 | 100 | % | ||||||||||||||||||
Net Change in Fair Value of Credit Derivatives | ' | |||||||||||||||||||||||||
Net Change in Fair Value of Credit Derivatives Gain (Loss) | ||||||||||||||||||||||||||
Third Quarter | Nine Months | |||||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Realized gains on credit derivatives (1) | $ | 17 | $ | 24 | $ | 58 | $ | 93 | ||||||||||||||||||
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements | (31 | ) | 0 | (38 | ) | (137 | ) | |||||||||||||||||||
Realized gains (losses) and other settlements on credit derivatives | (14 | ) | 24 | 20 | (44 | ) | ||||||||||||||||||||
Net change in unrealized gains (losses) on credit derivatives: | ||||||||||||||||||||||||||
Pooled corporate obligations | 4 | 96 | 10 | (43 | ) | |||||||||||||||||||||
U.S. RMBS | 252 | 195 | 117 | (248 | ) | |||||||||||||||||||||
CMBS | — | 3 | 2 | (1 | ) | |||||||||||||||||||||
Other(2) | 13 | 36 | (2 | ) | 172 | |||||||||||||||||||||
Net change in unrealized gains (losses) on credit derivatives (3) | 269 | 330 | 127 | (120 | ) | |||||||||||||||||||||
Net change in fair value of credit derivatives | $ | 255 | $ | 354 | $ | 147 | $ | (164 | ) | |||||||||||||||||
____________________ | ||||||||||||||||||||||||||
-1 | Includes accelerations due to terminations of CDS contracts of $(0.1) million and $0.1 million related to net par of $1.6 billion and $0.3 billion for Third Quarter 2014 and Third Quarter 2013, respectively, and $0.6 million and $15 million related to net par of $2.9 billion and $3.3 billion for Nine Months 2014 and Nine Months 2013, respectively. | |||||||||||||||||||||||||
-2 | “Other” includes all other U.S. and international asset classes, such as commercial receivables, international infrastructure, international RMBS securities, and pooled infrastructure securities. | |||||||||||||||||||||||||
-3 | Except for net estimated credit impairments (i.e., net expected loss to be paid as discussed in Note 5), 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. | |||||||||||||||||||||||||
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 | As of September 30, 2013 | As of | As of | |||||||||||||||||||||
30-Sep-14 | 30-Jun-14 | 31-Dec-13 | 30-Jun-13 | 31-Dec-12 | ||||||||||||||||||||||
AGC | 345 | 327 | 460 | 465 | 343 | 678 | ||||||||||||||||||||
AGM | 344 | 346 | 525 | 502 | 365 | 536 | ||||||||||||||||||||
One-Year CDS Spread | ||||||||||||||||||||||||||
on AGC and AGM | ||||||||||||||||||||||||||
Quoted price of CDS contract (in basis points) | ||||||||||||||||||||||||||
As of | As of | As of | As of September 30, 2013 | As of | As of | |||||||||||||||||||||
30-Sep-14 | 30-Jun-14 | 31-Dec-13 | 30-Jun-13 | 31-Dec-12 | ||||||||||||||||||||||
AGC | 125 | 85 | 185 | 185 | 57 | 270 | ||||||||||||||||||||
AGM | 120 | 115 | 220 | 215 | 72 | 257 | ||||||||||||||||||||
Components of Credit Derivative Assets (Liabilities) | ' | |||||||||||||||||||||||||
Fair Value of Credit Derivatives Assets (Liabilities) | ||||||||||||||||||||||||||
and Effect of AGC and AGM | ||||||||||||||||||||||||||
Credit Spreads | ||||||||||||||||||||||||||
As of | As of | |||||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | |||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Fair value of credit derivatives before effect of AGC and AGM credit spreads | $ | (2,755 | ) | $ | (3,442 | ) | ||||||||||||||||||||
Plus: Effect of AGC and AGM credit spreads | 1,187 | 1,749 | ||||||||||||||||||||||||
Net fair value of credit derivatives | $ | (1,568 | ) | $ | (1,693 | ) | ||||||||||||||||||||
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 | Expected Loss to be (Paid) Recovered (1) | |||||||||||||||||||||||||
Asset (Liability), net | ||||||||||||||||||||||||||
Asset Type | As of | As of | As of | As of | ||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | 30-Sep-14 | 31-Dec-13 | |||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Pooled corporate obligations | $ | (22 | ) | $ | (30 | ) | $ | (26 | ) | $ | (48 | ) | ||||||||||||||
U.S. RMBS | (1,192 | ) | (1,308 | ) | (97 | ) | (175 | ) | ||||||||||||||||||
CMBS | — | (2 | ) | — | — | |||||||||||||||||||||
Other | (354 | ) | (353 | ) | 40 | 39 | ||||||||||||||||||||
Total | $ | (1,568 | ) | $ | (1,693 | ) | $ | (83 | ) | $ | (184 | ) | ||||||||||||||
____________________ | ||||||||||||||||||||||||||
(1) | Includes R&W benefit of $99 million as of September 30, 2014 and $180 million as of December 31, 2013. | |||||||||||||||||||||||||
Effect of Changes in Credit Spread | ' | |||||||||||||||||||||||||
Effect of Changes in Credit Spread | ||||||||||||||||||||||||||
As of September 30, 2014 | ||||||||||||||||||||||||||
Credit Spreads(1) | Estimated Net | Estimated Change | ||||||||||||||||||||||||
Fair Value | in Gain/(Loss) | |||||||||||||||||||||||||
(Pre-Tax) | (Pre-Tax) | |||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
100% widening in spreads | $ | (3,159 | ) | $ | (1,591 | ) | ||||||||||||||||||||
50% widening in spreads | (2,363 | ) | (795 | ) | ||||||||||||||||||||||
25% widening in spreads | (1,965 | ) | (397 | ) | ||||||||||||||||||||||
10% widening in spreads | (1,726 | ) | (158 | ) | ||||||||||||||||||||||
Base Scenario | (1,568 | ) | — | |||||||||||||||||||||||
10% narrowing in spreads | (1,414 | ) | 154 | |||||||||||||||||||||||
25% narrowing in spreads | (1,184 | ) | 384 | |||||||||||||||||||||||
50% narrowing in spreads | (791 | ) | 777 | |||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||
-1 | Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. |
Consolidated_Variable_Interest1
Consolidated Variable Interest Entities (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||
Consolidation of Variable Interest Entities [abstract] | ' | ||||||||||||||||
Number of Consolidated FG VIE's | ' | ||||||||||||||||
Number of FG VIE's Consolidated | |||||||||||||||||
Nine Months | |||||||||||||||||
2014 | 2013 | ||||||||||||||||
Beginning of period, December 31 | 40 | 33 | |||||||||||||||
Consolidated (1) | 1 | 11 | |||||||||||||||
Deconsolidated (1) | (8 | ) | (3 | ) | |||||||||||||
Matured | (2 | ) | (1 | ) | |||||||||||||
End of period, September 30 | 31 | 40 | |||||||||||||||
____________________ | |||||||||||||||||
-1 | Net gain on deconsolidation was $120 million in Nine Months 2014, and a net loss on consolidation and deconsolidation was $7 million in Nine Months 2013, and recorded in “fair value gains (losses) on FG VIEs” in the consolidated statement of operations. | ||||||||||||||||
Consolidated FG VIEs By Type of Collateral | ' | ||||||||||||||||
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 September 30, 2014 | As of December 31, 2013 | ||||||||||||||||
Assets | Liabilities | Assets | Liabilities | ||||||||||||||
(in millions) | |||||||||||||||||
With recourse: | |||||||||||||||||
U.S. RMBS first lien | $ | 519 | $ | 600 | $ | 630 | $ | 791 | |||||||||
U.S. RMBS second lien | 249 | 353 | 460 | 640 | |||||||||||||
Other | 373 | 373 | 359 | 359 | |||||||||||||
Total with recourse | 1,141 | 1,326 | 1,449 | 1,790 | |||||||||||||
Without recourse | 155 | 133 | 1,116 | 1,081 | |||||||||||||
Total | $ | 1,296 | $ | 1,459 | $ | 2,565 | $ | 2,871 | |||||||||
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 | |||||||||||||||||
Third Quarter | Nine Months | ||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||
(in millions) | |||||||||||||||||
Net earned premiums | $ | (5 | ) | $ | (14 | ) | $ | (27 | ) | $ | (47 | ) | |||||
Net investment income | (2 | ) | (3 | ) | (8 | ) | (10 | ) | |||||||||
Net realized investment gains (losses) | 0 | 0 | (5 | ) | 2 | ||||||||||||
Fair value gains (losses) on FG VIEs | 50 | 40 | 232 | 253 | |||||||||||||
Other income | 0 | — | (2 | ) | — | ||||||||||||
Loss and LAE | 14 | 11 | 21 | 26 | |||||||||||||
Effect on net income before tax provision | 57 | 34 | 211 | 224 | |||||||||||||
Less: tax provision (benefit) | 20 | 12 | 74 | 78 | |||||||||||||
Effect on net income (loss) | $ | 37 | $ | 22 | $ | 137 | $ | 146 | |||||||||
Effect on cash flows from operating activities | $ | 18 | $ | (2 | ) | $ | 57 | $ | (143 | ) | |||||||
As of | As of | ||||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||
(in millions) | |||||||||||||||||
Effect on shareholders’ equity (decrease) increase | $ | (53 | ) | $ | (172 | ) |
Investments_and_Cash_Tables
Investments and Cash (Tables) | 9 Months Ended | |||||||||||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | ' | |||||||||||||||||||||||||
Net Investment Income | ' | |||||||||||||||||||||||||
Net Investment Income | ||||||||||||||||||||||||||
Third Quarter | Nine Months | |||||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Income from fixed-maturity securities managed by third parties | $ | 83 | $ | 80 | $ | 244 | $ | 239 | ||||||||||||||||||
Income from internally managed securities: | ||||||||||||||||||||||||||
Fixed maturities | 15 | 19 | 52 | 49 | ||||||||||||||||||||||
Other invested assets | 6 | 2 | 11 | 4 | ||||||||||||||||||||||
Gross investment income | 104 | 101 | 307 | 292 | ||||||||||||||||||||||
Investment expenses | (2 | ) | (2 | ) | (6 | ) | (6 | ) | ||||||||||||||||||
Net investment income | $ | 102 | $ | 99 | $ | 301 | $ | 286 | ||||||||||||||||||
Net Realized Investment Gains (Losses) | ' | |||||||||||||||||||||||||
Net Realized Investment Gains (Losses) | ||||||||||||||||||||||||||
Third Quarter | Nine Months | |||||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Gross realized gains on available-for-sale securities | $ | 3 | $ | 5 | $ | 10 | $ | 23 | ||||||||||||||||||
Gross realized gains on other assets in investment portfolio | 1 | 2 | 8 | 38 | ||||||||||||||||||||||
Gross realized losses on available-for-sale securities | (1 | ) | (2 | ) | (4 | ) | (11 | ) | ||||||||||||||||||
Gross realized losses on other assets in investment portfolio | (1 | ) | (4 | ) | (1 | ) | (7 | ) | ||||||||||||||||||
Other-than-temporary impairment | (21 | ) | (8 | ) | (38 | ) | (20 | ) | ||||||||||||||||||
Net realized investment gains (losses) | $ | (19 | ) | $ | (7 | ) | $ | (25 | ) | $ | 23 | |||||||||||||||
Roll Forward of Credit Losses in the Investment Portfolio | ' | |||||||||||||||||||||||||
Roll Forward of Credit Losses | ||||||||||||||||||||||||||
in the Investment Portfolio | ||||||||||||||||||||||||||
Third Quarter | Nine Months | |||||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Balance, beginning of period | $ | 84 | $ | 72 | $ | 80 | $ | 64 | ||||||||||||||||||
Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized | 3 | 1 | 29 | 2 | ||||||||||||||||||||||
Reductions for securities sold during the period | — | — | (12 | ) | — | |||||||||||||||||||||
Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized | 17 | 6 | 7 | 13 | ||||||||||||||||||||||
Balance, end of period | $ | 104 | $ | 79 | $ | 104 | $ | 79 | ||||||||||||||||||
Fixed Maturity Securities and Short Term Investments by Security Type | ' | |||||||||||||||||||||||||
Fixed-Maturity Securities and Short-Term Investments | ||||||||||||||||||||||||||
by Security Type | ||||||||||||||||||||||||||
As of September 30, 2014 | ||||||||||||||||||||||||||
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) | |||||||||||||||||||||||||
Other-Than-Temporary Impairment | ||||||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||
Fixed-maturity securities: | ||||||||||||||||||||||||||
Obligations of state and political subdivisions | 49 | % | $ | 5,256 | $ | 361 | $ | (2 | ) | $ | 5,615 | $ | 7 | AA | ||||||||||||
U.S. government and agencies | 5 | 533 | 30 | (3 | ) | 560 | — | AA+ | ||||||||||||||||||
Corporate securities | 12 | 1,351 | 47 | (18 | ) | 1,380 | (11 | ) | A | |||||||||||||||||
Mortgage-backed securities(4): | 0 | |||||||||||||||||||||||||
RMBS | 13 | 1,406 | 49 | (39 | ) | 1,416 | (14 | ) | A- | |||||||||||||||||
CMBS | 6 | 689 | 15 | (1 | ) | 703 | — | AAA | ||||||||||||||||||
Asset-backed securities | 4 | 483 | 19 | (1 | ) | 501 | 6 | BBB | ||||||||||||||||||
Foreign government securities | 3 | 301 | 10 | (1 | ) | 310 | — | AA+ | ||||||||||||||||||
Total fixed-maturity securities | 92 | 10,019 | 531 | (65 | ) | 10,485 | (12 | ) | AA- | |||||||||||||||||
Short-term investments | 8 | 837 | 0 | 0 | 837 | — | AAA | |||||||||||||||||||
Total investment portfolio | 100 | % | $ | 10,856 | $ | 531 | $ | (65 | ) | $ | 11,322 | $ | (12 | ) | AA- | |||||||||||
Fixed-Maturity Securities and Short-Term Investments | ||||||||||||||||||||||||||
by Security Type | ||||||||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||
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) | |||||||||||||||||||||||||
Other-Than-Temporary Impairment | ||||||||||||||||||||||||||
(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): | ||||||||||||||||||||||||||
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- | |||||||||||
____________________ | ||||||||||||||||||||||||||
-1 | Based on amortized cost. | |||||||||||||||||||||||||
-2 | Accumulated OCI ("AOCI"). See also Note 17, Shareholders' Equity. | |||||||||||||||||||||||||
-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 43% of mortgage backed securities as of September 30, 2014 and 50% as of December 31, 2013 based on fair value. | |||||||||||||||||||||||||
Fixed Maturity Securities Gross Unrealized Loss by Length of Time | ' | |||||||||||||||||||||||||
Fixed-Maturity Securities | ||||||||||||||||||||||||||
Gross Unrealized Loss by Length of Time | ||||||||||||||||||||||||||
As of September 30, 2014 | ||||||||||||||||||||||||||
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 | $ | 93 | $ | (1 | ) | $ | 72 | $ | (1 | ) | $ | 165 | $ | (2 | ) | |||||||||||
U.S. government and agencies | 28 | 0 | 162 | (3 | ) | 190 | (3 | ) | ||||||||||||||||||
Corporate securities | 247 | (13 | ) | 127 | (5 | ) | 374 | (18 | ) | |||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||||
RMBS | 312 | (3 | ) | 226 | (36 | ) | 538 | (39 | ) | |||||||||||||||||
CMBS | 82 | 0 | 26 | (1 | ) | 108 | (1 | ) | ||||||||||||||||||
Asset-backed securities | 39 | 0 | 19 | (1 | ) | 58 | (1 | ) | ||||||||||||||||||
Foreign government securities | 60 | (1 | ) | 19 | 0 | 79 | (1 | ) | ||||||||||||||||||
Total | $ | 861 | $ | (18 | ) | $ | 651 | $ | (47 | ) | $ | 1,512 | $ | (65 | ) | |||||||||||
Number of securities (1) | 143 | 123 | 260 | |||||||||||||||||||||||
Number of securities with other-than-temporary impairment | 4 | 7 | 11 | |||||||||||||||||||||||
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 other-than-temporary impairment | 13 | 11 | 24 | |||||||||||||||||||||||
___________________ | ||||||||||||||||||||||||||
-1 | The number of securities does not add across because of lots of the same securities that have been purchased at different times and appear in both categories above (i.e. Less than 12 months and 12 months or more). If a security appears in both categories, it is counted only once in the Total column. | |||||||||||||||||||||||||
Distribution of Fixed Maturity Securities by Contractual Maturity | ' | |||||||||||||||||||||||||
Distribution of Fixed-Maturity Securities | ||||||||||||||||||||||||||
by Contractual Maturity | ||||||||||||||||||||||||||
As of September 30, 2014 | ||||||||||||||||||||||||||
Amortized | Estimated | |||||||||||||||||||||||||
Cost | Fair Value | |||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Due within one year | $ | 146 | $ | 148 | ||||||||||||||||||||||
Due after one year through five years | 1,906 | 1,978 | ||||||||||||||||||||||||
Due after five years through 10 years | 2,225 | 2,349 | ||||||||||||||||||||||||
Due after 10 years | 3,647 | 3,891 | ||||||||||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||||
RMBS | 1,406 | 1,416 | ||||||||||||||||||||||||
CMBS | 689 | 703 | ||||||||||||||||||||||||
Total | $ | 10,019 | $ | 10,485 | ||||||||||||||||||||||
Carrying Value of Bonds Acquired or Obtained for Loss Mitigations Purposes | ' | |||||||||||||||||||||||||
Internally Managed Portfolio | ||||||||||||||||||||||||||
Carrying Value | ||||||||||||||||||||||||||
As of | As of | |||||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | |||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||||
Assets purchased for loss mitigation purposes: | ||||||||||||||||||||||||||
Fixed maturity securities: | ||||||||||||||||||||||||||
Obligations of state and political subdivisions | $ | 30 | $ | 28 | ||||||||||||||||||||||
RMBS | 439 | 284 | ||||||||||||||||||||||||
Asset-backed securities | 143 | 127 | ||||||||||||||||||||||||
Other invested assets | 15 | 47 | ||||||||||||||||||||||||
Other risk management assets: | ||||||||||||||||||||||||||
Fixed maturity securities | 353 | 322 | ||||||||||||||||||||||||
Other | 108 | 35 | ||||||||||||||||||||||||
Trading portfolio (other invested assets) | 4 | 88 | ||||||||||||||||||||||||
Total | $ | 1,092 | $ | 931 | ||||||||||||||||||||||
Insurance_Company_Regulatory_R1
Insurance Company Regulatory Requirements (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||
Insurance Company Regulatory Requirements [Abstract] | ' | ||||||||||||||||
Schedule of Dividends Paid by Insurance Company Subsidiaries | ' | ||||||||||||||||
Dividends and Surplus Notes | |||||||||||||||||
By Insurance Company Subsidiaries | |||||||||||||||||
Third Quarter | Nine Months | ||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||
(in millions) | |||||||||||||||||
Dividends paid by AGC to AGUS | $ | 15 | $ | 25 | $ | 30 | $ | 42 | |||||||||
Dividends paid by AGM to AGMH | 60 | 60 | 105 | 98 | |||||||||||||
Dividends paid by AG Re to AGL | — | 22 | 82 | 122 | |||||||||||||
Repayment of surplus note by AGM to AGMH | 25 | 25 | 50 | 50 | |||||||||||||
Issuance of surplus notes by MAC to AGM and Municipal Assurance Holdings Inc. | — | (400 | ) | — | (400 | ) | |||||||||||
Income_Taxes_Tables
Income Taxes (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||
Income Tax Disclosure [Abstract] | ' | ||||||||||||||||
Effective Tax Rate Reconciliation | ' | ||||||||||||||||
Effective Tax Rate Reconciliation | |||||||||||||||||
Third Quarter | Nine Months | ||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||
(in millions) | |||||||||||||||||
Expected tax provision (benefit) at statutory rates in taxable jurisdictions | $ | 145 | $ | 165 | $ | 255 | $ | 241 | |||||||||
Tax-exempt interest | (15 | ) | (14 | ) | (43 | ) | (43 | ) | |||||||||
Change in liability for uncertain tax positions | 6 | 4 | 7 | (3 | ) | ||||||||||||
Other | (3 | ) | (3 | ) | 0 | (1 | ) | ||||||||||
Total provision (benefit) for income taxes | $ | 133 | $ | 152 | $ | 219 | $ | 194 | |||||||||
Effective tax rate | 27.3 | % | 28.2 | % | 28.3 | % | 29.7 | % | |||||||||
Pretax Income (Loss) by Tax Jurisdiction | ' | ||||||||||||||||
Pretax Income (Loss) by Tax Jurisdiction | |||||||||||||||||
Third Quarter | Nine Months | ||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||
(in millions) | |||||||||||||||||
United States | $ | 419 | $ | 469 | $ | 741 | $ | 688 | |||||||||
Bermuda | 76 | 67 | 57 | (35 | ) | ||||||||||||
U.K. | (7 | ) | 0 | (23 | ) | 0 | |||||||||||
Total | $ | 488 | $ | 536 | $ | 775 | $ | 653 | |||||||||
Revenue by Tax Jurisdiction | ' | ||||||||||||||||
Revenue by Tax Jurisdiction | |||||||||||||||||
Third Quarter | Nine Months | ||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||
(in millions) | |||||||||||||||||
United States | $ | 420 | $ | 548 | $ | 908 | $ | 846 | |||||||||
Bermuda | 106 | 122 | 168 | 113 | |||||||||||||
U.K. | (1 | ) | 0 | (3 | ) | 0 | |||||||||||
Total | $ | 525 | $ | 670 | $ | 1,073 | $ | 959 | |||||||||
Reinsurance_and_Other_Monoline1
Reinsurance and Other Monoline Exposures (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||
Reinsurance and Other Monoline Exposures [abstract] | ' | ||||||||||||||||
Direct, assumed, and ceded premium and loss and LAE amounts | ' | ||||||||||||||||
Effect of Reinsurance on Statement of Operations | |||||||||||||||||
Third Quarter | Nine Months | ||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||
(in millions) | |||||||||||||||||
Premiums Written: | |||||||||||||||||
Direct | $ | 52 | $ | 28 | $ | 100 | $ | 48 | |||||||||
Assumed(1) | (5 | ) | (2 | ) | (6 | ) | 17 | ||||||||||
Ceded(2) | 0 | 4 | (22 | ) | 3 | ||||||||||||
Net | $ | 47 | $ | 30 | $ | 72 | $ | 68 | |||||||||
Premiums Earned: | |||||||||||||||||
Direct | $ | 151 | $ | 173 | $ | 438 | $ | 627 | |||||||||
Assumed | 12 | 12 | 32 | 26 | |||||||||||||
Ceded | (19 | ) | (26 | ) | (58 | ) | (83 | ) | |||||||||
Net | $ | 144 | $ | 159 | $ | 412 | $ | 570 | |||||||||
Loss and LAE: | |||||||||||||||||
Direct | $ | (58 | ) | $ | 25 | $ | 46 | $ | 18 | ||||||||
Assumed | 11 | 35 | 26 | 70 | |||||||||||||
Ceded | 3 | (5 | ) | (18 | ) | (19 | ) | ||||||||||
Net | $ | (44 | ) | $ | 55 | $ | 54 | $ | 69 | ||||||||
____________________ | |||||||||||||||||
-1 | Negative assumed premiums written were due to changes in expected Debt Service schedules. | ||||||||||||||||
(2) Positive ceded premiums written were due to changes in expected Debt Service schedules. | |||||||||||||||||
Exposure by Reinsurer | ' | ||||||||||||||||
Exposure by Reinsurer | |||||||||||||||||
Ratings at | Par Outstanding | ||||||||||||||||
November 5, 2014 | As of September 30, 2014 | ||||||||||||||||
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 | $ | 7,233 | $ | — | $ | 30 | |||||||||
Tokio Marine & Nichido Fire Insurance Co., Ltd. | Aa3 (3) | AA- (3) | 5,653 | — | — | ||||||||||||
Radian Asset Assurance Inc. | Ba1 | B+ | 4,307 | 21 | 756 | ||||||||||||
Syncora Guarantee Inc. | WR | WR | 3,940 | 1,702 | 161 | ||||||||||||
Mitsui Sumitomo Insurance Co. Ltd. | A1 | A+ (3) | 2,062 | — | — | ||||||||||||
ACA Financial Guaranty Corp. | NR (5) | WR | 752 | 2 | — | ||||||||||||
Federal Insurance Company | Aa2 | AA | 382 | — | — | ||||||||||||
Swiss Reinsurance Co. | Aa3 | AA- | 332 | — | — | ||||||||||||
Security Life of Denver Insurance Company | A3 | A- | 239 | — | — | ||||||||||||
Ambac | WR | WR | 82 | 5,437 | 15,424 | ||||||||||||
Ambac Assurance Corp. Segregated Account | NR | NR | — | 114 | 1,106 | ||||||||||||
CIFG Assurance North America Inc. | WR | WR | — | 107 | 4,495 | ||||||||||||
MBIA | -4 | -4 | — | 3,146 | 609 | ||||||||||||
National Public Finance Guarantee Corporation | A3 | AA- | — | 6,375 | 6,067 | ||||||||||||
FGIC | WR | WR | — | 2,145 | 1,135 | ||||||||||||
Other | Various | Various | 206 | 902 | 46 | ||||||||||||
Total | $ | 25,188 | $ | 19,951 | $ | 29,829 | |||||||||||
____________________ | |||||||||||||||||
-1 | Includes $2,540 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 includes subsidiaries MBIA Insurance Corp. rated B by S&P and B2 by Moody's and MBIA U.K. Insurance Ltd. rated B by S&P and Ba2 by Moody’s. | ||||||||||||||||
(5) Represents “Not Rated.” | |||||||||||||||||
Amounts Due (To) From Reinsurers | ' | ||||||||||||||||
Amounts Due (To) From Reinsurers | |||||||||||||||||
As of September 30, 2014 | |||||||||||||||||
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 | $ | — | $ | (8 | ) | $ | — | $ | 9 | ||||||||
Tokio Marine & Nichido Fire Insurance Co., Ltd. | — | (16 | ) | — | 31 | ||||||||||||
Radian Asset Assurance Inc. | — | (16 | ) | — | 16 | ||||||||||||
Syncora Guarantee Inc. | — | (35 | ) | — | 2 | ||||||||||||
Mitsui Sumitomo Insurance Co. Ltd. | — | (3 | ) | — | 9 | ||||||||||||
Federal Insurance Company | — | (16 | ) | — | — | ||||||||||||
Swiss Reinsurance Co. | — | (3 | ) | — | 4 | ||||||||||||
Security Life of Denver Insurance Company | — | (9 | ) | — | — | ||||||||||||
Ambac | 45 | — | (19 | ) | — | ||||||||||||
Ambac Assurance Corp. Segregated Account | 15 | — | (79 | ) | — | ||||||||||||
CIFG Assurance North America Inc. | — | — | (6 | ) | — | ||||||||||||
MBIA | 5 | — | (9 | ) | — | ||||||||||||
National Public Finance Guarantee Corporation | 7 | — | (3 | ) | — | ||||||||||||
FGIC | 6 | — | (109 | ) | — | ||||||||||||
Other | 0 | (24 | ) | — | — | ||||||||||||
Total | $ | 78 | $ | (130 | ) | $ | (225 | ) | $ | 71 | |||||||
LongTerm_Debt_and_Credit_Facil1
Long-Term Debt and Credit Facilities (Tables) | 9 Months Ended | |||||||||||||||
Sep. 30, 2014 | ||||||||||||||||
Debt Disclosure [Abstract] | ' | |||||||||||||||
Principal and Carrying Amounts of Debt | ' | |||||||||||||||
Principal and Carrying Amounts of Debt | ||||||||||||||||
As of September 30, 2014 | As of December 31, 2013 | |||||||||||||||
Principal | Carrying | Principal | Carrying | |||||||||||||
Value | Value | |||||||||||||||
(in millions) | ||||||||||||||||
AGUS: | ||||||||||||||||
7.0% Senior Notes | $ | 200 | $ | 198 | $ | 200 | $ | 198 | ||||||||
5.0% Senior Notes | 500 | 499 | — | — | ||||||||||||
Series A Enhanced Junior Subordinated Debentures | 150 | 150 | 150 | 150 | ||||||||||||
Total AGUS | 850 | 847 | 350 | 348 | ||||||||||||
AGMH: | ||||||||||||||||
67/8% QUIBS | 100 | 68 | 100 | 68 | ||||||||||||
6.25% Notes | 230 | 139 | 230 | 138 | ||||||||||||
5.60% Notes | 100 | 55 | 100 | 55 | ||||||||||||
Junior Subordinated Debentures | 300 | 174 | 300 | 169 | ||||||||||||
Total AGMH | 730 | 436 | 730 | 430 | ||||||||||||
AGM: | ||||||||||||||||
AGM Notes Payable | 17 | 20 | 34 | 38 | ||||||||||||
Total | $ | 1,597 | $ | 1,303 | $ | 1,114 | $ | 816 | ||||||||
Earnings_Per_Share_Tables
Earnings Per Share (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||
Earnings Per Share [Abstract] | ' | ||||||||||||||||
Schedule of computation of basic and diluted earnings per share | ' | ||||||||||||||||
Computation of Earnings Per Share | |||||||||||||||||
Third Quarter | Nine Months | ||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||
(in millions, except per share amounts) | |||||||||||||||||
Basic earnings per share ("EPS"): | |||||||||||||||||
Net income (loss) attributable to AGL | $ | 355 | $ | 384 | $ | 556 | $ | 459 | |||||||||
Less: Distributed and undistributed income (loss) available to nonvested shareholders | 1 | 0 | 0 | 0 | |||||||||||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | $ | 354 | $ | 384 | $ | 556 | $ | 459 | |||||||||
Basic shares | 168.8 | 182.9 | 176.4 | 188.2 | |||||||||||||
Basic EPS | $ | 2.1 | $ | 2.1 | $ | 3.15 | $ | 2.44 | |||||||||
Diluted EPS: | |||||||||||||||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | $ | 354 | $ | 384 | $ | 556 | $ | 459 | |||||||||
Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries | 0 | 0 | 0 | 0 | |||||||||||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted | $ | 354 | $ | 384 | $ | 556 | $ | 459 | |||||||||
Basic shares | 168.8 | 182.9 | 176.4 | 188.2 | |||||||||||||
Effect of dilutive securities: | |||||||||||||||||
Options and restricted stock awards | 0.9 | 1 | 1 | 0.9 | |||||||||||||
Diluted shares | 169.7 | 183.9 | 177.4 | 189.1 | |||||||||||||
Diluted EPS | $ | 2.09 | $ | 2.09 | $ | 3.13 | $ | 2.43 | |||||||||
Potentially dilutive securities excluded from computation of EPS because of antidilutive effect | 1.9 | 1.9 | 1.6 | 3 | |||||||||||||
Schedule of antidilutive securities excluded from computation of earnings per share | ' | ||||||||||||||||
Computation of Earnings Per Share | |||||||||||||||||
Third Quarter | Nine Months | ||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||
(in millions, except per share amounts) | |||||||||||||||||
Basic earnings per share ("EPS"): | |||||||||||||||||
Net income (loss) attributable to AGL | $ | 355 | $ | 384 | $ | 556 | $ | 459 | |||||||||
Less: Distributed and undistributed income (loss) available to nonvested shareholders | 1 | 0 | 0 | 0 | |||||||||||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | $ | 354 | $ | 384 | $ | 556 | $ | 459 | |||||||||
Basic shares | 168.8 | 182.9 | 176.4 | 188.2 | |||||||||||||
Basic EPS | $ | 2.1 | $ | 2.1 | $ | 3.15 | $ | 2.44 | |||||||||
Diluted EPS: | |||||||||||||||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | $ | 354 | $ | 384 | $ | 556 | $ | 459 | |||||||||
Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries | 0 | 0 | 0 | 0 | |||||||||||||
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, diluted | $ | 354 | $ | 384 | $ | 556 | $ | 459 | |||||||||
Basic shares | 168.8 | 182.9 | 176.4 | 188.2 | |||||||||||||
Effect of dilutive securities: | |||||||||||||||||
Options and restricted stock awards | 0.9 | 1 | 1 | 0.9 | |||||||||||||
Diluted shares | 169.7 | 183.9 | 177.4 | 189.1 | |||||||||||||
Diluted EPS | $ | 2.09 | $ | 2.09 | $ | 3.13 | $ | 2.43 | |||||||||
Potentially dilutive securities excluded from computation of EPS because of antidilutive effect | 1.9 | 1.9 | 1.6 | 3 | |||||||||||||
Shareholders_Equity_Tables
Shareholders' Equity (Tables) | 9 Months Ended | |||||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||||
Equity [Abstract] | ' | |||||||||||||||||||
Schedule of changes in each component of accumulated other comprehensive income | ' | |||||||||||||||||||
Changes in Accumulated Other Comprehensive Income by Component | ||||||||||||||||||||
Third Quarter 2014 | ||||||||||||||||||||
Net Unrealized | Net Unrealized | Cumulative | Cash Flow Hedge | Total Accumulated | ||||||||||||||||
Gains (Losses) on | Gains (Losses) on | Translation | Other | |||||||||||||||||
Investments with no Other-Than-Temporary Impairment | Investments with Other-Than-Temporary Impairment | Adjustment | Comprehensive | |||||||||||||||||
Income | ||||||||||||||||||||
(in millions) | ||||||||||||||||||||
Balance, June 30, 2014 | $ | 345 | $ | (22 | ) | $ | 1 | $ | 8 | $ | 332 | |||||||||
Other comprehensive income (loss) before reclassifications | (5 | ) | 1 | (5 | ) | — | (9 | ) | ||||||||||||
Amounts reclassified from AOCI to: | ||||||||||||||||||||
Net realized investment gains (losses) | (5 | ) | 20 | — | — | 15 | ||||||||||||||
Interest expense | — | — | — | 0 | 0 | |||||||||||||||
Total before tax | (5 | ) | 20 | — | 0 | 15 | ||||||||||||||
Tax (provision) benefit | 2 | (7 | ) | — | 0 | (5 | ) | |||||||||||||
Total amount reclassified from AOCI, net of tax | (3 | ) | 13 | — | 0 | 10 | ||||||||||||||
Net current period other comprehensive income | (8 | ) | 14 | (5 | ) | 0 | 1 | |||||||||||||
Balance, September 30, 2014 | $ | 337 | $ | (8 | ) | $ | (4 | ) | $ | 8 | $ | 333 | ||||||||
Changes in Accumulated Other Comprehensive Income by Component | ||||||||||||||||||||
Third Quarter 2013 | ||||||||||||||||||||
Net Unrealized | Net Unrealized | Cumulative | Cash Flow Hedge | Total Accumulated | ||||||||||||||||
Gains (Losses) on | Gains (Losses) on | Translation | Other | |||||||||||||||||
Investments with no Other-Than-Temporary Impairment | Investments with Other-Than-Temporary Impairment | Adjustment | Comprehensive | |||||||||||||||||
Income | ||||||||||||||||||||
(in millions) | ||||||||||||||||||||
Balance, June 30, 2013 | $ | 237 | $ | (25 | ) | $ | (12 | ) | $ | 9 | $ | 209 | ||||||||
Other comprehensive income (loss) before reclassifications | (11 | ) | (2 | ) | 7 | — | (6 | ) | ||||||||||||
Amounts reclassified from AOCI to: | ||||||||||||||||||||
Other net realized investment gains (losses) | (2 | ) | 7 | — | — | 5 | ||||||||||||||
Interest expense | — | — | — | 0 | 0 | |||||||||||||||
Total before tax | (2 | ) | 7 | — | 0 | 5 | ||||||||||||||
Tax (provision) benefit | 1 | (3 | ) | — | 0 | (2 | ) | |||||||||||||
Total amount reclassified from AOCI, net of tax | (1 | ) | 4 | — | 0 | 3 | ||||||||||||||
Net current period other comprehensive income | (12 | ) | 2 | 7 | 0 | (3 | ) | |||||||||||||
Balance, September 30, 2013 | $ | 225 | $ | (23 | ) | $ | (5 | ) | $ | 9 | $ | 206 | ||||||||
Changes in Accumulated Other Comprehensive Income by Component | ||||||||||||||||||||
Nine Months 2014 | ||||||||||||||||||||
Net Unrealized | Net Unrealized | Cumulative | Cash Flow Hedge | Total Accumulated | ||||||||||||||||
Gains (Losses) on | Gains (Losses) on | Translation | Other | |||||||||||||||||
Investments with no Other-Than-Temporary Impairment | Investments with Other-Than-Temporary Impairment | Adjustment | Comprehensive | |||||||||||||||||
Income | ||||||||||||||||||||
(in millions) | ||||||||||||||||||||
Balance, December 31, 2013 | $ | 178 | $ | (24 | ) | $ | (3 | ) | $ | 9 | $ | 160 | ||||||||
Other comprehensive income (loss) before reclassifications | 164 | (8 | ) | (1 | ) | — | 155 | |||||||||||||
Amounts reclassified from AOCI to: | ||||||||||||||||||||
Other net realized investment gains (losses) | (9 | ) | 37 | — | — | 28 | ||||||||||||||
Interest expense | — | — | — | 0 | 0 | |||||||||||||||
Total before tax | (9 | ) | 37 | — | 0 | 28 | ||||||||||||||
Tax (provision) benefit | 4 | (13 | ) | — | (1 | ) | (10 | ) | ||||||||||||
Total amount reclassified from AOCI, net of tax | (5 | ) | 24 | — | (1 | ) | 18 | |||||||||||||
Net current period other comprehensive income | 159 | 16 | (1 | ) | (1 | ) | 173 | |||||||||||||
Balance, September 30, 2014 | $ | 337 | $ | (8 | ) | $ | (4 | ) | $ | 8 | $ | 333 | ||||||||
Changes in Accumulated Other Comprehensive Income by Component | ||||||||||||||||||||
Nine Months 2013 | ||||||||||||||||||||
Net Unrealized | Net Unrealized | Cumulative | Cash Flow Hedge | Total Accumulated | ||||||||||||||||
Gains (Losses) on | Gains (Losses) on | Translation | Other | |||||||||||||||||
Investments with no Other-Than-Temporary Impairment | Investments with Other-Than-Temporary Impairment | Adjustment | Comprehensive | |||||||||||||||||
Income | ||||||||||||||||||||
(in millions) | ||||||||||||||||||||
Balance, December 31, 2012 | $ | 517 | $ | (5 | ) | $ | (6 | ) | $ | 9 | $ | 515 | ||||||||
Other comprehensive income (loss) before reclassifications | (280 | ) | (34 | ) | 1 | — | (313 | ) | ||||||||||||
Amounts reclassified from AOCI to: | ||||||||||||||||||||
Other net realized investment gains (losses) | (16 | ) | 24 | — | — | 8 | ||||||||||||||
Interest expense | — | — | — | (1 | ) | (1 | ) | |||||||||||||
Total before tax | (16 | ) | 24 | — | (1 | ) | 7 | |||||||||||||
Tax (provision) benefit | 4 | (8 | ) | — | 1 | (3 | ) | |||||||||||||
Total amount reclassified from AOCI, net of tax | (12 | ) | 16 | — | 0 | 4 | ||||||||||||||
Net current period other comprehensive income | (292 | ) | (18 | ) | 1 | 0 | (309 | ) | ||||||||||||
Balance, September 30, 2013 | $ | 225 | $ | (23 | ) | $ | (5 | ) | $ | 9 | $ | 206 | ||||||||
Schedule of share repurchases | ' | |||||||||||||||||||
The following table presents share repurchases by quarter since January 2013. | ||||||||||||||||||||
Share Repurchases | ||||||||||||||||||||
Period | Number of Shares Repurchased | Total Payments(in millions) | Average Price Paid Per Share | |||||||||||||||||
2013 (January 1 - March 31) | 1,914,566 | $ | 39 | $ | 20.46 | |||||||||||||||
2013 (April 1 - June 30) | 9,574,963 | 205 | 21.42 | |||||||||||||||||
2013 (July 1 - September 30) | 732,092 | 14 | 19.47 | |||||||||||||||||
2013 (October 1 - December 31) | 291,138 | 6 | 19.74 | |||||||||||||||||
Total 2013 | 12,512,759 | 264 | 21.12 | |||||||||||||||||
2014 (January 1 - March 31) | 1,350,443 | 35 | 25.92 | |||||||||||||||||
2014 (April 1 - June 30) | 7,051,842 | 177 | 25.14 | |||||||||||||||||
2014 (July 1 - September 30) | 9,623,309 | 226 | 23.47 | |||||||||||||||||
Total 2014 (through September 30) | 18,025,594 | 438 | $ | 24.3 | ||||||||||||||||
2014 (October 1 through November 6) | 2,766,854 | 61 | $ | 22.08 | ||||||||||||||||
Total 2014 | 20,792,448 | 499 | $ | 24.01 | ||||||||||||||||
Cumulative repurchases since the beginning of 2013 | 33,305,207 | $ | 763 | $ | 22.92 | |||||||||||||||
Subsidiary_Information_Tables
Subsidiary Information (Tables) | 9 Months Ended | |||||||||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||||||||
Subsidiary Information [abstract] | ' | |||||||||||||||||||||||
Condensed Consolidating Balance Sheet | ' | |||||||||||||||||||||||
CONDENSED CONSOLIDATING BALANCE SHEET | ||||||||||||||||||||||||
AS OF SEPTEMBER 30, 2014 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Assured | AGUS | AGMH | Other | Consolidating | Assured | |||||||||||||||||||
Guaranty Ltd. | (Issuer) | (Issuer) | Entities | Adjustments | Guaranty Ltd. | |||||||||||||||||||
(Parent) | (Consolidated) | |||||||||||||||||||||||
ASSETS | ||||||||||||||||||||||||
Total investment portfolio and cash | $ | 298 | $ | 150 | $ | 28 | $ | 11,355 | $ | (300 | ) | $ | 11,531 | |||||||||||
Investment in subsidiaries | 5,035 | 4,677 | 3,929 | 330 | (13,971 | ) | — | |||||||||||||||||
Premiums receivable, net of commissions payable | — | — | — | 936 | (135 | ) | 801 | |||||||||||||||||
Ceded unearned premium reserve | — | — | — | 1,513 | (1,093 | ) | 420 | |||||||||||||||||
Deferred acquisition costs | — | — | — | 189 | (69 | ) | 120 | |||||||||||||||||
Reinsurance recoverable on unpaid losses | — | — | — | 228 | (172 | ) | 56 | |||||||||||||||||
Credit derivative assets | — | — | — | 436 | (350 | ) | 86 | |||||||||||||||||
Deferred tax asset, net | — | 98 | — | 464 | (88 | ) | 474 | |||||||||||||||||
Intercompany receivable | — | — | — | 90 | (90 | ) | — | |||||||||||||||||
Financial guaranty variable interest entities’ assets, at fair value | — | — | — | 1,296 | — | 1,296 | ||||||||||||||||||
Other | 27 | 29 | 43 | 709 | (223 | ) | 585 | |||||||||||||||||
TOTAL ASSETS | $ | 5,360 | $ | 4,954 | $ | 4,000 | $ | 17,546 | $ | (16,491 | ) | $ | 15,369 | |||||||||||
LIABILITIES AND SHAREHOLDERS’ EQUITY | ||||||||||||||||||||||||
Unearned premium reserves | $ | — | $ | — | $ | — | $ | 5,336 | $ | (1,073 | ) | $ | 4,263 | |||||||||||
Loss and LAE reserve | — | — | — | 938 | (178 | ) | 760 | |||||||||||||||||
Long-term debt | — | 847 | 436 | 20 | — | 1,303 | ||||||||||||||||||
Intercompany payable | — | 90 | — | 300 | (390 | ) | — | |||||||||||||||||
Credit derivative liabilities | — | — | — | 2,004 | (350 | ) | 1,654 | |||||||||||||||||
Deferred tax liabilities, net | — | — | 94 | — | (94 | ) | — | |||||||||||||||||
Financial guaranty variable interest entities’ liabilities, at fair value | — | — | — | 1,459 | — | 1,459 | ||||||||||||||||||
Other | 6 | 22 | 21 | 879 | (352 | ) | 576 | |||||||||||||||||
TOTAL LIABILITIES | 6 | 959 | 551 | 10,936 | (2,437 | ) | 10,015 | |||||||||||||||||
TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. | 5,354 | 3,995 | 3,449 | 6,280 | (13,724 | ) | 5,354 | |||||||||||||||||
Noncontrolling interest | — | — | — | 330 | (330 | ) | — | |||||||||||||||||
TOTAL SHAREHOLDERS' EQUITY | 5,354 | 3,995 | 3,449 | 6,610 | (14,054 | ) | 5,354 | |||||||||||||||||
TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY | $ | 5,360 | $ | 4,954 | $ | 4,000 | $ | 17,546 | $ | (16,491 | ) | $ | 15,369 | |||||||||||
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 Statement of Operations and Comprehensive Income | ' | |||||||||||||||||||||||
CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS | ||||||||||||||||||||||||
AND COMPREHENSIVE INCOME | ||||||||||||||||||||||||
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Assured | AGUS | AGMH | Other | Consolidating | Assured | |||||||||||||||||||
Guaranty Ltd. | (Issuer) | (Issuer) | Entities | Adjustments | Guaranty Ltd. | |||||||||||||||||||
(Parent) | (Consolidated) | |||||||||||||||||||||||
REVENUES | ||||||||||||||||||||||||
Net earned premiums | $ | — | $ | — | $ | — | $ | 408 | $ | 4 | $ | 412 | ||||||||||||
Net investment income | 0 | 0 | 1 | 307 | (7 | ) | 301 | |||||||||||||||||
Net realized investment gains (losses) | 0 | 0 | 0 | (23 | ) | (2 | ) | (25 | ) | |||||||||||||||
Net change in fair value of credit derivatives: | ||||||||||||||||||||||||
Realized gains (losses) and other settlements | — | — | — | 20 | 0 | 20 | ||||||||||||||||||
Net unrealized gains (losses) | — | — | — | 127 | — | 127 | ||||||||||||||||||
Net change in fair value of credit derivatives | — | — | — | 147 | 0 | 147 | ||||||||||||||||||
Other | — | — | — | 239 | (1 | ) | 238 | |||||||||||||||||
TOTAL REVENUES | 0 | 0 | 1 | 1,078 | (6 | ) | 1,073 | |||||||||||||||||
EXPENSES | ||||||||||||||||||||||||
Loss and LAE | — | — | — | 48 | 6 | 54 | ||||||||||||||||||
Amortization of deferred acquisition costs | — | — | — | 17 | (5 | ) | 12 | |||||||||||||||||
Interest expense | — | 27 | 40 | 13 | (13 | ) | 67 | |||||||||||||||||
Other operating expenses | 24 | 1 | 1 | 142 | (3 | ) | 165 | |||||||||||||||||
TOTAL EXPENSES | 24 | 28 | 41 | 220 | (15 | ) | 298 | |||||||||||||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES | (24 | ) | (28 | ) | (40 | ) | 858 | 9 | 775 | |||||||||||||||
Total (provision) benefit for income taxes | — | 9 | 14 | (240 | ) | (2 | ) | (219 | ) | |||||||||||||||
Equity in net earnings of subsidiaries | 580 | 529 | 436 | 24 | (1,569 | ) | — | |||||||||||||||||
NET INCOME (LOSS) | $ | 556 | $ | 510 | $ | 410 | $ | 642 | $ | (1,562 | ) | $ | 556 | |||||||||||
Less: noncontrolling interest | — | — | — | 24 | (24 | ) | — | |||||||||||||||||
NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. | $ | 556 | $ | 510 | $ | 410 | $ | 618 | $ | (1,538 | ) | $ | 556 | |||||||||||
COMPREHENSIVE INCOME (LOSS) | $ | 729 | $ | 650 | $ | 495 | $ | 957 | $ | (2,102 | ) | $ | 729 | |||||||||||
CONDENSED CONSOLIDATING STATEMENT OF OPERATIONS | ||||||||||||||||||||||||
AND COMPREHENSIVE INCOME | ||||||||||||||||||||||||
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 | ||||||||||||||||||||||||
(in millions) | ||||||||||||||||||||||||
Assured | AGUS | AGMH | Other | Consolidating | Assured | |||||||||||||||||||
Guaranty Ltd. | (Issuer) | (Issuer) | Entities | Adjustments | Guaranty Ltd. | |||||||||||||||||||
(Parent) | (Consolidated) | |||||||||||||||||||||||
REVENUES | ||||||||||||||||||||||||
Net earned premiums | $ | — | $ | — | $ | — | $ | 563 | $ | 7 | $ | 570 | ||||||||||||
Net investment income | 0 | 0 | 1 | 298 | (13 | ) | 286 | |||||||||||||||||
Net realized investment gains (losses) | 0 | — | 0 | 58 | (35 | ) | 23 | |||||||||||||||||
Net change in fair value of credit derivatives: | ||||||||||||||||||||||||
Realized gains (losses) and other settlements | — | — | — | (44 | ) | — | (44 | ) | ||||||||||||||||
Net unrealized gains (losses) | — | — | — | (120 | ) | — | (120 | ) | ||||||||||||||||
Net change in fair value of credit derivatives | — | — | — | (164 | ) | — | (164 | ) | ||||||||||||||||
Other | — | — | — | 244 | — | 244 | ||||||||||||||||||
TOTAL REVENUES | 0 | 0 | 1 | 999 | (41 | ) | 959 | |||||||||||||||||
EXPENSES | ||||||||||||||||||||||||
Loss and LAE | — | — | — | 69 | — | 69 | ||||||||||||||||||
Amortization of deferred acquisition costs | — | — | — | 3 | 5 | 8 | ||||||||||||||||||
Interest expense | — | 21 | 40 | 17 | (15 | ) | 63 | |||||||||||||||||
Other operating expenses | 17 | — | 1 | 151 | (3 | ) | 166 | |||||||||||||||||
TOTAL EXPENSES | 17 | 21 | 41 | 240 | (13 | ) | 306 | |||||||||||||||||
INCOME (LOSS) BEFORE INCOME TAXES AND EQUITY IN NET EARNINGS OF SUBSIDIARIES | (17 | ) | (21 | ) | (40 | ) | 759 | (28 | ) | 653 | ||||||||||||||
Total (provision) benefit for income taxes | — | 8 | 14 | (226 | ) | 10 | (194 | ) | ||||||||||||||||
Equity in net earnings of subsidiaries | 476 | 486 | 533 | 10 | (1,505 | ) | — | |||||||||||||||||
NET INCOME (LOSS) | $ | 459 | $ | 473 | $ | 507 | $ | 543 | $ | (1,523 | ) | $ | 459 | |||||||||||
Less: noncontrolling interest | — | — | — | 10 | (10 | ) | — | |||||||||||||||||
NET INCOME (LOSS) ATTRIBUTABLE TO ASSURED GUARANTY LTD. | $ | 459 | $ | 473 | $ | 507 | $ | 533 | $ | (1,513 | ) | $ | 459 | |||||||||||
COMPREHENSIVE INCOME (LOSS) | $ | 150 | $ | 272 | $ | 384 | $ | 16 | $ | (672 | ) | $ | 150 | |||||||||||
Condensed Consolidating Statement of Cash Flows | ' | |||||||||||||||||||||||
CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS | ||||||||||||||||||||||||
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 | ||||||||||||||||||||||||
(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(1) | $ | 762 | $ | 170 | $ | 84 | $ | 408 | $ | (1,077 | ) | $ | 347 | |||||||||||
Cash flows from investing activities | ||||||||||||||||||||||||
Fixed-maturity securities: | ||||||||||||||||||||||||
Purchases | — | (356 | ) | (7 | ) | (1,668 | ) | — | (2,031 | ) | ||||||||||||||
Sales | — | 399 | 8 | 544 | — | 951 | ||||||||||||||||||
Maturities | — | 4 | 1 | 552 | — | 557 | ||||||||||||||||||
Sales (purchases) of short-term investments, net | (265 | ) | (74 | ) | 14 | 414 | — | 89 | ||||||||||||||||
Net proceeds from financial guaranty variable entities’ assets | — | — | — | 346 | — | 346 | ||||||||||||||||||
Investment in subsidiary | — | — | 50 | — | (50 | ) | — | |||||||||||||||||
Other | — | — | — | 9 | — | 9 | ||||||||||||||||||
Net cash flows provided by (used in) investing activities | (265 | ) | (27 | ) | 66 | 197 | (50 | ) | (79 | ) | ||||||||||||||
Cash flows from financing activities | ||||||||||||||||||||||||
Return of capital | — | — | — | (50 | ) | 50 | — | |||||||||||||||||
Dividends paid | (58 | ) | (700 | ) | (150 | ) | (227 | ) | 1,077 | (58 | ) | |||||||||||||
Repurchases of common stock | (438 | ) | — | — | — | — | (438 | ) | ||||||||||||||||
Share activity under option and incentive plans | (1 | ) | — | — | — | — | (1 | ) | ||||||||||||||||
Net paydowns of financial guaranty variable entities’ liabilities | — | — | — | (348 | ) | — | (348 | ) | ||||||||||||||||
Net proceeds from issuance of long-term debt | — | 495 | — | — | — | 495 | ||||||||||||||||||
Payment of long-term debt | — | — | — | (18 | ) | — | (18 | ) | ||||||||||||||||
Net cash flows provided by (used in) financing activities | (497 | ) | (205 | ) | (150 | ) | (643 | ) | 1,127 | (368 | ) | |||||||||||||
Effect of exchange rate changes | — | — | — | (2 | ) | — | (2 | ) | ||||||||||||||||
Increase (decrease) in cash | — | (62 | ) | — | (40 | ) | — | (102 | ) | |||||||||||||||
Cash at beginning of period | 0 | 67 | 0 | 117 | — | 184 | ||||||||||||||||||
Cash at end of period | $ | 0 | $ | 5 | $ | 0 | $ | 77 | $ | — | $ | 82 | ||||||||||||
____________________ | ||||||||||||||||||||||||
-1 | Assured Guaranty Ltd., AGUS and AGMH net cash flows provided by (used in) operating activities includes dividends from subsidiaries. | |||||||||||||||||||||||
CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS | ||||||||||||||||||||||||
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 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(1) | $ | 108 | $ | 123 | $ | 68 | $ | 207 | $ | (360 | ) | $ | 146 | |||||||||||
Cash flows from investing activities | ||||||||||||||||||||||||
Fixed-maturity securities: | ||||||||||||||||||||||||
Purchases | — | (35 | ) | (23 | ) | (1,570 | ) | 65 | (1,563 | ) | ||||||||||||||
Sales | 171 | 1 | 25 | 680 | (65 | ) | 812 | |||||||||||||||||
Maturities | 21 | — | 2 | 620 | — | 643 | ||||||||||||||||||
Sales (purchases) of short-term investments, net | 16 | (94 | ) | (24 | ) | 146 | — | 44 | ||||||||||||||||
Net proceeds from financial guaranty variable entities’ assets | — | — | — | 553 | — | 553 | ||||||||||||||||||
Intercompany debt | — | — | — | 7 | (7 | ) | — | |||||||||||||||||
Investment in subsidiary | — | — | 50 | — | (50 | ) | — | |||||||||||||||||
Other | — | — | — | 81 | — | 81 | ||||||||||||||||||
Net cash flows provided by (used in) investing activities | 208 | (128 | ) | 30 | 517 | (57 | ) | 570 | ||||||||||||||||
Cash flows from financing activities | ||||||||||||||||||||||||
Return of capital | — | — | — | (50 | ) | 50 | — | |||||||||||||||||
Dividends paid | (57 | ) | — | (98 | ) | (262 | ) | 360 | (57 | ) | ||||||||||||||
Repurchases of common stock | (259 | ) | — | — | — | — | (259 | ) | ||||||||||||||||
Share activity under option and incentive plans | — | — | — | — | — | — | ||||||||||||||||||
Net paydowns of financial guaranty variable entities’ liabilities | — | — | — | (409 | ) | — | (409 | ) | ||||||||||||||||
Payment of long-term debt | — | — | — | (22 | ) | — | (22 | ) | ||||||||||||||||
Intercompany debt | — | (7 | ) | — | — | 7 | — | |||||||||||||||||
Net cash flows provided by (used in) financing activities | (316 | ) | (7 | ) | (98 | ) | (743 | ) | 417 | (747 | ) | |||||||||||||
Effect of exchange rate changes | — | — | — | (1 | ) | — | (1 | ) | ||||||||||||||||
Increase (decrease) in cash | — | (12 | ) | — | (20 | ) | — | (32 | ) | |||||||||||||||
Cash at beginning of period | — | 13 | 0 | 125 | — | 138 | ||||||||||||||||||
Cash at end of period | $ | — | $ | 1 | $ | 0 | $ | 105 | $ | — | $ | 106 | ||||||||||||
____________________ | ||||||||||||||||||||||||
-1 | Assured Guaranty Ltd., AGUS and AGMH net cash flows provided by (used in) operating activities include dividends from subsidiaries. |
Business_and_Basis_of_Presenta2
Business and Basis of Presentation (Details) | Sep. 30, 2014 |
Company | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ' |
Number of holding companies having public debt outstanding | 2 |
Outstanding_Exposure_Surveilla
Outstanding Exposure - Surveillance Categories and Debt Service Outstanding (Details) (USD $) | 9 Months Ended | |
Sep. 30, 2014 | Dec. 31, 2013 | |
Financial guarantee obligations | ' | ' |
Minimum amount assumed principal amount for internal rating | $1,000,000 | ' |
Constant discount rate (as a percent) | 5.00% | ' |
Probability of paying more claims than being reimbursed (as a percent) | 50.00% | ' |
Maximum period of liquidity claims (in years) | '1 year | ' |
Gross debt service outstanding | 672,048,000,000 | 737,380,000,000 |
Net debt service outstanding | 631,453,000,000 | 690,535,000,000 |
Mortgage guaranty insurance | 140,000,000 | ' |
Public finance | ' | ' |
Financial guarantee obligations | ' | ' |
Gross debt service outstanding | 605,569,000,000 | 650,924,000,000 |
Net debt service outstanding | 569,974,000,000 | 610,011,000,000 |
Structured finance | ' | ' |
Financial guarantee obligations | ' | ' |
Gross debt service outstanding | 66,479,000,000 | 86,456,000,000 |
Net debt service outstanding | $61,479,000,000 | $80,524,000,000 |
Outstanding_Exposure_Financial
Outstanding Exposure - Financial Guaranty Portfolio by Internal Rating (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 |
In Millions, unless otherwise specified | Public Finance U.S. | Public Finance U.S. | Public Finance Non-U.S. | Public Finance Non-U.S. | Structured Finance U.S. | Structured Finance U.S. | Structured Finance Non-U.S. | Structured Finance Non-U.S. | Structured finance | Public finance | Public finance | Public finance | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AA | AA | AA | AA | AA | AA | AA | AA | AA | AA | A | A | A | A | A | A | A | A | A | A | BBB | BBB | BBB | BBB | BBB | BBB | BBB | BBB | BBB | BBB | Below investment grade (BIG) | Below investment grade (BIG) | Below investment grade (BIG) | Below investment grade (BIG) | Below investment grade (BIG) | Below investment grade (BIG) | Below investment grade (BIG) | Below investment grade (BIG) | Below investment grade (BIG) | Below investment grade (BIG) | Loss Mitigation Bonds | Loss Mitigation Bonds | Loss Mitigation Bonds | Loss Mitigation Bonds | Loss Mitigation Bonds | Loss Mitigation Bonds | Loss Mitigation Bonds | Loss Mitigation Bonds | Loss Mitigation Bonds | Loss Mitigation Bonds | ||
Minimum | Maximum | Public Finance U.S. | Public Finance U.S. | Public Finance Non-U.S. | Public Finance Non-U.S. | Structured Finance U.S. | Structured Finance U.S. | Structured Finance Non-U.S. | Structured Finance Non-U.S. | Public Finance U.S. | Public Finance U.S. | Public Finance Non-U.S. | Public Finance Non-U.S. | Structured Finance U.S. | Structured Finance U.S. | Structured Finance Non-U.S. | Structured Finance Non-U.S. | Public Finance U.S. | Public Finance U.S. | Public Finance Non-U.S. | Public Finance Non-U.S. | Structured Finance U.S. | Structured Finance U.S. | Structured Finance Non-U.S. | Structured Finance Non-U.S. | Public Finance U.S. | Public Finance U.S. | Public Finance Non-U.S. | Public Finance Non-U.S. | Structured Finance U.S. | Structured Finance U.S. | Structured Finance Non-U.S. | Structured Finance Non-U.S. | Public Finance U.S. | Public Finance U.S. | Public Finance Non-U.S. | Public Finance Non-U.S. | Structured Finance U.S. | Structured Finance U.S. | Structured Finance Non-U.S. | Structured Finance Non-U.S. | Below investment grade (BIG) | Below investment grade (BIG) | Below investment grade (BIG) | Below investment grade (BIG) | Below investment grade (BIG) | Below investment grade (BIG) | Below investment grade (BIG) | Below investment grade (BIG) | Below investment grade (BIG) | Below investment grade (BIG) | |||||||||||||||||||||||
Public Finance U.S. | Public Finance U.S. | Public Finance Non-U.S. | Public Finance Non-U.S. | Structured Finance U.S. | Structured Finance U.S. | Structured Finance Non-U.S. | Structured Finance Non-U.S. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial guarantee obligations | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Net par amount outstanding | $418,015 | $459,107 | $329,225 | $352,181 | $33,487 | $33,998 | $44,874 | $58,907 | $10,429 | $14,021 | ' | ' | ' | ' | $34,819 | $48,015 | $4,173 | $4,998 | $1,011 | $1,016 | $23,193 | $32,317 | $6,442 | $9,684 | $105,149 | $117,933 | $96,107 | $107,503 | $388 | $422 | $8,115 | $9,431 | $539 | $577 | $190,342 | $205,616 | $178,484 | $192,841 | $9,451 | $9,453 | $1,849 | $2,580 | $558 | $742 | $68,059 | $65,005 | $41,919 | $37,745 | $21,159 | $21,499 | $3,044 | $3,815 | $1,937 | $1,946 | $19,646 | $22,538 | $8,542 | $9,094 | $1,478 | $1,608 | $8,673 | $10,764 | $953 | $1,072 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Net par amount outstanding including loss mitigation bonds | 419,304 | 460,302 | 329,254 | 352,213 | 33,487 | 33,998 | 46,134 | 60,070 | 10,429 | 14,021 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,289 | 1,195 | 29 | 32 | 0 | 0 | 1,260 | 1,163 | 0 | 0 |
% of total net par outstanding | 100.00% | 100.00% | 100.00% | 100.00% | 100.00% | 100.00% | 100.00% | 100.00% | 100.00% | 100.00% | ' | ' | ' | ' | 8.30% | 10.50% | 1.30% | 1.40% | 3.00% | 3.00% | 51.70% | 54.90% | 61.80% | 69.10% | 25.20% | 25.70% | 29.20% | 30.50% | 1.20% | 1.20% | 18.10% | 16.00% | 5.20% | 4.10% | 45.50% | 44.80% | 54.20% | 54.80% | 28.20% | 27.90% | 4.10% | 4.40% | 5.40% | 5.30% | 16.30% | 14.10% | 12.70% | 10.70% | 63.20% | 63.20% | 6.80% | 6.40% | 18.50% | 13.90% | 4.70% | 4.90% | 2.60% | 2.60% | 4.40% | 4.70% | 19.30% | 18.30% | 9.10% | 7.60% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Outstanding commitments to provide guaranties | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 294 | 459 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Expiration date for insured financial obligation commitments | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1-Oct-14 | 25-Feb-17 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Outstanding commitments to provide guaranties, amount expiring prior to December 31, 2014 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $335 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Outstanding_Exposure_Financial1
Outstanding Exposure - Financial Guaranty Exposures and Below-Investment-Grade Credits (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Millions, unless otherwise specified | ||||
Financial guarantee obligations | ' | ' | ||
Net par outstanding, credit derivatives | $40,095 | $54,482 | ||
Net par amount outstanding | 418,015 | 459,107 | ||
Below investment grade (BIG) | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par outstanding, financial guaranty insurance | 16,228 | [1] | 17,745 | [1] |
Net par outstanding, credit derivatives | 3,418 | 4,793 | ||
Net par amount outstanding | 19,646 | 22,538 | ||
Number of risks, financial guaranty insurance | 371 | [1],[2] | 384 | [1],[2] |
Number of risks, credit derivatives | 68 | [2] | 73 | [2] |
Total number of risks | 439 | [2] | 457 | [2] |
Category 1 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 12,341 | 14,751 | ||
Category 1 | Below investment grade (BIG) | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par outstanding, financial guaranty insurance | 10,572 | [1] | 12,391 | [1] |
Net par outstanding, credit derivatives | 1,769 | 2,360 | ||
Net par amount outstanding | 12,341 | 14,751 | ||
Number of risks, financial guaranty insurance | 176 | [1],[2] | 185 | [1],[2] |
Number of risks, credit derivatives | 23 | [2] | 25 | [2] |
Total number of risks | 199 | [2] | 210 | [2] |
Category 2 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 3,874 | 3,949 | ||
Category 2 | Below investment grade (BIG) | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par outstanding, financial guaranty insurance | 2,786 | [1] | 2,323 | [1] |
Net par outstanding, credit derivatives | 1,088 | 1,626 | ||
Net par amount outstanding | 3,874 | 3,949 | ||
Number of risks, financial guaranty insurance | 79 | [1],[2] | 80 | [1],[2] |
Number of risks, credit derivatives | 19 | [2] | 21 | [2] |
Total number of risks | 98 | [2] | 101 | [2] |
Category 3 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 3,431 | 3,838 | ||
Category 3 | Below investment grade (BIG) | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par outstanding, financial guaranty insurance | 2,870 | [1] | 3,031 | [1] |
Net par outstanding, credit derivatives | 561 | 807 | ||
Net par amount outstanding | 3,431 | 3,838 | ||
Number of risks, financial guaranty insurance | 116 | [1],[2] | 119 | [1],[2] |
Number of risks, credit derivatives | 26 | [2] | 27 | [2] |
Total number of risks | 142 | [2] | 146 | [2] |
Prime first lien | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 488 | 541 | ||
Prime first lien | Below investment grade (BIG) | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 365 | 403 | ||
Prime first lien | Category 1 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 70 | 52 | ||
Prime first lien | Category 2 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 266 | 321 | ||
Prime first lien | Category 3 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 29 | 30 | ||
Alt-A first lien | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 2,986 | 3,590 | ||
Alt-A first lien | Below investment grade (BIG) | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 1,912 | 2,728 | ||
Alt-A first lien | Category 1 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 601 | 656 | ||
Alt-A first lien | Category 2 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 653 | 1,137 | ||
Alt-A first lien | Category 3 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 658 | 935 | ||
Option ARM | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 700 | 937 | ||
Option ARM | Below investment grade (BIG) | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 194 | 598 | ||
Option ARM | Category 1 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 18 | 71 | ||
Option ARM | Category 2 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 58 | 60 | ||
Option ARM | Category 3 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 118 | 467 | ||
Subprime | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 4,247 | 6,130 | ||
Subprime | Below investment grade (BIG) | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 1,663 | 1,945 | ||
Subprime | Category 1 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 214 | 297 | ||
Subprime | Category 2 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 681 | 908 | ||
Subprime | Category 3 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 768 | 740 | ||
Close ended second lien | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 224 | 244 | ||
Close ended second lien | Below investment grade (BIG) | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 137 | 146 | ||
Close ended second lien | Category 1 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 21 | 8 | ||
Close ended second lien | Category 2 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 19 | 20 | ||
Close ended second lien | Category 3 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 97 | 118 | ||
HELOCs | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 1,817 | 2,279 | ||
HELOCs | Below investment grade (BIG) | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 1,606 | 1,897 | ||
HELOCs | Category 1 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 1,306 | 1,499 | ||
HELOCs | Category 2 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 17 | 20 | ||
HELOCs | Category 3 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 283 | 378 | ||
U.S. RMBS | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 10,462 | 13,721 | ||
U.S. RMBS | Below investment grade (BIG) | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 5,877 | 7,717 | ||
U.S. RMBS | Category 1 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 2,230 | 2,583 | ||
U.S. RMBS | Category 2 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 1,694 | 2,466 | ||
U.S. RMBS | Category 3 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 1,953 | 2,668 | ||
TruPS | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 4,549 | 4,970 | ||
TruPS | Below investment grade (BIG) | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 1,518 | 1,722 | ||
TruPS | Category 1 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 1,175 | 1,587 | ||
TruPS | Category 2 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 0 | 135 | ||
TruPS | Category 3 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 343 | 0 | ||
Other structured finance | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 40,292 | 54,237 | ||
Other structured finance | Below investment grade (BIG) | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 2,231 | 2,397 | ||
Other structured finance | Category 1 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 1,111 | 1,367 | ||
Other structured finance | Category 2 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 405 | 309 | ||
Other structured finance | Category 3 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 715 | 721 | ||
Public Finance U.S. | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 329,225 | 352,181 | ||
Public Finance U.S. | Below investment grade (BIG) | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 8,542 | 9,094 | ||
Public Finance U.S. | Category 1 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 6,934 | 8,205 | ||
Public Finance U.S. | Category 2 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 1,188 | 440 | ||
Public Finance U.S. | Category 3 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 420 | 449 | ||
Public Finance Non-U.S. | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 33,487 | 33,998 | ||
Public Finance Non-U.S. | Below investment grade (BIG) | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 1,478 | 1,608 | ||
Public Finance Non-U.S. | Category 1 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 891 | 1,009 | ||
Public Finance Non-U.S. | Category 2 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | 587 | 599 | ||
Public Finance Non-U.S. | Category 3 | ' | ' | ||
Financial guarantee obligations | ' | ' | ||
Net par amount outstanding | $0 | $0 | ||
[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. |
Outstanding_Exposure_Net_Direc
Outstanding Exposure - Net Direct Economic Exposure to Selected European Countries (Details) (USD $) | Sep. 30, 2014 | |
In Millions, unless otherwise specified | ||
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | $2,473 | [1] |
Hungary | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 524 | [1] |
Italy | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 1,453 | [1] |
Portugal | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 106 | [1] |
Spain | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 390 | [1] |
Sovereign and sub-sovereign exposure | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 1,767 | [1] |
Sovereign and sub-sovereign exposure | Non-infrastructure public finance | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 1,274 | [1],[2] |
Sovereign and sub-sovereign exposure | Infrastructure finance | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 493 | [1] |
Sovereign and sub-sovereign exposure | Hungary | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 327 | [1] |
Sovereign and sub-sovereign exposure | Hungary | Non-infrastructure public finance | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 0 | [1],[2] |
Sovereign and sub-sovereign exposure | Hungary | Infrastructure finance | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 327 | [1] |
Sovereign and sub-sovereign exposure | Italy | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 944 | [1] |
Sovereign and sub-sovereign exposure | Italy | Non-infrastructure public finance | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 929 | [1],[2] |
Sovereign and sub-sovereign exposure | Italy | Infrastructure finance | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 15 | [1] |
Sovereign and sub-sovereign exposure | Portugal | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 106 | [1] |
Sovereign and sub-sovereign exposure | Portugal | Non-infrastructure public finance | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 95 | [1],[2] |
Sovereign and sub-sovereign exposure | Portugal | Infrastructure finance | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 11 | [1] |
Sovereign and sub-sovereign exposure | Spain | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 390 | [1] |
Sovereign and sub-sovereign exposure | Spain | Non-infrastructure public finance | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 250 | [1],[2] |
Sovereign and sub-sovereign exposure | Spain | Infrastructure finance | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 140 | [1] |
Non-sovereign exposure | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 706 | [1] |
Non-sovereign exposure | Regulated utilities | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 229 | [1] |
Non-sovereign exposure | RMBS | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 477 | [1] |
Non-sovereign exposure | Hungary | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 197 | [1] |
Non-sovereign exposure | Hungary | Regulated utilities | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 0 | [1] |
Non-sovereign exposure | Hungary | RMBS | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 197 | [1] |
Non-sovereign exposure | Italy | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 509 | [1] |
Non-sovereign exposure | Italy | Regulated utilities | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 229 | [1] |
Non-sovereign exposure | Italy | RMBS | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 280 | [1] |
Non-sovereign exposure | Portugal | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 0 | [1] |
Non-sovereign exposure | Portugal | Regulated utilities | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 0 | [1] |
Non-sovereign exposure | Portugal | RMBS | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 0 | [1] |
Non-sovereign exposure | Spain | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 0 | [1] |
Non-sovereign exposure | Spain | Regulated utilities | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 0 | [1] |
Non-sovereign exposure | Spain | RMBS | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 0 | [1] |
Below investment grade (BIG) | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 1,020 | [1] |
Below investment grade (BIG) | Hungary | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 524 | [1] |
Below investment grade (BIG) | Italy | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 0 | [1] |
Below investment grade (BIG) | Portugal | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 106 | [1] |
Below investment grade (BIG) | Spain | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 390 | [1] |
Europe | Pooled corporate obligations | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | 425 | |
Europe | Commercial receivable | ' | |
Financial guarantee obligations | ' | |
Net economic exposure to selected european countries | $68 | |
[1] | While the Company’s exposures are shown in U.S. dollars, the obligations the Company insures are in various currencies, primarily Euros. 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] | 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. |
Outstanding_Exposure_Puerto_Ri
Outstanding Exposure - Puerto Rico Net Par Outstanding, Amortization Schedule of BIG Net Par Outstanding and BIG Net Par Outstanding and BIG Net Debt Service Outstanding of Puerto Rico (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | Dec. 31, 2013 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | Dec. 31, 2013 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Jul. 17, 2014 | Aug. 14, 2014 | Sep. 30, 2014 |
In Millions, unless otherwise specified | Below investment grade (BIG) | Below investment grade (BIG) | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Subject to the Terms of the Recovery Act | Subject to the Terms of the Recovery Act | Subject to the Terms of the Recovery Act | Subject to the Terms of the Recovery Act | Subject to the Terms of the Recovery Act | Subject to the Terms of the Recovery Act | Subject to the Terms of the Recovery Act | Subject to the Terms of the Recovery Act | Subject to the Terms of the Recovery Act | Subject to the Terms of the Recovery Act | Subject to the Terms of the Recovery Act | Subject to the Terms of the Recovery Act | Subject to the Terms of the Recovery Act | Subject to the Terms of the Recovery Act | Subject to the Terms of the Recovery Act | Not Subject to the Terms of the Recovery Act | Not Subject to the Terms of the Recovery Act | Not Subject to the Terms of the Recovery Act | Not Subject to the Terms of the Recovery Act | Not Subject to the Terms of the Recovery Act | Not Subject to the Terms of the Recovery Act | Not Subject to the Terms of the Recovery Act | Not Subject to the Terms of the Recovery Act | Not Subject to the Terms of the Recovery Act | Not Subject to the Terms of the Recovery Act | Not Subject to the Terms of the Recovery Act | Not Subject to the Terms of the Recovery Act | Not Subject to the Terms of the Recovery Act | Not Subject to the Terms of the Recovery Act | Not Subject to the Terms of the Recovery Act | Not Subject to the Terms of the Recovery Act | Not Subject to the Terms of the Recovery Act | Not Subject to the Terms of the Recovery Act | Puerto Rico | Puerto Rico | Sovereign debt | ||
BB- | BB | Below investment grade (BIG) | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | Puerto Rico | ||||||||
Puerto Rico Public Finance Corporation | BB- | BB- | BB- | BB- | BB- | BB- | BB- | B- | BB | BB | B | Below investment grade (BIG) | BB- | BB- | BB- | BB- | BB- | BB- | BB | BB | BB | BB | BB | BB | BB | BB | BBB | A- | Below investment grade (BIG) | |||||||||||||||
Puerto Rico Highways and Transportation Authority | Puerto Rico Highways and Transportation Authority | Puerto Rico Electric Power Authority (PREPA) | Puerto Rico Aqueduct and Sewer Authority | Puerto Rico Aqueduct and Sewer Authority | Puerto Rico Convention Center District Authority | Puerto Rico Convention Center District Authority | Puerto Rico Electric Power Authority (PREPA) | Puerto Rico Highways and Transportation Authority | Puerto Rico Highways and Transportation Authority | Puerto Rico Public Finance Corporation | Puerto Rico Municipal Finance Authority | Puerto Rico Municipal Finance Authority | Puerto Rico Infrastructure Financing Authority | Puerto Rico Infrastructure Financing Authority | University of Puerto Rico | University of Puerto Rico | Commonwealth of Puerto Rico - General Obligation Bonds | Commonwealth of Puerto Rico - General Obligation Bonds | Puerto Rico Public Buildings Authority | Puerto Rico Public Buildings Authority | GDB | GDB | Puerto Rico Sales Tax Financing Corporation | Puerto Rico Sales Tax Financing Corporation | ||||||||||||||||||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Puerto Rico Electric Power Authority, deposit in reserve account utilized to pay debt service due on bonds | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $42 | ' | ' |
Gross par outstanding | ' | ' | ' | ' | 6,035 | ' | ' | ' | 3,058 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 2,977 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Gross debt service outstanding | 672,048 | 737,380 | ' | ' | 10,077 | ' | ' | ' | 5,328 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 4,749 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Net par amount outstanding including loss mitigation bonds | 419,304 | 460,302 | ' | ' | ' | 4,940 | 5,441 | ' | 2,447 | 2,647 | 0 | 844 | 872 | 860 | 384 | 384 | 174 | 185 | 772 | 273 | 302 | 44 | ' | ' | 400 | 450 | 18 | 18 | 1 | 1 | 2,493 | 2,794 | 1,672 | 1,885 | 101 | 139 | 33 | 33 | 268 | 268 | ' | ' | ' | 4,900 |
Percentage of outstanding bonds of PREPA | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 60.00% | ' |
Estimated Net Par Amortization [Abstract] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
2014 (October 1-December 31) | ' | ' | ' | ' | ' | ' | ' | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | ' | ' |
2015 | ' | ' | ' | ' | ' | ' | ' | 331 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 126 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 205 | ' | ' | ' |
2016 | ' | ' | ' | ' | ' | ' | ' | 267 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 84 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 183 | ' | ' | ' |
2017 | ' | ' | ' | ' | ' | ' | ' | 207 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 41 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 166 | ' | ' | ' |
2018 | ' | ' | ' | ' | ' | ' | ' | 157 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 48 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 109 | ' | ' | ' |
2019 | ' | ' | ' | ' | ' | ' | ' | 187 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 61 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 126 | ' | ' | ' |
2020 | ' | ' | ' | ' | ' | ' | ' | 255 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 73 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 182 | ' | ' | ' |
2021 | ' | ' | ' | ' | ' | ' | ' | 109 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 51 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 58 | ' | ' | ' |
2022 | ' | ' | ' | ' | ' | ' | ' | 109 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 42 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 67 | ' | ' | ' |
2023 | ' | ' | ' | ' | ' | ' | ' | 142 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 102 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 40 | ' | ' | ' |
2024-2028 | ' | ' | ' | ' | ' | ' | ' | 932 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 581 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 351 | ' | ' | ' |
2029-2033 | ' | ' | ' | ' | ' | ' | ' | 695 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 375 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 320 | ' | ' | ' |
2034-2038 | ' | ' | ' | ' | ' | ' | ' | 865 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 460 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 405 | ' | ' | ' |
2039-2043 | ' | ' | ' | ' | ' | ' | ' | 170 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 157 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 13 | ' | ' | ' |
2044-2047 | ' | ' | ' | ' | ' | ' | ' | 246 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 246 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | ' | ' |
Total | 418,015 | 459,107 | 19,646 | 22,538 | 4,900 | ' | ' | 4,672 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 2,447 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 2,225 | ' | ' | ' |
Insured Financial Obligations, Maturities of Outstanding Contractual Payments [Abstract] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
2014 (October 1- December 31) | ' | ' | ' | ' | ' | ' | ' | 3 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 2 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1 | ' | ' | ' |
2015 | ' | ' | ' | ' | ' | ' | ' | 567 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 249 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 318 | ' | ' | ' |
2016 | ' | ' | ' | ' | ' | ' | ' | 486 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 199 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 287 | ' | ' | ' |
2017 | ' | ' | ' | ' | ' | ' | ' | 415 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 153 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 262 | ' | ' | ' |
2018 | ' | ' | ' | ' | ' | ' | ' | 353 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 158 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 195 | ' | ' | ' |
2019 | ' | ' | ' | ' | ' | ' | ' | 375 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 168 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 207 | ' | ' | ' |
2020 | ' | ' | ' | ' | ' | ' | ' | 434 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 176 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 258 | ' | ' | ' |
2021 | ' | ' | ' | ' | ' | ' | ' | 275 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 151 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 124 | ' | ' | ' |
2022 | ' | ' | ' | ' | ' | ' | ' | 269 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 140 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 129 | ' | ' | ' |
2023 | ' | ' | ' | ' | ' | ' | ' | 297 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 198 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 99 | ' | ' | ' |
2024-2028 | ' | ' | ' | ' | ' | ' | ' | 1,580 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 983 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 597 | ' | ' | ' |
2029-2033 | ' | ' | ' | ' | ' | ' | ' | 1,140 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 650 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 490 | ' | ' | ' |
2034-2038 | ' | ' | ' | ' | ' | ' | ' | 1,072 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 613 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 459 | ' | ' | ' |
2039-2043 | ' | ' | ' | ' | ' | ' | ' | 249 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 234 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 15 | ' | ' | ' |
2044-2047 | ' | ' | ' | ' | ' | ' | ' | 284 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 284 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | ' | ' |
Total | $631,453 | $690,535 | ' | ' | ' | ' | ' | $7,799 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $4,358 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $3,441 | ' | ' | ' |
Financial_Guaranty_Insurance_P2
Financial Guaranty Insurance Premiums - Net Earned Premiums (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||||||
In Millions, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | ||||
Financial Guaranty Insurance Premiums [Line Items] | ' | ' | ' | ' | ||||
Accretion of discount on net premiums receivable | ' | ' | ($17) | ($15) | ||||
Net earned premiums | 144 | [1] | 159 | [1] | 412 | [1] | 570 | [1] |
Net earned premiums, consolidated FG VIEs | 5 | 14 | 27 | 47 | ||||
Financial guaranty insurance | ' | ' | ' | ' | ||||
Financial Guaranty Insurance Premiums [Line Items] | ' | ' | ' | ' | ||||
Scheduled net earned premiums | 105 | 117 | 318 | 358 | ||||
Acceleration of net earned premiums | 36 | 40 | 79 | 199 | ||||
Accretion of discount on net premiums receivable | 3 | 2 | 14 | 12 | ||||
Financial guaranty insurance net earned premiums | 144 | 159 | 411 | 569 | ||||
Other | ' | ' | ' | ' | ||||
Financial Guaranty Insurance Premiums [Line Items] | ' | ' | ' | ' | ||||
Net earned premiums | $0 | $0 | $1 | $1 | ||||
[1] | Excludes $5 million and $14 million for Third Quarter 2014 and 2013, respectively, and $27 million and $47 million for Nine Months 2014 and 2013, respectively, related to consolidated FG VIEs. |
Financial_Guaranty_Insurance_P3
Financial Guaranty Insurance Premiums - Components of Unearned Premium Reserve (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Millions, unless otherwise specified | ||||
Financial Guaranty Insurance Premiums [Line Items] | ' | ' | ||
Deferred premium revenue, gross | $4,326 | $4,652 | ||
Deferred premium revenue, ceded | 433 | 470 | ||
Deferred premium revenue, net | 3,893 | [1] | 4,182 | [1] |
Unearned premium reserve, gross | 4,263 | 4,595 | ||
Unearned premium reserve, ceded | 420 | 452 | ||
Unearned premium reserve, net | 3,843 | [1] | 4,143 | [1] |
Total net unearned premium reserve related to FG VIE | 128 | 187 | ||
Contra-paid related to FG and VIEs | 49 | 55 | ||
Financial guaranty insurance | ' | ' | ||
Financial Guaranty Insurance Premiums [Line Items] | ' | ' | ||
Deferred premium revenue, gross | 4,322 | 4,647 | ||
Deferred premium revenue, ceded | 433 | 470 | ||
Deferred premium revenue, net | 3,889 | [1] | 4,177 | [1] |
Contra-paid, gross | -63 | [2] | -57 | [2] |
Contra-paid, ceded | -13 | [2] | -18 | [2] |
Contra-paid, net | -50 | [1],[2] | -39 | [1],[2] |
Other | ' | ' | ||
Financial Guaranty Insurance Premiums [Line Items] | ' | ' | ||
Deferred premium revenue, gross | 4 | 5 | ||
Deferred premium revenue, ceded | 0 | 0 | ||
Deferred premium revenue, net | $4 | [1] | $5 | [1] |
[1] | Excludes $128 million and $187 million of deferred premium revenue, and $49 million and $55 million of contra-paid related to FG VIEs as of September 30, 2014 and December 31, 2013, respectively. | |||
[2] | See Note 6, "Financial Guaranty Insurance Losses– Insurance Contracts' Loss Information" for an explanation of "contra-paid". |
Financial_Guaranty_Insurance_P4
Financial Guaranty Insurance Premiums - Gross Premium Receivable, Net of Commissions on Assumed Business Roll Forward (Details) (USD $) | 9 Months Ended | ||||
In Millions, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Dec. 31, 2013 | ||
Gross Premium Receivable Net of Ceding Commissions [Roll Forward] | ' | ' | ' | ||
Beginning of period, December 31 | $876 | $1,005 | ' | ||
Gross premium written, net of commissions on assumed business | 116 | 72 | ' | ||
Gross premiums received, net of commissions on assumed business | -172 | -167 | ' | ||
Changes in the expected term | -21 | -14 | ' | ||
Accretion of discount, net of commissions on assumed business | 17 | 15 | ' | ||
Foreign exchange translation | -16 | -7 | ' | ||
Other adjustments | 1 | 2 | ' | ||
Balance end of period | 801 | [1] | 906 | [1] | ' |
Gross premium receivable, net of ceding commissions of consolidated FG VIEs | $18 | $19 | ' | ||
Percentage of installment premiums denominated in foreign currencies | 49.00% | ' | 48.00% | ||
[1] | Excludes $18 million and $19 million as of September 30, 2014 and September 30, 2013, 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 $) | Sep. 30, 2014 | |
In Millions, unless otherwise specified | ||
Financial Guaranty Insurance Premiums [Line Items] | ' | |
Cash collections on FG VIEs | $23 | |
Financial guaranty insurance | ' | |
Financial Guaranty Insurance Premiums [Line Items] | ' | |
2014 (October 1 - December 31) | 37 | |
2015 | 99 | |
2016 | 84 | |
2017 | 77 | |
2018 | 69 | |
2019-2023 | 275 | |
2024-2028 | 169 | |
2029-2033 | 117 | |
After 2033 | 125 | |
Total | $1,052 | [1] |
[1] | Excludes expected cash collections on FG VIEs of $23 million. |
Financial_Guaranty_Insurance_P6
Financial Guaranty Insurance Premiums - Scheduled Net Earned Premiums Financial Guaranty Insurance Contracts (Details) (USD $) | Sep. 30, 2014 | |
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 | $128 | |
Financial guaranty insurance | ' | |
Financial Guaranty Insurance Premiums [Line Items] | ' | |
2014 (October 1 - December 31) | 99 | |
2015 | 360 | |
2016 | 334 | |
2017 | 297 | |
2018 | 271 | |
2019-2023 | 1,056 | |
2024-2028 | 678 | |
2029-2033 | 414 | |
After 2033 | 380 | |
Total present value basis | 3,889 | [1] |
Discount | 218 | |
Total future value | $4,107 | |
[1] | Excludes scheduled net earned premiums on consolidated FG VIEs of $128 million |
Financial_Guaranty_Insurance_P7
Financial Guaranty Insurance Premiums - Selected Information for Policies Paid in Installments (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2014 | Dec. 31, 2013 | ||
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 | $801 | [1] | $876 | $906 | [1] | $1,005 | $801 | $876 |
Gross deferred premium revenue | $4,326 | $4,652 | ' | ' | $1,442 | $1,576 | ||
Weighted-average risk-free rate used to discount premiums (as a percent) | ' | ' | ' | ' | 3.40% | 3.40% | ||
Weighted-average period of premiums receivable (in years) | ' | ' | ' | ' | '9 years 3 months 24 days | '9 years 4 months 24 days | ||
[1] | Excludes $18 million and $19 million as of September 30, 2014 and September 30, 2013, respectively, related to consolidated FG VIEs. |
Expected_Losses_to_be_Paid_Net
Expected Losses to be Paid - Net Expected Loss to be Paid Before Recoveries for Breaches of R&W Roll Forward by Sector (Details) (USD $) | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
In Millions, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Spanish and Hungarian debt | Prime first lien | Prime first lien | Prime first lien | Prime 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 | First mortgage, subprime | First mortgage, subprime | First mortgage, subprime | First mortgage, subprime | Total first lien | Total first lien | Total first lien | Total first lien | Close ended second lien | Close ended second lien | Close ended second lien | Close ended second lien | HELOCs | HELOCs | HELOCs | HELOCs | Second lien | Second lien | Second lien | Second lien | U.S. RMBS | U.S. RMBS | U.S. RMBS | U.S. RMBS | TruPS | TruPS | TruPS | TruPS | Structured finance | Structured finance | Structured finance | Structured finance | Public Finance U.S. | Public Finance U.S. | Public Finance U.S. | Public Finance U.S. | Public Finance Non-U.S. | Public Finance Non-U.S. | Public Finance Non-U.S. | Public Finance Non-U.S. | Other insurance | Other insurance | Other insurance | Other insurance | Minimum | Minimum | Maximum | Maximum | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Discount factor (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0.00% | 0.00% | 3.68% | 4.44% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | $1,035 | $774 | $982 | [1] | $677 | ' | $50 | $11 | $18 | $21 | [1] | $6 | $301 | $288 | $304 | [1] | $315 | ($51) | ($20) | ($9) | [1] | ($131) | $341 | $274 | $304 | [1] | $242 | $602 | $560 | $620 | [1] | $432 | ($9) | ($14) | ($11) | [1] | ($39) | ($117) | ($97) | ($116) | [1] | ($111) | ($126) | ($111) | ($127) | [1] | ($150) | $476 | $449 | $493 | [1] | $282 | $32 | $33 | $51 | [1] | $27 | $140 | $158 | $120 | [1] | $312 | $339 | $71 | $264 | [1] | $7 | $52 | $66 | $57 | [1] | $52 | ($4) | ($3) | ($3) | [1] | ($3) | ' | ' | ' | ' | ||||||||||||||||||||||||||||||||||||||||||||||
Net expected loss development after recoveries for R&W | -63 | -22 | -28 | -33 | ' | ' | -1 | 3 | -11 | 16 | -18 | -85 | -6 | -83 | 0 | 25 | -39 | -92 | -11 | 38 | -12 | 86 | -30 | -19 | -68 | -73 | 2 | 0 | 2 | 7 | -34 | -42 | -65 | -76 | -32 | -42 | -63 | -69 | -62 | -61 | -131 | -142 | -5 | 9 | -24 | 7 | 3 | -13 | 27 | -39 | 2 | 44 | 107 | 138 | -1 | -1 | -6 | 13 | 0 | 0 | -1 | -10 | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Paid) recovered losses | -39 | [2] | 54 | [2] | -21 | [2] | 162 | [2] | ' | ' | 0 | [2] | 0 | [2] | 0 | [2] | -1 | [2] | -35 | [2] | 3 | [2] | -50 | [2] | -26 | [2] | 20 | [2] | 2 | [2] | 17 | [2] | 230 | [2] | -23 | [2] | -9 | [2] | 15 | [2] | -25 | [2] | -38 | [2] | -4 | [2] | -18 | [2] | 178 | [2] | 2 | [2] | 1 | [2] | 4 | [2] | 19 | [2] | 3 | [2] | 10 | [2] | 33 | [2] | 58 | [2] | 5 | [2] | 11 | [2] | 37 | [2] | 77 | [2] | -33 | [2] | 7 | [2] | 19 | [2] | 255 | [2] | -1 | [2] | 8 | [2] | -1 | [2] | 16 | [2] | 3 | [2] | -17 | [2] | -1 | [2] | -145 | [2] | -8 | [2] | 68 | [2] | -38 | [2] | 38 | [2] | 0 | [2] | -12 | [2] | 0 | [2] | -12 | [2] | 0 | [2] | 0 | [2] | 0 | [2] | 10 | [2] | ' | ' | ' | ' | |
End of period, net expected loss to be paid after recoveries for R&W | 933 | [1] | 806 | 933 | [1] | 806 | ' | 50 | 10 | [1] | 21 | 10 | [1] | 21 | 248 | [1] | 206 | 248 | [1] | 206 | -31 | [1] | 7 | -31 | [1] | 7 | 307 | [1] | 303 | 307 | [1] | 303 | 534 | [1] | 537 | 534 | [1] | 537 | -5 | [1] | -13 | -5 | [1] | -13 | -148 | [1] | -129 | -148 | [1] | -129 | -153 | [1] | -142 | -153 | [1] | -142 | 381 | [1] | 395 | 381 | [1] | 395 | 26 | [1] | 50 | 26 | [1] | 50 | 146 | [1] | 128 | 146 | [1] | 128 | 333 | [1] | 183 | 333 | [1] | 183 | 51 | [1] | 53 | 51 | [1] | 53 | -4 | [1] | -3 | -4 | [1] | -3 | ' | ' | ' | ' | |||||||||||||||||||||||||||||||
Period after the end of the reporting period within which the ceded paid losses are typically settled (in days) | ' | ' | '45 days | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expected loss adjustment expenses to be paid | 28 | ' | 28 | ' | 34 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loss and loss adjustment expense reserve | 760 | ' | 760 | ' | 592 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expected LAE for mitigating claim liabilities | 24 | ' | 24 | ' | 27 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LAE paid | $6 | $12 | $20 | $41 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
[1] | Includes expected loss adjustment expenses ("LAE") to be paid of $28 million as of September 30, 2014 and $34 million as of December 31, 2013. The Company paid $6 million and $12 million in LAE for Third Quarter 2014 and 2013, respectively, and $20 million and $41 million in LAE for Nine Months 2014 and 2013, 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_Losses_to_be_Paid_Net1
Expected Losses to be Paid - Net Expected Recoveries from Breaches of R&W Rollforward (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||||
In Millions, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | ||
Estimated Benefit From Recoveries From Breaches of R and W Net of Reinsurance [Roll Forward] | ' | ' | ' | ' | ||
R&W development and accretion of discount during period | $93 | $86 | $160 | $294 | ||
R&W recovered during period | ' | ' | -284 | ' | ||
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 | 651 | 964 | 712 | 1,370 | ||
R&W development and accretion of discount during period | 93 | 86 | 160 | 294 | ||
R&W recovered during period | -166 | -155 | -294 | -769 | ||
Future net R&W benefit at the end of the period | 578 | [1] | 895 | 578 | [1] | 895 |
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 | 509 | 753 | 569 | 1,082 | ||
R&W development and accretion of discount during period | 35 | 83 | 84 | 235 | ||
R&W recovered during period | -163 | -96 | -272 | -577 | ||
Future net R&W benefit at the end of the period | 381 | [1] | 740 | 381 | [1] | 740 |
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 | 3 | 4 | 4 | 4 | ||
R&W development and accretion of discount during period | 1 | -1 | 0 | -1 | ||
R&W recovered during period | -1 | 0 | -1 | 0 | ||
Future net R&W benefit at the end of the period | 3 | [1] | 3 | 3 | [1] | 3 |
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 | 263 | 348 | 274 | 378 | ||
R&W development and accretion of discount during period | 19 | 37 | 20 | 24 | ||
R&W recovered during period | -79 | -16 | -91 | -33 | ||
Future net R&W benefit at the end of the period | 203 | [1] | 369 | 203 | [1] | 369 |
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 | 144 | 293 | 173 | 591 | ||
R&W development and accretion of discount during period | 10 | 40 | 30 | 206 | ||
R&W recovered during period | -76 | -80 | -125 | -544 | ||
Future net R&W benefit at the end of the period | 78 | [1] | 253 | 78 | [1] | 253 |
First mortgage, 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 | 99 | 108 | 118 | 109 | ||
R&W development and accretion of discount during period | 5 | 7 | 34 | 6 | ||
R&W recovered during period | -7 | 0 | -55 | 0 | ||
Future net R&W benefit at the end of the period | 97 | [1] | 115 | 97 | [1] | 115 |
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 | 142 | 211 | 143 | 288 | ||
R&W development and accretion of discount during period | 58 | 3 | 76 | 59 | ||
R&W recovered during period | -3 | -59 | -22 | -192 | ||
Future net R&W benefit at the end of the period | 197 | [1] | 155 | 197 | [1] | 155 |
Closed end second lien and 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 | 93 | 102 | 98 | 138 | ||
R&W development and accretion of discount during period | -1 | 1 | -4 | -11 | ||
R&W recovered during period | -3 | -3 | -5 | -27 | ||
Future net R&W benefit at the end of the period | 89 | [1] | 100 | 89 | [1] | 100 |
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 | 49 | 109 | 45 | 150 | ||
R&W development and accretion of discount during period | 59 | 2 | 80 | 70 | ||
R&W recovered during period | 0 | -56 | -17 | -165 | ||
Future net R&W benefit at the end of the period | $108 | [1] | $55 | $108 | [1] | $55 |
[1] | (1) See the section "Breaches of Representations and Warranties" below for eligible assets held in trust. |
Expected_Losses_to_be_Paid_Net2
Expected Losses to be Paid - Net Expected Loss to be Paid by Accounting Model (Details) (USD $) | 3 Months Ended | 9 Months Ended | |||||||||||
In Millions, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2013 | Dec. 31, 2012 | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W excluding other lines of business | $937 | ' | $937 | ' | ' | $985 | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 933 | [1] | 806 | 933 | [1] | 806 | 1,035 | 982 | [1] | 774 | 677 | ||
Net economic loss development (benefit) | -63 | -22 | -27 | -23 | ' | ' | ' | ' | |||||
Net expected loss development after recoveries for R&W | -63 | -22 | -28 | -33 | ' | ' | ' | ' | |||||
Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 732 | ' | 732 | ' | ' | 741 | ' | ' | |||||
Net economic loss development (benefit) | -50 | -25 | -37 | -27 | ' | ' | ' | ' | |||||
Financial guaranty, variable interest entities | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 122 | [2] | ' | 122 | [2] | ' | ' | 60 | [2] | ' | ' | ||
Net economic loss development (benefit) | 21 | [2] | 14 | [2] | 75 | [2] | -18 | [2] | ' | ' | ' | ' | |
Credit derivatives | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W excluding other lines of business | 83 | [3] | ' | 83 | [3] | ' | ' | 184 | [3] | ' | ' | ||
Net economic loss development (benefit) | -34 | [4] | -11 | [4] | -65 | [4] | 22 | [4] | ' | ' | ' | ' | |
Prime first lien | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W excluding other lines of business | 10 | ' | 10 | ' | ' | 21 | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 10 | [1] | 21 | 10 | [1] | 21 | 11 | 21 | [1] | 18 | 6 | ||
Net economic loss development (benefit) | -1 | 3 | -11 | 16 | ' | ' | ' | ' | |||||
Net expected loss development after recoveries for R&W | -1 | 3 | -11 | 16 | ' | ' | ' | ' | |||||
Prime first lien | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 3 | ' | 3 | ' | ' | 3 | ' | ' | |||||
Net economic loss development (benefit) | -1 | 0 | 0 | -1 | ' | ' | ' | ' | |||||
Prime first lien | Financial guaranty, variable interest entities | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 0 | [2] | ' | 0 | [2] | ' | ' | 0 | [2] | ' | ' | ||
Net economic loss development (benefit) | 0 | [2] | 0 | [2] | 0 | [2] | 0 | [2] | ' | ' | ' | ' | |
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 | 7 | ' | 7 | ' | ' | 18 | ' | ' | |||||
Net economic loss development (benefit) | 0 | [4] | 3 | [4] | -11 | [4] | 17 | [4] | ' | ' | ' | ' | |
Alt-A first lien | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W excluding other lines of business | 248 | ' | 248 | ' | ' | 304 | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 248 | [1] | 206 | 248 | [1] | 206 | 301 | 304 | [1] | 288 | 315 | ||
Net economic loss development (benefit) | -18 | -85 | -6 | -83 | ' | ' | ' | ' | |||||
Net expected loss development after recoveries for R&W | -18 | -85 | -6 | -83 | ' | ' | ' | ' | |||||
Alt-A first lien | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 211 | ' | 211 | ' | ' | 199 | ' | ' | |||||
Net economic loss development (benefit) | 6 | -53 | 32 | -60 | ' | ' | ' | ' | |||||
Alt-A first lien | Financial guaranty, variable interest entities | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 19 | [2] | ' | 19 | [2] | ' | ' | 31 | [2] | ' | ' | ||
Net economic loss development (benefit) | -2 | [2] | 3 | [2] | -12 | [2] | 3 | [2] | ' | ' | ' | ' | |
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 | 18 | ' | 18 | ' | ' | 74 | ' | ' | |||||
Net economic loss development (benefit) | -22 | [4] | -35 | [4] | -26 | [4] | -26 | [4] | ' | ' | ' | ' | |
Option ARM | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W excluding other lines of business | -31 | ' | -31 | ' | ' | -9 | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | -31 | [1] | 7 | -31 | [1] | 7 | -51 | -9 | [1] | -20 | -131 | ||
Net economic loss development (benefit) | 0 | 25 | -39 | -92 | ' | ' | ' | ' | |||||
Net expected loss development after recoveries for R&W | 0 | 25 | -39 | -92 | ' | ' | ' | ' | |||||
Option ARM | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | -34 | ' | -34 | ' | ' | -18 | ' | ' | |||||
Net economic loss development (benefit) | 7 | 20 | -32 | -58 | ' | ' | ' | ' | |||||
Option ARM | Financial guaranty, variable interest entities | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 0 | [2] | ' | 0 | [2] | ' | ' | -2 | [2] | ' | ' | ||
Net economic loss development (benefit) | 0 | [2] | 1 | [2] | 1 | [2] | -32 | [2] | ' | ' | ' | ' | |
Option ARM | Credit derivatives | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W excluding other lines of business | 3 | ' | 3 | ' | ' | 11 | ' | ' | |||||
Net economic loss development (benefit) | -7 | [4] | 4 | [4] | -8 | [4] | -2 | [4] | ' | ' | ' | ' | |
First mortgage, subprime | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W excluding other lines of business | 307 | ' | 307 | ' | ' | 304 | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 307 | [1] | 303 | 307 | [1] | 303 | 341 | 304 | [1] | 274 | 242 | ||
Net economic loss development (benefit) | -11 | 38 | -12 | 86 | ' | ' | ' | ' | |||||
Net expected loss development after recoveries for R&W | -11 | 38 | -12 | 86 | ' | ' | ' | ' | |||||
First mortgage, subprime | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 155 | ' | 155 | ' | ' | 149 | ' | ' | |||||
Net economic loss development (benefit) | -21 | 25 | -25 | 40 | ' | ' | ' | ' | |||||
First mortgage, subprime | Financial guaranty, variable interest entities | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 78 | [2] | ' | 78 | [2] | ' | ' | 81 | [2] | ' | ' | ||
Net economic loss development (benefit) | 8 | [2] | 5 | [2] | 9 | [2] | 25 | [2] | ' | ' | ' | ' | |
First mortgage, 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 | ' | ' | 74 | ' | ' | |||||
Net economic loss development (benefit) | 2 | [4] | 8 | [4] | 4 | [4] | 21 | [4] | ' | ' | ' | ' | |
Total first lien | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W excluding other lines of business | 534 | ' | 534 | ' | ' | 620 | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 534 | [1] | 537 | 534 | [1] | 537 | 602 | 620 | [1] | 560 | 432 | ||
Net economic loss development (benefit) | -30 | -19 | -68 | -73 | ' | ' | ' | ' | |||||
Net expected loss development after recoveries for R&W | -30 | -19 | -68 | -73 | ' | ' | ' | ' | |||||
Total first lien | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 335 | ' | 335 | ' | ' | 333 | ' | ' | |||||
Net economic loss development (benefit) | -9 | -8 | -25 | -79 | ' | ' | ' | ' | |||||
Total first lien | Financial guaranty, variable interest entities | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 97 | [2] | ' | 97 | [2] | ' | ' | 110 | [2] | ' | ' | ||
Net economic loss development (benefit) | 6 | [2] | 9 | [2] | -2 | [2] | -4 | [2] | ' | ' | ' | ' | |
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 | 102 | ' | 102 | ' | ' | 177 | ' | ' | |||||
Net economic loss development (benefit) | -27 | [4] | -20 | [4] | -41 | [4] | 10 | [4] | ' | ' | ' | ' | |
Close ended second lien | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W excluding other lines of business | -5 | ' | -5 | ' | ' | -11 | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | -5 | [1] | -13 | -5 | [1] | -13 | -9 | -11 | [1] | -14 | -39 | ||
Net economic loss development (benefit) | 2 | 0 | 2 | 7 | ' | ' | ' | ' | |||||
Net expected loss development after recoveries for R&W | 2 | 0 | 2 | 7 | ' | ' | ' | ' | |||||
Close ended second lien | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | -28 | ' | -28 | ' | ' | -34 | ' | ' | |||||
Net economic loss development (benefit) | 2 | 2 | 0 | 0 | ' | ' | ' | ' | |||||
Close ended second lien | Financial guaranty, variable interest entities | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 28 | [2] | ' | 28 | [2] | ' | ' | 25 | [2] | ' | ' | ||
Net economic loss development (benefit) | 1 | [2] | -3 | [2] | 4 | [2] | -4 | [2] | ' | ' | ' | ' | |
Close ended second lien | Credit derivatives | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W excluding other lines of business | -5 | ' | -5 | ' | ' | -2 | ' | ' | |||||
Net economic loss development (benefit) | -1 | [4] | 1 | [4] | -2 | [4] | 11 | [4] | ' | ' | ' | ' | |
HELOCs | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W excluding other lines of business | -148 | ' | -148 | ' | ' | -116 | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | -148 | [1] | -129 | -148 | [1] | -129 | -117 | -116 | [1] | -97 | -111 | ||
Net economic loss development (benefit) | -34 | -42 | -65 | -76 | ' | ' | ' | ' | |||||
Net expected loss development after recoveries for R&W | -34 | -42 | -65 | -76 | ' | ' | ' | ' | |||||
HELOCs | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | -145 | ' | -145 | ' | ' | -41 | ' | ' | |||||
Net economic loss development (benefit) | -48 | -49 | -138 | -66 | ' | ' | ' | ' | |||||
HELOCs | Financial guaranty, variable interest entities | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | -3 | [2] | ' | -3 | [2] | ' | ' | -75 | [2] | ' | ' | ||
Net economic loss development (benefit) | 14 | [2] | 8 | [2] | 73 | [2] | -10 | [2] | ' | ' | ' | ' | |
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 | ' | ' | 0 | ' | ' | |||||
Net economic loss development (benefit) | 0 | [4] | -1 | [4] | 0 | [4] | 0 | [4] | ' | ' | ' | ' | |
Second lien | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W excluding other lines of business | -153 | ' | -153 | ' | ' | -127 | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | -153 | [1] | -142 | -153 | [1] | -142 | -126 | -127 | [1] | -111 | -150 | ||
Net economic loss development (benefit) | -32 | -42 | -63 | -69 | ' | ' | ' | ' | |||||
Net expected loss development after recoveries for R&W | -32 | -42 | -63 | -69 | ' | ' | ' | ' | |||||
Second lien | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | -173 | ' | -173 | ' | ' | -75 | ' | ' | |||||
Net economic loss development (benefit) | -46 | -47 | -138 | -66 | ' | ' | ' | ' | |||||
Second lien | Financial guaranty, variable interest entities | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 25 | [2] | ' | 25 | [2] | ' | ' | -50 | [2] | ' | ' | ||
Net economic loss development (benefit) | 15 | [2] | 5 | [2] | 77 | [2] | -14 | [2] | ' | ' | ' | ' | |
Second lien | Credit derivatives | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W excluding other lines of business | -5 | ' | -5 | ' | ' | -2 | ' | ' | |||||
Net economic loss development (benefit) | -1 | [4] | 0 | [4] | -2 | [4] | 11 | [4] | ' | ' | ' | ' | |
U.S. RMBS | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W excluding other lines of business | 381 | ' | 381 | ' | ' | 493 | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 381 | [1] | 395 | 381 | [1] | 395 | 476 | 493 | [1] | 449 | 282 | ||
Net economic loss development (benefit) | -62 | -61 | -131 | -142 | ' | ' | ' | ' | |||||
Net expected loss development after recoveries for R&W | -62 | -61 | -131 | -142 | ' | ' | ' | ' | |||||
U.S. RMBS | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 162 | ' | 162 | ' | ' | 258 | ' | ' | |||||
Net economic loss development (benefit) | -55 | -55 | -163 | -145 | ' | ' | ' | ' | |||||
U.S. RMBS | Financial guaranty, variable interest entities | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 122 | [2] | ' | 122 | [2] | ' | ' | 60 | [2] | ' | ' | ||
Net economic loss development (benefit) | 21 | [2] | 14 | [2] | 75 | [2] | -18 | [2] | ' | ' | ' | ' | |
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 | 97 | [3] | ' | 97 | [3] | ' | ' | 175 | [3] | ' | ' | ||
Net economic loss development (benefit) | -28 | [4] | -20 | [4] | -43 | [4] | 21 | [4] | ' | ' | ' | ' | |
TruPS | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W excluding other lines of business | 26 | ' | 26 | ' | ' | 51 | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 26 | [1] | 50 | 26 | [1] | 50 | 32 | 51 | [1] | 33 | 27 | ||
Net economic loss development (benefit) | -5 | 9 | -24 | 7 | ' | ' | ' | ' | |||||
Net expected loss development after recoveries for R&W | -5 | 9 | -24 | 7 | ' | ' | ' | ' | |||||
TruPS | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 1 | ' | 1 | ' | ' | 3 | ' | ' | |||||
Net economic loss development (benefit) | -1 | 1 | -2 | 1 | ' | ' | ' | ' | |||||
TruPS | Financial guaranty, variable interest entities | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 0 | [2] | ' | 0 | [2] | ' | ' | 0 | [2] | ' | ' | ||
Net economic loss development (benefit) | 0 | [2] | 0 | [2] | 0 | [2] | 0 | [2] | ' | ' | ' | ' | |
TruPS | Credit derivatives | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W excluding other lines of business | 25 | ' | 25 | ' | ' | 48 | ' | ' | |||||
Net economic loss development (benefit) | -4 | [4] | 8 | [4] | -22 | [4] | 6 | [4] | ' | ' | ' | ' | |
Structured finance | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W excluding other lines of business | 146 | ' | 146 | ' | ' | 120 | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 146 | [1] | 128 | 146 | [1] | 128 | 140 | 120 | [1] | 158 | 312 | ||
Net economic loss development (benefit) | 3 | -13 | 27 | -39 | ' | ' | ' | ' | |||||
Net expected loss development after recoveries for R&W | 3 | -13 | 27 | -39 | ' | ' | ' | ' | |||||
Structured finance | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 186 | ' | 186 | ' | ' | 161 | ' | ' | |||||
Net economic loss development (benefit) | 5 | -13 | 26 | -32 | ' | ' | ' | ' | |||||
Structured finance | Financial guaranty, variable interest entities | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 0 | [2] | ' | 0 | [2] | ' | ' | 0 | [2] | ' | ' | ||
Net economic loss development (benefit) | 0 | [2] | 0 | [2] | 0 | [2] | 0 | [2] | ' | ' | ' | ' | |
Structured finance | Credit derivatives | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W excluding other lines of business | -40 | ' | -40 | ' | ' | -41 | ' | ' | |||||
Net economic loss development (benefit) | -2 | [4] | 0 | [4] | 1 | [4] | -7 | [4] | ' | ' | ' | ' | |
Public Finance U.S. | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W excluding other lines of business | 333 | ' | 333 | ' | ' | 264 | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 333 | [1] | 183 | 333 | [1] | 183 | 339 | 264 | [1] | 71 | 7 | ||
Net economic loss development (benefit) | 2 | 44 | 107 | 138 | ' | ' | ' | ' | |||||
Net expected loss development after recoveries for R&W | 2 | 44 | 107 | 138 | ' | ' | ' | ' | |||||
Public Finance U.S. | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 333 | ' | 333 | ' | ' | 264 | ' | ' | |||||
Net economic loss development (benefit) | 2 | 43 | 107 | 137 | ' | ' | ' | ' | |||||
Public Finance U.S. | Financial guaranty, variable interest entities | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 0 | [2] | ' | 0 | [2] | ' | ' | 0 | [2] | ' | ' | ||
Net economic loss development (benefit) | 0 | [2] | 0 | [2] | 0 | [2] | 0 | [2] | ' | ' | ' | ' | |
Public Finance U.S. | Credit derivatives | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W excluding other lines of business | 0 | ' | 0 | ' | ' | 0 | ' | ' | |||||
Net economic loss development (benefit) | 0 | [4] | 1 | [4] | 0 | [4] | 1 | [4] | ' | ' | ' | ' | |
Public Finance Non-U.S. | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W excluding other lines of business | 51 | ' | 51 | ' | ' | 57 | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 51 | [1] | 53 | 51 | [1] | 53 | 52 | 57 | [1] | 66 | 52 | ||
Net economic loss development (benefit) | -1 | -1 | -6 | 13 | ' | ' | ' | ' | |||||
Net expected loss development after recoveries for R&W | -1 | -1 | -6 | 13 | ' | ' | ' | ' | |||||
Public Finance Non-U.S. | Financial guaranty insurance | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 50 | ' | 50 | ' | ' | 55 | ' | ' | |||||
Net economic loss development (benefit) | -1 | -1 | -5 | 12 | ' | ' | ' | ' | |||||
Public Finance Non-U.S. | Financial guaranty, variable interest entities | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | 0 | [2] | ' | 0 | [2] | ' | ' | 0 | [2] | ' | ' | ||
Net economic loss development (benefit) | 0 | [2] | 0 | [2] | 0 | [2] | 0 | [2] | ' | ' | ' | ' | |
Public Finance Non-U.S. | Credit derivatives | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W excluding other lines of business | 1 | ' | 1 | ' | ' | 2 | ' | ' | |||||
Net economic loss development (benefit) | 0 | [4] | 0 | [4] | -1 | [4] | 1 | [4] | ' | ' | ' | ' | |
Other | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net expected loss to be paid after recoveries for R&W | -4 | ' | -4 | ' | ' | -3 | ' | ' | |||||
Net expected loss development after recoveries for R&W | $0 | $0 | ($1) | ($10) | ' | ' | ' | ' | |||||
[1] | Includes expected loss adjustment expenses ("LAE") to be paid of $28 million as of September 30, 2014 and $34 million as of December 31, 2013. The Company paid $6 million and $12 million in LAE for Third Quarter 2014 and 2013, respectively, and $20 million and $41 million in LAE for Nine Months 2014 and 2013, respectively. | ||||||||||||
[2] | Refer to Note 9, Consolidated Variable Interest Entities. | ||||||||||||
[3] | Includes R&W benefit of $99 million as of September 30, 2014 and $180 million as of December 31, 2013. | ||||||||||||
[4] | Refer to Note 8, Financial Guaranty Contracts Accounted for as Credit Derivatives. |
Expected_Losses_to_be_Paid_Fir
Expected Losses to be Paid - First Lien Liquidation Rates (Details) (USD $) | 6 Months Ended | 9 Months Ended | 12 Months Ended | |||
In Millions, unless otherwise specified | Jun. 30, 2014 | Sep. 30, 2014 | Dec. 31, 2013 | |||
Projected Loss Assumptions, First Lien Liquidation Rates [Abstract] | ' | ' | ' | |||
All | 100.00% | 100.00% | 100.00% | |||
Projected Loss Assumptions Text One [Abstract] | ' | ' | ' | |||
Expected loan losses, number of payments behind or in foreclosure | ' | 2 | ' | |||
Period until which loss severity rate would continue (in months) | ' | '18 months | ' | |||
Period from initial to final conditional prepayment rate (in months) | ' | '2 years 6 months | ' | |||
Alt-A first lien | ' | ' | ' | |||
Projected Loss Assumptions, Base Case Expected Loss Estimates, First Lien RMBS [Abstract] | ' | ' | ' | |||
Period until intermediate CDR | '48 months | '48 months | '48 months | |||
Initial loss severity | 65.00% | [1] | 65.00% | [1] | 65.00% | [1] |
Final CPR(2) | 15.00% | [1],[2] | 15.00% | [1],[2] | 15.00% | [1],[2] |
Total first lien | ' | ' | ' | |||
Projected Loss Assumptions Text One [Abstract] | ' | ' | ' | |||
Period for constant conditional default rate (in months) | ' | '36 months | ' | |||
Period for which estimated defaults are attributed to loans currently delinquent or in foreclosure | ' | '36 months | ' | |||
Estimated loss severity rate, one through six months after period end | ' | 90.00% | ' | |||
Estimated loss severity rate, six through twelve months after period end | ' | 80.00% | ' | |||
Period from initial to final conditional prepayment rate (in months) | ' | '12 months | ' | |||
Projected Loss Assumptions Text Two [Abstract] | ' | ' | ' | |||
Current conditional prepayment rate used in alternate scenario for loss estimate (as a percent) | ' | 15.00% | ' | |||
Loss severity recovery period used to calculate potential change in loss estimate in even more stressful scenario (in years) | ' | '9 years | ' | |||
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 | ' | |||
Alt- A and Prime | ' | ' | ' | |||
Projected Loss Assumptions, First Lien Liquidation Rates [Abstract] | ' | ' | ' | |||
Current Loans Modified in Previous 12 Months | 35.00% | 35.00% | 35.00% | |||
30 – 59 Days Delinquent | 50.00% | 50.00% | 50.00% | |||
60 – 89 Days Delinquent | 60.00% | 60.00% | 60.00% | |||
90 Days Delinquent | 75.00% | 75.00% | 75.00% | |||
Bankruptcy | 60.00% | 60.00% | 60.00% | |||
Foreclosure | 85.00% | 85.00% | 85.00% | |||
Option ARM | ' | ' | ' | |||
Projected Loss Assumptions, First Lien Liquidation Rates [Abstract] | ' | ' | ' | |||
Current Loans Modified in Previous 12 Months | 35.00% | 35.00% | 35.00% | |||
30 – 59 Days Delinquent | 50.00% | 50.00% | 50.00% | |||
60 – 89 Days Delinquent | 65.00% | 65.00% | 65.00% | |||
90 Days Delinquent | 70.00% | 70.00% | 70.00% | |||
Bankruptcy | 60.00% | 60.00% | 60.00% | |||
Foreclosure | 80.00% | 80.00% | 80.00% | |||
Projected Loss Assumptions, Base Case Expected Loss Estimates, First Lien RMBS [Abstract] | ' | ' | ' | |||
Period until intermediate CDR | '48 months | '48 months | '48 months | |||
Initial loss severity | 65.00% | [1] | 65.00% | [1] | 65.00% | [1] |
Final CPR(2) | 15.00% | [1],[2] | 15.00% | [1],[2] | 15.00% | [1],[2] |
First mortgage, subprime | ' | ' | ' | |||
Projected Loss Assumptions, First Lien Liquidation Rates [Abstract] | ' | ' | ' | |||
Current Loans Modified in Previous 12 Months | 35.00% | 35.00% | 35.00% | |||
30 – 59 Days Delinquent | 45.00% | 45.00% | 45.00% | |||
60 – 89 Days Delinquent | 50.00% | 50.00% | 50.00% | |||
90 Days Delinquent | 60.00% | 60.00% | 60.00% | |||
Bankruptcy | 55.00% | 55.00% | 55.00% | |||
Foreclosure | 70.00% | 70.00% | 70.00% | |||
Projected Loss Assumptions Text One [Abstract] | ' | ' | ' | |||
Period until which loss severity rate would continue (in months) | ' | '9 months | ' | |||
Projected Loss Assumptions, Base Case Expected Loss Estimates, First Lien RMBS [Abstract] | ' | ' | ' | |||
Period until intermediate CDR | '48 months | '48 months | '48 months | |||
Initial loss severity | 90.00% | [1] | 90.00% | [1] | 90.00% | [1] |
Final CPR(2) | 15.00% | [1],[2] | 15.00% | [1],[2] | 15.00% | [1],[2] |
RMBS | ' | ' | ' | |||
Projected Loss Assumptions Text One [Abstract] | ' | ' | ' | |||
Final conditional default rate as a percentage of plateau conditional default rate | ' | 5.00% | ' | |||
Prime first lien | ' | ' | ' | |||
Projected Loss Assumptions Text Two [Abstract] | ' | ' | ' | |||
Number of scenarios weighted in estimating expected losses | ' | 5 | ' | |||
Minimum | Alt-A first lien | ' | ' | ' | |||
Projected Loss Assumptions, Base Case Expected Loss Estimates, First Lien RMBS [Abstract] | ' | ' | ' | |||
Plateau CDR | 2.90% | [1] | 2.10% | [1] | 2.80% | [1] |
Intermediate CDR | 0.60% | [1] | 0.40% | [1] | 0.60% | [1] |
Final CDR | 0.10% | [1] | 0.10% | [1] | 0.10% | [1] |
Initial conditional prepayment rate (CPR) | 1.00% | [1] | 0.00% | [1] | 0.00% | [1] |
Minimum | Option ARM | ' | ' | ' | |||
Projected Loss Assumptions, Base Case Expected Loss Estimates, First Lien RMBS [Abstract] | ' | ' | ' | |||
Plateau CDR | 5.00% | [1] | 3.90% | [1] | 4.90% | [1] |
Intermediate CDR | 1.00% | [1] | 0.80% | [1] | 1.00% | [1] |
Final CDR | 0.20% | [1] | 0.20% | [1] | 0.20% | [1] |
Initial conditional prepayment rate (CPR) | 0.90% | [1] | 1.00% | [1] | 0.40% | [1] |
Minimum | First mortgage, subprime | ' | ' | ' | |||
Projected Loss Assumptions, Base Case Expected Loss Estimates, First Lien RMBS [Abstract] | ' | ' | ' | |||
Plateau CDR | 5.70% | [1] | 5.30% | [1] | 5.60% | [1] |
Intermediate CDR | 1.10% | [1] | 1.10% | [1] | 1.10% | [1] |
Final CDR | 0.30% | [1] | 0.30% | [1] | 0.30% | [1] |
Initial conditional prepayment rate (CPR) | 0.00% | [1] | 0.00% | [1] | 0.00% | [1] |
Maximum | Alt-A first lien | ' | ' | ' | |||
Projected Loss Assumptions, Base Case Expected Loss Estimates, First Lien RMBS [Abstract] | ' | ' | ' | |||
Plateau CDR | 16.80% | [1] | 15.70% | [1] | 18.40% | [1] |
Intermediate CDR | 3.40% | [1] | 3.10% | [1] | 3.70% | [1] |
Final CDR | 0.80% | [1] | 0.80% | [1] | 0.90% | [1] |
Initial conditional prepayment rate (CPR) | 23.20% | [1] | 24.30% | [1] | 34.20% | [1] |
Maximum | Option ARM | ' | ' | ' | |||
Projected Loss Assumptions, Base Case Expected Loss Estimates, First Lien RMBS [Abstract] | ' | ' | ' | |||
Plateau CDR | 15.80% | [1] | 15.70% | [1] | 16.80% | [1] |
Intermediate CDR | 3.20% | [1] | 3.10% | [1] | 3.40% | [1] |
Final CDR | 0.80% | [1] | 0.80% | [1] | 0.80% | [1] |
Initial conditional prepayment rate (CPR) | 9.00% | [1] | 13.00% | [1] | 13.10% | [1] |
Maximum | First mortgage, subprime | ' | ' | ' | |||
Projected Loss Assumptions, Base Case Expected Loss Estimates, First Lien RMBS [Abstract] | ' | ' | ' | |||
Plateau CDR | 16.50% | [1] | 15.90% | [1] | 16.20% | [1] |
Intermediate CDR | 3.30% | [1] | 3.20% | [1] | 3.20% | [1] |
Final CDR | 0.80% | [1] | 0.80% | [1] | 0.80% | [1] |
Initial conditional prepayment rate (CPR) | 13.70% | [1] | 10.80% | [1] | 15.70% | [1] |
Weighted Average | Alt-A first lien | ' | ' | ' | |||
Projected Loss Assumptions, Base Case Expected Loss Estimates, First Lien RMBS [Abstract] | ' | ' | ' | |||
Plateau CDR | 9.00% | [1] | 8.50% | [1] | 9.70% | [1] |
Intermediate CDR | 1.80% | [1] | 1.70% | [1] | 1.90% | [1] |
Final CDR | 0.40% | [1] | 0.40% | [1] | 0.50% | [1] |
Initial conditional prepayment rate (CPR) | 7.00% | [1] | 7.00% | [1] | 9.70% | [1] |
Weighted Average | Option ARM | ' | ' | ' | |||
Projected Loss Assumptions, Base Case Expected Loss Estimates, First Lien RMBS [Abstract] | ' | ' | ' | |||
Plateau CDR | 11.10% | [1] | 10.70% | [1] | 11.90% | [1] |
Intermediate CDR | 2.20% | [1] | 2.10% | [1] | 2.40% | [1] |
Final CDR | 0.50% | [1] | 0.50% | [1] | 0.50% | [1] |
Initial conditional prepayment rate (CPR) | 7.10% | [1] | 7.10% | [1] | 4.70% | [1] |
Weighted Average | First mortgage, subprime | ' | ' | ' | |||
Projected Loss Assumptions, Base Case Expected Loss Estimates, First Lien RMBS [Abstract] | ' | ' | ' | |||
Plateau CDR | 11.50% | [1] | 11.20% | [1] | 11.80% | [1] |
Intermediate CDR | 2.30% | [1] | 2.20% | [1] | 2.40% | [1] |
Final CDR | 0.40% | [1] | 0.40% | [1] | 0.40% | [1] |
Initial conditional prepayment rate (CPR) | 6.40% | [1] | 6.50% | [1] | 4.10% | [1] |
Base Scenario | Total first lien | ' | ' | ' | |||
Projected Loss Assumptions Text One [Abstract] | ' | ' | ' | |||
Period for which estimated defaults are attributed to loans currently delinquent or in foreclosure | ' | '36 months | ' | |||
Assumed period for final conditional default rate to be reached | ' | '8 years 9 months | ' | |||
Period that final CDR was reached before assumption period end | '3 months | ' | '3 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% | ' | |||
Loss severity (as a percent) | ' | 40.00% | ' | |||
Projected Loss Assumptions, Base Case Expected Loss Estimates, First Lien RMBS [Abstract] | ' | ' | ' | |||
Period until intermediate CDR | ' | '12 months | ' | |||
Somewhat Stressful Environment | Alt-A first lien | ' | ' | ' | |||
Projected Loss Assumptions Text Two [Abstract] | ' | ' | ' | |||
Increase in expected loss in case of increase in conditional default rate plateau period and loss severity recovery period | ' | 30 | ' | |||
Somewhat Stressful Environment | Total first lien | ' | ' | ' | |||
Projected Loss Assumptions Text Two [Abstract] | ' | ' | ' | |||
Increased final loss severity for subprime transactions used to calculate potential change in loss estimate (as a percent) | ' | 60.00% | ' | |||
Somewhat Stressful Environment | Option ARM | ' | ' | ' | |||
Projected Loss Assumptions Text Two [Abstract] | ' | ' | ' | |||
Increase in expected loss in case of increase in conditional default rate plateau period and loss severity recovery period | ' | 10 | ' | |||
Somewhat Stressful Environment | First mortgage, subprime | ' | ' | ' | |||
Projected Loss Assumptions Text Two [Abstract] | ' | ' | ' | |||
Increase in expected loss in case of increase in conditional default rate plateau period and loss severity recovery period | ' | 73 | ' | |||
Somewhat Stressful Environment | Prime first lien | ' | ' | ' | |||
Projected Loss Assumptions Text Two [Abstract] | ' | ' | ' | |||
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 | ' | |||
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 | ' | |||
Increase in expected loss in case of increase in conditional default rate plateau period and loss severity recovery period | ' | 4 | ' | |||
Least Stressful Environment | Alt-A first lien | ' | ' | ' | |||
Projected Loss Assumptions Text Two [Abstract] | ' | ' | ' | |||
Decrease in expected loss in case of decrease in conditional default rate plateau period | ' | 26 | ' | |||
Least Stressful Environment | Option ARM | ' | ' | ' | |||
Projected Loss Assumptions Text Two [Abstract] | ' | ' | ' | |||
Decrease in expected loss in case of decrease in conditional default rate plateau period | ' | 25 | ' | |||
Least Stressful Environment | First mortgage, subprime | ' | ' | ' | |||
Projected Loss Assumptions Text Two [Abstract] | ' | ' | ' | |||
Decrease in expected loss in case of decrease in conditional default rate plateau period | ' | 65 | ' | |||
Least Stressful Environment | Prime first lien | ' | ' | ' | |||
Projected Loss Assumptions Text Two [Abstract] | ' | ' | ' | |||
Period of decrease in conditional default rate until final rate is achieved (in months) | ' | '9 months | ' | |||
Decrease in expected loss in case of decrease in conditional default rate plateau period | ' | 5 | ' | |||
Somewhat Less Stressful Environment | Alt-A first lien | ' | ' | ' | |||
Projected Loss Assumptions Text Two [Abstract] | ' | ' | ' | |||
Decrease in expected loss in case of less gradual conditional default rate recovery and changes in initial subprime loss severity rate | ' | 0 | ' | |||
Somewhat Less Stressful Environment | Total first lien | ' | ' | ' | |||
Projected Loss Assumptions Text One [Abstract] | ' | ' | ' | |||
Period from initial to final conditional prepayment rate (in months) | ' | '18 months | ' | |||
Projected Loss Assumptions Text Two [Abstract] | ' | ' | ' | |||
Current loss severity recovery period used to calculate potential change in loss estimate (in years) | ' | '2 years 6 months | ' | |||
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% | ' | |||
Somewhat Less Stressful Environment | Option ARM | ' | ' | ' | |||
Projected Loss Assumptions Text Two [Abstract] | ' | ' | ' | |||
Decrease in expected loss in case of less gradual conditional default rate recovery and changes in initial subprime loss severity rate | ' | 10 | ' | |||
Somewhat Less Stressful Environment | First mortgage, subprime | ' | ' | ' | |||
Projected Loss Assumptions Text Two [Abstract] | ' | ' | ' | |||
Decrease in expected loss in case of less gradual conditional default rate recovery and changes in initial subprime loss severity rate | ' | 23 | ' | |||
Somewhat Less Stressful Environment | Prime first lien | ' | ' | ' | |||
Projected Loss Assumptions Text Two [Abstract] | ' | ' | ' | |||
Decrease in expected loss in case of less gradual conditional default rate recovery and changes in initial subprime loss severity rate | ' | 1 | ' | |||
More Stressful Environment | Alt-A first lien | ' | ' | ' | |||
Projected Loss Assumptions Text Two [Abstract] | ' | ' | ' | |||
Increase in expected loss in case of increase in loss severity recovery period in an even more stressful scenario | ' | 83 | ' | |||
More Stressful Environment | Option ARM | ' | ' | ' | |||
Projected Loss Assumptions Text Two [Abstract] | ' | ' | ' | |||
Increase in expected loss in case of increase in loss severity recovery period in an even more stressful scenario | ' | 23 | ' | |||
More Stressful Environment | First mortgage, subprime | ' | ' | ' | |||
Projected Loss Assumptions Text Two [Abstract] | ' | ' | ' | |||
Increase in expected loss in case of increase in loss severity recovery period in an even more stressful scenario | ' | 107 | ' | |||
More Stressful Environment | Prime first lien | ' | ' | ' | |||
Projected Loss Assumptions Text Two [Abstract] | ' | ' | ' | |||
Period of decrease in conditional default rate until final rate is achieved (in months) | ' | '15 months | ' | |||
Increase in expected loss in case of increase in loss severity recovery period in an even more stressful scenario | ' | 10 | ' | |||
[1] | Represents variables for most heavily weighted scenario (the “base caseâ€). | |||||
[2] | For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used. |
Expected_Losses_to_be_Paid_Key
Expected Losses to be Paid - Key Assumptions in Base Case Expected Loss Estimates Second Lien RMBS (Detail) (USD $) | 6 Months Ended | 9 Months Ended | 12 Months Ended | |||
In Millions, unless otherwise specified | Jun. 30, 2014 | Sep. 30, 2014 | Dec. 31, 2013 | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Increase in expected losses due to increased default of loans reaching their amortization period and increased recoveries | ' | 36 | ' | |||
Loss estimate sensitivity analysis increase in CDR ramp down period | ' | '5 months | ' | |||
Period until which loss severity rate would continue (in months) | ' | '18 months | ' | |||
Period from initial to final conditional prepayment rate (in months) | ' | '2 years 6 months | ' | |||
Alt-A first lien | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Initial loss severity | 65.00% | [1] | 65.00% | [1] | 65.00% | [1] |
Final CPR(2) | 15.00% | [1],[2] | 15.00% | [1],[2] | 15.00% | [1],[2] |
Alt-A first lien | Minimum | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Plateau CDR | 2.90% | [1] | 2.10% | [1] | 2.80% | [1] |
Intermediate CDR | 0.60% | [1] | 0.40% | [1] | 0.60% | [1] |
Final CDR | 0.10% | [1] | 0.10% | [1] | 0.10% | [1] |
Initial conditional prepayment rate (CPR) | 1.00% | [1] | 0.00% | [1] | 0.00% | [1] |
Alt-A first lien | Maximum | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Plateau CDR | 16.80% | [1] | 15.70% | [1] | 18.40% | [1] |
Intermediate CDR | 3.40% | [1] | 3.10% | [1] | 3.70% | [1] |
Final CDR | 0.80% | [1] | 0.80% | [1] | 0.90% | [1] |
Initial conditional prepayment rate (CPR) | 23.20% | [1] | 24.30% | [1] | 34.20% | [1] |
Alt-A first lien | Weighted Average | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Plateau CDR | 9.00% | [1] | 8.50% | [1] | 9.70% | [1] |
Intermediate CDR | 1.80% | [1] | 1.70% | [1] | 1.90% | [1] |
Final CDR | 0.40% | [1] | 0.40% | [1] | 0.50% | [1] |
Initial conditional prepayment rate (CPR) | 7.00% | [1] | 7.00% | [1] | 9.70% | [1] |
Second lien | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Final CPR(2) | ' | 10.00% | ' | |||
Typical past due period for loans to be charged off (in days) | ' | '180 days | ' | |||
Period of default estimate | ' | '5 months | ' | |||
Number of preceding months liquidation rates used to estimate loan default rate | ' | '12 months | ' | |||
Number of months the conditional default rate is calculated applying liquidation rates to current period past due balances excluding 30 to 59 days past due | ' | '4 months | ' | |||
Period of decrease in conditional default rate until final rate is achieved (in months) | ' | '28 months | ' | |||
Stress period (in months) | ' | '34 months | ' | |||
Number of monthly delinquency categories | ' | '5 months | ' | |||
Period of constant conditional default rate (in months) | ' | '1 month | ' | |||
Loss recovery assumption | 2.00% | 10.00% | 2.00% | |||
Conditional prepayment rate base case average number of months | ' | '3 months | ' | |||
Number of conditional default rate curves modeled in estimating losses | ' | 3 | ' | |||
Second lien | Minimum | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
First delinquency category (in days) | ' | '30 days | ' | |||
Second delinquency category (in days) | ' | '60 days | ' | |||
Third delinquency category (in days) | ' | '90 days | ' | |||
Fourth delinquency category (in days) | ' | '120 days | ' | |||
Fifth delinquency category (in days) | ' | '150 days | ' | |||
Second lien | Maximum | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
First delinquency category (in days) | ' | '59 days | ' | |||
Second delinquency category (in days) | ' | '89 days | ' | |||
Third delinquency category (in days) | ' | '119 days | ' | |||
Fourth delinquency category (in days) | ' | '149 days | ' | |||
Fifth delinquency category (in days) | ' | '179 days | ' | |||
Close ended second lien | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Initial loss severity | 98.00% | [1] | 98.00% | [1] | 98.00% | [1] |
Final CPR(2) | 10.00% | [1],[2] | 10.00% | [1],[2] | 10.00% | [1],[2] |
Expected period until final conditional default rate (in months) | '34 months | '34 months | '34 months | |||
Close ended second lien | Minimum | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Plateau CDR | 4.80% | [1] | 6.80% | [1] | 7.30% | [1] |
Final CDR | 3.50% | [1] | 3.50% | [1] | 3.50% | [1] |
Initial conditional prepayment rate (CPR) | 2.60% | [1] | 3.00% | [1] | 3.10% | [1] |
Close ended second lien | Maximum | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Plateau CDR | 14.90% | [1] | 15.10% | [1] | 15.10% | [1] |
Final CDR | 9.10% | [1] | 9.10% | [1] | 9.10% | [1] |
Initial conditional prepayment rate (CPR) | 10.40% | [1] | 11.40% | [1] | 12.00% | [1] |
Close ended second lien | Weighted Average | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Plateau CDR | 7.70% | [1] | 7.70% | [1] | 8.50% | [1] |
Final CDR | 5.00% | [1] | 4.90% | [1] | 5.00% | [1] |
Initial conditional prepayment rate (CPR) | 8.40% | [1] | 9.20% | [1] | 7.10% | [1] |
HELOCs | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Initial loss severity | 98.00% | [1] | ' | 98.00% | [1] | |
Final CPR(2) | 10.00% | [1],[2] | 10.00% | [1],[2] | 10.00% | [1],[2] |
Expected period until final conditional default rate (in months) | '34 months | '34 months | '34 months | |||
Initial period for which borrower can pay only interest payments | ' | '10 years | ' | |||
Loans reaching amortization period that will default, percentage of default | ' | 7.50% | ' | |||
HELOCs | Minimum | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Plateau CDR | 2.20% | [1] | 2.80% | [1] | 2.30% | [1] |
Final CDR | 0.50% | [1] | 0.50% | [1] | 0.40% | [1] |
Initial loss severity | ' | 90.00% | [1] | ' | ||
Initial conditional prepayment rate (CPR) | 2.40% | [1] | 5.10% | [1] | 2.70% | [1] |
HELOCs | Maximum | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Plateau CDR | 9.60% | [1] | 8.50% | [1] | 7.70% | [1] |
Final CDR | 3.20% | [1] | 3.20% | [1] | 3.20% | [1] |
Initial loss severity | ' | 98.00% | [1] | ' | ||
Initial conditional prepayment rate (CPR) | 19.40% | [1] | 16.00% | [1] | 21.50% | [1] |
HELOCs | Weighted Average | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Plateau CDR | 4.30% | [1] | 4.20% | [1] | 4.90% | [1] |
Final CDR | 1.20% | [1] | 1.20% | [1] | 1.10% | [1] |
Initial loss severity | ' | 91.50% | [1] | ' | ||
Initial conditional prepayment rate (CPR) | 9.30% | [1] | 10.30% | [1] | 9.90% | [1] |
Option ARM | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Initial loss severity | 65.00% | [1] | 65.00% | [1] | 65.00% | [1] |
Final CPR(2) | 15.00% | [1],[2] | 15.00% | [1],[2] | 15.00% | [1],[2] |
Option ARM | Minimum | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Plateau CDR | 5.00% | [1] | 3.90% | [1] | 4.90% | [1] |
Intermediate CDR | 1.00% | [1] | 0.80% | [1] | 1.00% | [1] |
Final CDR | 0.20% | [1] | 0.20% | [1] | 0.20% | [1] |
Initial conditional prepayment rate (CPR) | 0.90% | [1] | 1.00% | [1] | 0.40% | [1] |
Option ARM | Maximum | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Plateau CDR | 15.80% | [1] | 15.70% | [1] | 16.80% | [1] |
Intermediate CDR | 3.20% | [1] | 3.10% | [1] | 3.40% | [1] |
Final CDR | 0.80% | [1] | 0.80% | [1] | 0.80% | [1] |
Initial conditional prepayment rate (CPR) | 9.00% | [1] | 13.00% | [1] | 13.10% | [1] |
Option ARM | Weighted Average | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Plateau CDR | 11.10% | [1] | 10.70% | [1] | 11.90% | [1] |
Intermediate CDR | 2.20% | [1] | 2.10% | [1] | 2.40% | [1] |
Final CDR | 0.50% | [1] | 0.50% | [1] | 0.50% | [1] |
Initial conditional prepayment rate (CPR) | 7.10% | [1] | 7.10% | [1] | 4.70% | [1] |
Subprime | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Initial loss severity | 90.00% | [1] | 90.00% | [1] | 90.00% | [1] |
Final CPR(2) | 15.00% | [1],[2] | 15.00% | [1],[2] | 15.00% | [1],[2] |
Period until which loss severity rate would continue (in months) | ' | '9 months | ' | |||
Subprime | Minimum | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Plateau CDR | 5.70% | [1] | 5.30% | [1] | 5.60% | [1] |
Intermediate CDR | 1.10% | [1] | 1.10% | [1] | 1.10% | [1] |
Final CDR | 0.30% | [1] | 0.30% | [1] | 0.30% | [1] |
Initial conditional prepayment rate (CPR) | 0.00% | [1] | 0.00% | [1] | 0.00% | [1] |
Subprime | Maximum | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Plateau CDR | 16.50% | [1] | 15.90% | [1] | 16.20% | [1] |
Intermediate CDR | 3.30% | [1] | 3.20% | [1] | 3.20% | [1] |
Final CDR | 0.80% | [1] | 0.80% | [1] | 0.80% | [1] |
Initial conditional prepayment rate (CPR) | 13.70% | [1] | 10.80% | [1] | 15.70% | [1] |
Subprime | Weighted Average | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Plateau CDR | 11.50% | [1] | 11.20% | [1] | 11.80% | [1] |
Intermediate CDR | 2.30% | [1] | 2.20% | [1] | 2.40% | [1] |
Final CDR | 0.40% | [1] | 0.40% | [1] | 0.40% | [1] |
Initial conditional prepayment rate (CPR) | 6.40% | [1] | 6.50% | [1] | 4.10% | [1] |
Base Scenario | Second lien | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Period of decrease in conditional default rate until final rate is achieved (in months) | ' | '28 months | ' | |||
Stress period (in months) | ' | '34 months | ' | |||
Period of constant conditional default rate (in months) | ' | '1 month | ' | |||
Scenario 1 | Second lien | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Period of decrease in conditional default rate until final rate is achieved (in months) | ' | '33 months | ' | |||
Stress period (in months) | ' | '42 months | ' | |||
Increased plateau period used to calculate potential change in loss estimate (in months) | ' | '4 months | ' | |||
Scenario 1 | Close ended second lien | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Loss estimate sensitivity analysis change in estimate for increased CDR plateau period | ' | 2 | ' | |||
Scenario 1 | HELOCs | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Loss estimate sensitivity analysis change in estimate for increased CDR plateau period | ' | 17 | ' | |||
Scenario 2 | Second lien | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Stress period (in months) | ' | '24 months | ' | |||
Period of constant conditional default rate (in months) | ' | '1 month | ' | |||
Decreased ramp down period used to calculate potential change in loss estimate (in months) | ' | '18 months | ' | |||
Scenario 2 | Close ended second lien | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Loss estimate sensitivity analysis change in estimate for decreased CDR ramp down period | ' | 2 | ' | |||
Scenario 2 | HELOCs | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | |||
Loss estimate sensitivity analysis change in estimate for decreased CDR ramp down period | ' | 17 | ' | |||
[1] | Represents variables for most heavily weighted scenario (the “base caseâ€). | |||||
[2] | For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used. |
Expected_Losses_to_be_Paid_Bre
Expected Losses to be Paid - Breaches of Representations and Warranties (Details) (USD $) | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | 6-May-13 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 12, 2014 | Oct. 10, 2013 | Oct. 07, 2014 | Oct. 07, 2014 | |||
Total first lien | Total first lien | Total first lien | Total first lien | RMBS | Second lien | Second lien | Second lien | Second lien | Bank of America Agreement | Bank of America Agreement | Bank of America Agreement | Deutsche Bank Agreement | UBS | UBS | Other | Covered Transactions | Covered Transactions | Covered Transactions | Subsequent event | Subsequent event | |||||
Total first lien | Second lien | Deutsche Bank Agreement | Deutsche Bank Agreement | Deutsche Bank Agreement | Covered Transactions | External credit rating, non investment grade | |||||||||||||||||||
Transaction | Transaction | Transaction | Deutsche Bank Agreement | Covered Transactions | |||||||||||||||||||||
Transaction | Deutsche Bank Agreement | ||||||||||||||||||||||||
Transaction | |||||||||||||||||||||||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||
Agreement amounts projected to be received in the future | $296,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||
Repurchase amounts paid into the relevant RMBS prior to settlement | ' | ' | ' | ' | ' | ' | 579,000,000 | [1] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Total R&W receipts and losses avoided, gross of reinsurance | 3,829,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||
Estimated benefit from loan repurchases related to breaches of R and W included in net expected loss estimates | 578,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||
R&W recovered during period | 284,000,000 | ' | 163,000,000 | 96,000,000 | 272,000,000 | 577,000,000 | ' | 3,000,000 | 59,000,000 | 22,000,000 | 192,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||
Estimated benefit from loan repurchases related to breaches of R and W included in net expected loss estimates in pursuit | 294,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||
Current Net Par Covered | 5,229,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 963,000,000 | 1,250,000,000 | 1,226,000,000 | 579,000,000 | ' | 1,211,000,000 | ' | ' | ' | ' | ' | ||
Receipts to September 30, 2014 (net of reinsurance) | 2,662,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 511,000,000 | 968,000,000 | 249,000,000 | 433,000,000 | ' | 501,000,000 | ' | ' | ' | ' | ' | ||
Estimated Future Receipts (net of reinsurance) | 284,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 163,000,000 | ' | 73,000,000 | 8,000,000 | ' | 40,000,000 | ' | ' | ' | ' | ' | ||
Eligible Assets Held in Trust (gross of reinsurance) | 826,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 581,000,000 | ' | 135,000,000 | 110,000,000 | ' | ' | ' | ' | ' | ' | ' | ||
Financial guaranty insurance contracts principal amount not covered under agreements | 873,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||
Loss sharing, percentage | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 80.00% | ' | ' | ' | ' | 85.00% | ' | ' | ' | ' | ' | ' | ||
Maximum loss up to which loss sharing, percentage applicable | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 6,600,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||
Collateral losses | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 4,000,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||
Estimated cumulative collateral losses | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 5,100,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||
Loss sharing percentage, first layer | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 80.00% | ' | ' | ' | ' | ||
Maximum aggregate collateral losses up to which first layer of loss sharing will be applicable | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 319,000,000 | ' | ' | ' | ' | ||
Maximum loss up to which second layer of loss sharing, percentage applicable | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 600,000,000 | ' | ' | ' | ' | ||
Number of transactions terminated | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1 | 1 | 2 | 1 | ||
Number of transactions insured | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 8 | ' | ' | ' | ' | ||
Net par amount outstanding | 418,015,000,000 | 459,107,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||
Loss sharing percentage, second layer | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 85.00% | ' | ' | ' | ' | ||
Minimum losses at which second later of loss sharing percentage becomes applicable | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 389,000,000 | ' | ' | ' | ' | ||
Benefits already received | $2,954,000,000 | [2] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
[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. | ||||||||||||||||||||||||
[2] | Includes amounts already received plus projected losses avoided based on base case projections at the time of the termination, net of any payments made in connection with the termination. |
US_RMBS_Risks_with_RW_Benefit_
- U.S. RMBS Risks with R&W Benefit (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Millions, unless otherwise specified | risk | risk | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Number of Risks as of the end of the period with R&W benefit recorded (in policies) | 39 | [1] | 42 | [1] |
Outstanding principal and interest on R and W policies | $2,784 | $5,011 | ||
Prime first lien | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Number of Risks as of the end of the period with R&W benefit recorded (in policies) | 1 | [1] | 1 | [1] |
Outstanding principal and interest on R and W policies | 34 | 38 | ||
Alt-A first lien | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Number of Risks as of the end of the period with R&W benefit recorded (in policies) | 21 | [1] | 19 | [1] |
Outstanding principal and interest on R and W policies | 1,758 | 2,856 | ||
Option ARM | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Number of Risks as of the end of the period with R&W benefit recorded (in policies) | 8 | [1] | 9 | [1] |
Outstanding principal and interest on R and W policies | 184 | 641 | ||
Subprime | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Number of Risks as of the end of the period with R&W benefit recorded (in policies) | 4 | [1] | 5 | [1] |
Outstanding principal and interest on R and W policies | 651 | 998 | ||
Close ended second lien | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Number of Risks as of the end of the period with R&W benefit recorded (in policies) | 4 | [1] | 4 | [1] |
Outstanding principal and interest on R and W policies | 143 | 158 | ||
HELOCs | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Number of Risks as of the end of the period with R&W benefit recorded (in policies) | 1 | [1] | 4 | [1] |
Outstanding principal and interest on R and W policies | $14 | $320 | ||
[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_Losses_to_be_Paid_Com
Expected Losses to be Paid - Components of R&W Development (Details) (USD $) | 3 Months Ended | 9 Months Ended | |||||||||
Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2013 | Dec. 31, 2012 | ||||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Inclusion or removal of deals with breaches of R&W during period | $0 | $0 | $0 | $6,000,000 | ' | ' | ' | ' | |||
Change in recovery assumptions as the result of recovery success | 4,000,000 | 69,000,000 | 31,000,000 | 86,000,000 | ' | ' | ' | ' | |||
Estimated increase (decrease) in defaults that will result in additional (lower) breaches | -4,000,000 | 13,000,000 | -15,000,000 | 10,000,000 | ' | ' | ' | ' | |||
Settlements and anticipated settlements | 90,000,000 | 0 | 96,000,000 | 180,000,000 | ' | ' | ' | ' | |||
Accretion of discount on balance | 3,000,000 | 4,000,000 | 48,000,000 | 12,000,000 | ' | ' | ' | ' | |||
Total | 93,000,000 | 86,000,000 | 160,000,000 | 294,000,000 | ' | ' | ' | ' | |||
Current Net Par Covered | 5,229,000,000 | ' | 5,229,000,000 | ' | ' | ' | ' | ' | |||
Net expected loss to be paid after recoveries for R&W | 933,000,000 | [1] | 806,000,000 | 933,000,000 | [1] | 806,000,000 | 1,035,000,000 | 982,000,000 | [1] | 774,000,000 | 677,000,000 |
Loss and loss adjustment expense reserve | 760,000,000 | ' | 760,000,000 | ' | ' | 592,000,000 | ' | ' | |||
Net expected loss development after recoveries for R&W | -63,000,000 | -22,000,000 | -28,000,000 | -33,000,000 | ' | ' | ' | ' | |||
Net par amount outstanding | 418,015,000,000 | ' | 418,015,000,000 | ' | ' | 459,107,000,000 | ' | ' | |||
Life insurance | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Net expected loss development after recoveries for R&W | 3,000,000 | ' | 19,000,000 | ' | ' | ' | ' | ' | |||
Prime first lien | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Total | 1,000,000 | -1,000,000 | 0 | -1,000,000 | ' | ' | ' | ' | |||
Net expected loss to be paid after recoveries for R&W | 10,000,000 | [1] | 21,000,000 | 10,000,000 | [1] | 21,000,000 | 11,000,000 | 21,000,000 | [1] | 18,000,000 | 6,000,000 |
Net expected loss development after recoveries for R&W | -1,000,000 | 3,000,000 | -11,000,000 | 16,000,000 | ' | ' | ' | ' | |||
Net par amount outstanding | 488,000,000 | ' | 488,000,000 | ' | ' | 541,000,000 | ' | ' | |||
Alt-A first lien | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Total | 19,000,000 | 37,000,000 | 20,000,000 | 24,000,000 | ' | ' | ' | ' | |||
Net expected loss to be paid after recoveries for R&W | 248,000,000 | [1] | 206,000,000 | 248,000,000 | [1] | 206,000,000 | 301,000,000 | 304,000,000 | [1] | 288,000,000 | 315,000,000 |
Net expected loss development after recoveries for R&W | -18,000,000 | -85,000,000 | -6,000,000 | -83,000,000 | ' | ' | ' | ' | |||
Net par amount outstanding | 2,986,000,000 | ' | 2,986,000,000 | ' | ' | 3,590,000,000 | ' | ' | |||
Option ARM | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Total | 10,000,000 | 40,000,000 | 30,000,000 | 206,000,000 | ' | ' | ' | ' | |||
Net expected loss to be paid after recoveries for R&W | -31,000,000 | [1] | 7,000,000 | -31,000,000 | [1] | 7,000,000 | -51,000,000 | -9,000,000 | [1] | -20,000,000 | -131,000,000 |
Net expected loss development after recoveries for R&W | 0 | 25,000,000 | -39,000,000 | -92,000,000 | ' | ' | ' | ' | |||
Net par amount outstanding | 700,000,000 | ' | 700,000,000 | ' | ' | 937,000,000 | ' | ' | |||
First mortgage, subprime | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Total | 5,000,000 | 7,000,000 | 34,000,000 | 6,000,000 | ' | ' | ' | ' | |||
Net expected loss to be paid after recoveries for R&W | 307,000,000 | [1] | 303,000,000 | 307,000,000 | [1] | 303,000,000 | 341,000,000 | 304,000,000 | [1] | 274,000,000 | 242,000,000 |
Net expected loss development after recoveries for R&W | -11,000,000 | 38,000,000 | -12,000,000 | 86,000,000 | ' | ' | ' | ' | |||
Net par amount outstanding | 4,247,000,000 | ' | 4,247,000,000 | ' | ' | 6,130,000,000 | ' | ' | |||
Closed end second lien and HELOCs | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Total | -1,000,000 | 1,000,000 | -4,000,000 | -11,000,000 | ' | ' | ' | ' | |||
HELOCs | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Total | 59,000,000 | 2,000,000 | 80,000,000 | 70,000,000 | ' | ' | ' | ' | |||
Net expected loss to be paid after recoveries for R&W | -148,000,000 | [1] | -129,000,000 | -148,000,000 | [1] | -129,000,000 | -117,000,000 | -116,000,000 | [1] | -97,000,000 | -111,000,000 |
Net expected loss development after recoveries for R&W | -34,000,000 | -42,000,000 | -65,000,000 | -76,000,000 | ' | ' | ' | ' | |||
Net par amount outstanding | 1,817,000,000 | ' | 1,817,000,000 | ' | ' | 2,279,000,000 | ' | ' | |||
Student loan | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Current Net Par Covered | 2,700,000,000 | ' | 2,700,000,000 | ' | ' | ' | ' | ' | |||
Net expected loss to be paid after recoveries for R&W | 78,000,000 | ' | 78,000,000 | ' | ' | ' | ' | ' | |||
Net expected loss development after recoveries for R&W | 5,000,000 | ' | 13,000,000 | ' | ' | ' | ' | ' | |||
Asset-backed student loan | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Current Net Par Covered | 1,900,000,000 | ' | 1,900,000,000 | ' | ' | ' | ' | ' | |||
Public finance student loan | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Current Net Par Covered | 800,000,000 | ' | 800,000,000 | ' | ' | ' | ' | ' | |||
Trust preferred securities collateralized debt obligations | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Current Net Par Covered | 4,500,000,000 | ' | 4,500,000,000 | ' | ' | ' | ' | ' | |||
Net expected loss to be paid after recoveries for R&W | 26,000,000 | ' | 26,000,000 | ' | ' | ' | ' | ' | |||
Financial guaranty insurance contracts principal amount, percent in credit default swap form | 71.00% | ' | 71.00% | ' | ' | ' | ' | ' | |||
Net expected loss development after recoveries for R&W | 5,000,000 | ' | 24,000,000 | ' | ' | ' | ' | ' | |||
Public Finance City of Detroit | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Recovery percentage | ' | ' | 74.00% | ' | ' | ' | ' | ' | |||
Financial guaranty insurance contracts principal amount net | 2,200,000,000 | ' | 2,200,000,000 | ' | ' | ' | ' | ' | |||
Public Finance Stockton General Fund | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Financial guaranty insurance contracts principal amount net | 117,000,000 | ' | 117,000,000 | ' | ' | ' | ' | ' | |||
Public Finance Luoisville Arena Authority | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Financial guaranty insurance contracts principal amount net | 338,000,000 | ' | 338,000,000 | ' | ' | ' | ' | ' | |||
Public Finance U.S. | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Net expected loss to be paid after recoveries for R&W | 333,000,000 | [1] | 183,000,000 | 333,000,000 | [1] | 183,000,000 | 339,000,000 | 264,000,000 | [1] | 71,000,000 | 7,000,000 |
Net expected loss development after recoveries for R&W | 2,000,000 | 44,000,000 | 107,000,000 | 138,000,000 | ' | ' | ' | ' | |||
Net par amount outstanding | 329,225,000,000 | ' | 329,225,000,000 | ' | ' | 352,181,000,000 | ' | ' | |||
Spanish sub-sovereign debt | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Financial guaranty insurance contracts principal amount | 544,000,000 | ' | 544,000,000 | ' | ' | ' | ' | ' | |||
Financial guaranty insurance contracts principal amount net | 390,000,000 | ' | 390,000,000 | ' | ' | ' | ' | ' | |||
Portugal sub-sovereign debt | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Financial guaranty insurance contracts principal amount | 120,000,000 | ' | 120,000,000 | ' | ' | ' | ' | ' | |||
Financial guaranty insurance contracts principal amount net | 106,000,000 | ' | 106,000,000 | ' | ' | ' | ' | ' | |||
Hungarian-infrastructure bonds | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Financial guaranty insurance contracts principal amount | 555,000,000 | ' | 555,000,000 | ' | ' | ' | ' | ' | |||
Financial guaranty insurance contracts principal amount net | 524,000,000 | ' | 524,000,000 | ' | ' | ' | ' | ' | |||
Spanish and Hungarian debt | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Net expected loss to be paid after recoveries for R&W | 50,000,000 | ' | 50,000,000 | ' | ' | ' | ' | ' | |||
Manufactured housing loans | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Current Net Par Covered | 231,000,000 | ' | 231,000,000 | ' | ' | ' | ' | ' | |||
Net expected loss to be paid after recoveries for R&W | 25,000,000 | ' | 25,000,000 | ' | ' | ' | ' | ' | |||
Below investment grade (BIG) | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Net par amount outstanding | 19,646,000,000 | ' | 19,646,000,000 | ' | ' | 22,538,000,000 | ' | ' | |||
Below investment grade (BIG) | Life insurance | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Current Net Par Covered | 2,700,000,000 | ' | 2,700,000,000 | ' | ' | ' | ' | ' | |||
Net expected loss to be paid after recoveries for R&W | 90,000,000 | ' | 90,000,000 | ' | ' | ' | ' | ' | |||
Loss and loss adjustment expense reserve | 598,000,000 | ' | 598,000,000 | ' | ' | ' | ' | ' | |||
Below investment grade (BIG) | Prime first lien | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Net par amount outstanding | 365,000,000 | ' | 365,000,000 | ' | ' | 403,000,000 | ' | ' | |||
Below investment grade (BIG) | Alt-A first lien | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Net par amount outstanding | 1,912,000,000 | ' | 1,912,000,000 | ' | ' | 2,728,000,000 | ' | ' | |||
Below investment grade (BIG) | Option ARM | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Net par amount outstanding | 194,000,000 | ' | 194,000,000 | ' | ' | 598,000,000 | ' | ' | |||
Below investment grade (BIG) | First mortgage, subprime | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Net par amount outstanding | 1,663,000,000 | ' | 1,663,000,000 | ' | ' | 1,945,000,000 | ' | ' | |||
Below investment grade (BIG) | HELOCs | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Net par amount outstanding | 1,606,000,000 | ' | 1,606,000,000 | ' | ' | 1,897,000,000 | ' | ' | |||
Below investment grade (BIG) | Asset-backed student loan | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Current Net Par Covered | 198,000,000 | ' | 198,000,000 | ' | ' | ' | ' | ' | |||
Below investment grade (BIG) | Public finance student loan | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Current Net Par Covered | 244,000,000 | ' | 244,000,000 | ' | ' | ' | ' | ' | |||
Below investment grade (BIG) | Trust preferred securities collateralized debt obligations | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Current Net Par Covered | 1,500,000,000 | ' | 1,500,000,000 | ' | ' | ' | ' | ' | |||
Below investment grade (BIG) | Public Finance U.S. | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Net par amount outstanding | 8,542,000,000 | ' | 8,542,000,000 | ' | ' | 9,094,000,000 | ' | ' | |||
Below investment grade (BIG) | Manufactured housing loans | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Current Net Par Covered | 164,000,000 | ' | 164,000,000 | ' | ' | ' | ' | ' | |||
Below investment grade (BIG) | Ballantyne Re Plc and Orkney Re I I Plc | Life insurance | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Number of transactions insured | 2 | ' | 2 | ' | ' | ' | ' | ' | |||
Sewer | Public Finance City of Detroit | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Current Net Par Covered | 1,100,000,000 | ' | 1,100,000,000 | ' | ' | ' | ' | ' | |||
Water Sector | Public Finance City of Detroit | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Current Net Par Covered | 882,000,000 | ' | 882,000,000 | ' | ' | ' | ' | ' | |||
Sewer and Water | Public Finance City of Detroit | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Current Net Par Covered | 1,800,000,000 | ' | 1,800,000,000 | ' | ' | ' | ' | ' | |||
Remaining principle amount after tender offer | 841,000,000 | ' | 841,000,000 | ' | ' | ' | ' | ' | |||
Bonds sold in tender offer, amount | 677,000,000 | ' | 677,000,000 | ' | ' | ' | ' | ' | |||
Municipal Bonds State General Obligation | Public Finance City of Detroit | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Current Net Par Covered | 128,000,000 | ' | 128,000,000 | ' | ' | ' | ' | ' | |||
City Certificates of Participation | Public Finance City of Detroit | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Current Net Par Covered | 175,000,000 | ' | 175,000,000 | ' | ' | ' | ' | ' | |||
Refinancing risk on infrastructure transactions | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Current Net Par Covered | 3,000,000,000 | ' | 3,000,000,000 | ' | ' | ' | ' | ' | |||
Number of infrastructure transactions | ' | ' | 2 | ' | ' | ' | ' | ' | |||
Financial insurance guaranty, infrastructure finance, potential liability | 1,800,000,000 | ' | 1,800,000,000 | ' | ' | ' | ' | ' | |||
Refinancing risk on infrastructure transactions | Minimum | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Estimated years for recoveries on infrastructure transactions | ' | ' | '10 years | ' | ' | ' | ' | ' | |||
Refinancing risk on infrastructure transactions | Maximum | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Estimated years for recoveries on infrastructure transactions | ' | ' | '35 years | ' | ' | ' | ' | ' | |||
Puerto Rico | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Net par amount outstanding | 4,900,000,000 | ' | 4,900,000,000 | ' | ' | ' | ' | ' | |||
Puerto Rico | Below investment grade (BIG) | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Net par amount outstanding | 4,672,000,000 | ' | 4,672,000,000 | ' | ' | ' | ' | ' | |||
Puerto Rico | Below investment grade (BIG) | Puerto Rico | ' | ' | ' | ' | ' | ' | ' | ' | |||
Guarantor Obligations [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | |||
Net par amount outstanding | $4,700,000,000 | ' | $4,700,000,000 | ' | ' | ' | ' | ' | |||
[1] | Includes expected loss adjustment expenses ("LAE") to be paid of $28 million as of September 30, 2014 and $34 million as of December 31, 2013. The Company paid $6 million and $12 million in LAE for Third Quarter 2014 and 2013, respectively, and $20 million and $41 million in LAE for Nine Months 2014 and 2013, respectively. |
Financial_Guaranty_Insurance_L2
Financial Guaranty Insurance Losses - Loss and LAE Reserve and Salvage and Subrogation Recoverable Net of Reinsurance Insurance Contracts (Details) (USD $) | 9 Months Ended | 12 Months Ended | ||
In Millions, unless otherwise specified | Sep. 30, 2014 | Dec. 31, 2013 | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Expected LAE for mitigating claim liabilities | 24 | 27 | ||
Subtotal, Loss and LAE Reserve, net | 792 | 659 | ||
Subtotal, Salvage and Subrogation Recoverable, net | 283 | 240 | ||
Subtotal, Net | 509 | 419 | ||
Effect of consolidating FG VIEs, Loss and LAE Reserve, net | -88 | -103 | ||
Effect of consolidating FG VIEs, Salvage and Subrogation Recoverable, net | -6 | -85 | ||
Effect of consolidating FG VIEs, Net | -82 | -18 | ||
Total, Loss and LAE Reserve, net | 704 | [1] | 556 | [1] |
Total, Salvage and subrogation recoverable payable, net | 277 | [1] | 155 | [1] |
Total, Net | 427 | [1] | 401 | [1] |
Financial guaranty | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Subtotal, Loss and LAE Reserve, net | 790 | 657 | ||
Subtotal, Salvage and Subrogation Recoverable, net | 277 | 235 | ||
Subtotal, Net | 513 | 422 | ||
Total, Net | 416 | 389 | ||
Other | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Subtotal, Loss and LAE Reserve, net | 2 | 2 | ||
Subtotal, Salvage and Subrogation Recoverable, net | 6 | 5 | ||
Subtotal, Net | -4 | -3 | ||
Prime first lien | Financial guaranty | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Subtotal, Loss and LAE Reserve, net | 3 | 3 | ||
Subtotal, Salvage and Subrogation Recoverable, net | 0 | 0 | ||
Subtotal, Net | 3 | 3 | ||
Alt-A first lien | Financial guaranty | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Subtotal, Loss and LAE Reserve, net | 121 | 108 | ||
Subtotal, Salvage and Subrogation Recoverable, net | 0 | 0 | ||
Subtotal, Net | 121 | 108 | ||
Option ARM | Financial guaranty | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Subtotal, Loss and LAE Reserve, net | 30 | 22 | ||
Subtotal, Salvage and Subrogation Recoverable, net | 57 | 47 | ||
Subtotal, Net | -27 | -25 | ||
First mortgage, subprime | Financial guaranty | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Subtotal, Loss and LAE Reserve, net | 163 | 143 | ||
Subtotal, Salvage and Subrogation Recoverable, net | 7 | 2 | ||
Subtotal, Net | 156 | 141 | ||
First lien | Financial guaranty | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Subtotal, Loss and LAE Reserve, net | 317 | 276 | ||
Subtotal, Salvage and Subrogation Recoverable, net | 64 | 49 | ||
Subtotal, Net | 253 | 227 | ||
Close ended second lien | Financial guaranty | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Subtotal, Loss and LAE Reserve, net | 5 | 5 | ||
Subtotal, Salvage and Subrogation Recoverable, net | 40 | 45 | ||
Subtotal, Net | -35 | -40 | ||
HELOCs | Financial guaranty | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Subtotal, Loss and LAE Reserve, net | 4 | 5 | ||
Subtotal, Salvage and Subrogation Recoverable, net | 163 | 127 | ||
Subtotal, Net | -159 | -122 | ||
Second lien | Financial guaranty | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Subtotal, Loss and LAE Reserve, net | 9 | 10 | ||
Subtotal, Salvage and Subrogation Recoverable, net | 203 | 172 | ||
Subtotal, Net | -194 | -162 | ||
Total U.S. RMBS | Financial guaranty | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Subtotal, Loss and LAE Reserve, net | 326 | 286 | ||
Subtotal, Salvage and Subrogation Recoverable, net | 267 | 221 | ||
Subtotal, Net | 59 | 65 | ||
TruPS | Financial guaranty | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Subtotal, Loss and LAE Reserve, net | 0 | 2 | ||
Subtotal, Salvage and Subrogation Recoverable, net | 0 | 0 | ||
Subtotal, Net | 0 | 2 | ||
Other structured finance | Financial guaranty | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Subtotal, Loss and LAE Reserve, net | 167 | 145 | ||
Subtotal, Salvage and Subrogation Recoverable, net | 2 | 6 | ||
Subtotal, Net | 165 | 139 | ||
Public Finance U.S. | Financial guaranty | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Subtotal, Loss and LAE Reserve, net | 265 | 189 | ||
Subtotal, Salvage and Subrogation Recoverable, net | 8 | 8 | ||
Subtotal, Net | 257 | 181 | ||
Public Finance Non-U.S. | Financial guaranty | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Subtotal, Loss and LAE Reserve, net | 32 | 35 | ||
Subtotal, Salvage and Subrogation Recoverable, net | 0 | 0 | ||
Subtotal, Net | 32 | 35 | ||
Minimum | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Weighted average risk free discount rate for financial guarantee insurance contracts | 0.00% | 0.00% | ||
Maximum | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Weighted average risk free discount rate for financial guarantee insurance contracts | 3.68% | 4.44% | ||
[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 $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Millions, unless otherwise specified | ||||
Guarantor Obligations [Line Items] | ' | ' | ||
Loss and LAE reserve | $760 | $592 | ||
Reinsurance recoverable on unpaid losses | -56 | -36 | ||
Loss and LAE reserve, net | 704 | [1] | 556 | [1] |
Salvage and subrogation recoverable | -294 | -174 | ||
Salvage and subrogation payable | 17 | [2] | 19 | [2] |
Salvage and subrogation recoverable, net | -277 | [1] | -155 | [1] |
Subtotal | 427 | 401 | ||
Net reserves (salvage) | 412 | 386 | ||
Net reserves (salvage) - financial guaranty | 427 | [1] | 401 | [1] |
Salvage and subrogation recoverable, net, for all financial guaranty insurance contracts | 165 | 122 | ||
Salvage and subrogation recoverable, net, effect of consolidating FG VIEs | 0 | -49 | ||
Salvage and subrogration recoverable, net, reported on balance sheet | 165 | [3] | 73 | [3] |
Loss and LAE reserve, net, for all financial guaranty insurance contracts | 285 | 363 | ||
Loss and LAE reserve, net, effect of consolidating FG VIEs | -11 | -24 | ||
Loss and LAE reserve, net, reported on balance sheet | 274 | [3] | 339 | [3] |
Consolidated entity excluding variable interest entities (VIE) | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Reinsurance recoverable on unpaid losses | -15 | [4] | ' | |
Salvage and subrogation recoverable, net | -271 | ' | ||
Other recoveries | -15 | [4] | -15 | [4] |
Other | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Less: other (non-financial guaranty business) | -4 | -3 | ||
Financial guaranty insurance | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Net reserves (salvage) - financial guaranty | $416 | $389 | ||
[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] | 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. | |||
[4] | R&W recoverables recorded in other assets on the consolidated balance sheet. |
Financial_Guaranty_Insurance_L4
Financial Guaranty Insurance Losses - Reconciliation of Net Expected Loss to be Paid and Net Expected Loss to be Expensed Insurance Contracts (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Millions, unless otherwise specified | ||||
Guarantor Obligations [Line Items] | ' | ' | ||
Salvage and subrogation recoverable, net of reinsurance | $277 | [1] | $155 | [1] |
Other recoveries | 56 | 36 | ||
Net expected loss to be expensed | 366 | [2] | ' | |
Net expected loss to be expensed related to consolidated financial guaranty VIEs | 88 | ' | ||
Financial guaranty, variable interest entities | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Net expected loss to be paid | 122 | ' | ||
Consolidated entity excluding variable interest entities (VIE) | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Contra-paid, net | 50 | ' | ||
Salvage and subrogation recoverable, net of reinsurance | 271 | ' | ||
Loss and LAE reserve, net of reinsurance | -702 | ' | ||
Other recoveries | 15 | [3] | ' | |
Financial guarantee | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Net expected loss to be paid | 732 | ' | ||
Financial guarantee | Before VIE adjustment | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Net expected loss to be paid | 854 | ' | ||
Financial guaranty insurance | ' | ' | ||
Guarantor Obligations [Line Items] | ' | ' | ||
Net expected loss to be paid | 732 | 741 | ||
Contra-paid, net | 50 | [4],[5] | 39 | [4],[5] |
Net expected loss to be expensed | $366 | [6] | ' | |
[1] | (1)See “Components of Net Reserves (Salvage)†table for loss and LAE reserve and salvage and subrogation recoverable components. | |||
[2] | Consolidation of FG VIEs resulted in reductions of $88 million in net expected loss to be expensed on a present value basis. | |||
[3] | R&W recoverables recorded in other assets on the consolidated balance sheet. | |||
[4] | See Note 6, "Financial Guaranty Insurance Losses– Insurance Contracts' Loss Information" for an explanation of "contra-paid". | |||
[5] | Excludes $128 million and $187 million of deferred premium revenue, and $49 million and $55 million of contra-paid related to FG VIEs as of September 30, 2014 and December 31, 2013, respectively. | |||
[6] | Excludes $88 million as of September 30, 2014, related to consolidated FG VIEs. |
Net_Expected_Loss_to_be_Expens
- Net Expected Loss to be Expensed Insurance Contracts (Details) (USD $) | Sep. 30, 2014 | |
In Millions, unless otherwise specified | ||
Financial Guaranty Insurance Premiums | ' | |
2014 (October 1–December 31) | $11 | |
2015 | 41 | |
2016 | 38 | |
2017 | 30 | |
2018 | 27 | |
2019 - 2023 | 98 | |
2024 - 2028 | 57 | |
2029 - 2033 | 37 | |
After 2033 | 27 | |
Total present value basis | 366 | [1] |
Discount | 374 | |
Total future value | 740 | |
Reduction in net present value of expected loss due to consolidating FG VIEs | 88 | |
Financial guaranty insurance | ' | |
Financial Guaranty Insurance Premiums | ' | |
Total present value basis | $366 | [2] |
[1] | Consolidation of FG VIEs resulted in reductions of $88 million in net expected loss to be expensed on a present value basis. | |
[2] | Excludes $88 million as of September 30, 2014, related to consolidated FG VIEs. |
Loss_and_LAE_Reported_on_the_C
- Loss and LAE Reported on the Consolidated Statements of Operations (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Millions, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Guarantor Obligations [Line Items] | ' | ' | ' | ' |
Subtotal | ($30) | $66 | $75 | $95 |
Effect of consolidating FG VIEs | -14 | -11 | -21 | -26 |
Loss and LAE | -44 | 55 | 54 | 69 |
Financial guaranty insurance | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' |
Subtotal | -30 | 66 | 76 | 95 |
Other | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' |
Subtotal | 0 | 0 | -1 | 0 |
Prime first lien | Financial guaranty insurance | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' |
Subtotal | 0 | 1 | 0 | 1 |
Alt-A first lien | Financial guaranty insurance | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' |
Subtotal | 4 | -7 | 21 | -7 |
Option ARM | Financial guaranty insurance | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' |
Subtotal | 9 | 22 | -21 | -39 |
First mortgage, subprime | Financial guaranty insurance | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' |
Subtotal | -7 | 31 | -5 | 65 |
Total first lien | Financial guaranty insurance | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' |
Subtotal | 6 | 47 | -5 | 20 |
Close ended second lien | Financial guaranty insurance | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' |
Subtotal | 1 | 0 | 0 | 19 |
HELOCs | Financial guaranty insurance | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' |
Subtotal | -45 | -28 | -55 | -44 |
Second lien | Financial guaranty insurance | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' |
Subtotal | -44 | -28 | -55 | -25 |
U.S. RMBS | Financial guaranty insurance | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' |
Subtotal | -38 | 19 | -60 | -5 |
TruPS | Financial guaranty insurance | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' |
Subtotal | 0 | 0 | -1 | -1 |
Other structured finance | Financial guaranty insurance | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' |
Subtotal | 6 | -12 | 26 | -33 |
Structured finance | Financial guaranty insurance | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' |
Subtotal | -32 | 7 | -35 | -39 |
Public Finance U.S. | Financial guaranty insurance | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' |
Subtotal | 3 | 47 | 112 | 121 |
Public Finance Non-U.S. | Financial guaranty insurance | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' |
Subtotal | -1 | 12 | -1 | 13 |
Public finance | Financial guaranty insurance | ' | ' | ' | ' |
Guarantor Obligations [Line Items] | ' | ' | ' | ' |
Subtotal | $2 | $59 | $111 | $134 |
Financial_Guaranty_Insurance_L5
Financial Guaranty Insurance Losses - Financial Guaranty Insurance BIG Transaction Loss Summary (Details) (USD $) | 9 Months Ended | 12 Months Ended | ||
In Millions, unless otherwise specified | Sep. 30, 2014 | Dec. 31, 2013 | ||
risk | risk | |||
Reserves (salvage) | ' | ' | ||
Effect of consolidating FG VIEs | $82 | $18 | ||
Total, Net | 427 | [1] | 401 | [1] |
Financial guaranty insurance | ' | ' | ||
Reserves (salvage) | ' | ' | ||
Total, Net | 416 | 389 | ||
Financial guaranty insurance | BIG 1 | ' | ' | ||
Number of risks | ' | ' | ||
Gross (in contracts) | 176 | [2] | 185 | [2] |
Ceded (in contracts) | -66 | [2] | -72 | [2] |
Remaining weighted average contract period | ' | ' | ||
Gross (in years) | '10 years 6 months 18 days | '10 years 6 months | ||
Ceded (in years) | '7 years 8 months 18 days | '8 years 1 month | ||
Principal | ' | ' | ||
Gross | 12,751 | 15,132 | ||
Ceded | -2,179 | -2,741 | ||
Interest | ' | ' | ||
Gross | 6,919 | 8,114 | ||
Ceded | -877 | -1,144 | ||
Total net outstanding exposure | ' | ' | ||
Gross | 19,670 | [3] | 23,246 | [3] |
Ceded | -3,056 | [3] | -3,885 | [3] |
Expected cash outflows (inflows) | ' | ' | ||
Gross | 1,827 | 1,853 | ||
Ceded | -498 | -528 | ||
Potential recoveries | ' | ' | ||
Gross, Undiscounted R&W | -228 | -105 | ||
Ceded, Undiscounted R&W | 6 | 1 | ||
Gross, Other | -1,698 | [4] | -1,774 | [4] |
Ceded, Other | 479 | [4] | 513 | [4] |
Gross | -1,926 | -1,879 | ||
Ceded | 485 | 514 | ||
Subtotal | ' | ' | ||
Gross | -99 | -26 | ||
Ceded | -13 | -14 | ||
Discount | ' | ' | ||
Gross | 13 | 13 | ||
Ceded | 0 | 0 | ||
Present value of expected cash flows | ' | ' | ||
Gross | -86 | -13 | ||
Ceded | -13 | -14 | ||
Deferred premium revenue | ' | ' | ||
Gross | 465 | 517 | ||
Ceded | -76 | -90 | ||
Reserves (salvage) | ' | ' | ||
Gross | -179 | [5] | -114 | [5] |
Ceded | 0 | [5] | 1 | [5] |
Financial guaranty insurance | BIG 2 | ' | ' | ||
Number of risks | ' | ' | ||
Gross (in contracts) | 79 | [2] | 80 | [2] |
Ceded (in contracts) | -22 | [2] | -24 | [2] |
Remaining weighted average contract period | ' | ' | ||
Gross (in years) | '8 years 9 months 18 days | '8 years 3 months | ||
Ceded (in years) | '7 years 6 months 0 days | '5 years 11 months | ||
Principal | ' | ' | ||
Gross | 3,169 | 2,483 | ||
Ceded | -383 | -160 | ||
Interest | ' | ' | ||
Gross | 1,470 | 1,181 | ||
Ceded | -142 | -53 | ||
Total net outstanding exposure | ' | ' | ||
Gross | 4,639 | [3] | 3,664 | [3] |
Ceded | -525 | [3] | -213 | [3] |
Expected cash outflows (inflows) | ' | ' | ||
Gross | 703 | 1,038 | ||
Ceded | -58 | -40 | ||
Potential recoveries | ' | ' | ||
Gross, Undiscounted R&W | -28 | -201 | ||
Ceded, Undiscounted R&W | 1 | 8 | ||
Gross, Other | -259 | [4] | -470 | [4] |
Ceded, Other | 16 | [4] | 19 | [4] |
Gross | -287 | -671 | ||
Ceded | 17 | 27 | ||
Subtotal | ' | ' | ||
Gross | 416 | 367 | ||
Ceded | -41 | -13 | ||
Discount | ' | ' | ||
Gross | -125 | -126 | ||
Ceded | 8 | 3 | ||
Present value of expected cash flows | ' | ' | ||
Gross | 291 | 241 | ||
Ceded | -33 | -10 | ||
Deferred premium revenue | ' | ' | ||
Gross | 110 | 163 | ||
Ceded | -5 | -7 | ||
Reserves (salvage) | ' | ' | ||
Gross | 200 | [5] | 117 | [5] |
Ceded | -28 | [5] | -4 | [5] |
Financial guaranty insurance | BIG 3 | ' | ' | ||
Number of risks | ' | ' | ||
Gross (in contracts) | 116 | [2] | 119 | [2] |
Ceded (in contracts) | -35 | [2] | -34 | [2] |
Remaining weighted average contract period | ' | ' | ||
Gross (in years) | '9 years 9 months 18 days | '9 years 9 months | ||
Ceded (in years) | '7 years 3 months 18 days | '7 years 2 months | ||
Principal | ' | ' | ||
Gross | 3,020 | 3,189 | ||
Ceded | -150 | -158 | ||
Interest | ' | ' | ||
Gross | 1,172 | 1,244 | ||
Ceded | -49 | -52 | ||
Total net outstanding exposure | ' | ' | ||
Gross | 4,192 | [3] | 4,433 | [3] |
Ceded | -199 | [3] | -210 | [3] |
Expected cash outflows (inflows) | ' | ' | ||
Gross | 1,729 | 1,681 | ||
Ceded | -73 | -62 | ||
Potential recoveries | ' | ' | ||
Gross, Undiscounted R&W | -311 | -356 | ||
Ceded, Undiscounted R&W | 13 | 13 | ||
Gross, Other | -379 | [4] | -351 | [4] |
Ceded, Other | 28 | [4] | 19 | [4] |
Gross | -690 | -707 | ||
Ceded | 41 | 32 | ||
Subtotal | ' | ' | ||
Gross | 1,039 | 974 | ||
Ceded | -32 | -30 | ||
Discount | ' | ' | ||
Gross | -320 | -352 | ||
Ceded | 8 | 5 | ||
Present value of expected cash flows | ' | ' | ||
Gross | 719 | 622 | ||
Ceded | -24 | -25 | ||
Deferred premium revenue | ' | ' | ||
Gross | 275 | 303 | ||
Ceded | -26 | -27 | ||
Reserves (salvage) | ' | ' | ||
Gross | 516 | [5] | 420 | [5] |
Ceded | -11 | [5] | -13 | [5] |
Financial guaranty insurance | Below investment grade (BIG) | ' | ' | ||
Number of risks | ' | ' | ||
Total BIG, Net (in contracts) | 371 | [2] | 384 | [2] |
Total (in contracts) | 371 | [2] | 384 | [2] |
Remaining weighted average contract period | ' | ' | ||
Total BIG, Net (in years) | '10 years 6 months 0 days | '10 years 6 months | ||
Total (in years) | '10 years 6 months 0 days | '10 years 6 months | ||
Principal | ' | ' | ||
Total BIG, Net | 16,228 | 17,745 | ||
Total | 16,228 | 17,745 | ||
Interest | ' | ' | ||
Total BIG, Net | 8,493 | 9,290 | ||
Total | 8,493 | 9,290 | ||
Total net outstanding exposure | ' | ' | ||
Total BIG, Net | 24,721 | [3] | 27,035 | [3] |
Total | 24,721 | [3] | 27,035 | [3] |
Expected cash outflows (inflows) | ' | ' | ||
Total BIG, Net | 3,630 | 3,942 | ||
Effect of Consolidating FG VIEs | -364 | -690 | ||
Total | 3,266 | 3,252 | ||
Potential recoveries | ' | ' | ||
Total BIG, Net, Undiscounted R&W | -547 | -640 | ||
Effect of Consolidating FG VIEs, Undiscounted R&W | 12 | 72 | ||
Total, Undiscounted R&W | -535 | -568 | ||
Total BIG, Other | -1,813 | [4] | -2,044 | [4] |
Effect of Consolidating FG VIEs, Other | 188 | [4] | 507 | [4] |
Total, Other | -1,625 | [4] | -1,537 | [4] |
Total BIG, Net | -2,360 | -2,684 | ||
Effect of Consolidating FG VIEs | 200 | 579 | ||
Total | -2,160 | -2,105 | ||
Subtotal | ' | ' | ||
Total BIG, NET | 1,270 | 1,258 | ||
Effect of Consolidating FG VIEs | -164 | -111 | ||
Total | 1,106 | 1,147 | ||
Discount | ' | ' | ||
Total BIG, Net | -416 | -457 | ||
Effect of Consolidating FG VIEs | 42 | 51 | ||
Total | -374 | -406 | ||
Present value of expected cash flows | ' | ' | ||
Net expected loss to be paid | 854 | 801 | ||
Less: net expected loss to be paid for FG VIEs | -122 | -60 | ||
Total | 732 | 741 | ||
Deferred premium revenue | ' | ' | ||
Total BIG, Net | 743 | 859 | ||
Effect of Consolidating FG VIEs | -120 | -178 | ||
Total | 623 | 681 | ||
Reserves (salvage) | ' | ' | ||
Total BIG, Net | 498 | [5] | 407 | [5] |
Effect of consolidating FG VIEs | -82 | [5] | -18 | [5] |
Total, Net | $416 | [5] | $389 | [5] |
[1] | (1)See “Components of Net Reserves (Salvage)†table for loss and LAE reserve and salvage and subrogation recoverable components. | |||
[2] | 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 excess spread and draws on HELOCs. | |||
[5] | See table “Components of net reserves (salvage).†|
Financial_Guaranty_Insurance_L6
Financial Guaranty Insurance Losses - Other (Details) (USD $) | 9 Months Ended |
Sep. 30, 2014 | |
Guarantor Obligations [Line Items] | ' |
Guaranteed investment contract, aggregate accreted balance | 2,400,000,000 |
Assets of GIC issuers, aggregate accreted principal | 3,500,000,000 |
Assets of GIC issuers, aggregate market value | 3,300,000,000 |
AGM | ' |
Guarantor Obligations [Line Items] | ' |
Maximum possible estimated termination payment on swap obligations after taking account the rating downgrade in January 2013 | 120,000,000 |
Maximum possible estimated termination payment on swap obligations after taking account the possibility of further rating downgrades | 353,000,000 |
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 | 5,200,000,000 |
Financial guaranty insurance contracts, principal amount BBB- or below | 200,000,000 |
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 $) | 9 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 12 Months Ended | |||||||||||||||||||||||||
In Millions, unless otherwise specified | Sep. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | ||||||||
Security | Minimum | Minimum | Maximum | Maximum | CDS contracts | CDS contracts | CDS contracts | CDS contracts | CDS contracts | CDS contracts | CDS contracts | CDS contracts | CDS contracts | CDS contracts | CDS contracts | CDS contracts | Scenario 1 | Scenario 1 | Scenario 2 | Scenario 2 | Level 3 | Level 3 | Level 2 | Level 2 | |||||||||||
source | Based on actual collateral specific spreads | Based on actual collateral specific spreads | Based on market indices | Based on market indices | Provided by the CDS counterparty | Provided by the CDS counterparty | Minimum | Minimum | Maximum | Maximum | CDS contracts | CDS contracts | CDS contracts | CDS contracts | Fair value measurement on recurring basis | Fair value measurement on recurring basis | Fair value measurement on recurring basis | Fair value measurement on recurring basis | |||||||||||||||||
AGC | AGC | ||||||||||||||||||||||||||||||||||
Credit Derivatives | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||
Number of fixed maturity securities valued using model processes | 42 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||
Percentage of fixed maturity securities valued using model processes to the Company's fixed-income securities and short-term investments at fair value | 8.10% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||
Fixed maturity securities | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $913 | $730 | $9,572 | $8,981 | ||||||||
Other investments | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $93 | ' | ||||||||
Discount factor (as a percent) | ' | ' | ' | 0.00% | 0.00% | 3.68% | 4.44% | ' | ' | ' | ' | ' | ' | ' | ' | 0.15% | 0.21% | 3.18% | 3.88% | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||
Gross spread percentage | ' | ' | ' | ' | ' | ' | ' | 100.00% | [1] | 100.00% | [1] | 8.00% | [1] | 6.00% | [1] | 84.00% | [1] | 88.00% | [1] | 8.00% | [1] | 6.00% | [1] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Number of sources of credit spread | ' | ' | ' | ' | ' | ' | ' | 3 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||
Percentage of CDS contracts which are fair valued using minimum premium | 58.00% | 28.00% | 61.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||
Original gross spread/cash bond price (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1.85% | ' | 5.00% | ' | ' | ' | ' | ' | ||||||||
Bank profit (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1.15% | ' | 0.50% | ' | ' | ' | ' | ' | ||||||||
Hedge cost (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0.30% | ' | 4.40% | ' | ' | ' | ' | ' | ||||||||
The Company premium received per annum (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0.40% | ' | 0.10% | ' | ' | ' | ' | ' | ||||||||
Bank profit as % of total | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 62.00% | ' | 10.00% | ' | ' | ' | ' | ' | ||||||||
Hedge cost as % of total | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 16.00% | ' | 88.00% | ' | ' | ' | ' | ' | ||||||||
Premium received per annum as % of total | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 22.00% | ' | 2.00% | ' | ' | ' | ' | ' | ||||||||
Percentage of exposure hedged | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 10.00% | ' | 25.00% | ' | ' | ' | ' | ||||||||
[1] | Based on par. |
Fair_Value_Measurement_Carried
Fair Value Measurement - Carried at Fair Value (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Millions, unless otherwise specified | ||||
Assets: | ' | ' | ||
Short-term investments | $837 | $904 | ||
Other invested assets | 127 | 170 | ||
Credit derivative assets | 86 | 94 | ||
FG VIEs' assets, at fair value | 1,296 | 2,565 | ||
Liabilities: | ' | ' | ||
Credit derivative liabilities | 1,654 | 1,787 | ||
FG VIEs' liabilities with recourse, at fair value | 1,326 | 1,790 | ||
FG VIEs' liabilities without recourse, at fair value | 133 | 1,081 | ||
Fair value measurement on recurring basis | Estimated Fair Value | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 10,485 | 9,711 | ||
Short-term investments | 837 | 904 | ||
Other invested assets | 99 | [1] | 127 | [1] |
Credit derivative assets | 86 | 94 | ||
FG VIEs' assets, at fair value | 1,296 | 2,565 | ||
Other assets | 77 | 84 | ||
Total assets carried at fair value | 12,880 | 13,485 | ||
Liabilities: | ' | ' | ||
Credit derivative liabilities | 1,654 | 1,787 | ||
FG VIEs' liabilities with recourse, at fair value | 1,326 | 1,790 | ||
FG VIEs' liabilities without recourse, at fair value | 133 | 1,081 | ||
Total liabilities carried at fair value | 3,113 | 4,658 | ||
Fair value measurement on recurring basis | Estimated Fair Value | Obligations of state and political subdivisions | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 5,615 | 5,079 | ||
Fair value measurement on recurring basis | Estimated Fair Value | U.S. government and agencies | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 560 | 700 | ||
Fair value measurement on recurring basis | Estimated Fair Value | Corporate securities | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 1,380 | 1,340 | ||
Fair value measurement on recurring basis | Estimated Fair Value | RMBS | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 1,416 | 1,122 | ||
Fair value measurement on recurring basis | Estimated Fair Value | CMBS | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 703 | 549 | ||
Fair value measurement on recurring basis | Estimated Fair Value | Asset-backed securities | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 501 | 608 | ||
Fair value measurement on recurring basis | Estimated Fair Value | Foreign government securities | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 310 | 313 | ||
Fair value measurement on recurring basis | Level 1 | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 0 | 0 | ||
Short-term investments | 465 | 506 | ||
Other invested assets | 0 | [1] | 0 | [1] |
Credit derivative assets | 0 | 0 | ||
FG VIEs' assets, at fair value | 0 | 0 | ||
Other assets | 25 | 27 | ||
Total assets carried at fair value | 490 | 533 | ||
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 | 9,572 | 8,981 | ||
Short-term investments | 372 | 398 | ||
Other invested assets | 17 | [1] | 119 | [1] |
Credit derivative assets | 0 | 0 | ||
FG VIEs' assets, at fair value | 0 | 0 | ||
Other assets | 17 | 11 | ||
Total assets carried at fair value | 9,978 | 9,509 | ||
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 | 5,577 | 5,043 | ||
Fair value measurement on recurring basis | Level 2 | U.S. government and agencies | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 560 | 700 | ||
Fair value measurement on recurring basis | Level 2 | Corporate securities | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 1,283 | 1,204 | ||
Fair value measurement on recurring basis | Level 2 | RMBS | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 904 | 832 | ||
Fair value measurement on recurring basis | Level 2 | CMBS | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 703 | 549 | ||
Fair value measurement on recurring basis | Level 2 | Asset-backed securities | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 235 | 340 | ||
Fair value measurement on recurring basis | Level 2 | Foreign government securities | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 310 | 313 | ||
Fair value measurement on recurring basis | Level 3 | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 913 | 730 | ||
Short-term investments | 0 | 0 | ||
Other invested assets | 82 | [1] | 8 | [1] |
Credit derivative assets | 86 | 94 | ||
FG VIEs' assets, at fair value | 1,296 | 2,565 | ||
Other assets | 35 | 46 | ||
Total assets carried at fair value | 2,412 | 3,443 | ||
Liabilities: | ' | ' | ||
Credit derivative liabilities | 1,654 | 1,787 | ||
FG VIEs' liabilities with recourse, at fair value | 1,326 | 1,790 | ||
FG VIEs' liabilities without recourse, at fair value | 133 | 1,081 | ||
Total liabilities carried at fair value | 3,113 | 4,658 | ||
Fair value measurement on recurring basis | Level 3 | Obligations of state and political subdivisions | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 38 | 36 | ||
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 | 97 | 136 | ||
Fair value measurement on recurring basis | Level 3 | RMBS | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 512 | 290 | ||
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 | 266 | 268 | ||
Fair value measurement on recurring basis | Level 3 | Foreign government securities | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | $0 | $0 | ||
[1] | Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis. |
Fair_Value_Measurement_Fair_Va
Fair Value Measurement - Fair Value Level 3 Rollforward Recurring Basis (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||||||
In Millions, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | ||||
FG VIEs' liabilities with recourse, at fair value | ' | ' | ' | ' | ||||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' | ||||
Fair value at beginning of period | ($1,366) | ($1,940) | ($1,790) | ($2,090) | ||||
Net income (loss) | 7 | 28 | -90 | -135 | ||||
Other comprehensive income (loss) | 0 | 0 | 0 | 0 | ||||
Purchases | 0 | 0 | 0 | 0 | ||||
Settlements | 33 | 84 | 332 | 274 | ||||
FG VIE consolidations | 0 | 0 | -25 | -12 | ||||
FG VIE deconsolidations | 0 | 0 | 247 | 135 | ||||
Fair value at end of period | -1,326 | -1,828 | -1,326 | -1,828 | ||||
Change in unrealized gains/(losses) related to financial instruments held | 6 | 24 | -46 | -141 | ||||
FG VIEs' liabilities without recourse, at fair value | ' | ' | ' | ' | ||||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' | ||||
Fair value at beginning of period | -124 | -1,134 | -1,081 | -1,051 | ||||
Net income (loss) | -13 | 35 | -49 | -157 | ||||
Other comprehensive income (loss) | 0 | 0 | 0 | 0 | ||||
Purchases | 0 | 0 | 0 | 0 | ||||
Settlements | 4 | 36 | 16 | 135 | ||||
FG VIE consolidations | 0 | 0 | -21 | -37 | ||||
FG VIE deconsolidations | 0 | 16 | 1,002 | 63 | ||||
Fair value at end of period | -133 | -1,047 | -133 | -1,047 | ||||
Change in unrealized gains/(losses) related to financial instruments held | -5 | -20 | -10 | -246 | ||||
Credit Derivative, Asset, Liability Net | ' | ' | ' | ' | ||||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | ' | ' | ' | ' | ||||
Fair value at beginning of period | -1,837 | [1] | -2,248 | [1] | -1,693 | [1] | -1,793 | [1] |
Net income (loss) | 255 | [1],[2],[3] | 354 | [1],[2],[3] | 147 | [1],[2],[3] | -164 | [1],[2],[3] |
Other comprehensive income (loss) | 0 | [1],[2] | 0 | [1],[2] | 0 | [1],[2] | 0 | [1],[2] |
Purchases | 0 | [1] | 0 | [1] | 0 | [1] | 0 | [1] |
Settlements | 14 | [1] | -27 | [1] | -22 | [1] | 36 | [1] |
FG VIE consolidations | 0 | 0 | 0 | 0 | ||||
FG VIE deconsolidations | 0 | 0 | 0 | 0 | ||||
Fair value at end of period | -1,568 | [1] | -1,921 | [1] | -1,568 | [1] | -1,921 | [1] |
Change in unrealized gains/(losses) related to financial instruments held | 98 | [1] | 331 | [1] | -47 | [1] | 14 | [1] |
Obligations of state and political subdivisions | ' | ' | ' | ' | ||||
Fair Value Level 3 Rollforward | ' | ' | ' | ' | ||||
Fair value at beginning of period | 38 | 36 | 36 | 35 | ||||
Net Income (loss) | 1 | [2],[4] | 0 | [2],[4] | 3 | [2],[4] | 1 | [2],[4] |
Other comprehensive income (loss) | -1 | [2] | 6 | [2] | 0 | [2] | 7 | [2] |
Purchases | 0 | 0 | 0 | 0 | ||||
Settlements | 0 | -1 | -1 | -2 | ||||
FG VIE Consolidations | 0 | 0 | 0 | 0 | ||||
FG VIE deconsolidations | 0 | 0 | 0 | 0 | ||||
Fair value at end of period | 38 | 41 | 38 | 41 | ||||
Change in unrealized gains/(losses) related to financial instruments held | -1 | 5 | 0 | 7 | ||||
Corporate securities | ' | ' | ' | ' | ||||
Fair Value Level 3 Rollforward | ' | ' | ' | ' | ||||
Fair value at beginning of period | 106 | 0 | 136 | 0 | ||||
Net Income (loss) | -14 | [2],[4] | 1 | [2],[4] | -18 | [2],[4] | 1 | [2],[4] |
Other comprehensive income (loss) | 5 | [2] | 4 | [2] | -16 | [2] | 4 | [2] |
Purchases | 0 | 130 | 0 | 130 | ||||
Settlements | 0 | -3 | -5 | -3 | ||||
FG VIE Consolidations | 0 | 0 | 0 | 0 | ||||
FG VIE deconsolidations | 0 | 0 | 0 | 0 | ||||
Fair value at end of period | 97 | 132 | 97 | 132 | ||||
Change in unrealized gains/(losses) related to financial instruments held | 5 | 4 | -16 | 4 | ||||
RMBS | ' | ' | ' | ' | ||||
Fair Value Level 3 Rollforward | ' | ' | ' | ' | ||||
Fair value at beginning of period | 350 | 276 | 290 | 219 | ||||
Net Income (loss) | 6 | [2],[4] | 4 | [2],[4] | 16 | [2],[4] | 15 | [2],[4] |
Other comprehensive income (loss) | 12 | [2] | 12 | [2] | 26 | [2] | 16 | [2] |
Purchases | 159 | 9 | 212 | 79 | ||||
Settlements | -15 | -14 | -45 | -42 | ||||
FG VIE Consolidations | 0 | 0 | 0 | 0 | ||||
FG VIE deconsolidations | 0 | 0 | 13 | 0 | ||||
Fair value at end of period | 512 | 287 | 512 | 287 | ||||
Change in unrealized gains/(losses) related to financial instruments held | 12 | 12 | 25 | 16 | ||||
Asset-backed securities | ' | ' | ' | ' | ||||
Fair Value Level 3 Rollforward | ' | ' | ' | ' | ||||
Fair value at beginning of period | 254 | 300 | 268 | 306 | ||||
Net Income (loss) | 3 | [2],[4] | 6 | [2],[4] | 13 | [2],[4] | 15 | [2],[4] |
Other comprehensive income (loss) | 9 | [2] | -2 | [2] | 17 | [2] | -24 | [2] |
Purchases | 0 | 38 | 0 | 49 | ||||
Settlements | 0 | -2 | -32 | -6 | ||||
FG VIE Consolidations | 0 | 0 | 0 | 0 | ||||
FG VIE deconsolidations | 0 | 0 | 0 | 0 | ||||
Fair value at end of period | 266 | 340 | 266 | 340 | ||||
Change in unrealized gains/(losses) related to financial instruments held | 9 | -2 | 16 | -23 | ||||
Other invested assets | ' | ' | ' | ' | ||||
Fair Value Level 3 Rollforward | ' | ' | ' | ' | ||||
Fair value at beginning of period | 49 | 2 | 2 | 1 | ||||
Net Income (loss) | 0 | [2],[4] | 0 | [2],[4] | 0 | [2],[4] | -1 | [2],[4] |
Other comprehensive income (loss) | 2 | [2] | 0 | [2] | 4 | [2] | 2 | [2] |
Purchases | 25 | 0 | 70 | 0 | ||||
Settlements | 0 | -2 | 0 | -2 | ||||
FG VIE Consolidations | 0 | 0 | 0 | 0 | ||||
FG VIE deconsolidations | 0 | 0 | 0 | 0 | ||||
Fair value at end of period | 76 | 0 | 76 | 0 | ||||
Change in unrealized gains/(losses) related to financial instruments held | 2 | 0 | 4 | 2 | ||||
FG VIEs' assets, at fair value | ' | ' | ' | ' | ||||
Fair Value Level 3 Rollforward | ' | ' | ' | ' | ||||
Fair value at beginning of period | 1,284 | 2,674 | 2,565 | 2,688 | ||||
Net Income (loss) | 43 | [2],[4] | -30 | [2],[4] | 160 | [2],[4] | 526 | [2],[4] |
Other comprehensive income (loss) | 0 | [2] | 0 | [2] | 0 | [2] | 0 | [2] |
Purchases | 0 | 0 | 0 | 0 | ||||
Settlements | -31 | -113 | -346 | -553 | ||||
FG VIE Consolidations | 0 | 0 | 46 | 48 | ||||
FG VIE deconsolidations | 0 | -16 | -1,129 | -194 | ||||
Fair value at end of period | 1,296 | 2,515 | 1,296 | 2,515 | ||||
Change in unrealized gains/(losses) related to financial instruments held | 55 | 20 | 120 | 450 | ||||
Other assets | ' | ' | ' | ' | ||||
Fair Value Level 3 Rollforward | ' | ' | ' | ' | ||||
Fair value at beginning of period | 31 | 23 | 46 | 36 | ||||
Net Income (loss) | 4 | [2],[4] | 9 | [2],[4] | -11 | [2],[4] | -4 | [2],[4] |
Other comprehensive income (loss) | 0 | [2] | 0 | [2] | 0 | [2] | 0 | [2] |
Purchases | 0 | 0 | 0 | 0 | ||||
Settlements | 0 | 0 | 0 | 0 | ||||
FG VIE Consolidations | 0 | 0 | 0 | 0 | ||||
FG VIE deconsolidations | 0 | 0 | 0 | 0 | ||||
Fair value at end of period | 35 | 32 | 35 | 32 | ||||
Change in unrealized gains/(losses) related to financial instruments held | $4 | $9 | ($11) | ($4) | ||||
[1] | Represents net position of credit derivatives. The consolidated balance sheet presents gross assets and liabilities based on net counterparty exposure. | |||||||
[2] | 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. | |||||||
[3] | Reported in net change in fair value of credit derivatives. | |||||||
[4] | Included in net realized investment gains (losses) and net investment income. |
Fair_Value_Measurement_Quantit
Fair Value Measurement - Quantitative Information - Assets (Details) (USD $) | 9 Months Ended | 12 Months Ended | ||
In Millions, except Per Share data, unless otherwise specified | Sep. 30, 2014 | Dec. 31, 2013 | ||
Minimum | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Discount factor (as a percent) | 0.00% | 0.00% | ||
Maximum | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Discount factor (as a percent) | 3.68% | 4.44% | ||
Obligations of state and political subdivisions | Income Approach Valuation Technique | Level 3 | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Asset, fair value | 38 | [1] | 36 | [1] |
Obligations of state and political subdivisions | Minimum | Income Approach Valuation Technique | Level 3 | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Rate of inflation (as a percent) | 1.00% | 1.00% | ||
Cash flow receipts (as a percent) | 0.50% | 0.50% | ||
Discount factor (as a percent) | ' | 4.60% | ||
Yield (as a percent) | 4.60% | ' | ||
Collateral recovery period (in years) | '3 months | '1 month | ||
Obligations of state and political subdivisions | Maximum | Income Approach Valuation Technique | Level 3 | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Rate of inflation (as a percent) | 3.00% | 3.00% | ||
Cash flow receipts (as a percent) | 73.40% | 60.90% | ||
Discount factor (as a percent) | ' | 9.00% | ||
Yield (as a percent) | 8.00% | ' | ||
Collateral recovery period (in years) | '34 years | '10 years | ||
Obligations of state and political subdivisions | Weighted Average | Income Approach Valuation Technique | Level 3 | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Rate of inflation (as a percent) | 2.00% | 2.00% | ||
Cash flow receipts (as a percent) | 62.20% | 51.10% | ||
Discount factor (as a percent) | ' | 8.00% | ||
Yield (as a percent) | 7.30% | ' | ||
Collateral recovery period (in years) | '28 years | '3 years | ||
Corporate securities | Income Approach Valuation Technique | Level 3 | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Asset, fair value | 97 | [1] | 136 | [1] |
Yield (as a percent) | 13.90% | 8.30% | ||
RMBS | Income Approach Valuation Technique | Level 3 | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Asset, fair value | 512 | [1] | 290 | [1] |
RMBS | Minimum | Income Approach Valuation Technique | Level 3 | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield (as a percent) | 0.80% | 2.50% | ||
Conditional prepayment rate (as a percent) | 0.30% | 1.00% | ||
Conditional default rate (as a percent) | 2.50% | 5.00% | ||
Loss severity rate (as a percent) | 30.10% | 48.10% | ||
RMBS | Maximum | Income Approach Valuation Technique | Level 3 | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield (as a percent) | 11.50% | 9.40% | ||
Conditional prepayment rate (as a percent) | 31.30% | 15.80% | ||
Conditional default rate (as a percent) | 13.10% | 25.80% | ||
Loss severity rate (as a percent) | 100.00% | 102.50% | ||
RMBS | Weighted Average | Income Approach Valuation Technique | Level 3 | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield (as a percent) | 7.50% | 5.70% | ||
Conditional prepayment rate (as a percent) | 3.00% | 4.10% | ||
Conditional default rate (as a percent) | 6.10% | 17.90% | ||
Loss severity rate (as a percent) | 82.20% | 87.20% | ||
Investor Owned Utilities | Income Approach Valuation Technique | Level 3 | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Asset, fair value | 123 | [1] | 141 | [1] |
Discount factor (as a percent) | 7.00% | 15.30% | ||
Collateral recovery period (in years) | '4 years | ' | ||
Investor Owned Utilities | Minimum | Income Approach Valuation Technique | Level 3 | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Collateral recovery period (in years) | ' | '12 months | ||
Liquidation value | ' | 195 | ||
Years to liquidation | ' | '0 years | ||
Investor Owned Utilities | Maximum | Income Approach Valuation Technique | Level 3 | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Collateral recovery period (in years) | ' | '6 years | ||
Liquidation value | ' | 245 | ||
Years to liquidation | ' | '3 years | ||
Investor Owned Utilities | Weighted Average | Income Approach Valuation Technique | Level 3 | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Collateral recovery period (in years) | ' | '3 years 6 months | ||
Liquidation value | ' | 228 | ||
Years to liquidation | ' | '2 years | ||
Asset Backed Securities Other | Income Approach Valuation Technique | Level 3 | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Asset, fair value | 143 | [1] | 127 | [1] |
Yield (as a percent) | 7.50% | 12.50% | ||
Other invested assets | Income Approach Valuation Technique | Level 3 | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Asset, fair value | 82 | [1] | 8 | [1] |
Liquidity discount (as a percent) | 20.00% | ' | ||
Recovery on delinquent loans (as a percent) | 40.00% | ' | ||
Other invested assets | Minimum | Income Approach Valuation Technique | Level 3 | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Conditional prepayment rate (as a percent) | 5.00% | 6.00% | ||
Conditional default rate (as a percent) | 0.00% | 1.00% | ||
Loss severity rate (as a percent) | 40.00% | 40.00% | ||
Liquidity discount (as a percent) | ' | 10.00% | ||
Recovery on delinquent loans (as a percent) | ' | 20.00% | ||
Net asset value (per share) | 1,085 | ' | ||
Other invested assets | Maximum | Income Approach Valuation Technique | Level 3 | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Conditional prepayment rate (as a percent) | 15.00% | 15.00% | ||
Conditional default rate (as a percent) | 7.00% | 10.00% | ||
Loss severity rate (as a percent) | 90.00% | 90.00% | ||
Liquidity discount (as a percent) | ' | 20.00% | ||
Recovery on delinquent loans (as a percent) | ' | 60.00% | ||
Net asset value (per share) | 1,091 | ' | ||
Other invested assets | Weighted Average | Income Approach Valuation Technique | Level 3 | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Conditional prepayment rate (as a percent) | 12.10% | 13.10% | ||
Conditional default rate (as a percent) | 6.20% | 3.20% | ||
Loss severity rate (as a percent) | 76.30% | 73.50% | ||
Liquidity discount (as a percent) | ' | 20.00% | ||
Recovery on delinquent loans (as a percent) | ' | 40.00% | ||
Net asset value (per share) | 1,088 | ' | ||
Financial guaranty, variable interest entities | Income Approach Valuation Technique | Level 3 | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Asset, fair value | 1,296 | [1] | 2,565 | [1] |
Financial guaranty, variable interest entities | Minimum | Income Approach Valuation Technique | Level 3 | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield (as a percent) | 2.50% | 3.50% | ||
Conditional prepayment rate (as a percent) | 0.00% | 0.30% | ||
Conditional default rate (as a percent) | 1.20% | 3.00% | ||
Loss severity rate (as a percent) | 45.00% | 37.50% | ||
Financial guaranty, variable interest entities | Maximum | Income Approach Valuation Technique | Level 3 | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield (as a percent) | 17.60% | 10.20% | ||
Conditional prepayment rate (as a percent) | 11.40% | 11.80% | ||
Conditional default rate (as a percent) | 13.30% | 25.80% | ||
Loss severity rate (as a percent) | 100.00% | 102.00% | ||
Financial guaranty, variable interest entities | Weighted Average | Income Approach Valuation Technique | Level 3 | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield (as a percent) | 8.30% | 5.40% | ||
Conditional prepayment rate (as a percent) | 3.60% | 3.60% | ||
Conditional default rate (as a percent) | 6.50% | 13.60% | ||
Loss severity rate (as a percent) | 85.40% | 94.60% | ||
Other Assets | Income Approach Valuation Technique | Level 3 | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Asset, fair value | 35 | [1] | 46 | [1] |
Other Assets | Minimum | Income Approach Valuation Technique | Level 3 | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Quotes from third party pricing (in dollars per share) | 52 | 47 | ||
Other Assets | Maximum | Income Approach Valuation Technique | Level 3 | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Quotes from third party pricing (in dollars per share) | 61 | 53 | ||
Other Assets | Weighted Average | Income Approach Valuation Technique | Level 3 | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Quotes from third party pricing (in dollars per share) | 56.5 | 50 | ||
[1] | (1)Discounted cash flow is used as valuation technique for all financial instruments. |
Fair_Value_Measurement_Quantit1
Fair Value Measurement -Quantitative Information - Liabilities (Details) (Income Approach Valuation Technique, Level 3, USD $) | 9 Months Ended | 12 Months Ended | ||
In Millions, unless otherwise specified | Sep. 30, 2014 | Dec. 31, 2013 | ||
Credit derivative liabilities, net | ' | ' | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ' | ' | ||
Total liabilities carried at fair value | -1,568 | [1] | -1,693 | [1] |
Credit derivative liabilities, net | Minimum | ' | ' | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ' | ' | ||
Internal floor (as a percent) | 700.00% | 700.00% | ||
Bank profit (as a percent) | 100.00% | 100.00% | ||
Hedge cost (as a percent) | 3000.00% | 4630.00% | ||
Year 1 loss estimates (as a percent) | 0.00% | 0.00% | ||
Credit derivative liabilities, net | Maximum | ' | ' | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ' | ' | ||
Internal floor (as a percent) | 10000.00% | 10000.00% | ||
Bank profit (as a percent) | 145090.00% | 141850.00% | ||
Hedge cost (as a percent) | 34500.00% | 52500.00% | ||
Year 1 loss estimates (as a percent) | 63.00% | 48.00% | ||
Credit derivative liabilities, net | Weighted Average | ' | ' | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ' | ' | ||
Internal floor (as a percent) | 1390.00% | 1560.00% | ||
Bank profit (as a percent) | 11350.00% | 25040.00% | ||
Hedge cost (as a percent) | 7330.00% | 11010.00% | ||
Year 1 loss estimates (as a percent) | 2.10% | 1.90% | ||
Financial guaranty, variable interest entities | ' | ' | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ' | ' | ||
Total liabilities carried at fair value | -1,459 | [1] | -2,871 | [1] |
Financial guaranty, variable interest entities | Minimum | ' | ' | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ' | ' | ||
Loss severity rate (as a percent) | 45.00% | 37.50% | ||
Conditional default rate (as a percent) | 1.20% | 3.00% | ||
Conditional prepayment rate (as a percent) | 0.00% | 0.30% | ||
Yield (as a percent) | 2.50% | 3.50% | ||
Financial guaranty, variable interest entities | Maximum | ' | ' | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ' | ' | ||
Loss severity rate (as a percent) | 100.00% | 102.00% | ||
Conditional default rate (as a percent) | 13.30% | 25.80% | ||
Conditional prepayment rate (as a percent) | 11.40% | 11.80% | ||
Yield (as a percent) | 7.70% | 10.20% | ||
Financial guaranty, variable interest entities | Weighted Average | ' | ' | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ' | ' | ||
Loss severity rate (as a percent) | 85.40% | 94.60% | ||
Conditional default rate (as a percent) | 6.50% | 13.60% | ||
Conditional prepayment rate (as a percent) | 3.60% | 3.60% | ||
Yield (as a percent) | 5.20% | 5.40% | ||
[1] | (1)Discounted cash flow is used as valuation technique for all financial instruments. |
Fair_Value_Measurement_Fair_Va1
Fair Value Measurement - Fair Value of Financial Instruments (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Millions, unless otherwise specified | ||||
Assets: | ' | ' | ||
Short-term investments | $837 | $904 | ||
Other invested assets | 127 | 170 | ||
Credit derivative assets | 86 | 94 | ||
FG VIEs' assets, at fair value | 1,296 | 2,565 | ||
Liabilities: | ' | ' | ||
Credit derivative liabilities | 1,654 | 1,787 | ||
FG VIEs' liabilities with recourse, at fair value | 1,326 | 1,790 | ||
FG VIEs' liabilities without recourse, at fair value | 133 | 1,081 | ||
Carrying Amount | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 10,485 | 9,711 | ||
Short-term investments | 837 | 904 | ||
Other invested assets | 108 | 147 | ||
Credit derivative assets | 86 | 94 | ||
FG VIEs' assets, at fair value | 1,296 | 2,565 | ||
Other assets | 213 | 179 | ||
Liabilities: | ' | ' | ||
Financial guaranty insurance contracts | 3,586 | [1] | 3,783 | [1] |
Long-term debt | 1,303 | 816 | ||
Credit derivative liabilities | 1,654 | 1,787 | ||
FG VIEs' liabilities with recourse, at fair value | 1,326 | 1,790 | ||
FG VIEs' liabilities without recourse, at fair value | 133 | 1,081 | ||
Other liabilities | 107 | 36 | ||
Estimated Fair Value | ' | ' | ||
Assets: | ' | ' | ||
Fixed maturity securities | 10,485 | 9,711 | ||
Short-term investments | 837 | 904 | ||
Other invested assets | 111 | 155 | ||
Credit derivative assets | 86 | 94 | ||
FG VIEs' assets, at fair value | 1,296 | 2,565 | ||
Other assets | 213 | 179 | ||
Liabilities: | ' | ' | ||
Financial guaranty insurance contracts | 6,147 | [1] | 5,128 | [1] |
Long-term debt | 1,579 | 970 | ||
Credit derivative liabilities | 1,654 | 1,787 | ||
FG VIEs' liabilities with recourse, at fair value | 1,326 | 1,790 | ||
FG VIEs' liabilities without recourse, at fair value | 133 | 1,081 | ||
Other liabilities | $107 | $36 | ||
[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 Net Par Outstanding (Details) (USD $) | 3 Months Ended | 9 Months Ended | 12 Months Ended | 3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | Dec. 31, 2013 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Dec. 31, 2014 | |||||||||||||||||||||||||||
Synthetic high yield pooled corporate | Market value collateralized debt obligations of corporate obligations | Other pooled infrastructure transactions | Pooled infrastructure transactions | Other transactions | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | AAA | BBB Plus | BB Plus | BB Plus | AA- | AA- | B | BB- | CCC | BB | B Plus | A | A | A | BBB | BBB | BBB | A- | A- | A- | A- | AA | AA | Subsequent event | ||||||||||||||||||||||||||||||||
Transaction | Pooled corporate | Pooled corporate | Collateralized loan obligation/collateral bond obligations | Collateralized loan obligation/collateral bond obligations | Synthetic investment grade pooled corporate | Synthetic investment grade pooled corporate | Synthetic high yield pooled corporate | Market value collateralized debt obligations of corporate obligations | Market value collateralized debt obligations of corporate obligations | CMBS | CMBS | Option ARM and Alt-A first lien | Trust preferred securities collateralized debt obligations | Trust preferred securities collateralized debt obligations | First mortgage, subprime | First mortgage, subprime | Prime first lien | Option ARM and Alt-A first lien | Prime first lien | Close ended second lien | Close ended second lien | U.S. RMBS | U.S. RMBS | Other | Other | |||||||||||||||||||||||||||||||||||||||||||||||
Net Par Outstanding on Credit Derivatives | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||||||||||||||||||
Net Par Outstanding | $40,095,000,000 | ' | $40,095,000,000 | ' | $54,482,000,000 | $0 | ' | $2,400,000,000 | ' | $4,900,000,000 | $26,263,000,000 | $38,244,000,000 | $26,880,000,000 | $37,321,000,000 | $12,985,000,000 | $19,323,000,000 | $9,301,000,000 | $9,754,000,000 | $2,690,000,000 | $1,352,000,000 | $2,000,000,000 | $2,207,000,000 | $3,744,000,000 | $2,064,000,000 | [1] | $3,242,000,000 | $3,554,000,000 | $1,428,000,000 | $2,930,000,000 | $233,000,000 | $2,609,000,000 | $264,000,000 | $20,000,000 | $23,000,000 | $3,529,000,000 | $3,636,000,000 | $3,745,000,000 | $3,906,000,000 | $4,161,000,000 | $5,826,000,000 | ' | ' | $7,263,000,000 | $7,591,000,000 | $2,979,000,000 | $3,648,000,000 | ' | |||||||||||||||||||||||||
Original Subordination (as a percent) | ' | ' | ' | ' | ' | 0.00% | [2] | ' | ' | ' | ' | ' | ' | 29.40% | [2] | 31.50% | [2] | 32.00% | [2] | 32.40% | [2] | 21.30% | [2] | 21.60% | [2] | 47.20% | [2] | 21.40% | [2] | 24.40% | [2] | 34.50% | [2] | 33.50% | [2] | 17.90% | [2] | 45.30% | [2] | 45.50% | [2] | 30.90% | [2] | 30.50% | [2] | 10.90% | [2] | 19.20% | [2] | 10.90% | [2] | 0.00% | [2] | 0.00% | [2] | ' | ' | 24.30% | [2] | ' | ' | 24.40% | [2] | 0.00% | [2] | 0.00% | [2] | ' | ' | ' | ' | ' |
Current Subordination (as a percent) | ' | ' | ' | ' | ' | 0.00% | [2] | ' | ' | ' | ' | ' | ' | 29.70% | [2] | 30.60% | [2] | 35.80% | [2] | 34.00% | [2] | 19.90% | [2] | 20.00% | [2] | 41.10% | [2] | 26.50% | [2] | 30.50% | [2] | 45.50% | [2] | 42.50% | [2] | 7.90% | [2] | 34.90% | [2] | 32.90% | [2] | 51.20% | [2] | 51.90% | [2] | 0.40% | [2] | 8.60% | [2] | 3.20% | [2] | 0.00% | [2] | 0.00% | [2] | ' | ' | 30.30% | [2] | ' | ' | 30.10% | [2] | 0.00% | [2] | 0.00% | [2] | ' | ' | ' | ' | ' |
Net par of terminated CDS contracts | 1,600,000,000 | 300,000,000 | 2,900,000,000 | 3,300,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 622,000,000 | ||||||||||||||||||||||||||
Estimated remaining weighted average life of credit derivatives (in years) | ' | ' | '4 years 3 months 18 days | ' | '4 years 1 month 15 days | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||||||||||||||||||
Maximum average obligor size (as a percent) | ' | ' | ' | ' | ' | ' | 1.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||||||||||||||||||
Maximum exposure of one industry (as a percent) | ' | ' | ' | ' | ' | ' | 10.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||||||||||||||||||
Number of transactions | ' | ' | ' | ' | ' | ' | ' | ' | 2 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||||||||||||||||||
Total net par related to below investment grade | ' | ' | ' | ' | ' | ' | ' | ' | ' | $500,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||||||||||||||||||
[1] | the fourth quarter of 2014, $622 million in net par was terminated as part of a negotiated R&W settlement. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
[2] | 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 $) | Sep. 30, 2014 | Dec. 31, 2013 |
In Millions, unless otherwise specified | ||
Distribution of Credit Derivative Net Par Outstanding | ' | ' |
Net Par Outstanding | $40,095 | $54,482 |
Percentage of total | 100.00% | 100.00% |
AAA | ' | ' |
Distribution of Credit Derivative Net Par Outstanding | ' | ' |
Net Par Outstanding | 26,263 | 38,244 |
Percentage of total | 65.50% | 70.20% |
AA | ' | ' |
Distribution of Credit Derivative Net Par Outstanding | ' | ' |
Net Par Outstanding | 2,979 | 3,648 |
Percentage of total | 7.40% | 6.70% |
A | ' | ' |
Distribution of Credit Derivative Net Par Outstanding | ' | ' |
Net Par Outstanding | 3,529 | 3,636 |
Percentage of total | 8.80% | 6.70% |
BBB | ' | ' |
Distribution of Credit Derivative Net Par Outstanding | ' | ' |
Net Par Outstanding | 3,906 | 4,161 |
Percentage of total | 9.80% | 7.60% |
Below investment grade (BIG) | ' | ' |
Distribution of Credit Derivative Net Par Outstanding | ' | ' |
Net Par Outstanding | $3,418 | $4,793 |
Percentage of total | 8.50% | 8.80% |
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 $) | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 0 Months Ended | 3 Months Ended | ||||||||||||||||||
In Millions, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Oct. 07, 2014 | Dec. 31, 2014 | ||||||||
Pooled corporate obligations | Pooled corporate obligations | Pooled corporate obligations | Pooled corporate obligations | U.S. RMBS | U.S. RMBS | U.S. RMBS | U.S. RMBS | CMBS | CMBS | CMBS | CMBS | Other | Other | Other | Other | Subsequent event | Subsequent event | |||||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||
Realized gains on credit derivatives | $17 | [1] | $24 | [1] | $58 | [1] | $93 | [1] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements | -31 | 0 | -38 | -137 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||
Realized gains (losses) and other settlements on credit derivatives | -14 | 24 | 20 | -44 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||
Net change in unrealized gains (losses) on credit derivatives | -269 | [2] | -330 | [2] | -127 | [2] | 120 | [2] | -4 | -96 | -10 | 43 | -252 | -195 | -117 | 248 | 0 | -3 | -2 | 1 | -13 | [3] | -36 | [3] | 2 | [3] | -172 | [3] | ' | ' |
Net change in fair value of credit derivatives | 255 | 354 | 147 | -164 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||
Net par of terminated CDS contracts | 1,600 | 300 | 2,900 | 3,300 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 622 | ||||||||
Accelerations of credit derivative revenues | -0.1 | 0.1 | 0.6 | 15 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||
Fair value losses that will reverse to gains upon termination of transactions | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $372 | ' | ||||||||
[1] | Includes accelerations due to terminations of CDS contracts of $(0.1) million and $0.1 million related to net par of $1.6 billion and $0.3 billion for Third Quarter 2014 and Third Quarter 2013, respectively, and $0.6 million and $15 million related to net par of $2.9 billion and $3.3 billion for Nine Months 2014 and Nine Months 2013, respectively. | |||||||||||||||||||||||||||||
[2] | Except for net estimated credit impairments (i.e., net expected loss to be paid as discussed in Note 5), 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] | “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_A5
Financial Guaranty Contracts Accounted for as Credit Derivatives - Net Change in Unrealized Gains (Losses) on Credit Derivatives By Sector (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||||||
In Millions, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | ||||
Credit Derivatives | ' | ' | ' | ' | ||||
Net unrealized gains (losses) | $269 | [1] | $330 | [1] | $127 | [1] | ($120) | [1] |
Net change in fair value of credit derivatives | 255 | 354 | 147 | -164 | ||||
Film securitization | ' | ' | ' | ' | ||||
Credit Derivatives | ' | ' | ' | ' | ||||
Net unrealized gains (losses) | ' | -127 | ' | ' | ||||
Payments from termination of financial guaranty contracts accounted for as credit derivatives | ' | 120 | ' | ' | ||||
Net change in fair value of credit derivatives | ' | -7 | ' | ' | ||||
Pooled corporate | ' | ' | ' | ' | ||||
Credit Derivatives | ' | ' | ' | ' | ||||
Net unrealized gains (losses) | 4 | 96 | 10 | -43 | ||||
U.S. RMBS | ' | ' | ' | ' | ||||
Credit Derivatives | ' | ' | ' | ' | ||||
Net unrealized gains (losses) | 252 | 195 | 117 | -248 | ||||
CMBS | ' | ' | ' | ' | ||||
Credit Derivatives | ' | ' | ' | ' | ||||
Net unrealized gains (losses) | 0 | 3 | 2 | -1 | ||||
Other | ' | ' | ' | ' | ||||
Credit Derivatives | ' | ' | ' | ' | ||||
Net unrealized gains (losses) | $13 | [2] | $36 | [2] | ($2) | [2] | $172 | [2] |
[1] | Except for net estimated credit impairments (i.e., net expected loss to be paid as discussed in Note 5), 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 - Net Fair Value and Expected Losses of Credit Derivatives by Sector (Details) (USD $) | 9 Months Ended | 0 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Oct. 07, 2014 | Oct. 07, 2014 | |||||||||||
5 year spread | 5 year spread | 5 year spread | 5 year spread | 5 year spread | 5 year spread | 5 year spread | 5 year spread | 5 year spread | 5 year spread | 5 year spread | 5 year spread | 1 year spread | 1 year spread | 1 year spread | 1 year spread | 1 year spread | 1 year spread | 1 year spread | 1 year spread | 1 year spread | 1 year spread | 1 year spread | 1 year spread | Pooled corporate obligations | Pooled corporate obligations | U.S. RMBS | U.S. RMBS | CMBS | CMBS | Other | Other | Credit derivatives | Credit derivatives | Credit derivatives | Credit derivatives | Credit derivatives | Credit derivatives | Credit derivatives | Credit derivatives | Credit derivatives | Credit derivatives | Subsequent event | Credit derivatives | |||||||||||||
AGC | AGC | AGC | AGC | AGC | AGC | AGM | AGM | AGM | AGM | AGM | AGM | AGC | AGC | AGC | AGC | AGC | AGC | AGM | AGM | AGM | AGM | AGM | AGM | Pooled corporate obligations | Pooled corporate obligations | U.S. RMBS | U.S. RMBS | CMBS | CMBS | Other | Other | Subsequent event | ||||||||||||||||||||||||
Transaction | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Components of Credit Derivative Assets (Liabilities) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||
Fair value losses that will reverse to gains upon termination of transactions | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $372,000,000 | ' | ||||||||||
Quoted price of CDS contract (as a percent) | ' | ' | 3.45% | 3.27% | 4.60% | 4.65% | 3.43% | 6.78% | 3.44% | 3.46% | 5.25% | 5.02% | 3.65% | 5.36% | 1.25% | 0.85% | 1.85% | 1.85% | 0.57% | 2.70% | 1.20% | 1.15% | 2.20% | 2.15% | 0.72% | 2.57% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||
Gain from tightening of spreads | 687,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||
Fair value of credit derivatives before effect of AGC and AGM credit spreads | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||
Fair value of credit derivatives before effect of AGC and AGM credit spreads | -2,755,000,000 | -3,442,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||
Plus: Effect of AGC and AGM credit spreads | 1,187,000,000 | 1,749,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||
Net fair value of credit derivatives | -1,568,000,000 | -1,693,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -22,000,000 | -30,000,000 | -1,192,000,000 | -1,308,000,000 | 0 | -2,000,000 | -354,000,000 | -353,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||
Expected Loss to be (Paid) Recovered | -937,000,000 | -985,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -381,000,000 | -493,000,000 | ' | ' | ' | ' | -83,000,000 | [1] | -184,000,000 | [1] | -26,000,000 | [1] | -48,000,000 | [1] | -97,000,000 | [1] | -175,000,000 | [1] | 0 | [1] | 0 | [1] | 40,000,000 | [1] | 39,000,000 | [1] | ' | ' |
R and W Included in Credit Derivative Asset (Liability) | 99,000,000 | 180,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||
Number of transactions terminated | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 3 | ||||||||||
Other credit derivative disclosures | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||
Amount of par subject to collateral posting | 7,200,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||
Cap on collateral requirement at current ratings levels | 6,900,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||
Amount of par subject to collateral for which the amount of collateral is capped | 665,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||
Credit Derivative, Notional Amount Subject to Collateral based in MTM valuation | 337,000,000 | 347,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||
Collateral agreed to be posted | 434,000,000 | 677,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||
Credit Derivative, Collateral Posted, based in MTM valuation | $40,000,000 | $62,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||||
[1] | Includes R&W benefit of $99 million as of September 30, 2014 and $180 million as of December 31, 2013. |
Financial_Guaranty_Contracts_A7
Financial Guaranty Contracts Accounted for as Credit Derivatives - Effect of Changes in Credit Spread (Details) (USD $) | 3 Months Ended | 9 Months Ended | |||||||
In Millions, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Dec. 31, 2013 | ||||
Credit Derivatives | ' | ' | ' | ' | ' | ||||
Estimated net fair value (Pre-Tax) | ($1,568) | ' | ($1,568) | ' | ($1,693) | ||||
Estimated Change in Gain/(Loss) (Pre-Tax) | 269 | [1] | 330 | [1] | 127 | [1] | -120 | [1] | ' |
100% widening in spreads | ' | ' | ' | ' | ' | ||||
Credit Derivatives | ' | ' | ' | ' | ' | ||||
Estimated net fair value (Pre-Tax) | -3,159 | [2] | ' | -3,159 | [2] | ' | ' | ||
Estimated Change in Gain/(Loss) (Pre-Tax) | ' | ' | -1,591 | [2] | ' | ' | |||
50% widening in spreads | ' | ' | ' | ' | ' | ||||
Credit Derivatives | ' | ' | ' | ' | ' | ||||
Estimated net fair value (Pre-Tax) | -2,363 | [2] | ' | -2,363 | [2] | ' | ' | ||
Estimated Change in Gain/(Loss) (Pre-Tax) | ' | ' | -795 | [2] | ' | ' | |||
25% widening in spreads | ' | ' | ' | ' | ' | ||||
Credit Derivatives | ' | ' | ' | ' | ' | ||||
Estimated net fair value (Pre-Tax) | -1,965 | [2] | ' | -1,965 | [2] | ' | ' | ||
Estimated Change in Gain/(Loss) (Pre-Tax) | ' | ' | -397 | [2] | ' | ' | |||
10% widening in spreads | ' | ' | ' | ' | ' | ||||
Credit Derivatives | ' | ' | ' | ' | ' | ||||
Estimated net fair value (Pre-Tax) | -1,726 | [2] | ' | -1,726 | [2] | ' | ' | ||
Estimated Change in Gain/(Loss) (Pre-Tax) | ' | ' | -158 | [2] | ' | ' | |||
Base Scenario | ' | ' | ' | ' | ' | ||||
Credit Derivatives | ' | ' | ' | ' | ' | ||||
Estimated net fair value (Pre-Tax) | -1,568 | [2] | ' | -1,568 | [2] | ' | ' | ||
Estimated Change in Gain/(Loss) (Pre-Tax) | ' | ' | 0 | [2] | ' | ' | |||
10% narrowing in spreads | ' | ' | ' | ' | ' | ||||
Credit Derivatives | ' | ' | ' | ' | ' | ||||
Estimated net fair value (Pre-Tax) | -1,414 | [2] | ' | -1,414 | [2] | ' | ' | ||
Estimated Change in Gain/(Loss) (Pre-Tax) | ' | ' | 154 | [2] | ' | ' | |||
25% narrowing in spreads | ' | ' | ' | ' | ' | ||||
Credit Derivatives | ' | ' | ' | ' | ' | ||||
Estimated net fair value (Pre-Tax) | -1,184 | [2] | ' | -1,184 | [2] | ' | ' | ||
Estimated Change in Gain/(Loss) (Pre-Tax) | ' | ' | 384 | [2] | ' | ' | |||
50% narrowing in spreads | ' | ' | ' | ' | ' | ||||
Credit Derivatives | ' | ' | ' | ' | ' | ||||
Estimated net fair value (Pre-Tax) | -791 | [2] | ' | -791 | [2] | ' | ' | ||
Estimated Change in Gain/(Loss) (Pre-Tax) | ' | ' | $777 | [2] | ' | ' | |||
[1] | Except for net estimated credit impairments (i.e., net expected loss to be paid as discussed in Note 5), 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. |
Consolidated_Variable_Interest2
Consolidated Variable Interest Entities (Details) (USD $) | 3 Months Ended | 9 Months Ended | 6 Months Ended | 9 Months Ended | 9 Months Ended | ||||||||||||||||
Sep. 30, 2014 | Mar. 31, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Dec. 31, 2013 | Jun. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | ||||||
Entity | Entity | Entity | Entity | Entity | Entity | Flagstar | Flagstar | Total first lien | Total first lien | Second lien | Second lien | Other VIE with recourse | Other VIE with recourse | Deconsolidation of variable interest entity | Exercise of option to accelerate variable interest 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 | 970 | ' | ' | 970 | ' | 1,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Consolidated Variable Interest Entities [Roll Forward] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Number of FG VIEs, beginning of period | ' | 40 | ' | 40 | 33 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Variable Interest Entity, Number of Entities to be Consolidated | ' | ' | ' | 1 | [1] | 11 | [1] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Variable Interest Entity, Number of Entities to be Deconsolidated | ' | -7 | [1] | -1 | [1] | -8 | [1] | -3 | [1] | ' | -2 | [1] | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Variable Interest Entity Number Matured | ' | ' | ' | -2 | -1 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Number of FG VIEs, end of period | 31 | ' | 40 | 31 | 40 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
VIE, net gain on deconsolidation | ' | ' | ' | 120,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
VIE, net loss on consolidation and deconsolidation | ' | ' | ' | ' | 7,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
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 | 188,000,000 | ' | ' | 188,000,000 | ' | 750,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Difference between the aggregate unpaid principal and aggregate fair value of the VIEs' Assets | 847,000,000 | ' | ' | 847,000,000 | ' | 1,940,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Change in the instrument specific credit risk of the VIEs' assets | 86,000,000 | ' | 83,000,000 | 140,000,000 | 252,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Unpaid principle for FG VIE liabilities with recourse | 1,743,000,000 | ' | ' | 1,743,000,000 | ' | 2,316,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Difference between the aggregate unpaid principal and aggregate fair value of the VIEs' liabilities | 673,000,000 | ' | ' | 673,000,000 | ' | 1,611,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Assets | 1,296,000,000 | ' | ' | 1,296,000,000 | ' | 2,565,000,000 | ' | ' | 519,000,000 | 630,000,000 | 249,000,000 | 460,000,000 | 373,000,000 | 359,000,000 | ' | ' | |||||
Total with recourse , Assets | 1,141,000,000 | ' | ' | 1,141,000,000 | ' | 1,449,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Without recourse, Assets | 155,000,000 | ' | ' | 155,000,000 | ' | 1,116,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Liabilities | 1,459,000,000 | ' | ' | 1,459,000,000 | ' | 2,871,000,000 | ' | ' | 600,000,000 | 791,000,000 | 353,000,000 | 640,000,000 | 373,000,000 | 359,000,000 | ' | ' | |||||
Financial guaranty variable interest entities’ liabilities with recourse, at fair value | 1,326,000,000 | ' | ' | 1,326,000,000 | ' | 1,790,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Financial guaranty variable interest entities’ liabilities without recourse, at fair value | 133,000,000 | ' | ' | 133,000,000 | ' | 1,081,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net change in fair value of financial guaranty variable interest entities: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net earned premiums | -5,000,000 | ' | -14,000,000 | -27,000,000 | -47,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net investment income | -2,000,000 | ' | -3,000,000 | -8,000,000 | -10,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Net realized investment gains (losses) | 0 | ' | 0 | -5,000,000 | 2,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Fair value gains (losses) on FG VIEs | 50,000,000 | ' | 40,000,000 | 232,000,000 | 253,000,000 | ' | ' | 213,000,000 | ' | ' | ' | ' | ' | ' | 120,000,000 | 37,000,000 | |||||
Other income | 0 | ' | 0 | -2,000,000 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Loss and LAE | 14,000,000 | ' | 11,000,000 | 21,000,000 | 26,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Effect on net income before tax provision | 57,000,000 | ' | 34,000,000 | 211,000,000 | 224,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Less: tax provision (benefit) | 20,000,000 | ' | 12,000,000 | 74,000,000 | 78,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Effect on net income (loss) | 37,000,000 | ' | 22,000,000 | 137,000,000 | 146,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Effect on cash flows from operating activities | 18,000,000 | ' | -2,000,000 | 57,000,000 | -143,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
Effect on shareholders’ equity (decrease) increase | ($53,000,000) | ' | ' | ($53,000,000) | ' | ($172,000,000) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||
[1] | Net gain on deconsolidation was $120 million in Nine Months 2014, and a net loss on consolidation and deconsolidation was $7 million in Nine Months 2013, 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 the Investment Portfolio (Details) (USD $) | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | ||||||||||
In Millions, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Fixed Maturities managed externally | Fixed Maturities managed externally | Fixed Maturities managed externally | Fixed Maturities managed externally | Fixed and short-term maturity securities | Fixed and short-term maturity securities | Fixed Maturities managed internally | Fixed Maturities managed internally | Fixed Maturities managed internally | Fixed Maturities managed internally | Other Invested Assets internally managed | Other Invested Assets internally managed | Other Invested Assets internally managed | Other Invested Assets internally managed | |||||
Investments | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Accrued investment income | ' | ' | ' | ' | ' | ' | ' | ' | $97 | $93 | ' | ' | ' | ' | ' | ' | ' | ' |
Net Investment Income | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Gross investment income | 104 | 101 | 307 | 292 | 83 | 80 | 244 | 239 | ' | ' | 15 | 19 | 52 | 49 | 6 | 2 | 11 | 4 |
Investment expenses | -2 | -2 | -6 | -6 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Net investment income | 102 | 99 | 301 | 286 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Net Realized Investment Gains (Losses) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Gross realized gains on available-for-sale securities | 3 | 5 | 10 | 23 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Gross realized gains on other assets in investment portfolio | 1 | 2 | 8 | 38 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Gross realized losses on available-for-sale securities | -1 | -2 | -4 | -11 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Gross realized losses on other assets in investment portfolio | -1 | -4 | -1 | -7 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Other-than-temporary impairment | -21 | -8 | -38 | -20 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Net realized investment gains (losses) | -19 | -7 | -25 | 23 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Roll Forward of Credit Losses in the Investment Portfolio | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Balance, at the beginning of the period | 84 | 72 | 80 | 64 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Additions for credit losses on securities for which an other-than-temporary-impairment was not previously recognized | 3 | 1 | 29 | 2 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Reductions for securities sold during the period | 0 | 0 | -12 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Additions for credit losses on securities for which an other-than-temporary-impairment was previously recognized | 17 | 6 | 7 | 13 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Balance, at the end of the period | $104 | $79 | $104 | $79 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Investments_and_Cash_Fixed_Mat
Investments and Cash - Fixed Maturity Securities and Short Term Investments by Security Type (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Millions, unless otherwise specified | ||||
Investments | ' | ' | ||
Percent of Total | 100.00% | [1],[2] | 100.00% | [1],[2] |
Amortized Cost, total investment portfolio | $10,856 | [2] | $10,392 | [2] |
Gross Unrealized Gains, total investment portfolio | 531 | [2] | 370 | [2] |
Gross Unrealized Losses, total investment portfolio | -65 | [2] | -147 | [2] |
Estimated Fair Value, total investment portfolio | 11,322 | [2] | 10,615 | [2] |
AOCI Gain (Loss) on Securities with OTTI | -12 | [2],[3] | -37 | [2] |
Percentage of mortgage backed securities representing government-agency obligations | 43.00% | 50.00% | ||
Fixed maturity securities | ' | ' | ||
Investments | ' | ' | ||
Percent of Total | 92.00% | [1],[2] | 91.00% | [1],[2] |
Amortized Cost, total fixed maturity securities | 10,019 | [2] | 9,488 | [2] |
Gross Unrealized Gains, total fixed maturity securities | 531 | [2] | 370 | [2] |
Gross Unrealized Losses, total fixed maturity securities | -65 | [2] | -147 | [2] |
Fixed maturity securities | 10,485 | [2] | 9,711 | [2] |
AOCI Gain (Loss) on Securities with OTTI | -12 | [2],[3] | -37 | [2] |
Obligations of state and political subdivisions | ' | ' | ||
Investments | ' | ' | ||
Percent of Total | 49.00% | [1],[2] | 47.00% | [1],[2] |
Amortized Cost, total fixed maturity securities | 5,256 | [2] | 4,899 | [2] |
Gross Unrealized Gains, total fixed maturity securities | 361 | [2] | 219 | [2] |
Gross Unrealized Losses, total fixed maturity securities | -2 | [2] | -39 | [2] |
Fixed maturity securities | 5,615 | [2] | 5,079 | [2] |
AOCI Gain (Loss) on Securities with OTTI | 7 | [2],[3] | 4 | [2] |
U.S. government and agencies | ' | ' | ||
Investments | ' | ' | ||
Percent of Total | 5.00% | [1],[2] | 7.00% | [1],[2] |
Amortized Cost, total fixed maturity securities | 533 | [2] | 674 | [2] |
Gross Unrealized Gains, total fixed maturity securities | 30 | [2] | 32 | [2] |
Gross Unrealized Losses, total fixed maturity securities | -3 | [2] | -6 | [2] |
Fixed maturity securities | 560 | [2] | 700 | [2] |
AOCI Gain (Loss) on Securities with OTTI | 0 | [2],[3] | 0 | [2] |
Corporate securities | ' | ' | ||
Investments | ' | ' | ||
Percent of Total | 12.00% | [1],[2] | 13.00% | [1],[2] |
Amortized Cost, total fixed maturity securities | 1,351 | [2] | 1,314 | [2] |
Gross Unrealized Gains, total fixed maturity securities | 47 | [2] | 44 | [2] |
Gross Unrealized Losses, total fixed maturity securities | -18 | [2] | -18 | [2] |
Fixed maturity securities | 1,380 | [2] | 1,340 | [2] |
AOCI Gain (Loss) on Securities with OTTI | -11 | [2],[3] | 0 | [2] |
RMBS | ' | ' | ||
Investments | ' | ' | ||
Percent of Total | 13.00% | [1],[2],[4] | 11.00% | [1],[2],[4] |
Amortized Cost, total fixed maturity securities | 1,406 | [2],[4] | 1,160 | [2],[4] |
Gross Unrealized Gains, total fixed maturity securities | 49 | [2],[4] | 34 | [2],[4] |
Gross Unrealized Losses, total fixed maturity securities | -39 | [2],[4] | -72 | [2],[4] |
Fixed maturity securities | 1,416 | [2],[4] | 1,122 | [2],[4] |
AOCI Gain (Loss) on Securities with OTTI | -14 | [2],[3],[4] | -43 | [2],[4] |
CMBS | ' | ' | ||
Investments | ' | ' | ||
Percent of Total | 6.00% | [1],[2],[4] | 5.00% | [1],[2],[4] |
Amortized Cost, total fixed maturity securities | 689 | [2],[4] | 536 | [2],[4] |
Gross Unrealized Gains, total fixed maturity securities | 15 | [2],[4] | 17 | [2],[4] |
Gross Unrealized Losses, total fixed maturity securities | -1 | [2],[4] | -4 | [2],[4] |
Fixed maturity securities | 703 | [2],[4] | 549 | [2],[4] |
AOCI Gain (Loss) on Securities with OTTI | 0 | [2],[3],[4] | 0 | [2],[4] |
Asset-backed securities | ' | ' | ||
Investments | ' | ' | ||
Percent of Total | 4.00% | [1],[2] | 6.00% | [1],[2] |
Amortized Cost, total fixed maturity securities | 483 | [2] | 605 | [2] |
Gross Unrealized Gains, total fixed maturity securities | 19 | [2] | 10 | [2] |
Gross Unrealized Losses, total fixed maturity securities | -1 | [2] | -7 | [2] |
Fixed maturity securities | 501 | [2] | 608 | [2] |
AOCI Gain (Loss) on Securities with OTTI | 6 | [2],[3] | 2 | [2] |
Foreign government securities | ' | ' | ||
Investments | ' | ' | ||
Percent of Total | 3.00% | [1],[2] | 3.00% | [1],[2] |
Amortized Cost, total fixed maturity securities | 301 | [2] | 300 | [2] |
Gross Unrealized Gains, total fixed maturity securities | 10 | [2] | 14 | [2] |
Gross Unrealized Losses, total fixed maturity securities | -1 | [2] | -1 | [2] |
Fixed maturity securities | 310 | [2] | 313 | [2] |
AOCI Gain (Loss) on Securities with OTTI | 0 | [2],[3] | 0 | [2] |
Short-term investments | ' | ' | ||
Investments | ' | ' | ||
Percent of Total | 8.00% | [1],[2] | 9.00% | [1],[2] |
Amortized Cost, total investment portfolio | 837 | [2] | 904 | [2] |
Gross Unrealized Gains, total investment portfolio | 0 | [2] | 0 | [2] |
Gross Unrealized Losses, total investment portfolio | 0 | [2] | 0 | [2] |
Estimated Fair Value, total investment portfolio | 837 | [2] | 904 | [2] |
AOCI Gain (Loss) on Securities with OTTI | $0 | [2],[3] | $0 | [2] |
[1] | Based on amortized cost. | |||
[2] | 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. | |||
[3] | Accumulated OCI ("AOCI"). See also Note 17, Shareholders' Equity. | |||
[4] | Government-agency obligations were approximately 43% of mortgage backed securities as of September 30, 2014 and 50% as of December 31, 2013 based on fair value. |
Investments_and_Cash_Fixed_Mat1
Investments and Cash - Fixed Maturity Securities Gross Unrealized Loss by Length of Time (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | |
In Millions, unless otherwise specified | Security | Security | |
Less than 12 months | ' | ' | |
Fair value | $861 | $2,140 | |
Unrealized loss | -18 | -91 | |
12 months or more | ' | ' | |
Fair Value | 651 | 237 | |
Unrealized loss | -47 | -56 | |
Total | ' | ' | |
Total Fair value | 1,512 | 2,377 | |
Total Unrealized loss | -65 | -147 | |
Number of securities | ' | ' | |
Less than 12 months (in securities) | 143 | [1] | 425 |
12 months or more (in securities) | 123 | [1] | 33 |
Total (in securities) | 260 | [1] | 458 |
Number of securities with OTTI | ' | ' | |
Less than 12 months (in securities) | 4 | 13 | |
12 months or more (in securities) | 7 | 11 | |
Total (in securities) | 11 | 24 | |
Number of securities with unrealized losses greater than 10% of book value for 12 months or more | 7 | ' | |
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 | 31 | ' | |
Obligations of state and political subdivisions | ' | ' | |
Less than 12 months | ' | ' | |
Fair value | 93 | 781 | |
Unrealized loss | -1 | -39 | |
12 months or more | ' | ' | |
Fair Value | 72 | 5 | |
Unrealized loss | -1 | 0 | |
Total | ' | ' | |
Total Fair value | 165 | 786 | |
Total Unrealized loss | -2 | -39 | |
U.S. government and agencies | ' | ' | |
Less than 12 months | ' | ' | |
Fair value | 28 | 173 | |
Unrealized loss | 0 | -6 | |
12 months or more | ' | ' | |
Fair Value | 162 | 0 | |
Unrealized loss | -3 | 0 | |
Total | ' | ' | |
Total Fair value | 190 | 173 | |
Total Unrealized loss | -3 | -6 | |
Corporate securities | ' | ' | |
Less than 12 months | ' | ' | |
Fair value | 247 | 401 | |
Unrealized loss | -13 | -18 | |
12 months or more | ' | ' | |
Fair Value | 127 | 3 | |
Unrealized loss | -5 | 0 | |
Total | ' | ' | |
Total Fair value | 374 | 404 | |
Total Unrealized loss | -18 | -18 | |
RMBS | ' | ' | |
Less than 12 months | ' | ' | |
Fair value | 312 | 414 | |
Unrealized loss | -3 | -21 | |
12 months or more | ' | ' | |
Fair Value | 226 | 186 | |
Unrealized loss | -36 | -51 | |
Total | ' | ' | |
Total Fair value | 538 | 600 | |
Total Unrealized loss | -39 | -72 | |
CMBS | ' | ' | |
Less than 12 months | ' | ' | |
Fair value | 82 | 121 | |
Unrealized loss | 0 | -4 | |
12 months or more | ' | ' | |
Fair Value | 26 | 0 | |
Unrealized loss | -1 | 0 | |
Total | ' | ' | |
Total Fair value | 108 | 121 | |
Total Unrealized loss | -1 | -4 | |
Asset-backed securities | ' | ' | |
Less than 12 months | ' | ' | |
Fair value | 39 | 196 | |
Unrealized loss | 0 | -2 | |
12 months or more | ' | ' | |
Fair Value | 19 | 42 | |
Unrealized loss | -1 | -5 | |
Total | ' | ' | |
Total Fair value | 58 | 238 | |
Total Unrealized loss | -1 | -7 | |
Foreign government securities | ' | ' | |
Less than 12 months | ' | ' | |
Fair value | 60 | 54 | |
Unrealized loss | -1 | -1 | |
12 months or more | ' | ' | |
Fair Value | 19 | 1 | |
Unrealized loss | 0 | 0 | |
Total | ' | ' | |
Total Fair value | 79 | 55 | |
Total Unrealized loss | ($1) | ($1) | |
[1] | The number of securities does not add across because of lots of the same securities that have been purchased at different times and appear in both categories above (i.e. Less than 12 months and 12 months or more). If a security appears in both categories, it is counted only once in the Total column. |
Investments_and_Cash_Distribut
Investments and Cash - Distribution of Fixed-Maturity Securities by Contractual Maturity (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Millions, unless otherwise specified | ||||
Amortized Cost | ' | ' | ||
Due within one year | $146 | ' | ||
Due after one year through five years | 1,906 | ' | ||
Due after five years through 10 years | 2,225 | ' | ||
Due after 10 years | 3,647 | ' | ||
Estimated Fair Value | ' | ' | ||
Due within one year | 148 | ' | ||
Due after one year through five years | 1,978 | ' | ||
Due after five years through 10 years | 2,349 | ' | ||
Due after 10 years | 3,891 | ' | ||
Estimated fair value | 10,485 | 9,711 | ||
Fixed maturity securities held under trust for the benefit of reinsured companies | 427 | 377 | ||
Eligible securities deposited for the benefit of policyholders | 19 | 19 | ||
Fair market value of company's pledged securities | 434 | 677 | ||
RMBS | ' | ' | ||
Amortized Cost | ' | ' | ||
Amortized cost | 1,406 | ' | ||
Estimated Fair Value | ' | ' | ||
Estimated fair value | 1,416 | ' | ||
CMBS | ' | ' | ||
Amortized Cost | ' | ' | ||
Amortized cost | 689 | ' | ||
Estimated Fair Value | ' | ' | ||
Estimated fair value | 703 | ' | ||
Fixed maturity securities | ' | ' | ||
Amortized Cost | ' | ' | ||
Amortized cost | 10,019 | [1] | 9,488 | [1] |
Estimated Fair Value | ' | ' | ||
Estimated fair value | $10,485 | ' | ||
[1] | 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. |
Investments_and_Cash_Internall
Investments and Cash - Internally Managed Portfolio (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
In Millions, unless otherwise specified | ||
Schedule of Investments [Line Items] | ' | ' |
Internally managed portfolio | $1,092 | $931 |
internally managed portfolio | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Percentage of internally managed portfolio | 10.00% | 9.00% |
Securities purchased for loss mitigation purposes | Obligations of state and political subdivisions | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Internally managed portfolio | 30 | 28 |
Securities purchased for loss mitigation purposes | RMBS | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Internally managed portfolio | 439 | 284 |
Securities purchased for loss mitigation purposes | Asset-backed securities | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Internally managed portfolio | 143 | 127 |
Securities purchased for loss mitigation purposes | Other invested assets | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Internally managed portfolio | 15 | 47 |
Other risk management strategies | Other invested assets | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Internally managed portfolio | 108 | 35 |
Other risk management strategies | Fixed maturity securities | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Internally managed portfolio | 353 | 322 |
Other investment strategies | Trading securities | ' | ' |
Schedule of Investments [Line Items] | ' | ' |
Internally managed portfolio | $4 | $88 |
Insurance_Company_Regulatory_R2
Insurance Company Regulatory Requirements (Details) (USD $) | 0 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 0 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 9 Months Ended | |||||||||||
In Millions, unless otherwise specified | Jul. 15, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Jul. 15, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2014 |
AGM and AGE | AGM | AGM | AGM | AGM | AGM | AGM and AGC | AGM and AGC | AGC | AGC | AGC | AGC | AGC | AGC | AG Re | AG Re | AG Re | AG Re | AG Re | MAC | MAC | MAC | MAC | Maximum | Minimum | |
New York | New York | AGMH | AGMH | AGMH | AGMH | Maryland | Maryland | AGUS | AGUS | AGUS | AGUS | Bermuda | AGL | AGL | AGL | AGL | AGM and MAC | AGM and MAC | AGM and MAC | AGM and MAC | AG Re | AG Re | |||
New York | New York | New York | New York | Maryland | Maryland | Maryland | Maryland | Bermuda | Bermuda | Bermuda | Bermuda | Bermuda | Bermuda | ||||||||||||
Statutory Accounting Practices [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Contingency reserves reassumed, remainder of fiscal year, percentage | 33.00% | ' | ' | ' | ' | ' | ' | ' | 33.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Contingency reserves reassumed, remainder of fiscal year, amount | $250 | ' | ' | ' | ' | ' | ' | ' | $267 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Contingency reserves reassumed, year two, percentage | 50.00% | ' | ' | ' | ' | ' | ' | ' | 50.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Contingency reserves reassumed, year three, percentage | 17.00% | ' | ' | ' | ' | ' | ' | ' | 17.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Contingency reserves reassumed | ' | ' | ' | ' | ' | ' | 50.00% | 33.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Statutory Accounting Practices, Reassumed Contingency Reserves | ' | ' | ' | ' | ' | ' | 244 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Statutory Accounting Practices, Contingency Reserves, Release of Assets | ' | ' | ' | ' | ' | ' | 249 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Contingency reserves reassumed, release of assets | ' | ' | ' | ' | ' | ' | ' | 130 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Threshold for dividend payments as percentage of policyholder' surplus | ' | 10.00% | ' | ' | ' | ' | ' | ' | ' | 10.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Threshold for dividend payments as percentage of adjusted net investment income | ' | 100.00% | ' | ' | ' | ' | ' | ' | ' | 100.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Unencumbered asset | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 483 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Capitalization of subsidiary, statutory basis | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 784 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Maximum dividend and statutory surplus requirement | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 267 | ' |
Dividend restrictions on statutory capital and surplus (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 25.00% |
Amount available for distribution | ' | 161 | ' | ' | ' | ' | ' | ' | ' | 69 | ' | ' | ' | ' | 280 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
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 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 127 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Relevant assets as a percentage of relevant liabilities | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 75.00% |
Dividends paid by related party | ' | ' | 60 | 60 | 105 | 98 | ' | ' | ' | ' | 15 | 25 | 30 | 42 | ' | 0 | 22 | 82 | 122 | ' | ' | ' | ' | ' | ' |
Repayment of surplus note by related party | ' | ' | 25 | 25 | 50 | 50 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Proceeds from related party debt | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $0 | ($400) | $0 | ($400) | ' | ' |
Income_Taxes_Details
- Income Taxes (Details) (USD $) | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 12 Months Ended | ||||||||||||
In Millions, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Mar. 31, 2014 | Mar. 31, 2013 |
United States | United States | United States | United States | Bermuda | Bermuda | Bermuda | Bermuda | UK | UK | UK | UK | UK | UK | UK | UK | UK | UK | ||||||
April 1, 2014 to April 1, 2015 | Subsequent to April 1, 2015 | Subsequent to April 1, 2013 | April 1, 2012 to April 1, 2013 | Prior to April 1, 2013 [Member] | |||||||||||||||||||
Pretax Income and Revenue by Tax Jurisdiction | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Realization assessment period | ' | ' | '3 years | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Federal statutory income tax rate (as a percent) | ' | ' | ' | ' | ' | ' | ' | 35.00% | ' | ' | ' | ' | ' | ' | ' | 21.00% | ' | ' | 21.00% | 20.00% | 21.00% | 23.00% | 24.00% |
Value added tax rate | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 20.00% | ' | ' | ' | ' | ' | ' | ' |
Effective Tax Rate Reconciliation | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Expected tax provision (benefit) at statutory rates in taxable jurisdictions | $145 | $165 | $255 | $241 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Tax-exempt interest | -15 | -14 | -43 | -43 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Change in liability for uncertain tax positions | 6 | 4 | 7 | -3 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Other | -3 | -3 | 0 | -1 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Total provision (benefit) for income taxes | 133 | 152 | 219 | 194 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Effective tax rate (as a percent) | 27.30% | 28.20% | 28.30% | 29.70% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 21.50% | ' | 23.25% | ' | ' | ' | ' | ' |
Income (loss) before provision for income taxes | 488 | 536 | 775 | 653 | ' | 419 | 469 | 741 | 688 | 76 | 67 | 57 | -35 | -7 | 0 | -23 | 0 | ' | ' | ' | ' | ' | ' |
Revenue | 525 | 670 | 1,073 | 959 | ' | 420 | 548 | 908 | 846 | 106 | 122 | 168 | 113 | -1 | 0 | -3 | 0 | ' | ' | ' | ' | ' | ' |
Accrued interest and penalties, uncertain tax positions | ' | ' | 1 | 1 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Recorded true-up from tax return filings | ' | ' | 6 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Amount released following closing of IRS audit | ' | ' | ' | 9 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest and penalties accrued | 5 | ' | 5 | ' | 3 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Total amount of unrecognized tax benefits that would affect effective tax rate | $27 | ' | $27 | ' | $20 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Reinsurance_and_Other_Monoline2
Reinsurance and Other Monoline Exposures - Effect of Reinsurance on Statement of Operations (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||||||
In Millions, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | ||||
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' | ' | ' | ' | ||||
Increase in net par due to commutations | ' | ' | $856 | ' | ||||
Premiums Written: | ' | ' | ' | ' | ||||
Direct | 52 | 28 | 100 | 48 | ||||
Assumed | -5 | [1] | -2 | [1] | -6 | [1] | 17 | [1] |
Ceded | 0 | [2] | 4 | [2] | -22 | [2] | 3 | [2] |
Net | 47 | 30 | 72 | 68 | ||||
Premiums Earned: | ' | ' | ' | ' | ||||
Direct | 151 | 173 | 438 | 627 | ||||
Assumed | 12 | 12 | 32 | 26 | ||||
Ceded | -19 | -26 | -58 | -83 | ||||
Net earned premiums | 144 | [3] | 159 | [3] | 412 | [3] | 570 | [3] |
Loss and LAE: | ' | ' | ' | ' | ||||
Direct | -58 | 25 | 46 | 18 | ||||
Assumed | 11 | 35 | 26 | 70 | ||||
Ceded | 3 | -5 | -18 | -19 | ||||
Loss and LAE | -44 | 55 | 54 | 69 | ||||
AG Re | ' | ' | ' | ' | ||||
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' | ' | ' | ' | ||||
Fair market value of company's pledged securities | 288 | ' | 288 | ' | ||||
AGC | ' | ' | ' | ' | ||||
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' | ' | ' | ' | ||||
Fair market value of company's pledged securities | $50 | ' | $50 | ' | ||||
[1] | Negative assumed premiums written were due to changes in expected Debt Service schedules. | |||||||
[2] | Positive ceded premiums written were due to changes in expected Debt Service schedules. | |||||||
[3] | Excludes $5 million and $14 million for Third Quarter 2014 and 2013, respectively, and $27 million and $47 million for Nine Months 2014 and 2013, respectively, related to consolidated FG VIEs. |
Reinsurance_and_Other_Monoline3
Reinsurance and Other Monoline Exposures - Reinsurer Exposure (Details) (USD $) | Sep. 30, 2014 | |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' | |
Ceded Par Outstanding | $25,188,000,000 | [1] |
Second-to-Pay Insured Par Outstanding | 19,951,000,000 | |
Assumed Par Outstanding | 29,829,000,000 | |
Ceded par outstanding related to insured credit derivatives | 2,540,000,000 | |
Assumed Premium, net of Commissions | 78,000,000 | |
Ceded Premium, net of Commissions | -130,000,000 | |
Assumed Expected Loss and LAE | -225,000,000 | |
Ceded Expected Loss and LAE | 71,000,000 | |
National Public Finance Guarantee Corporation | ' | |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' | |
Fixed maturity securities wrapped by monoline reinsurer | 416,000,000 | |
Ceded Par Outstanding | 0 | [1] |
Second-to-Pay Insured Par Outstanding | 6,375,000,000 | |
Assumed Par Outstanding | 6,067,000,000 | |
Assumed Premium, net of Commissions | 7,000,000 | |
Ceded Premium, net of Commissions | 0 | |
Assumed Expected Loss and LAE | -3,000,000 | |
Ceded Expected Loss and LAE | 0 | |
American Overseas Reinsurance Company Limited (f/k/a Ram Re) | ' | |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' | |
Ceded Par Outstanding | 7,233,000,000 | [1] |
Second-to-Pay Insured Par Outstanding | 0 | |
Assumed Par Outstanding | 30,000,000 | |
Assumed Premium, net of Commissions | 0 | |
Ceded Premium, net of Commissions | -8,000,000 | |
Assumed Expected Loss and LAE | 0 | |
Ceded Expected Loss and LAE | 9,000,000 | |
Tokio Marine & Nichido Fire Insurance Co., Ltd. | ' | |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' | |
Ceded Par Outstanding | 5,653,000,000 | [1] |
Second-to-Pay Insured Par Outstanding | 0 | |
Assumed Par Outstanding | 0 | |
Assumed Premium, net of Commissions | 0 | |
Ceded Premium, net of Commissions | -16,000,000 | |
Assumed Expected Loss and LAE | 0 | |
Ceded Expected Loss and LAE | 31,000,000 | |
Radian Asset Assurance Inc. | ' | |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' | |
Ceded Par Outstanding | 4,307,000,000 | [1] |
Second-to-Pay Insured Par Outstanding | 21,000,000 | |
Assumed Par Outstanding | 756,000,000 | |
Assumed Premium, net of Commissions | 0 | |
Ceded Premium, net of Commissions | -16,000,000 | |
Assumed Expected Loss and LAE | 0 | |
Ceded Expected Loss and LAE | 16,000,000 | |
Syncora Guarantee Inc. | ' | |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' | |
Ceded Par Outstanding | 3,940,000,000 | [1] |
Second-to-Pay Insured Par Outstanding | 1,702,000,000 | |
Assumed Par Outstanding | 161,000,000 | |
Assumed Premium, net of Commissions | 0 | |
Ceded Premium, net of Commissions | -35,000,000 | |
Assumed Expected Loss and LAE | 0 | |
Ceded Expected Loss and LAE | 2,000,000 | |
Mitsui Sumitomo Insurance Co. Ltd. | ' | |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' | |
Ceded Par Outstanding | 2,062,000,000 | [1] |
Second-to-Pay Insured Par Outstanding | 0 | |
Assumed Par Outstanding | 0 | |
Assumed Premium, net of Commissions | 0 | |
Ceded Premium, net of Commissions | -3,000,000 | |
Assumed Expected Loss and LAE | 0 | |
Ceded Expected Loss and LAE | 9,000,000 | |
ACA Financial Guaranty Corp. | ' | |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' | |
Ceded Par Outstanding | 752,000,000 | [1] |
Second-to-Pay Insured Par Outstanding | 2,000,000 | |
Assumed Par Outstanding | 0 | |
Federal Insurance Company | ' | |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' | |
Ceded Par Outstanding | 382,000,000 | [1] |
Second-to-Pay Insured Par Outstanding | 0 | |
Assumed Par Outstanding | 0 | |
Assumed Premium, net of Commissions | 0 | |
Ceded Premium, net of Commissions | -16,000,000 | |
Assumed Expected Loss and LAE | 0 | |
Ceded Expected Loss and LAE | 0 | |
Swiss Reinsurance Co. | ' | |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' | |
Ceded Par Outstanding | 332,000,000 | [1] |
Second-to-Pay Insured Par Outstanding | 0 | |
Assumed Par Outstanding | 0 | |
Assumed Premium, net of Commissions | 0 | |
Ceded Premium, net of Commissions | -3,000,000 | |
Assumed Expected Loss and LAE | 0 | |
Ceded Expected Loss and LAE | 4,000,000 | |
Security Life of Denver Insurance Co | ' | |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' | |
Ceded Par Outstanding | 239,000,000 | [1] |
Second-to-Pay Insured Par Outstanding | 0 | |
Assumed Par Outstanding | 0 | |
Assumed Premium, net of Commissions | 0 | |
Ceded Premium, net of Commissions | -9,000,000 | |
Assumed Expected Loss and LAE | 0 | |
Ceded Expected Loss and LAE | 0 | |
Ambac | ' | |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' | |
Fixed maturity securities wrapped by monoline reinsurer | 415,000,000 | |
Ceded Par Outstanding | 82,000,000 | [1] |
Second-to-Pay Insured Par Outstanding | 5,437,000,000 | |
Assumed Par Outstanding | 15,424,000,000 | |
Assumed Premium, net of Commissions | 45,000,000 | |
Ceded Premium, net of Commissions | 0 | |
Assumed Expected Loss and LAE | -19,000,000 | |
Ceded Expected Loss and LAE | 0 | |
Ambac Assurance Corp. Segregated account | ' | |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' | |
Ceded Par Outstanding | 0 | [1] |
Second-to-Pay Insured Par Outstanding | 114,000,000 | |
Assumed Par Outstanding | 1,106,000,000 | |
Assumed Premium, net of Commissions | 15,000,000 | |
Ceded Premium, net of Commissions | 0 | |
Assumed Expected Loss and LAE | -79,000,000 | |
Ceded Expected Loss and LAE | 0 | |
CIFG Assurance North America Inc. | ' | |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' | |
Ceded Par Outstanding | 0 | [1] |
Second-to-Pay Insured Par Outstanding | 107,000,000 | |
Assumed Par Outstanding | 4,495,000,000 | |
Assumed Premium, net of Commissions | 0 | |
Ceded Premium, net of Commissions | 0 | |
Assumed Expected Loss and LAE | -6,000,000 | |
Ceded Expected Loss and LAE | 0 | |
MBIA | ' | |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' | |
Ceded Par Outstanding | 0 | [1] |
Second-to-Pay Insured Par Outstanding | 3,146,000,000 | |
Assumed Par Outstanding | 609,000,000 | |
Assumed Premium, net of Commissions | 5,000,000 | |
Ceded Premium, net of Commissions | 0 | |
Assumed Expected Loss and LAE | -9,000,000 | |
Ceded Expected Loss and LAE | 0 | |
FGIC | ' | |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' | |
Ceded Par Outstanding | 0 | [1] |
Second-to-Pay Insured Par Outstanding | 2,145,000,000 | |
Assumed Par Outstanding | 1,135,000,000 | |
Assumed Premium, net of Commissions | 6,000,000 | |
Ceded Premium, net of Commissions | 0 | |
Assumed Expected Loss and LAE | -109,000,000 | |
Ceded Expected Loss and LAE | 0 | |
Other | ' | |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' | |
Fixed maturity securities wrapped by monoline reinsurer | 29,000,000 | |
Ceded Par Outstanding | 206,000,000 | [1] |
Second-to-Pay Insured Par Outstanding | 902,000,000 | |
Assumed Par Outstanding | 46,000,000 | |
Assumed Premium, net of Commissions | 0 | |
Ceded Premium, net of Commissions | -24,000,000 | |
Assumed Expected Loss and LAE | 0 | |
Ceded Expected Loss and LAE | 0 | |
AGM, AGC and MAC | ' | |
Exposure, Premium Receivable, and Loss and LAE by Reinsurer | ' | |
Minimum net losses required for attachment of excess of loss reinsurance facility | 1,500,000,000 | |
Losses above minimum net loss limit covered under excess of loss reinsurance facility | 500,000,000 | |
Losses assumed by reinsurers under excess of loss reinsurance facility | 450,000,000 | |
Losses above remaining net loss limit covered under excess of loss reinsurance facility | 50,000,000 | |
Insurance premium paid | 19,000,000 | |
Remaining insurance premiums payable | $19,000,000 | |
[1] | Includes $2,540 million in ceded par outstanding related to insured credit derivatives. |
Commitments_and_Contingencies_
Commitments and Contingencies (Details) (USD $) | 1 Months Ended | 0 Months Ended | 0 Months Ended | 12 Months Ended | 1 Months Ended | 12 Months Ended | 1 Months Ended | 12 Months Ended | ||||||||
Jul. 31, 2010 | Apr. 30, 2010 | Nov. 28, 2011 | Nov. 28, 2011 | Nov. 19, 2012 | Nov. 19, 2012 | Nov. 19, 2012 | Nov. 19, 2012 | Sep. 25, 2013 | Dec. 31, 2008 | Sep. 30, 2009 | Dec. 31, 2008 | Dec. 31, 2008 | Dec. 31, 2008 | 31-May-10 | Dec. 31, 2009 | |
AGMH | Assured Guaranty Municipal Corp and Assured Guaranty US Holdings Inc | LBIE vs. AG Financial Products | Pending Litigation | Pending Litigation | Pending Litigation | Pending Litigation | Pending Litigation | Pending Litigation | Pending Litigation | Pending Litigation | Pending Litigation | Pending Litigation | Pending Litigation | Pending Litigation | Pending Litigation | |
Governmental investigation | Proceedings related to former financial products business | AG Financial Products Inc. | LBIE vs. AG Financial Products | LBHI and LBSF vs CPT 283, FSA and AGM | LBHI and LBSF vs CPT 283, FSA and AGM | LBHI and LBSF vs CPT 207, FSA and AGM | LBHI and LBSF vs CPT 207, FSA and AGM | Wells Fargo Bank, N.A., Interpleader Complaint | MDL 1950 | MDL 1950 | MDL 1950 | MDL 1950 | Non-class Action Cases Consolidated with MDL 1950 for Pretrial Proceedings | Non-class Action Cases Consolidated with MDL 1950 for Pretrial Proceedings | Non-class Action Cases Consolidated with MDL 1950 for Pretrial Proceedings | |
Person | Lawsuit | Guarantee obligations | AG Financial Products Inc. | AGM | AGM | AGM | AGM | AGM | Lawsuit | AGMH | AGMH | Assured Guaranty Municipal Corp and Assured Guaranty Municipal Holdings Inc | Assured Guaranty Municipal Corp and Assured Guaranty Municipal Holdings Inc | Assured Guaranty Municipal Corp and Assured Guaranty US Holdings Inc | Assured Guaranty Municipal Corp and Assured Guaranty US Holdings Inc | |
Transaction | Plaintiff | Lawsuit | Lawsuit | Proceedings related to former financial products business | Proceedings related to former financial products business | Proceedings related to former financial products business | ||||||||||
Lawsuit | Lawsuit | Lawsuit | ||||||||||||||
Commitments and Contingencies Legal Proceedings | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
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 | ' | $43,800,000 | ' | $492,555 | ' | ' | ' | ' | ' | ' | ' | ' |
Termination payments which AG Financial Products owes to LBIE as per calculation of LBIE | ' | ' | ' | 1,400,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Termination payments which AG Financial Products and CPT 283 owes to LBHI and LBSF as per calculation of LBHI and LBSF | ' | ' | ' | ' | 67,300,000 | ' | 1,500,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Loss contingency, minimum increase in losses on transaction | ' | ' | ' | ' | ' | ' | ' | ' | 10,000,000 | ' | ' | ' | ' | ' | ' | ' |
Loss contingency, maximum increase in losses on transaction | ' | ' | ' | ' | ' | ' | ' | ' | $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 | 5 | ' | 6 |
Number of plaintiffs filing consolidated complaints | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 4 | ' | ' | ' | ' | ' |
Number of non-class action lawsuits filed | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 5 | ' |
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 $) | Sep. 30, 2014 | Jun. 20, 2014 | Dec. 31, 2013 |
Debt | ' | ' | ' |
Principal | $1,597,000,000 | ' | $1,114,000,000 |
Carrying Value | 1,303,000,000 | ' | 816,000,000 |
AGUS Consolidated | ' | ' | ' |
Debt | ' | ' | ' |
Interest rate of debt (as a percent) | ' | ' | 0.00% |
Principal | 850,000,000 | ' | 350,000,000 |
Carrying Value | 847,000,000 | ' | 348,000,000 |
AGUS Consolidated | 7.0% Senior Notes | ' | ' | ' |
Debt | ' | ' | ' |
Interest rate of debt (as a percent) | 7.00% | ' | 7.00% |
Principal | 200,000,000 | ' | 200,000,000 |
Carrying Value | 198,000,000 | ' | 198,000,000 |
AGUS Consolidated | 5.0% Senior Notes | ' | ' | ' |
Debt | ' | ' | ' |
Interest rate of debt (as a percent) | 5.00% | 5.00% | ' |
Principal | 500,000,000 | 500,000,000 | 0 |
Carrying Value | 499,000,000 | ' | 0 |
AGUS Consolidated | Series A Enhanced Junior Subordinated Debentures | ' | ' | ' |
Debt | ' | ' | ' |
Principal | 150,000,000 | ' | 150,000,000 |
Carrying Value | 150,000,000 | ' | 150,000,000 |
AGMH Consolidated | ' | ' | ' |
Debt | ' | ' | ' |
Principal | 730,000,000 | ' | 730,000,000 |
Carrying Value | 436,000,000 | ' | 430,000,000 |
AGMH Consolidated | 6 7/8% QUIBS | ' | ' | ' |
Debt | ' | ' | ' |
Interest rate of debt (as a percent) | 6.88% | ' | 6.88% |
Principal | 100,000,000 | ' | 100,000,000 |
Carrying Value | 68,000,000 | ' | 68,000,000 |
AGMH Consolidated | 6.25% Notes | ' | ' | ' |
Debt | ' | ' | ' |
Interest rate of debt (as a percent) | 6.25% | ' | 6.25% |
Principal | 230,000,000 | ' | 230,000,000 |
Carrying Value | 139,000,000 | ' | 138,000,000 |
AGMH Consolidated | 5.60% Notes | ' | ' | ' |
Debt | ' | ' | ' |
Interest rate of debt (as a percent) | 5.60% | ' | 5.60% |
Principal | 100,000,000 | ' | 100,000,000 |
Carrying Value | 55,000,000 | ' | 55,000,000 |
AGMH Consolidated | Junior Subordinated Debentures | ' | ' | ' |
Debt | ' | ' | ' |
Principal | 300,000,000 | ' | 300,000,000 |
Carrying Value | 174,000,000 | ' | 169,000,000 |
AGM | AGM Notes Payable | ' | ' | ' |
Debt | ' | ' | ' |
Principal | 17,000,000 | ' | 34,000,000 |
Carrying Value | $20,000,000 | ' | $38,000,000 |
LongTerm_Debt_and_Credit_Facil3
Long-Term Debt and Credit Facilities - Senior Notes (Details) (USD $) | 0 Months Ended | ||
Jun. 20, 2014 | Sep. 30, 2014 | Dec. 31, 2013 | |
Debt | ' | ' | ' |
Debt issued | ' | $1,597,000,000 | $1,114,000,000 |
AGUS Consolidated | ' | ' | ' |
Debt | ' | ' | ' |
Debt issued | ' | 850,000,000 | 350,000,000 |
Interest rate of debt (as a percent) | ' | ' | 0.00% |
5.0% Senior Notes | AGUS Consolidated | ' | ' | ' |
Debt | ' | ' | ' |
Debt issued | 500,000,000 | 500,000,000 | 0 |
Interest rate of debt (as a percent) | 5.00% | 5.00% | ' |
Net proceeds from debt issued | $495,000,000 | ' | ' |
LongTerm_Debt_and_Credit_Facil4
Long-Term Debt and Credit Facilities - Credit Facilities (Details) (USD $) | Sep. 30, 2014 | Jun. 30, 2014 | Jul. 01, 2009 | Oct. 25, 2013 |
2009 Strip Coverage Facility | 2009 Strip Coverage Facility | 2009 Strip Coverage Facility | AGUS | |
AGM | AGM | AGM | Revolving Credit Facility | |
Credit facilities | ' | ' | ' | ' |
Liquidity claims on gross exposure | $1,200,000,000 | ' | ' | ' |
Cumulative strip par exposure terminated | 1,400,000,000 | ' | ' | ' |
Maximum credit facility | ' | 495,000,000 | 1,000,000,000 | 225,000,000 |
Fixed interest rate as percentage of federal rate | ' | ' | ' | 100.00% |
Amount to be added to net worth requirement if borrowing capacity is reduced | 0 | ' | ' | ' |
Maximum debt-to-capital ratio which is required to be maintained (as a percent) | 30.00% | ' | ' | ' |
Minimum net worth which is required to be maintained (as a percent) | 75.00% | ' | ' | ' |
Minimum percentage of aggregate consolidate net income (or loss) for July 1, 2009 through June 30, 2014 to be added to net worth requirement | 25.00% | ' | ' | ' |
Maximum commitment amount used for financial covenant calculation | $1,000,000,000 | ' | ' | ' |
LongTerm_Debt_and_Credit_Facil5
Long-Term Debt and Credit Facilities - Committed Capital Securities (Details) (USD $) | 9 Months Ended | 9 Months Ended | ||
Sep. 30, 2014 | Apr. 08, 2005 | Sep. 30, 2014 | Jun. 30, 2003 | |
AGC CCS securities | AGC CCS securities | AGM CPS securities | AGM CPS securities | |
Trust | Trust | |||
Committed Capital Securities | ' | ' | ' | ' |
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 | ' | 'one-month LIBOR | ' |
Rate added to basis for income distributions (as a percent) | 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% | ' |
Earnings_Per_Share_Details
Earnings Per Share (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Millions, except Per Share data, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Basic earnings per share ("EPS"): | ' | ' | ' | ' |
Net income (loss) attributable to Assured Guaranty Ltd. | $355 | $384 | $556 | $459 |
Less: Distributed and undistributed income (loss) available to nonvested shareholders | 1 | 0 | 0 | 0 |
Basic (in shares) | 168.8 | 182.9 | 176.4 | 188.2 |
Basic (per share) | $2.10 | $2.10 | $3.15 | $2.44 |
Diluted EPS: | ' | ' | ' | ' |
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries, basic | 354 | 384 | 556 | 459 |
Plus: Re-allocation of undistributed income (loss) available to nonvested shareholders of AGL and subsidiaries | 0 | 0 | 0 | 0 |
Distributed and undistributed income (loss) available to common shareholders of AGL and subsidiaries | $354 | $384 | $556 | $459 |
Basic (in shares) | 168.8 | 182.9 | 176.4 | 188.2 |
Effect of dilutive securities: | ' | ' | ' | ' |
Options and restricted stock awards (in shares) | 0.9 | 1 | 1 | 0.9 |
Diluted shares | 169.7 | 183.9 | 177.4 | 189.1 |
Diluted (per share) | $2.09 | $2.09 | $3.13 | $2.43 |
Potentially dilutive securities excluded from computation of EPS because of antidilutive effect (in shares) | 1.9 | 1.9 | 1.6 | 3 |
Shareholders_Equity_Change_in_
Shareholders' Equity - Change in Accumulated Other Comprehensive Income by Component (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Millions, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ' | ' | ' | ' |
Balance at beginning of period | ' | ' | $160 | ' |
Amounts Reclassified Out Of Other Comprehensive Income [Abstract] | ' | ' | ' | ' |
Net current period other comprehensive income | 1 | -3 | 173 | -309 |
Balance at end of period | 333 | ' | 333 | ' |
Net Unrealized Gains (Losses) on Investments with no OTTI | ' | ' | ' | ' |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ' | ' | ' | ' |
Balance at beginning of period | 345 | 237 | 178 | 517 |
Other comprehensive income (loss) before reclassifications | -5 | -11 | 164 | -280 |
Amounts Reclassified Out Of Other Comprehensive Income [Abstract] | ' | ' | ' | ' |
Other net realized investment gains (losses) | -5 | -2 | -9 | -16 |
Interest expense | 0 | 0 | 0 | 0 |
Total before tax | -5 | -2 | -9 | -16 |
Tax (provision) benefit | 2 | 1 | 4 | 4 |
Total amounts reclassified from AOCI, net of tax | -3 | -1 | -5 | -12 |
Net current period other comprehensive income | -8 | -12 | 159 | -292 |
Balance at end of period | 337 | 225 | 337 | 225 |
Net Unrealized Gains (Losses) on Investments with OTTI | ' | ' | ' | ' |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ' | ' | ' | ' |
Balance at beginning of period | -22 | -25 | -24 | -5 |
Other comprehensive income (loss) before reclassifications | 1 | -2 | -8 | -34 |
Amounts Reclassified Out Of Other Comprehensive Income [Abstract] | ' | ' | ' | ' |
Other net realized investment gains (losses) | 20 | 7 | 37 | 24 |
Interest expense | 0 | 0 | 0 | 0 |
Total before tax | 20 | 7 | 37 | 24 |
Tax (provision) benefit | -7 | -3 | -13 | -8 |
Total amounts reclassified from AOCI, net of tax | 13 | 4 | 24 | 16 |
Net current period other comprehensive income | 14 | 2 | 16 | -18 |
Balance at end of period | -8 | -23 | -8 | -23 |
Cumulative Translation Adjustment | ' | ' | ' | ' |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ' | ' | ' | ' |
Balance at beginning of period | 1 | -12 | -3 | -6 |
Other comprehensive income (loss) before reclassifications | -5 | 7 | -1 | 1 |
Amounts Reclassified Out Of Other Comprehensive Income [Abstract] | ' | ' | ' | ' |
Other net realized investment gains (losses) | 0 | 0 | 0 | 0 |
Interest expense | 0 | 0 | 0 | 0 |
Total before tax | 0 | 0 | 0 | 0 |
Tax (provision) benefit | 0 | 0 | 0 | 0 |
Total amounts reclassified from AOCI, net of tax | 0 | 0 | 0 | 0 |
Net current period other comprehensive income | -5 | 7 | -1 | 1 |
Balance at end of period | -4 | -5 | -4 | -5 |
Cash Flow Hedge | ' | ' | ' | ' |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ' | ' | ' | ' |
Balance at beginning of period | 8 | 9 | 9 | 9 |
Other comprehensive income (loss) before reclassifications | 0 | 0 | 0 | 0 |
Amounts Reclassified Out Of Other Comprehensive Income [Abstract] | ' | ' | ' | ' |
Other net realized investment gains (losses) | 0 | 0 | 0 | 0 |
Interest expense | 0 | 0 | 0 | -1 |
Total before tax | 0 | 0 | 0 | -1 |
Tax (provision) benefit | 0 | 0 | -1 | 1 |
Total amounts reclassified from AOCI, net of tax | 0 | 0 | -1 | 0 |
Net current period other comprehensive income | 0 | 0 | -1 | 0 |
Balance at end of period | 8 | 9 | 8 | 9 |
Total Accumulated Other Comprehensive Income | ' | ' | ' | ' |
Changes in Accumulated Other Comprehensive Income [Roll Forward] | ' | ' | ' | ' |
Balance at beginning of period | 332 | 209 | 160 | 515 |
Other comprehensive income (loss) before reclassifications | -9 | -6 | 155 | -313 |
Amounts Reclassified Out Of Other Comprehensive Income [Abstract] | ' | ' | ' | ' |
Other net realized investment gains (losses) | 15 | 5 | 28 | 8 |
Interest expense | 0 | 0 | 0 | -1 |
Total before tax | 15 | 5 | 28 | 7 |
Tax (provision) benefit | -5 | -2 | -10 | -3 |
Total amounts reclassified from AOCI, net of tax | 10 | 3 | 18 | 4 |
Net current period other comprehensive income | 1 | -3 | 173 | -309 |
Balance at end of period | $333 | $206 | $333 | $206 |
Shareholders_Equity_Schedule_o
Shareholders' Equity - Schedule of Share Repurchases (Details) (USD $) | 9 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended | 1 Months Ended | 10 Months Ended | 22 Months Ended | |||||||
In Millions, except Share data, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Nov. 06, 2014 | Nov. 06, 2014 | Nov. 06, 2014 |
Common Stock | Common Stock | Common Stock | Common Stock | Common Stock | Common Stock | Common Stock | Common Stock | Common Stock | Common Stock | Common Stock | Common Stock | |||
Subsequent event | Subsequent event | Subsequent event | ||||||||||||
Equity, Class of Treasury Stock [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Number of Shares Repurchased | ' | ' | 9,623,309 | 7,051,842 | 1,350,443 | 291,138 | 732,092 | 9,574,963 | 1,914,566 | 18,025,594 | 12,512,759 | 2,766,854 | 20,792,448 | 33,305,207 |
Total Payments(in millions) | $438 | $259 | $226 | $177 | $35 | $6 | $14 | $205 | $39 | $438 | $264 | $61 | $499 | $763 |
Average Price Paid Per Share | ' | ' | $23.47 | $25.14 | $25.92 | $19.74 | $19.47 | $21.42 | $20.46 | $24.30 | $21.12 | $22.08 | $24.01 | $22.92 |
Shareholders_Equity_Details
Shareholders' Equity (Details) (USD $) | 0 Months Ended | ||||
Share data in Millions, unless otherwise specified | Jun. 30, 2014 | Mar. 19, 2014 | Sep. 30, 2014 | Aug. 06, 2014 | Nov. 06, 2014 |
Common Stock | Subsequent event | ||||
Common Stock | |||||
Class of Stock [Line Items] | ' | ' | ' | ' | ' |
Share repurchase remaining amount | ' | ' | ' | ' | $301,000,000 |
Share repurchase authorized amount | ' | ' | ' | $400,000,000 | ' |
Stock sold by affiliates, number of shares | 10.9 | 4 | ' | ' | ' |
Stock sold by affiliates, percentage of outstanding shares of the Company, less than | ' | ' | 0.10% | ' | ' |
Subsidiary_Information_Condens
Subsidiary Information - Condensed Consolidating Balance Sheet (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | ||
In Millions, unless otherwise specified | ||||||
Assets | ' | ' | ' | ' | ||
Total investment portfolio and cash | $11,531 | $10,969 | ' | ' | ||
Investment in subsidiaries | 0 | 0 | ' | ' | ||
Premiums receivable, net of commissions payable | 801 | [1] | 876 | 906 | [1] | 1,005 |
Ceded unearned premium reserve | 420 | 452 | ' | ' | ||
Deferred acquisition costs | 120 | 124 | ' | ' | ||
Reinsurance recoverable on unpaid losses | 56 | 36 | ' | ' | ||
Credit derivative assets | 86 | 94 | ' | ' | ||
Deferred tax asset, net | 474 | 688 | ' | ' | ||
Intercompany receivable | 0 | 0 | ' | ' | ||
Financial guaranty variable interest entities’ assets, at fair value | 1,296 | 2,565 | ' | ' | ||
Other | 585 | 483 | ' | ' | ||
Total assets | 15,369 | 16,287 | ' | ' | ||
Liabilities and shareholders’ equity | ' | ' | ' | ' | ||
Unearned premium reserve | 4,263 | 4,595 | ' | ' | ||
Loss and loss adjustment expense reserve | 760 | 592 | ' | ' | ||
Long-term debt | 1,303 | 816 | ' | ' | ||
Intercompany payable | 0 | 0 | ' | ' | ||
Credit derivative liabilities | 1,654 | 1,787 | ' | ' | ||
Deferred tax liabilities, net | 0 | 0 | ' | ' | ||
Financial guaranty variable interest entities’ liabilities, at fair value | 1,459 | 2,871 | ' | ' | ||
Other | 576 | 511 | ' | ' | ||
Total liabilities | 10,015 | 11,172 | ' | ' | ||
TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. | 5,354 | 5,115 | ' | ' | ||
Noncontrolling interest | 0 | 0 | ' | ' | ||
TOTAL SHAREHOLDERS' EQUITY | 5,354 | 5,115 | ' | ' | ||
Total liabilities and shareholders’ equity | 15,369 | 16,287 | ' | ' | ||
Assured Guaranty Ltd. (Parent) | ' | ' | ' | ' | ||
Assets | ' | ' | ' | ' | ||
Total investment portfolio and cash | 298 | 33 | ' | ' | ||
Investment in subsidiaries | 5,035 | 5,066 | ' | ' | ||
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 | 27 | 23 | ' | ' | ||
Total assets | 5,360 | 5,122 | ' | ' | ||
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 | 0 | ' | ' | ||
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 | ' | ' | ||
Other | 6 | 7 | ' | ' | ||
Total liabilities | 6 | 7 | ' | ' | ||
TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. | 5,354 | 5,115 | ' | ' | ||
Noncontrolling interest | 0 | 0 | ' | ' | ||
TOTAL SHAREHOLDERS' EQUITY | 5,354 | 5,115 | ' | ' | ||
Total liabilities and shareholders’ equity | 5,360 | 5,122 | ' | ' | ||
AGUS (Issuer) | ' | ' | ' | ' | ||
Assets | ' | ' | ' | ' | ||
Total investment portfolio and cash | 150 | 186 | ' | ' | ||
Investment in subsidiaries | 4,677 | 4,191 | ' | ' | ||
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 | 98 | 97 | ' | ' | ||
Intercompany receivable | 0 | 0 | ' | ' | ||
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 | ' | ' | ||
Other | 29 | 17 | ' | ' | ||
Total assets | 4,954 | 4,491 | ' | ' | ||
Liabilities and shareholders’ equity | ' | ' | ' | ' | ||
Unearned premium reserve | 0 | 0 | ' | ' | ||
Loss and loss adjustment expense reserve | 0 | 0 | ' | ' | ||
Long-term debt | 847 | 348 | ' | ' | ||
Intercompany payable | 90 | 90 | ' | ' | ||
Credit derivative liabilities | 0 | 0 | ' | ' | ||
Deferred tax liabilities, net | 0 | 0 | ' | ' | ||
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 | ' | ' | ||
Other | 22 | 7 | ' | ' | ||
Total liabilities | 959 | 445 | ' | ' | ||
TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. | 3,995 | 4,046 | ' | ' | ||
Noncontrolling interest | 0 | 0 | ' | ' | ||
TOTAL SHAREHOLDERS' EQUITY | 3,995 | 4,046 | ' | ' | ||
Total liabilities and shareholders’ equity | 4,954 | 4,491 | ' | ' | ||
AGMH (Issuer) | ' | ' | ' | ' | ||
Assets | ' | ' | ' | ' | ||
Total investment portfolio and cash | 28 | 42 | ' | ' | ||
Investment in subsidiaries | 3,929 | 3,574 | ' | ' | ||
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 | 43 | 31 | ' | ' | ||
Total assets | 4,000 | 3,647 | ' | ' | ||
Liabilities and shareholders’ equity | ' | ' | ' | ' | ||
Unearned premium reserve | 0 | 0 | ' | ' | ||
Loss and loss adjustment expense reserve | 0 | 0 | ' | ' | ||
Long-term debt | 436 | 430 | ' | ' | ||
Intercompany payable | 0 | 0 | ' | ' | ||
Credit derivative liabilities | 0 | 0 | ' | ' | ||
Deferred tax liabilities, net | 94 | 95 | ' | ' | ||
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 | ' | ' | ||
Other | 21 | 16 | ' | ' | ||
Total liabilities | 551 | 541 | ' | ' | ||
TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. | 3,449 | 3,106 | ' | ' | ||
Noncontrolling interest | 0 | 0 | ' | ' | ||
TOTAL SHAREHOLDERS' EQUITY | 3,449 | 3,106 | ' | ' | ||
Total liabilities and shareholders’ equity | 4,000 | 3,647 | ' | ' | ||
Other Subsidiaries | ' | ' | ' | ' | ||
Assets | ' | ' | ' | ' | ||
Total investment portfolio and cash | 11,355 | 11,008 | ' | ' | ||
Investment in subsidiaries | 330 | 289 | ' | ' | ||
Premiums receivable, net of commissions payable | 936 | 1,025 | ' | ' | ||
Ceded unearned premium reserve | 1,513 | 1,598 | ' | ' | ||
Deferred acquisition costs | 189 | 198 | ' | ' | ||
Reinsurance recoverable on unpaid losses | 228 | 170 | ' | ' | ||
Credit derivative assets | 436 | 482 | ' | ' | ||
Deferred tax asset, net | 464 | 681 | ' | ' | ||
Intercompany receivable | 90 | 90 | ' | ' | ||
Financial guaranty variable interest entities’ assets, at fair value | 1,296 | 2,565 | ' | ' | ||
Other | 709 | 638 | ' | ' | ||
Total assets | 17,546 | 18,744 | ' | ' | ||
Liabilities and shareholders’ equity | ' | ' | ' | ' | ||
Unearned premium reserve | 5,336 | 5,720 | ' | ' | ||
Loss and loss adjustment expense reserve | 938 | 733 | ' | ' | ||
Long-term debt | 20 | 38 | ' | ' | ||
Intercompany payable | 300 | 300 | ' | ' | ||
Credit derivative liabilities | 2,004 | 2,175 | ' | ' | ||
Deferred tax liabilities, net | 0 | 0 | ' | ' | ||
Financial guaranty variable interest entities’ liabilities, at fair value | 1,459 | 2,871 | ' | ' | ||
Other | 879 | 853 | ' | ' | ||
Total liabilities | 10,936 | 12,690 | ' | ' | ||
TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. | 6,280 | 5,765 | ' | ' | ||
Noncontrolling interest | 330 | 289 | ' | ' | ||
TOTAL SHAREHOLDERS' EQUITY | 6,610 | 6,054 | ' | ' | ||
Total liabilities and shareholders’ equity | 17,546 | 18,744 | ' | ' | ||
Consolidating Adjustments | ' | ' | ' | ' | ||
Assets | ' | ' | ' | ' | ||
Total investment portfolio and cash | -300 | -300 | ' | ' | ||
Investment in subsidiaries | -13,971 | -13,120 | ' | ' | ||
Premiums receivable, net of commissions payable | -135 | -149 | ' | ' | ||
Ceded unearned premium reserve | -1,093 | -1,146 | ' | ' | ||
Deferred acquisition costs | -69 | -74 | ' | ' | ||
Reinsurance recoverable on unpaid losses | -172 | -134 | ' | ' | ||
Credit derivative assets | -350 | -388 | ' | ' | ||
Deferred tax asset, net | -88 | -90 | ' | ' | ||
Intercompany receivable | -90 | -90 | ' | ' | ||
Financial guaranty variable interest entities’ assets, at fair value | 0 | 0 | ' | ' | ||
Other | -223 | -226 | ' | ' | ||
Total assets | -16,491 | -15,717 | ' | ' | ||
Liabilities and shareholders’ equity | ' | ' | ' | ' | ||
Unearned premium reserve | -1,073 | -1,125 | ' | ' | ||
Loss and loss adjustment expense reserve | -178 | -141 | ' | ' | ||
Long-term debt | 0 | 0 | ' | ' | ||
Intercompany payable | -390 | -390 | ' | ' | ||
Credit derivative liabilities | -350 | -388 | ' | ' | ||
Deferred tax liabilities, net | -94 | -95 | ' | ' | ||
Financial guaranty variable interest entities’ liabilities, at fair value | 0 | 0 | ' | ' | ||
Other | -352 | -372 | ' | ' | ||
Total liabilities | -2,437 | -2,511 | ' | ' | ||
TOTAL SHAREHOLDERS’ EQUITY ATTRIBUTABLE TO ASSURED GUARANTY LTD. | -13,724 | -12,917 | ' | ' | ||
Noncontrolling interest | -330 | -289 | ' | ' | ||
TOTAL SHAREHOLDERS' EQUITY | -14,054 | -13,206 | ' | ' | ||
Total liabilities and shareholders’ equity | ($16,491) | ($15,717) | ' | ' | ||
[1] | Excludes $18 million and $19 million as of September 30, 2014 and September 30, 2013, respectively, related to consolidated FG VIEs. |
Condensed_Consolidating_Statem
- Condensed Consolidating Statement of Operations and Comprehensive Income (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||||||
In Millions, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | ||||
Revenues | ' | ' | ' | ' | ||||
Net earned premiums | $144 | [1] | $159 | [1] | $412 | [1] | $570 | [1] |
Net investment income | 102 | 99 | 301 | 286 | ||||
Net realized investment gains (losses) | -19 | -7 | -25 | 23 | ||||
Net change in fair value of credit derivatives: | ' | ' | ' | ' | ||||
Realized gains (losses) and other settlements | -14 | 24 | 20 | -44 | ||||
Net unrealized gains (losses) | 269 | [2] | 330 | [2] | 127 | [2] | -120 | [2] |
Net change in fair value of credit derivatives | 255 | 354 | 147 | -164 | ||||
Other | 43 | 65 | 238 | 244 | ||||
Total revenues | 525 | 670 | 1,073 | 959 | ||||
Expenses | ' | ' | ' | ' | ||||
Loss and LAE | -44 | 55 | 54 | 69 | ||||
Amortization of deferred acquisition costs | 4 | 4 | 12 | 8 | ||||
Interest expense | 27 | 21 | 67 | 63 | ||||
Other operating expenses | 50 | 54 | 165 | 166 | ||||
Total expenses | 37 | 134 | 298 | 306 | ||||
Income (loss) before income taxes | 488 | 536 | 775 | 653 | ||||
Total (provision) benefit for income taxes | -133 | -152 | -219 | -194 | ||||
Equity in net earnings of subsidiaries | 0 | 0 | 0 | 0 | ||||
NET INCOME (LOSS) | 355 | 384 | 556 | 459 | ||||
Less: noncontrolling interest | 0 | 0 | 0 | 0 | ||||
Net income (loss) | 355 | 384 | 556 | 459 | ||||
Comprehensive income (loss) | 356 | 381 | 729 | 150 | ||||
Assured Guaranty Ltd. (Parent) | ' | ' | ' | ' | ||||
Revenues | ' | ' | ' | ' | ||||
Net earned premiums | 0 | 0 | 0 | 0 | ||||
Net investment income | 0 | 0 | 0 | 0 | ||||
Net realized investment gains (losses) | 0 | 0 | 0 | 0 | ||||
Net change in fair value of credit derivatives: | ' | ' | ' | ' | ||||
Realized gains (losses) and other settlements | 0 | 0 | 0 | 0 | ||||
Net unrealized gains (losses) | 0 | 0 | 0 | 0 | ||||
Net change in fair value of credit derivatives | 0 | 0 | 0 | 0 | ||||
Other | 0 | 0 | 0 | 0 | ||||
Total revenues | 0 | 0 | 0 | 0 | ||||
Expenses | ' | ' | ' | ' | ||||
Loss and LAE | 0 | 0 | 0 | 0 | ||||
Amortization of deferred acquisition costs | 0 | 0 | 0 | 0 | ||||
Interest expense | 0 | 0 | 0 | 0 | ||||
Other operating expenses | 8 | 5 | 24 | 17 | ||||
Total expenses | 8 | 5 | 24 | 17 | ||||
Income (loss) before income taxes | -8 | -5 | -24 | -17 | ||||
Total (provision) benefit for income taxes | 0 | 0 | 0 | 0 | ||||
Equity in net earnings of subsidiaries | 363 | 389 | 580 | 476 | ||||
NET INCOME (LOSS) | 355 | 384 | 556 | 459 | ||||
Less: noncontrolling interest | 0 | 0 | 0 | 0 | ||||
Net income (loss) | 355 | 384 | 556 | 459 | ||||
Comprehensive income (loss) | 356 | 381 | 729 | 150 | ||||
AGUS (Issuer) | ' | ' | ' | ' | ||||
Revenues | ' | ' | ' | ' | ||||
Net earned premiums | 0 | 0 | 0 | 0 | ||||
Net investment income | 0 | 0 | 0 | 0 | ||||
Net realized investment gains (losses) | 0 | 0 | 0 | 0 | ||||
Net change in fair value of credit derivatives: | ' | ' | ' | ' | ||||
Realized gains (losses) and other settlements | 0 | 0 | 0 | 0 | ||||
Net unrealized gains (losses) | 0 | 0 | 0 | 0 | ||||
Net change in fair value of credit derivatives | 0 | 0 | 0 | 0 | ||||
Other | 0 | 0 | 0 | 0 | ||||
Total revenues | 0 | 0 | 0 | 0 | ||||
Expenses | ' | ' | ' | ' | ||||
Loss and LAE | 0 | 0 | 0 | 0 | ||||
Amortization of deferred acquisition costs | 0 | 0 | 0 | 0 | ||||
Interest expense | 13 | 6 | 27 | 21 | ||||
Other operating expenses | 0 | 0 | 1 | 0 | ||||
Total expenses | 13 | 6 | 28 | 21 | ||||
Income (loss) before income taxes | -13 | -6 | -28 | -21 | ||||
Total (provision) benefit for income taxes | 4 | 3 | 9 | 8 | ||||
Equity in net earnings of subsidiaries | 290 | 316 | 529 | 486 | ||||
NET INCOME (LOSS) | 281 | 313 | 510 | 473 | ||||
Less: noncontrolling interest | 0 | 0 | 0 | 0 | ||||
Net income (loss) | 281 | 313 | 510 | 473 | ||||
Comprehensive income (loss) | 294 | 317 | 650 | 272 | ||||
AGMH (Issuer) | ' | ' | ' | ' | ||||
Revenues | ' | ' | ' | ' | ||||
Net earned premiums | 0 | 0 | 0 | 0 | ||||
Net investment income | 1 | 1 | 1 | 1 | ||||
Net realized investment gains (losses) | 0 | -1 | 0 | 0 | ||||
Net change in fair value of credit derivatives: | ' | ' | ' | ' | ||||
Realized gains (losses) and other settlements | 0 | 0 | 0 | 0 | ||||
Net unrealized gains (losses) | 0 | 0 | 0 | 0 | ||||
Net change in fair value of credit derivatives | 0 | 0 | 0 | 0 | ||||
Other | 0 | 0 | 0 | 0 | ||||
Total revenues | 1 | 0 | 1 | 1 | ||||
Expenses | ' | ' | ' | ' | ||||
Loss and LAE | 0 | 0 | 0 | 0 | ||||
Amortization of deferred acquisition costs | 0 | 0 | 0 | 0 | ||||
Interest expense | 13 | 13 | 40 | 40 | ||||
Other operating expenses | 1 | 1 | 1 | 1 | ||||
Total expenses | 14 | 14 | 41 | 41 | ||||
Income (loss) before income taxes | -13 | -14 | -40 | -40 | ||||
Total (provision) benefit for income taxes | 5 | 5 | 14 | 14 | ||||
Equity in net earnings of subsidiaries | 147 | 151 | 436 | 533 | ||||
NET INCOME (LOSS) | 139 | 142 | 410 | 507 | ||||
Less: noncontrolling interest | 0 | 0 | 0 | 0 | ||||
Net income (loss) | 139 | 142 | 410 | 507 | ||||
Comprehensive income (loss) | 146 | 145 | 495 | 384 | ||||
Other Subsidiaries | ' | ' | ' | ' | ||||
Revenues | ' | ' | ' | ' | ||||
Net earned premiums | 142 | 156 | 408 | 563 | ||||
Net investment income | 104 | 101 | 307 | 298 | ||||
Net realized investment gains (losses) | -19 | 33 | -23 | 58 | ||||
Net change in fair value of credit derivatives: | ' | ' | ' | ' | ||||
Realized gains (losses) and other settlements | -14 | 24 | 20 | -44 | ||||
Net unrealized gains (losses) | 269 | 330 | 127 | -120 | ||||
Net change in fair value of credit derivatives | 255 | 354 | 147 | -164 | ||||
Other | 43 | 65 | 239 | 244 | ||||
Total revenues | 525 | 709 | 1,078 | 999 | ||||
Expenses | ' | ' | ' | ' | ||||
Loss and LAE | -44 | 52 | 48 | 69 | ||||
Amortization of deferred acquisition costs | 6 | 6 | 17 | 3 | ||||
Interest expense | 5 | 6 | 13 | 17 | ||||
Other operating expenses | 43 | 49 | 142 | 151 | ||||
Total expenses | 10 | 113 | 220 | 240 | ||||
Income (loss) before income taxes | 515 | 596 | 858 | 759 | ||||
Total (provision) benefit for income taxes | -140 | -172 | -240 | -226 | ||||
Equity in net earnings of subsidiaries | 8 | 10 | 24 | 10 | ||||
NET INCOME (LOSS) | 383 | 434 | 642 | 543 | ||||
Less: noncontrolling interest | 24 | 10 | 24 | 10 | ||||
Net income (loss) | 359 | 424 | 618 | 533 | ||||
Comprehensive income (loss) | 397 | 411 | 957 | 16 | ||||
Consolidating Adjustments | ' | ' | ' | ' | ||||
Revenues | ' | ' | ' | ' | ||||
Net earned premiums | 2 | 3 | 4 | 7 | ||||
Net investment income | -3 | -3 | -7 | -13 | ||||
Net realized investment gains (losses) | 0 | -39 | -2 | -35 | ||||
Net change in fair value of credit derivatives: | ' | ' | ' | ' | ||||
Realized gains (losses) and other settlements | 0 | 0 | 0 | 0 | ||||
Net unrealized gains (losses) | 0 | 0 | 0 | 0 | ||||
Net change in fair value of credit derivatives | 0 | 0 | 0 | 0 | ||||
Other | 0 | 0 | -1 | 0 | ||||
Total revenues | -1 | -39 | -6 | -41 | ||||
Expenses | ' | ' | ' | ' | ||||
Loss and LAE | 0 | 3 | 6 | 0 | ||||
Amortization of deferred acquisition costs | -2 | -2 | -5 | 5 | ||||
Interest expense | -4 | -4 | -13 | -15 | ||||
Other operating expenses | -2 | -1 | -3 | -3 | ||||
Total expenses | -8 | -4 | -15 | -13 | ||||
Income (loss) before income taxes | 7 | -35 | 9 | -28 | ||||
Total (provision) benefit for income taxes | -2 | 12 | -2 | 10 | ||||
Equity in net earnings of subsidiaries | -808 | -866 | -1,569 | -1,505 | ||||
NET INCOME (LOSS) | -803 | -889 | -1,562 | -1,523 | ||||
Less: noncontrolling interest | -24 | -10 | -24 | -10 | ||||
Net income (loss) | -779 | -879 | -1,538 | -1,513 | ||||
Comprehensive income (loss) | ($837) | ($873) | ($2,102) | ($672) | ||||
[1] | Excludes $5 million and $14 million for Third Quarter 2014 and 2013, respectively, and $27 million and $47 million for Nine Months 2014 and 2013, 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 5), 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_Condens1
Subsidiary Information - Condensed Consolidating Statement of Cash Flows (Details) (USD $) | 9 Months Ended | |||
In Millions, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | ||
Condensed financial statements | ' | ' | ||
Net cash flows provided by (used in) operating activities | $347 | [1] | $146 | [1] |
Fixed-maturity securities: | ' | ' | ||
Purchases | -2,031 | -1,563 | ||
Sales | 951 | 812 | ||
Maturities | 557 | 643 | ||
Net sales (purchases) of short-term investments | 89 | 44 | ||
Proceeds from paydowns on financial guaranty variable interest entities’ assets | 346 | 553 | ||
Intercompany debt | ' | 0 | ||
Investment in subsidiary | 0 | 0 | ||
Other | 9 | 81 | ||
Net cash flows provided by (used in) investing activities | -79 | 570 | ||
Cash flows from financing activities | ' | ' | ||
Return of capital | 0 | 0 | ||
Dividends paid | -58 | -57 | ||
Repurchases of common stock | -438 | -259 | ||
Share activity under option and incentive plans | -1 | 0 | ||
Paydowns of financial guaranty variable interest entities’ liabilities | -348 | -409 | ||
Net proceeds from issuance of long-term debt | 495 | 0 | ||
Repayment of long-term debt | -18 | -22 | ||
FinancingActivitiesIntercompanyDebt | ' | 0 | ||
Net cash flows provided by (used in) financing activities | -368 | -747 | ||
Effect of exchange rate changes | -2 | -1 | ||
Increase (decrease) in cash | -102 | -32 | ||
Cash at beginning of period | 184 | 138 | ||
Cash at end of period | 82 | 106 | ||
Assured Guaranty Ltd. (Parent) | ' | ' | ||
Condensed financial statements | ' | ' | ||
Net cash flows provided by (used in) operating activities | 762 | [1] | 108 | [1] |
Fixed-maturity securities: | ' | ' | ||
Purchases | 0 | 0 | ||
Sales | 0 | 171 | ||
Maturities | 0 | 21 | ||
Net sales (purchases) of short-term investments | -265 | 16 | ||
Proceeds from paydowns on financial guaranty variable interest entities’ assets | 0 | 0 | ||
Intercompany debt | ' | 0 | ||
Investment in subsidiary | 0 | 0 | ||
Other | 0 | 0 | ||
Net cash flows provided by (used in) investing activities | -265 | 208 | ||
Cash flows from financing activities | ' | ' | ||
Return of capital | 0 | 0 | ||
Dividends paid | -58 | -57 | ||
Repurchases of common stock | -438 | -259 | ||
Share activity under option and incentive plans | -1 | 0 | ||
Paydowns of financial guaranty variable interest entities’ liabilities | 0 | 0 | ||
Net proceeds from issuance of long-term debt | 0 | ' | ||
Repayment of long-term debt | 0 | 0 | ||
FinancingActivitiesIntercompanyDebt | ' | 0 | ||
Net cash flows provided by (used in) financing activities | -497 | -316 | ||
Effect of exchange rate changes | 0 | 0 | ||
Increase (decrease) in cash | 0 | 0 | ||
Cash at beginning of period | 0 | 0 | ||
Cash at end of period | 0 | 0 | ||
AGUS (Issuer) | ' | ' | ||
Condensed financial statements | ' | ' | ||
Net cash flows provided by (used in) operating activities | 170 | [1] | 123 | [1] |
Fixed-maturity securities: | ' | ' | ||
Purchases | -356 | -35 | ||
Sales | 399 | 1 | ||
Maturities | 4 | 0 | ||
Net sales (purchases) of short-term investments | -74 | -94 | ||
Proceeds from paydowns on financial guaranty variable interest entities’ assets | 0 | 0 | ||
Intercompany debt | ' | 0 | ||
Investment in subsidiary | 0 | 0 | ||
Other | 0 | 0 | ||
Net cash flows provided by (used in) investing activities | -27 | -128 | ||
Cash flows from financing activities | ' | ' | ||
Return of capital | 0 | 0 | ||
Dividends paid | -700 | 0 | ||
Repurchases of common stock | 0 | 0 | ||
Share activity under option and incentive plans | 0 | 0 | ||
Paydowns of financial guaranty variable interest entities’ liabilities | 0 | 0 | ||
Net proceeds from issuance of long-term debt | 495 | ' | ||
Repayment of long-term debt | 0 | 0 | ||
FinancingActivitiesIntercompanyDebt | ' | -7 | ||
Net cash flows provided by (used in) financing activities | -205 | -7 | ||
Effect of exchange rate changes | 0 | 0 | ||
Increase (decrease) in cash | -62 | -12 | ||
Cash at beginning of period | 67 | 13 | ||
Cash at end of period | 5 | 1 | ||
AGMH | ' | ' | ||
Condensed financial statements | ' | ' | ||
Net cash flows provided by (used in) operating activities | 84 | [1] | 68 | [1] |
Fixed-maturity securities: | ' | ' | ||
Purchases | -7 | -23 | ||
Sales | 8 | 25 | ||
Maturities | 1 | 2 | ||
Net sales (purchases) of short-term investments | 14 | -24 | ||
Proceeds from paydowns on financial guaranty variable interest entities’ assets | 0 | 0 | ||
Intercompany debt | ' | 0 | ||
Investment in subsidiary | 50 | 50 | ||
Other | 0 | 0 | ||
Net cash flows provided by (used in) investing activities | 66 | 30 | ||
Cash flows from financing activities | ' | ' | ||
Return of capital | 0 | 0 | ||
Dividends paid | -150 | -98 | ||
Repurchases of common stock | 0 | 0 | ||
Share activity under option and incentive plans | 0 | 0 | ||
Paydowns of financial guaranty variable interest entities’ liabilities | 0 | 0 | ||
Net proceeds from issuance of long-term debt | 0 | ' | ||
Repayment of long-term debt | 0 | 0 | ||
FinancingActivitiesIntercompanyDebt | ' | 0 | ||
Net cash flows provided by (used in) financing activities | -150 | -98 | ||
Effect of exchange rate changes | 0 | 0 | ||
Increase (decrease) in cash | 0 | 0 | ||
Cash at beginning of period | 0 | 0 | ||
Cash at end of period | 0 | 0 | ||
Other Subsidiaries | ' | ' | ||
Condensed financial statements | ' | ' | ||
Net cash flows provided by (used in) operating activities | 408 | [1] | 207 | [1] |
Fixed-maturity securities: | ' | ' | ||
Purchases | -1,668 | -1,570 | ||
Sales | 544 | 680 | ||
Maturities | 552 | 620 | ||
Net sales (purchases) of short-term investments | 414 | 146 | ||
Proceeds from paydowns on financial guaranty variable interest entities’ assets | 346 | 553 | ||
Intercompany debt | ' | 7 | ||
Investment in subsidiary | 0 | 0 | ||
Other | 9 | 81 | ||
Net cash flows provided by (used in) investing activities | 197 | 517 | ||
Cash flows from financing activities | ' | ' | ||
Return of capital | -50 | -50 | ||
Dividends paid | -227 | -262 | ||
Repurchases of common stock | 0 | 0 | ||
Share activity under option and incentive plans | 0 | 0 | ||
Paydowns of financial guaranty variable interest entities’ liabilities | -348 | -409 | ||
Net proceeds from issuance of long-term debt | 0 | ' | ||
Repayment of long-term debt | -18 | -22 | ||
FinancingActivitiesIntercompanyDebt | ' | 0 | ||
Net cash flows provided by (used in) financing activities | -643 | -743 | ||
Effect of exchange rate changes | -2 | -1 | ||
Increase (decrease) in cash | -40 | -20 | ||
Cash at beginning of period | 117 | 125 | ||
Cash at end of period | 77 | 105 | ||
Consolidating Adjustments | ' | ' | ||
Condensed financial statements | ' | ' | ||
Net cash flows provided by (used in) operating activities | -1,077 | [1] | -360 | [1] |
Fixed-maturity securities: | ' | ' | ||
Purchases | 0 | 65 | ||
Sales | 0 | -65 | ||
Maturities | 0 | 0 | ||
Net sales (purchases) of short-term investments | 0 | 0 | ||
Proceeds from paydowns on financial guaranty variable interest entities’ assets | 0 | 0 | ||
Intercompany debt | ' | -7 | ||
Investment in subsidiary | -50 | -50 | ||
Other | 0 | 0 | ||
Net cash flows provided by (used in) investing activities | -50 | -57 | ||
Cash flows from financing activities | ' | ' | ||
Return of capital | 50 | 50 | ||
Dividends paid | 1,077 | 360 | ||
Repurchases of common stock | 0 | 0 | ||
Share activity under option and incentive plans | 0 | 0 | ||
Paydowns of financial guaranty variable interest entities’ liabilities | 0 | 0 | ||
Net proceeds from issuance of long-term debt | 0 | ' | ||
Repayment of long-term debt | 0 | 0 | ||
FinancingActivitiesIntercompanyDebt | ' | 7 | ||
Net cash flows provided by (used in) financing activities | 1,127 | 417 | ||
Effect of exchange rate changes | 0 | 0 | ||
Increase (decrease) in cash | 0 | 0 | ||
Cash at beginning of period | 0 | 0 | ||
Cash at end of period | $0 | $0 | ||
[1] | (1)Assured Guaranty Ltd., AGUS and AGMH net cash flows provided by (used in) operating activities includes dividends from subsidiaries. |